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1011.3685 | 2 | This paper deals with multidimensional dynamic risk measures induced by conditional g-expectations. A notion of multidimensional g-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and via... | This paper deals with multidimensional dynamic risk measures induced by conditional g-expectations. A notion of multidimensional g-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and via... | [
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1011.3736 | 1 | We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed hybrid model is positioned between existing complex full equilibrium models and pure risk-neutral models. Using an exogenously specified demand for a polluting good it gives a causal explanatio... | We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explan... | [
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1011.3975 | 1 | This paper approaches the problem of computing the price of Monthly Sum derivative in a framework of Cumulant Expansion . | Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of N caped (and probably floored) returns. It is noticed, that 1/\sqrt{N . | [
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1011.4840 | 1 | It is shown that a chaotic (deterministic) order, rather than a stochastic randomness, controls the energy minima positions of the staking interactions in the DNA sequences . The Kaplan-Yorke map and the Arabidopsis genome have been considered as relevant simple examples. The chaotic order results in a large-scale cha... | Different numerical mappings of the DNA sequences have been studied using a new cluster-scaling method and the well known spectral methods. It is shown , in particular, that the nucleotide sequences in DNA molecules have robust cluster-scaling properties. These properties are relevant to both types of nucleotide pair-b... | [
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1011.4976 | 1 | There are many different mathematical setups to model the dynamics of gene regulatory networks (GRNs), most based on Boolean networks or chemical kinetics ideas. Here we present an approach to model GRNs through a class of irreversible interacting particle systems called type-dependent stochastic spin models that depar... | We describe an approach to model biochemical reaction networks at the level of promotion-inhibition circuitry through a class of stochastic spin models that depart from the usual chemical kinetics setup and includes spatial and temporal density fluctuations in a most natural way. A particular but otherwise generally ap... | [
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1011.4976 | 2 | We describe an approach to model biochemical reaction networks at the level of promotion-inhibition circuitry through a class of stochastic spin models that depart from the usual chemical kinetics setup and includes spatial and temporal density fluctuations in a most natural way. A particular but otherwise generally a... | We describe an approach to model genetic regulatory networks at the level of promotion-inhibition circuitry through a class of stochastic spin models that includes spatial and temporal density fluctuations in a natural way. The formalism can be viewed as an agent-based model formalism with agent behavior ruled by a cla... | [
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1011.5317 | 1 | We consider a multi-channel wireless network with user-level CSMA, which consists in running one instance of the CSMA algorithm per active user at each MAC interface . Specifically, each such instance attempts to access a randomly chosen radio channel after some random time and transmits a packet of the corresponding u... | We analyze the performance of CSMA in multi-channel wireless networks, accounting for the random nature of traffic . Specifically, we assess the ability of CSMA to fully utilize the radio resources and in turn to stabilize the network in a dynamic setting with flow arrivals and departures . We prove that CSMA is optima... | [
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1011.5431 | 1 | In this work we study the thermodynamic and dynamic characteristics of an enzymatic reaction at the single molecular level . We investigate how the stability of the enzyme-state stationary probability distribution, the reaction velocity, and its efficiency of energy conversion depend on the system parameters. We employ... | In this work we study , at the single molecular level, the thermodynamic and dynamic characteristics of an enzymatic reaction comprising a rate limiting step . We investigate how the stability of the enzyme-state stationary probability distribution, the reaction velocity, and its efficiency of energy conversion depend ... | [
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1011.5650 | 1 | The aim of this paper is to show how option prices in the Jump-diffusion model can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF technique is demonstrated by solving the partial integro-differential equation (PIDE) in one-dimension for the American put and the European v... | The aim of this chapter is to show how option prices in jump-diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF technique is demonstrated by solving the partial integro-differential equation (PIDE) in one-dimension for the American put and the European va... | [
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1011.5705 | 1 | This chapter derives the properties of light from the properties of processing, including its ability to be both a wave and a particle, to detect objects it doesn't touch, to choose a route after it arrives, to take all paths to a destination and to spin in any direction both ways at once . In this model, a photon is... | This chapter derives the properties of light from the properties of processing, including its ability to be both a wave and a particle, to respond to objects it doesn't physically touch, to take all paths to a destination, to choose a route after it arrives, and to spin both ways at once as it moves. Here a photon is a... | [
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1012.0249 | 1 | According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9\% quantile of the respective loss distribution, covering unexpected severe events. The 99.9\% quantile is a tail event. Supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high threshold are usual... | According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9\% quantile of the respective loss distribution, covering unexpected severe events. The 99.9\% quantile can be considered a tail event. As supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high t... | [
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1012.1412 | 1 | The paper introduces options where the holder to select certain strategies that control the payoff. These control processes are assumed to be adapted to the current flow of information. These options have potential applications for commodities and energy trading. For instance, a control process can represent the quanti... | The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder over time. The control processes are assumed to be adapted to the current flow of information. These options are orient... | [
