Search results for "quantitative"
showing 10 items of 2409 documents
The stabilizing effect of volatility in financial markets
2017
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting time, i.e. the average time a stock return takes to undergo for the first time a large negative or positive variation, as an indicator of price stability, and relate this to a standard measure of volatility. In an empirical analysis of daily returns for $1071$ stocks traded in the New York Stock Exchange, we find that this measure of stability displays nonmonotonic behavior, …
A quantum statistical approach to simplified stock markets
2009
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of transition from a given value of the {\em portfolio} of a certain trader to a different one. This computation can also be carried out using some kind of {\em Feynman graphs} adapted to the present context.
A Bayesian SIRS model for the analysis of respiratory syncytial virus in the region of Valencia, Spain
2014
We present a Bayesian stochastic susceptible-infected-recovered-susceptible (SIRS) model in discrete time to understand respiratory syncytial virus dynamics in the region of Valencia, Spain. A SIRS model based on ordinary differential equations has also been proposed to describe RSV dynamics in the region of Valencia. However, this continuous-time deterministic model is not suitable when the initial number of infected individuals is small. Stochastic epidemic models based on a probability of disease transmission provide a more natural description of the spread of infectious diseases. In addition, by allowing the transmission rate to vary stochastically over time, the proposed model provides…
Structure Learning in Nested Effects Models
2007
Nested Effects Models (NEMs) are a class of graphical models introduced to analyze the results of gene perturbation screens. NEMs explore noisy subset relations between the high-dimensional outputs of phenotyping studies, e.g., the effects showing in gene expression profiles or as morphological features of the perturbed cell. In this paper we expand the statistical basis of NEMs in four directions. First, we derive a new formula for the likelihood function of a NEM, which generalizes previous results for binary data. Second, we prove model identifiability under mild assumptions. Third, we show that the new formulation of the likelihood allows efficiency in traversing model space. Fourth, we…
The coalescent in population models with time-inhomogeneous environment
2002
AbstractThe coalescent theory, well developed for the class of exchangeable population models with time-homogeneous reproduction law, is extended to a class of population models with time-inhomogeneous environment, where the population size is allowed to vary deterministically with time and where the distribution of the family sizes is allowed to change from generation to generation. A new class of time-inhomogeneous coalescent limit processes with simultaneous multiple mergers arises. Its distribution can be characterized in terms of product integrals.
Infant mortality across species. A global probe of congenital abnormalities
2019
Infant mortality, by which we understand the postnatal stage during which mortality is declining, is a manifestation and embodiment of congenital abnormalities. Severe defects will translate into death occurring shortly after birth whereas slighter anomalies may contribute to death much later, possibly only in adult age. While for many species birth defects would be nearly impossible to identify, infant mortality provides a convenient global assessment. In the present paper we examine a broad range of species from mammals to fish to gastropods to insects. One of the objectives of our comparative analysis is to test a conjecture suggested by reliability engineering according to which the fre…
Role of the noise on the transient dynamics of an ecosystem of interacting species
2002
Abstract We analyze the transient dynamics of an ecosystem described by generalized Lotka–Volterra equations in the presence of a multiplicative noise and a random interaction parameter between the species. We consider specifically three cases: (i) two competing species, (ii) three interacting species (one predator–two preys), (iii) n-interacting species. The interaction parameter in case (i) is a stochastic process which obeys a stochastic differential equation. We find noise delayed extinction of one of two species, which is akin to the noise-enhanced stability phenomenon. Other two noise-induced effects found are temporal oscillations and spatial patterns of the two competing species. In…
Spatio-temporal patterns in population dynamics
2002
Abstract The transient dynamics of interacting biological species extracted from two ecosystems is investigated. We model the environment interaction by a multiplicative noise and the temperature oscillations by a periodic forcing. We find noise-induced effects such as enhanced temporal oscillations, spatial patterns and noise delayed extinction for the model of two competing species. We extend our analysis to an ecosystem of three interacting species, namely one predator and two preys. We find spatial patterns induced by the noise.
The role of information in a two-traders market
2014
In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on \textbf{i)} the amount of information which they receive from outside; and \textbf{ii)}the quality of this information.