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0705.0053
1
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain four such theorems by considering a financial market both with and without a riskless asset and by considering both constant and random consumption.
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund the...
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[ 0, 144 ]
0705.1606
1
The self-propelled motion of microscopic bodies immersed in a fluid medium is studied using molecular dynamics simulation. The advantage of the atomistic approach is that the detailed level of description allows complete freedom in specifying the swimmer design and its coupling with the surrounding fluid. A series of t...
The self-propelled motion of microscopic bodies immersed in a fluid medium is studied using molecular dynamics simulation. The advantage of the atomistic approach is that the detailed level of description allows complete freedom in specifying the swimmer design and its coupling with the surrounding fluid. A series of t...
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[ 0, 122, 306, 539 ]
0705.1949
1
We employ perturbation analysis technique to study trading strategies for multi-asset portfolio and obtain optimal trading methods for wealth maximization under arbitrary utility functions .
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Mo...
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[ 0 ]
0706.0482
1
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjec...
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjec...
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[ 0, 173, 355 ]
0706.2383
1
The utilization of multiple post translational modifications (PTMs) in regulating a biological response is ubiquitous in cell signaling. If each PTM contributes an additional, equivalent binding site, then one consequence of an increase in the number of PTMs may be to increase the probability that, upon disassociation,...
the paper is withdrawn for the moment
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0706.2383
2
the paper is withdrawn for the moment
The utilization of multiple phosphorylation sites in regulating a biological response is ubiquitous in cell signaling. If each site contributes an additional, equivalent binding site, then one consequence of an increase in the number of phosphorylations may be to increase the probability that, upon disassociation, a li...
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[ 0 ]
0706.2383
3
The utilization of multiple phosphorylation sites in regulating a biological response is ubiquitous in cell signaling. If each site contributes an additional, equivalent binding site, then one consequence of an increase in the number of phosphorylations may be to increase the probability that, upon disassociation, a li...
The utilization of multiple phosphorylation sites in regulating a biological response is ubiquitous in cell signaling. If each site contributes an additional, equivalent binding site, then one consequence of an increase in the number of phosphorylations may be to increase the probability that, upon disassociation, a li...
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0707.0026
1
A probabilistic structure on sequential dynamical systems is introduced here, the new model will be called Probabilistic Sequential Network, PSN. The morphisms of Probabilistic Sequential Networks are defined using two algebraic conditions , whose imply that the distribution of probabilities in the systems are close . ...
A probabilistic structure on sequential dynamical systems is introduced here, the new model will be called Probabilistic Sequential Network, PSN. The morphisms of Probabilistic Sequential Networks are defined using two algebraic conditions . It is proved here that two homomorphic Probabilistic Sequential Networks have ...
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0707.2076
1
We propose a biologically motivated quantity, twinness, to evaluate local similarity between nodes in a network. The twinness of a pair of nodes is the number of connected, labelled subgraphs of size n in which the two nodes possess identical neighbours. The graph animal algorithm is used to estimate twinness for each ...
We propose a biologically motivated quantity, twinness, to evaluate local similarity between nodes in a network. The twinness of a pair of nodes is the number of connected, labeled subgraphs of size n in which the two nodes possess identical neighbours. The graph animal algorithm is used to estimate twinness for each p...
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0707.3621
1
We calculate analytically the critical connectivity K_c of Random Threshold Networks (RTN) for homogeneous and inhomogeneous thresholds, and confirm the results by numerical simulations. We find a super-linear increase of K_c with the (average) absolute threshold |h|, which approaches K_c(|h|) \sim |h|^{\alpha with \al...
We calculate analytically the critical connectivity K_c of Random Threshold Networks (RTN) for homogeneous and inhomogeneous thresholds, and confirm the results by numerical simulations. We find a super-linear increase of K_c with the (average) absolute threshold |h|, which approaches K_c(|h|) \sim with \alpha \approx ...
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0708.0046
1
The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 years. However, efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been plagued by technical difficulties stemming from the instability of the original...
We consider the problem of portfolio selection within the classical Markowitz mean-variance optimizing framework , which has served as the basis for modern portfolio theory for more than 50 years. To stabilize the problem, we propose to add to the Markowitz objective function a penalty which is proportional to the sum ...
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0708.0046
2
We consider the problem of portfolio selection within the classical Markowitz mean-variance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. To stabilize the problem, we propose to add to the Markowitz objective function a penalty which is proportional to the sum o...
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights . This penalty regularizes ...
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0708.0370
1
Biochemical reaction systems with a low to moderate number of molecules are typically modeled as discrete jump Markov processes. These systems are oftentimes simulated using the Gillespie Algorithm or the Next Reaction Method , which are exact simulation methods . In this paper we make explicit use of the fact that the...