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1012.1412 | 2 | The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder over time. The control processes are assumed to be adapted to the current flow of information. These options are orient... | The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy trading , a control process can represent the quantity that can be purchased by a fi... | [
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1012.1473 | 1 | A network observed in a particular context may appear to have "unusual" properties. To quantify this, it is appropriate to randomize the network and test the hypothesis that the network is not statistically different from expected in a motivated ensemble. However, when dealing with metabolic networks, the straightforwa... | Networks coming from protein-protein interactions, transcriptional regulation, signaling, or metabolism may appear to have "unusual" properties. To quantify this, it is appropriate to randomize the network and test the hypothesis that the network is not statistically different from expected in a motivated ensemble. How... | [
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1012.1793 | 1 | In the "positive interest" models of Flesaker and Hughston , the nominal discount bond system is determined by the specification of a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for the martingale family, parameterised by a function th... | In the "positive interest" models of Flesaker-Hughston , the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for the martingale family, parameterised by a function that determines the behavio... | [
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1012.2504 | 1 | To date , there is little structural data available on the AGAAAAGA palindrome in the hydrophobic region (113-120) of prion proteins , although many experimental studies have shown that this region has amyloid fibril forming properties . This region belongs to the N-terminal unstructured region (1-123) of prions, the ... | X-ray crystallography is a powerful tool to determine the protein 3D structure. However, it is time-consuming and expensive, and not all proteins can be successfully crystallized, particularly for membrane proteins. Although nuclear magnetic resonance (NMR) spectroscopy is indeed a very powerful tool in determining the... | [
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1012.3102 | 1 | This paper consists of two parts. In the first part , by building on the work of Jouini and Kallal in 26%DIFDELCMD < ]%%% , Sch\"urger in 37%DIFDELCMD < ]%%% , Frittelli in 15%DIFDELCMD < ]%%% , Pham and Touzi in 34%DIFDELCMD < ] %%% and Napp in 33%DIFDELCMD < ]%%% , we prove the Fundamental Theorem of Asset Pricing un... | This paper consists of two parts. In the first part %DIFDELCMD < ]%%% %DIFDELCMD < ]%%% %DIFDELCMD < ]%%% %DIFDELCMD < ] %%% %DIFDELCMD < ]%%% we prove the Fundamental Theorem of Asset Pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative locally bounded... | [
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1012.3102 | 2 | This paper consists of two parts. In the first part we prove the Fundamental Theorem of Asset Pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative locally bounded semimartingales. A key step in this proof is an extension of a well known result of Ansel... | This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative , locally bounded semimartingales. A key step in this proof is an extension of a well-known result of Anse... | [
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1012.3234 | 1 | This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the CDS p... | This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the CDS p... | [
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1012.3234 | 2 | This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the CDS p... | This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The ... | [
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1012.3287 | 1 | Spin models of neural networks and genetic networks are considered elegant as they are accessible to statistical mechanics tools for spin glasses and magnetic systems. However, the conventional choice of variables in spin systems may cause problems in some models when parameter choices are unrealistic from the biologic... | Spin models of neural networks and genetic networks are considered elegant as they are accessible to statistical mechanics tools for spin glasses and magnetic systems. However, the conventional choice of variables in spin systems may cause problems in some models when parameter choices are unrealistic from a biological... | [
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1012.3308 | 1 | We study the role of quantum fluctuations of atomic nuclei in thermally activated, out-of-equilibrium processes . To this goal we introduce an extension of the Dominant Reaction Pathways (DRP) formalism, in which the quantum corrections to the classical Langevin dynamics are rigorously taken into account to order hbar... | We study the role of quantum fluctuations of atomic nuclei in the real-time dynamics of non-equilibrium macro-molecular transitions . To this goal we introduce an extension of the Dominant Reaction Pathways (DRP) formalism, in which the quantum corrections to the classical overdamped Langevin dynamics are rigorously ta... | [
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1012.3308 | 2 | We study the role of quantum fluctuations of atomic nuclei in the real-time dynamics of non-equilibrium macro-molecular transitions. To this goal we introduce an extension of the Dominant Reaction Pathways (DRP) formalism, in which the quantum corrections to the classical overdamped Langevin dynamics are rigorously tak... | We study the role of quantum fluctuations of atomic nuclei in the real-time dynamics of non-equilibrium macro-molecular transitions. To this goal we introduce an extension of the Dominant Reaction Pathways (DRP) formalism, in which the quantum corrections to the classical overdamped Langevin dynamics are rigorously tak... | [
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1012.5306 | 1 | Evolutionary algorithms are parallel computing algorithms and simulated annealing algorithm is a sequential computing algorithm. This paper inserts simulated annealing into evolutionary computations and successful developed a hybrid Self-Adaptive Evolutionary Strategy \mu+\lambda method and a hybrid Self-Adaptive Class... | X-ray crystallography and nuclear magnetic resonance (NMR) spectroscopy are two powerful tools to determine the protein 3D structure. However, not all proteins can be successfully crystallized, particularly for membrane proteins. Although NMR spectroscopy is indeed very powerful in determining the 3D structures of memb... | [
