Search results for "Stochastic Processes"

Atom-based Stochastic and non-Stochastic 3D-Chiral Bilinear Indices and their Applications to Central Chirality Codification

2006

Abstract Non-stochastic and stochastic 2D bilinear indices have been generalized to codify chemical structure information for chiral drugs, making use of a trigonometric 3D-chirality correction factor. In order to evaluate the effectiveness of this novel approach in drug design we have modeled the angiotensin-converting enzyme inhibitory activity of perindoprilate's σ-stereoisomers combinatorial library. Two linear discriminant analysis models, using non-stochastic and stochastic linear indices, were obtained. The models had shown an accuracy of 95.65% for the training set and 100% for the external prediction set. Next the prediction of the σ-receptor antagonists of chiral 3-(3-hydroxypheny…

Nucleotide's bilinear indices: Novel bio-macromolecular descriptors for bioinformatics studies of nucleic acids. I. Prediction of paromomycin's affin…

2009

A new set of nucleotide-based bio-macromolecular descriptors are presented. This novel approach to bio-macromolecular design from a linear algebra point of view is relevant to nucleic acids quantitative structure-activity relationship (QSAR) studies. These bio-macromolecular indices are based on the calculus of bilinear maps on Re(n)[b(mk)(x (m),y (m)):Re(n) x Re(n)--Re] in canonical basis. Nucleic acid's bilinear indices are calculated from kth power of non-stochastic and stochastic nucleotide's graph-theoretic electronic-contact matrices, M(m)(k) and (s)M(m)(k), respectively. That is to say, the kth non-stochastic and stochastic nucleic acid's bilinear indices are calculated using M(m)(k)…

Econophysics and the challenge of efficiency

2009

Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality

2014

International audience; Reservoir computing is a recently introduced machine learning paradigm that has already shown excellent performances in the processing of empirical data. We study a particular kind of reservoir computers called time-delay reservoirs that are constructed out of the sampling of the solution of a time-delay diFFerential equation and show their good performance in the forecasting of the conditional covariances associated to multivariate discrete-time nonlinear stochastic processes of VEC-GARCH type as well as in the prediction of factual daily market realized volatilities computed with intraday quotes, using as training input daily log-return series of moderate size. We …

Inclusion of Instantaneous Influences in the Spectral Decomposition of Causality: Application to the Control Mechanisms of Heart Rate Variability

2021

Heart rate variability is the result of several physiological regulation mechanisms, including cardiovascular and cardiorespiratory interactions. Since instantaneous influences occurring within the same cardiac beat are commonplace in this regulation, their inclusion is mandatory to get a realistic model of physiological causal interactions. Here we exploit a recently proposed framework for the spectral decomposition of causal influences between autoregressive processes [2] and generalize it by introducing instantaneous couplings in the vector autoregressive model (VAR). We show the effectiveness of the proposed approach on a toy model, and on real data consisting of heart period (RR), syst…

Role of noise in a market model with stochastic volatility

2006

We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…

Bazaar economics

2015

Competitive Equilibrium theory has been a widely accepted and extensively used cornerstone in economics for over a century. Here, we suggest a complementary model—motivated by the haggling in a bazaar—that offers a useful, first-principle account of market behavior that better accounts for the observed outcomes in forty market experiments. The Bazaar model uses simple stochastic processes to drive the matching of traders and the determination of price. We show that as agents become more impatient, the system tends toward more Competitive-Equilibrium-like outcomes.

An enhanced memetic differential evolution in filter design for defect detection in paper production.

2008

This article proposes an Enhanced Memetic Differential Evolution (EMDE) for designing digital filters which aim at detecting defects of the paper produced during an industrial process. Defect detection is handled by means of two Gabor filters and their design is performed by the EMDE. The EMDE is a novel adaptive evolutionary algorithm which combines the powerful explorative features of Differential Evolution with the exploitative features of three local search algorithms employing different pivot rules and neighborhood generating functions. These local search algorithms are the Hooke Jeeves Algorithm, a Stochastic Local Search, and Simulated Annealing. The local search algorithms are adap…

Prediction of tyrosinase inhibition activity using atom-based bilinear indices.

2007

A set of novel atom-based molecular fingerprints is proposed based on a bilinear map similar to that defined in linear algebra. These molecular descriptors (MDs) are proposed as a new means of molecular parametrization easily calculated from 2D molecular information. The nonstochastic and stochastic molecular indices match molecular structure provided by molecular topology by using the kth nonstochastic and stochastic graph-theoretical electronic-density matrices, M(k) and S(k), respectively. Thus, the kth nonstochastic and stochastic bilinear indices are calculated using M(k) and S(k) as matrix operators of bilinear transformations. Chemical information is coded by using different pair com…

The non-random walk of stock prices: The long-term correlation between signs and sizes

2007

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…