Chemical reaction systems with a low to moderate number of molecules are typically modeled as discrete jump Markov processes. These systems are oftentimes simulated with methods that produce statistically exact sample paths such as the Gillespie Algorithm or the Next Reaction Method . In this paper we make explicit use...
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0708.0377
1
By explicitly representing well-stirred chemical reaction systems with independent, unit Poisson processes we develop a new adaptive tau-leaping procedure. The procedure developed is novel in that we enforce any leap condition via a post-leap check as opposed to performing a pre-leap tau selection. Further, we perform...
By explicitly representing the reaction times of discrete chemical systems as the firing times of independent, unit rate Poisson processes we develop a new adaptive tau-leaping procedure. The procedure developed is novel in that accuracy is guaranteed by performing post-leap checks. Because the representation we use se...
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0708.0377
2
By explicitly representing the reaction times of discrete chemical systems as the firing times of independent, unit rate Poisson processes we develop a new adaptive tau-leaping procedure. The procedure developed is novel in that accuracy is guaranteed by performing post-leap checks. Because the representation we use s...
By explicitly representing the reaction times of discrete chemical systems as the firing times of independent, unit rate Poisson processes , we develop a new adaptive tau-leaping procedure. The procedure developed is novel in that accuracy is guaranteed by performing postleap checks. Because the representation we use s...
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0708.0544
1
Continuous time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to opt...
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to opt...
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0708.0703
1
Neurons in brains are subject to various kinds of noises. Beside of the synaptic noise, the stochastic opening and closing of ion channels represents an intrinsic source of noise that affects the signal processing properties of the neuron. Here we investigated the response of a stochastic Hodgkin-Huxley neuron model to...
Neurons are subject to various kinds of noise. In addition to synaptic noise, the stochastic opening and closing of ion channels represents an intrinsic source of noise that affects the signal processing properties of the neuron. In this paper, we studied the response of a stochastic Hodgkin-Huxley neuron to transient ...
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0708.2244
1
Random Threshold Networks (RTN) are widely used in modeling biological systems, such as neural and gene regulatory networks. RTNs with binary elements and random topology have been found to display a phase transition to an ordered phase at low connectivities Physica A 310, 245 (2002)%DIFDELCMD < ]%%% . Here we show tha...
%DIFDELCMD < ]%%% %DIFDELCMD < ]%%% This paper has been withdrawn .
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0708.2707
1
Cooperation plays a key role in the evolution of complex systems. However, the level of cooperation extensively varies with the topology of agent networks in the widely used models of repeated games. Here we show that cooperation remains rather stable by applying long-term learning + innovative strategy adoption rules ...
Cooperation plays a key role in the evolution of complex systems. However, the level of cooperation extensively varies with the topology of agent networks in the widely used models of repeated games. Here we show that cooperation remains rather stable by applying the reinforcement learning strategy adoption rule, Q-lea...
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0708.2953
1
The numbers of each sort of molecule present in an equilibrium chemical reaction mixture are Poisson distributed . We ask when the same is true of the steady state of a nonequilibrium reaction network and obtain a nearly complete answer. In particular, we show that networks with certain topological features must have a...
In an equilibrium chemical reaction mixture , the number of molecules present obeys a Poisson distribution . We ask when the same is true of the steady state of a nonequilibrium reaction network and obtain an essentially complete answer. In particular, we show that networks with certain topological features must have a...
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0709.0561
1
Using our recent contribution, the " partitioned leaping algorithm" [L. A. Harris and P. Clancy, J. Chem. Phys. 125, 144107 (2006)], we investigate the effects of stochasticity in two model biochemical reaction networks. By considering situations both where "leaping" proves beneficial and where it does not, we gain v...
" Leaping" methods show great promise for significantly accelerating stochastic simulations of complex biochemical reaction networks. However, few practical applications of leaping have appeared in the literature to date. Here, we address this issue using the " partitioned leaping algorithm" (PLA) [L. A. Harris and P....
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0709.0561
2
"Leaping" methods show great promise for significantly accelerating stochastic simulations of complex biochemical reaction networks. However, few practical applications of leaping have appeared in the literature to date. Here, we address this issue using the "partitioned leaping algorithm" (PLA) [L.A. Harris and P. Cla...
"Leaping" methods show great promise for significantly accelerating stochastic simulations of complex biochemical reaction networks. However, few practical applications of leaping have appeared in the literature to date. Here, we address this issue using the "partitioned leaping algorithm" (PLA) [L.A. Harris and P. Cla...
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0709.3291
1
The major objective of this paper is to introduce a novel method for the functional annotation of genes. Our method is based on a graph theoretical measure we call joint betweenness, which is an extension of the well known betweenness centrality measure, involving pairs of genes. We apply our method to the transcriptio...