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1012.5327 | 1 | We present a novel modulation level classification (MLC) method based on probability distribution distance functions. The proposed method uses modified Kuiper and Kolmogorov- Smirnov (KS) distances to achieve low computational complexity and outperforms the state of the art methods based on cumulants and goodness-of-fi... | We present a novel modulation level classification (MLC) method based on probability distribution distance functions. The proposed method uses modified Kuiper and Kolmogorov-Smirnov distances to achieve low computational complexity and outperforms the state of the art methods based on cumulants and goodness-of-fit test... | [
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1101.0073 | 1 | Molecular biology explains function of molecules by their geometric and electronic structures which are mainly determined by utilization of quantum effects in chemistry. However, further quantum effects are not thought to play any significant role in the essential processes of life. On the contrary, consideration of qu... | Molecular biology explains function of molecules by their geometrical and electronical structures that are mainly determined by utilization of quantum effects in chemistry. However, further quantum effects are not thought to play any significant role in the essential processes of life. On the contrary, consideration of... | [
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1101.0761 | 1 | This paper provides a proof of the Global Attractor Conjecture in the setting where the underlying reaction diagram consists of a single linkage class . The method of partitioning a set of vectors along a sequence is introduced and acts as one of the main analytical tools . | This paper is concerned with the dynamical properties of deterministically modeled chemical reaction systems. Specifically, this paper provides a proof of the Global Attractor Conjecture in the setting where the underlying reaction diagram consists of a single linkage class , or connected component. The conjecture date... | [
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1101.0945 | 1 | Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. The abstract turnpike, valid in a general semimartingale setting, states that final payoffs and portfolios converge under t... | Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and portfolios converge under ... | [
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1101.1058 | 1 | Actomyosin contractility is essential for biological force generation, and is well understood in highly ordered structures such as striated muscle. In vitro experiments have shown that non-sarcomeric bundles comprised only of F-actin and myosin thick filaments can also display contractile behavior , which cannot be des... | Actomyosin contractility is essential for biological force generation, and is well understood in URLanized structures such as striated muscle. Additionally, actomyosin bundles devoid of URLanization are known to contract both in vivo and in vitro , which cannot be described by standard muscle models. To narrow down the... | [
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1101.1180 | 1 | We develop a model to describe the force generated by an array of well- separated parallel biofilaments, such as actin filaments . The filaments are assumed to only be coupled through mechanical contact with a movable barrier. We calculate the filament density distribution and the force-velocity relation with a mean-f... | We develop a model to describe the force generated by the polymerization of an array of parallel biofilaments . The filaments are assumed to be coupled only through mechanical contact with a movable barrier. We calculate the filament density distribution and the force-velocity relation with a mean-field approach combin... | [
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1101.1273 | 1 | Genetic interactions have been widely used to define functional relationships between proteins and pathways. In this study, we demonstrate that yeast synthetic lethal genetic interactions can be explained by the genetic interactions between domains of those proteins. The domain genetic interactions rarely overlap with ... | Genetic interactions have been widely used to define functional relationships between proteins and pathways. In this study, we demonstrated that yeast synthetic lethal genetic interactions can be explained by the genetic interactions between domains of those proteins. The domain genetic interactions rarely overlap with... | [
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1101.1707 | 1 | Countries differ in the diversification of their exports and products differ in the number of countries that export them -their ubiquity.We document a new stylized fact in the global pattern of exports: a relationship between the diversification of a country 's exports and the ubiquity of its products. We argue that th... | Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connecting countries to the products that they export.We characterize this network using four structural features: the negative r... | [
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1101.1893 | 1 | Random Boolean networks (RBNs) have been a popular model of genetic regulatory networks for more than four decades. However, most RBN studies have been made with regular topologies, while real regulatory networks have been found to be modular. In this work, we extend classical RBNs to define modular RBNs. Statistical e... | Random Boolean networks (RBNs) have been a popular model of genetic regulatory networks for more than four decades. However, most RBN studies have been made with random topologies, while real regulatory networks have been found to be modular. In this work, we extend classical RBNs to define modular RBNs. Statistical ex... | [
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1101.3493 | 1 | Due to the vast space of possible networks and the relatively small amount of data available, inferring genetic networks from gene expression data is one of the most challenging work in the post-genomic era . In this field, Gaussian Graphical Model (GGM) provides a convenient framework for the discovery of biological ... | Inferring genetic networks from gene expression data is one of the most challenging work in the post-genomic era , partly due to the vast space of possible networks and the relatively small amount of data available . In this field, Gaussian Graphical Model (GGM) provides a convenient framework for the discovery of biol... | [
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1101.3572 | 1 | We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility function for which the observ... | We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility function for which the observ... | [
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1101.3617 | 1 | We propose a very simple (almost linear) stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of income and wealth. Another area of inquiry is the for... | We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of income and wealth. Another area of inquiry is the formation of opinion in a socie... | [
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1101.4211 | 1 | This paper focuses on designing and analyzing throughput-optimal scheduling policies that avoid the use of per-flow information, maintain one single data queue for each link, exploit only local information, and potentially improve the delay performance, for multi-hop wireless networks under general interference constr... | This paper focuses on designing throughput-optimal scheduling policies that avoid using per-flow or per-destination information, maintain a single data queue for each link, exploit only local information, for multi-hop wireless networks under general interference constraints. Although the celebrated back-pressure algor... | [
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1101.4211 | 2 | This paperfocuses on designing throughput-optimal scheduling policies that avoid using per-flow or per-destination information, maintain a single data queue for each link, exploit only local information, for multi-hop wireless networks under general interference constraints . Although the celebrated back-pressure algo... | In this paper, we consider the problem of link scheduling in multi-hop wireless networks under general interference constraints. Our goal is to design scheduling schemes that do not use per-flow or per-destination information, maintain a single data queue for each link, and exploit only local information, while guarant... | [
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1101.4523 | 1 | In multi-class communication networks, traffic surges due to one class of users can significantly degrade the performance for other classes. During these transient periods, it is thus of crucial importance to implement priority mechanisms that conserve the quality of service experienced by the affected classes, while e... | In multi-class communication networks, traffic surges due to one class of users can significantly degrade the performance for other classes. During these transient periods, it is thus of crucial importance to implement priority mechanisms that conserve the quality of service experienced by the affected classes, while e... | [
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1101.4529 | 1 | Understanding design principles of biomolecular recognition is a key question of molecular biology. Yet the enormous complexity and diversity of biological molecules hamper the efforts to gain a predictive ability for the free energy of protein-protein, protein-DNA, and protein-RNA binding. Here we predict that for a ... | Understanding design principles of biomolecular recognition is a key question of molecular biology. Yet the enormous complexity and diversity of biological molecules hamper the efforts to gain a predictive ability for the free energy of protein-protein, protein-DNA, and protein-RNA binding. Here , using a variant of th... | [
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1101.4548 | 1 | It is argued that the simple trading strategy of leveraging or deleveraging an investment in the market portfolio cannot outperform the market. Such stochastic market efficiency places strong constraints on the possible stochastic properties of the market.Historical data confirm the hypothesis . | Peters (2011a) defined an optimal leverage which maximizes the time-average growth rate of an investment held at constant leverage. We test the hypothesis that this optimal leverage is attracted to 1, such that leveraging an investment in the market portfolio cannot yield long-run outperformance. Historical data suppor... | [
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1101.4548 | 2 | Peters (2011a) defined an optimal leverage which maximizes the time-average growth rate of an investment held at constant leverage. We test the hypothesis that this optimal leverage is attracted to 1, such that leveraging an investment in the market portfolio cannot yield long-run outperformance. Historical data suppo... | Peters (2011a) defined an optimal leverage which maximizes the time-average growth rate of an investment held at constant leverage. It was hypothesized that this optimal leverage is attracted to 1, such that , e.g., leveraging an investment in the market portfolio cannot yield long-term outperformance. This places a st... | [
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1101.5799 | 1 | Multistability in biological systems is seen as a mechanism of cellular decision making. Biological systems are known in which several different kinases phosphorylate a single substrate and others where a single kinase phosphorylate several different substrates. Furthermore, phosphorylation in more than one site can be... | Multistationarity in biological systems is a mechanism of cellular decision making. In particular, signaling pathways regulated by protein phosphorylation display features that facilitate a variety of responses to different biological inputs. The features that lead to multistationarity are of particular interest to det... | [
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1101.5814 | 1 | We propose and study a duplication-innovation-loss model of genome evolution taking into account biological roles of constituent genes . In our model numbers of genes in different functional categories are coupled to each other. For example, an increase in the number of metabolic enzymes in a genome is usually accompan... | We propose and study a duplication-innovation-loss model of genome evolution taking into account biological roles of genes and their constituent domains . In our model numbers of genes in different functional categories are coupled to each other. For example, an increase in the number of metabolic enzymes in a genome i... | [
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1101.5814 | 2 | We propose and study a duplication-innovation-loss model of genome evolution taking into account biological roles of genes and their constituent domains. In our model numbers of genes in different functional categories are coupled to each other. For example, an increase in the number of metabolic enzymes in a genome is... | We propose and study a class-expansion/innovation/loss model of genome evolution taking into account biological roles of genes and their constituent domains. In our model numbers of genes in different functional categories are coupled to each other. For example, an increase in the number of metabolic enzymes in a genom... | [
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1101.5849 | 1 | The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization as well as the associated CVA. We h... | The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the associated counter party c... | [
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1102.0346 | 1 | We consider a utility-maximization problem in a general semimartingale financial market , subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose values do not necessarily contain the origin, i.e., no risky investment at al... | We consider a utility-maximization problem in a general semimartingale financial model , subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose values do not necessarily contain the origin, i.e., it may be inadmissible for ... | [
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1102.1186 | 1 | We consider an optimal consumption - investment problem for financial markets of Black-Scholes 's type with the random coefficients . The existence and uniqueness theorem for the Hamilton-Jacobi-Bellman (HJB) equation is shown. We construct an iterative sequence of functions converging to the solutionof this equation. ... | We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA utility functions. The dynamical programming approach leads to an investigation of t... | [
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1102.2285 | 1 | When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In this paper, we study an approximation for the smallest hedging price of such an European option. Our results show that a... | When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In this paper, we study an approximation for the smallest hedging price of such an European option. Our results show that a... | [
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1102.2922 | 1 | A chemical reaction network is a chemical system involving multiple reactions and chemical species. The simplest stochastic models of such networks treat the system as a continuous time Markov chain with the state being the number of molecules of each species and with reactions modeled as possible transitions of the ch... | A chemical reaction network is a chemical system involving multiple reactions and chemical species. The simplest stochastic models of such networks treat the system as a continuous time Markov chain with the state being the number of molecules of each species and with reactions modeled as possible transitions of the ch... | [
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1102.2922 | 3 | The simplest, and most common, stochastic model for population processes, including those from biochemistry and cell biology, are continuous time Markov chains. Simulation of such models is often relatively straightforward as there are easily implementable methods for the generation of exact sample paths. However, when... | The simplest, and most common, stochastic model for population processes, including those from biochemistry and cell biology, are continuous time Markov chains. Simulation of such models is often relatively straightforward as there are easily implementable methods for the generation of exact sample paths. However, when... | [
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1102.2956 | 1 | Cells use genetic switches to shift between alternate gene expression states, e.g., to adapt to new environments or to follow a preprogrammed developmental pathway. Here, we investigate the dynamics of switching between metastable states of a feedback based on/off switch , by employing the WKB theory to treat the under... | Cells use genetic switches to shift between alternate gene expression states, e.g., to adapt to new environments or to follow a developmental pathway. Here, we study the dynamics of switching in a generic-feedback on/off switch . Unlike protein-only models, we explicitly account for stochastic fluctuations of mRNA, whi... | [
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1102.3218 | 1 | This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of the value of continuation onto a certain set of basis functions via the least squares problem. We analyze the stability of... | Consider Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of the value of continuation onto a certain set of basis functions via the least squares problem. We analyze the stability of the algori... | [
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1102.3232 | 1 | Wireless sensor networks (WSNs) became one of the high-technology domains during the last years. Real-time applications for them make it necessary to provide the guaranteed Quality of Service (QoS). The main contributions of the paper are a service framework and a guaranteed QoS model that are suitable for the WSNs wi... | Wireless sensor networks (WSNs) became one of the high technology domains during the last ten years. Real-time applications for them make it necessary to provide the guaranteed Quality of Service (QoS). The main contributions of this paper are a system skeleton and a guaranteed QoS model that are suitable for the WSNs ... | [
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1102.3313 | 1 | A new dynamical model is presented for chiral change in DNA molecules. The model is an extension of the conventional elastic model which incorporates the structure of base pairs and uses a spinor representation for the DNA configuration together with a gauge principle. Motivated by a recent experiment reporting chiral ... | A dynamical model is presented for chiral change in DNA molecules. The model is an extension of the conventional elastic model which incorporates the structure of base pairs and uses a spinor representation for the DNA configuration together with a gauge principle. Motivated by a recent experiment reporting chiral tran... | [
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1102.3534 | 1 | This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility . This measure allows comparing different products and models (pricing hypothesis) under a homogeneous framework and conclude which one is the best. The model risk ... | This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven . This measure allows comparing products valued with different models (pricing hypothesis) under a homogeneous framework which allows concludin... | [
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1102.3739 | 1 | Understanding design principles of molecular interaction networks is an important goal of molecular systems biology. Some insights have been gained into features of their network topology through the discovery of graph theoretic motifs that constrain network dynamics. This paper contributes to the identification of mot... | Understanding design principles of molecular interaction networks is an important goal of molecular systems biology. Some insights have been gained into features of their network topology through the discovery of graph theoretic patterns that constrain network dynamics. This paper contributes to the identification of p... | [
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1102.3900 | 1 | We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlation are not identical zero. The existence of c... | We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random Matrix Theory we demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence o... | [
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1102.3900 | 2 | We consider a structural model for the estimation of credit risk based on Merton's original model . By using Random Matrix Theory we demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence ... | We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory . We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the corr... | [
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1102.3928 | 1 | The risk minimizing problem E[l((H-X_T^{x,\pi})^{+})]\pi{\longrightarrow}\min in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk function and the cost reduction function for the option H depending on multiple underlying are derived. The case of a linear and a strictly con... | The risk minimizing problem E[l((H-X_T^{x,\pi})^{+})]\pi{\longrightarrow}\min in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x)=x ... | [
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1102.4055 | 1 | In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero which length exceeds a certain fixed period r. The formula involves only the scale function of the spectrally negativ... | In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero , with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally n... | [
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1102.5078 | 1 | This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is the well posedness of the optimization problem . We find examples in which this problem is well posed. Numerical experiments provide the effic... | This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization problem is reduced to a we... | [
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1102.5314 | 1 | We consider the problem of jointly optimizing channel pairing, channel-user assignment, and power allocation in a single-relay cooperative system with multiple channels and multiple users , under several common relaying strategies . Both weighted sum-rate and max-min rate are consideredas the optimization objective , ... | We consider the problem of jointly optimizing channel pairing, channel-user assignment, and power allocation , to maximize the weighted sum-rate, in a single-relay cooperative system with multiple channels and multiple users . Common relaying strategies are considered , and transmission power constraints are imposed on... | [
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1102.5457 | 1 | We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that ... | We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that ... | [
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1103.0463 | 1 | The performance of many common Internet applications can benefit from out-of-order delivery, a feature all IETF transportssince TCPhave included. Yet latency-sensitive applications still frequently build on in-order TCP despite its performance drawbacks, for reasons such as network compatibility and TCP's cultural iner... | Internet applications increasingly employ TCP not as a stream abstraction, but as a substrate for application-level transports, a use that converts TCP's in-order semantics from a convenience blessing to a performance curse. As Internet evolution makes TCP's use as a substrate likely to grow, we offer Minion, an archit... | [
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1103.0717 | 1 | The social role of any company is to get the maximum profitability with the less risk. Due to Basel III, banks should now raise their minimum capital levels on an individual basis, with the aim of lowering the probability for a large crash to occur. Such implementation assumes that with higher minimum capital levels it... | We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking regulation, the so called Merton-Vasicek model. Economic agents are attracted to each ot... | [
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1103.1165 | 1 | We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in the sense that the volatility is a progressively measurable function of the stock . For this case we show that the super-r... | We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial s... | [
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1103.1243 | 1 | The international trade network (ITN) has received renewed multidisciplinary interest due to recent advances in network theory. However, it is still unclear whether a network approach conveys additional, nontrivial information with respect to traditional international-economics analyses that describe world trade only i... | The international trade network (ITN) has received renewed multidisciplinary interest due to recent advances in network theory. However, it is still unclear whether a network approach conveys additional, nontrivial information with respect to traditional international-economics analyses that describe world trade only i... | [
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1103.1243 | 2 | The international trade network (ITN) has received renewed multidisciplinary interest due to recent advances in network theory. However, it is still unclear whether a network approach conveys additional, nontrivial information with respect to traditional international-economics analyses that describe world trade only i... | The international trade network (ITN) has received renewed multidisciplinary interest due to recent advances in network theory. However, it is still unclear whether a network approach conveys additional, nontrivial information with respect to traditional international-economics analyses that describe world trade only i... | [
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1103.1249 | 1 | In this sequel to a companion paper ] , we complement our analysis of the binary projections of the International Trade Network (ITN) by considering its weighted representations. We show that, unlike the binary case, all possible weighted representations of the ITN (directed/undirected, aggregated/disaggregated) canno... | In this sequel to a companion paper (see arXiv:1103.1243 physics.soc-ph]) , we complement our analysis of the binary projections of the International Trade Network (ITN) by considering its weighted representations. We show that, unlike the binary case, all possible weighted representations of the ITN (directed/undirect... | [
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1103.1249 | 2 | In this sequel to a companion paper (see arXiv:1103.1243 physics.soc-ph%DIFDELCMD < ]%%% ) , we complement our analysis of the binary projections of the International Trade Network (ITN ) by considering its weighted representations. We show that, unlike the binary case, all possible weighted representations of the ITN ... | %DIFDELCMD < ]%%% Based on the misleading expectation that weighted network properties always offer a more complete description than purely topological ones, current economic models of the International Trade Network (ITN) generally aim at explaining local weighted properties, not local binary ones. Here we complement... | [
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1103.1402 | 1 | Robust advances in interactome analysis demand comprehensive, non-redundant , consistently annotated datasets. To enable efficient retrieval, annotation and exchange of protein-protein interaction data, proteomics community has been developing infrastructures under Proteomics Standards Initiative and IMEx consortium. H... | Robust advances in interactome analysis demand comprehensive, non-redundant and consistently annotated datasets. By non-redundant, we mean that the accounting of evidence for every interaction should be faithful: each independent experimental support is counted exactly once, no more, no less. While many interactions ar... | [
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1103.1652 | 1 | We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty that is accommodated. The probability measures entertained by the decision-maker are not assumed to be equivalent to a fix... | We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty that is accommodated. The probability measures entertained by the decision-maker are not assumed to be equivalent to a fix... | [
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1103.1652 | 2 | We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty that is accommodated. The probability measures entertained by the decision-maker are not assumed to be equivalent to a fix... | This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time modeling because it cannot be d... | [
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1103.1755 | 1 | We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally chooses the probability distribu... | We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We develop a new approach, based on a reformulation of the problem where one optimally c... | [
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1103.2273 | 1 | Materials in biology span all the scales from Angstroms to meters and typically consist of complex hierarchical assemblies of simple building blocks. Here we review an application of category theory to describe structural and resulting functional properties of biological protein materials by developing so-called ologs.... | Materials in biology span all the scales from Angstroms to meters and typically consist of complex hierarchical assemblies of simple building blocks. Here we describe an application of category theory to describe structural and resulting functional properties of biological protein materials by developing so-called olog... | [
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1103.2310 | 1 | We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in increasing convex order. The result has immediate applications to the pricing of options on realized variance. For a clas... | We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally independent increments and symmetric jump measure, then its discrete realized variance... | [
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1103.3294 | 1 | We report calculations of position- and size-dependent opening probabilities for bubbles in double-stranded DNA . Our results are obtained from transfer-matrix solutions of (i) the Zimm-Bragg model for unconstrained DNA and of (ii) a self-consistent linearization of the Benham model for DNA under a superhelical constr... | We present a general framework to study the thermodynamic denaturation of double-stranded DNA under superhelical stress. We report calculations of position- and size-dependent opening probabilities for bubbles along the sequence . Our results are obtained from transfer-matrix solutions of the Zimm-Bragg model for uncon... | [
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1103.3639 | 1 | We perform wavelet decomposition of high frequency financial time series into high and low-energy spectral sectors . Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out , very unsuspectedly, that the high-energy component and a fraction of the low-energy contribution, defined by most... | We perform wavelet decomposition of high frequency financial time series into large and small time scale components . Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (\simeq 99.6 \%) of the wavelet coefficients can be neglected for t... | [
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1103.4490 | 1 | Regulatory dynamics has mathematical descriptions in terms of rate equations for continuous variables and, after discretization of state space and time , as Boolean maps. Here we study the effects of discretization for the notion of stability. In particular, we define the stability of a Boolean state sequence in consis... | Regulatory dynamics in systems biology is often described by continuous rate equations for continuously varying chemical concentrations. Binary discretization of state space and time leads to Boolean dynamics. In the latter, the distinction between stable and unstable dynamics is usually made by checking damage after f... | [
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1103.4490 | 2 | Regulatory dynamics in systems biology is often described by continuous rate equations for continuously varying chemical concentrations. Binary discretization of state space and time leads to Boolean dynamics. In the latter, the distinction between stable and unstable dynamics is usually made by checking damage after f... | Regulatory dynamics in biology is often described by continuous rate equations for continuously varying chemical concentrations. Binary discretization of state space and time leads to Boolean dynamics. In the latter, the dynamics has been called unstable if flip perturbations lead to damage spreading . Here we find tha... | [
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1103.5458 | 1 | Single-nucleotide-resolution chemical mapping is a classic approach to characterizing structured RNA molecules that is being advanced by new chemistries, faster readouts, and coupling to computational algorithms. Recent tests have suggested that 2'-OH acylation data (SHAPE) can give near-zero error rates (0-4\%) in mod... | Single-nucleotide-resolution chemical mapping for structured RNA is being rapidly advanced by new chemistries, faster readouts, and coupling to computational algorithms. Recent tests have suggested that 2'-OH acylation data (SHAPE) can give near-zero error rates (0-4\%) in modeling RNA secondary structure. Here, we ben... | [
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1103.5796 | 1 | Unlike their model membrane counterparts, biological membranes are richly decorated with a heterogeneous assembly of membrane proteins. These proteins are so tightly packed that their excluded area interactions can alter the free energy landscape associated with their conformational degrees of freedom . As a specific c... | Unlike their model membrane counterparts, biological membranes are richly decorated with a heterogeneous assembly of membrane proteins. These proteins are so tightly packed that their excluded area interactions can alter the free energy landscape controlling the conformational transitions suffered by such proteins. For... | [
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1104.0322 | 1 | In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, which is similar to a phase transition in condensed matter physics. More precisely, certain expectation values have discontinuous de... | We consider an interest rate model with log-normally distributed rates in the terminal measure in discrete time. Such models are used in financial practice as parametric versions of the Markov functional model, or as approximations to the log-normal Libor market model. We show that the model has two distinct regimes, a... | [
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1104.0359 | 1 | We study an asymptotic behaviour of the difference between value-at-risks VaR(L) and VaR(L+S) for heavy-tailed random variables L and S as an application to sensitivity analysis of quantitative operational risk management in the framework of an advanced measurement approach (AMA) of Basel II. We have different types ... | We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of quantitative operational risk management in the framework of an advanced measurement approach (AMA) of Basel II. Here the variable... | [
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1104.1028 | 1 | Shear stress is an important physical factor that regulates proliferation, migration and morphogenesis. In regenerative medicine, one approach to generate 3D tissues has been to seed a porous scaffold with cells and growth factors under pulsatile flow conditions. However, the resulting bioreactors frequently lack infor... | Shear stress is an important physical factor that regulates proliferation, migration and morphogenesis. In particular, the homeostasis of blood vessels is dependent on shear stress. To mimic this process ex vivo, efforts have been made to seed scaffolds with vascular and other cell types in the presence of growth facto... | [
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1104.1421 | 1 | The mechanical properties of gram-negative bacteria are governed by a rigid peptidoglycan (PG) cell wall and the turgor pressure generated by the large concentration of solutes in the cytoplasm. The elasticity of the PG has been measured in bulk and in isolated sacculi and shown to be compliant compared to the overall ... | We study intact and bulging Escherichia coli cells using atomic force microscopy to separate the contributions of the cell wall and turgor pressure to the overall cell stiffness. We find strong evidence of power-law stress-stiffening in the E. coli cell wall, with an exponent of 1.22 \pm 0.12 , such that the wall is si... | [
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1104.1773 | 1 | We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical and atypical default profiles in the limit as the size of the pool grows. In our model, a name defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk proc... | We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk process common to... | [
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1104.2499 | 1 | This work presents a methodology for studying active Brownian dynamics on ratchet potentials using interoperating OpenCL and OpenGL frameworks. Programing details along with optimization issues are discussed, followed by a comparison of performance on different devices. Time of visualization using OpenGL sharing buffer... | This work presents a methodology for studying active Brownian dynamics on ratchet potentials using interoperating OpenCL and OpenGL frameworks. Programing details along with optimization issues are discussed, followed by a com- parison of performance on different devices. Time of visualization using OpenGL sharing buff... | [
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1104.2613 | 1 | We present the first systematic measurement of critical dynamics of a 2D liquid with conserved order parameter embedded in bulk 3D fluid, here a lipid membrane in water . We use scaling to collapse time dependent structure factors at multiple wavenumbers and find the effective dynamic exponent z_{ eff } \approx 3 near ... | Near a critical point, the time scale of thermally-induced fluctuations diverges in a manner determined by the dynamic universality class. Experiments have verified predicted 3D dynamic critical exponents in many systems, but similar experiments in 2D have been lacking for the case of conserved order parameter . Here w... | [
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1104.3559 | 1 | One popular assumption regarding biological systems is that traits have evolved to be optimized with respect to function. This is a standard goal in evolutionary computation, and while not always embraced in the biological sciences, is an underlying assumption of what happens when fitness is maximized. The implication ... | One popular assumption regarding biological systems is that traits have evolved to be optimized with respect to function. This is a standard goal in evolutionary computation, and while not always embraced in the biological sciences, is an underlying assumption of what happens when fitness is maximized. The implication ... | [
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1104.3583 | 1 | Recent work of Dupire (2005) and Carr Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedging of variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skor... | Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding p... | [
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1104.4249 | 1 | Globalization has created an international financial network of countries linked by trade in goods and assets. These linkages allow for more efficient resource allocation across borders, but also create potentially hazardous financial interdependence, such as the great financial distress caused by the 2010 threat of Gr... | The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network . In this paper we set out to analyze and characterize this network, as captured by the IMF Coordinated Portfolio Investment Survey (CPIS) , in two ways. First,... | [
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1104.4380 | 1 | The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper we introduce to this macroeconomic system the notion of extinction analysis, a technique often used in the analysis of ecosystems, for the... | The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper we introduce to this macroeconomic system the notion of extinction analysis, a technique often used in the analysis of ecosystems, for the... | [
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1104.4616 | 1 | Prion diseases {\it (e.g. Creutzfeldt-Jakob disease (CJD), variant CJD (vCJD), Gerstmann-Str\text{a}ussler-Scheinker syndrome (GSS), Fatal Familial Insomnia (FFI) and Kuru in humans, scrapie in sheep, bovine spongiform encephalopathy (BSE or `mad-cow' disease) and chronic wasting disease (CWD) in cattles)} are invariab... | Prion diseases {\it (e.g. Creutzfeldt-Jakob disease (CJD), variant CJD (vCJD), Gerstmann-Str\text{a}ussler-Scheinker syndrome (GSS), Fatal Familial Insomnia (FFI) and Kuru in humans, scrapie in sheep, bovine spongiform encephalopathy (BSE or `mad-cow' disease) and chronic wasting disease (CWD) in cattles)} are invariab... | [
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