This paper has been withdrawn .
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0709.3606
1
We find that discrete noise of inhibiting (signal) molecules can greatly delay the extinction of a regulated component in a prototypical biochemical regulatory network. We calculate analytically the probability distribution of the metastable state of the regulated component and show that deterministic reaction rate equ...
We find that discrete noise of inhibiting (signal) molecules can greatly delay the extinction of plasmids in a plasmid replication system: a prototypical biochemical regulatory network. We calculate the probability distribution of the metastable state of the plasmids and show on this example that the reaction rate equa...
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0709.3675
1
Microtubules (MTs), nano-tubes which act as struts in the scaffolding of eucaryotic cells, also serve as tracks for intracellular molecular motor transport in eucaryotic cells. In many biological processes, the length distribution of the MTs is controlled by a class of motor proteins called depolymerases (DPs). A DP di...
In many intracellular processes, the length distribution of microtubules is controlled by a class of motor proteins , called depolymerases. Experiments have shown that, following binding to the surface of a microtubule, depolymerases are transported to the microtubule tip(s) by diffusion or directed walk and, then, dep...
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0709.3675
2
In many intracellular processes, the length distribution of microtubules is controlled by a class of motor proteins, called depolymerases . Experiments have shown that, following binding to the surface of a microtubule, depolymerases are transported to the microtubule tip(s) by diffusion or directed walk and, then, de...
In many intracellular processes, the length distribution of microtubules is controlled by depolymerizing motor proteins . Experiments have shown that, following non-specific binding to the surface of a microtubule, depolymerizers are transported to the microtubule tip(s) by diffusion or directed walk and, then, depolym...
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0710.0892
1
We develop a network-based algorithm to predict and verify indirect regulatory interactions in a large-scale genetic regulatory network. Indirect regulations are important as they constitute the majority of experimental data. Our approach is based on the network topology and can be easily incorporated using a matrix fo...
We develop a matrix-based approach to predict and verify indirect interactions in gene and protein regulatory networks. It is based on the approximate transitivity of indirect regulations ( e.g. A regulates B and B regulates C often implies that A regulates C) and optimally takes into account the length of a cascade an...
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0710.3959
1
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However the use of a standard t copula is often criticized due to its restriction of having a single parameter for the degrees of freedom (dof) that may limit its capabilit...
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However , the use of a standard t copula is often criticized due to its restriction of having a single parameter for the degrees of freedom (dof) that may limit its capabili...
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0710.4127
1
Stimulated by the long term goal of identifying gene targets for corn crop improvement, we perturbed a simple plant cell system by the addition of abscisic acid, a well-characterized plant hormone, and measured the gene expression with transcriptional microarrays for 150 minutes, every 10 minutes after treatment. Param...
Motivation: Measurements of gene expression over time enable the reconstruction of transcriptional networks. However, Bayesian networks and many other current reconstruction methods rely on assumptions that conflict with the differential equations that describe transcriptional kinetics. Practical approximations of kine...
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0711.0916
1
We present a theoretical investigation of the folding of small proteins assisted by chaperones. We describe the proteins in the framework of an effective potential model which contains the Ramachandran angles as degrees of freedom {\it . The cage of chaperonins is modeled by an external confining potential which is a...
We present a theoretical study of the folding of small proteins inside confining potentials. Proteins are described in the framework of an effective potential model which contains the Ramachandran angles as degrees of freedom and does not need any{\it a priori information about the native state. Hydrogen bonds, dipole-...
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0711.2624
1
In this paper we will develop an original approach, based in the use of renewal equations, for obtaining pricing expressions for financial instruments whose underlying asset can be solely described through a simple continuous-time random walk (CTRW). This enhances the potential use of CTRW techniques in finance. We sol...
In this paper we will develop an original approach, based in the use of renewal equations, for obtaining pricing expressions for financial instruments whose underlying asset can be solely described through a simple continuous-time random walk (CTRW). This enhances the potential use of CTRW techniques in finance. We sol...
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0711.2624
2
In this paper we will develop an original approach, based in the use of renewal equations, for obtaining pricing expressions for financial instruments whose underlying asset can be solely described through a simple continuous-time random walk (CTRW) . This enhances the potential use of CTRW techniques in finance. We so...
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore i...
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0711.2799
1
Boolean networks have been the object of much attention, especially since S. Kauffman proposed them in the 1960's as models for gene regulatory networks. These systems are characterized by being defined on a Boolean state space and by simultaneous updating at discrete time steps. Of particular importance for biological...
Boolean networks have been the object of much attention, especially since S. Kauffman proposed them in the 1960's as models for gene regulatory networks. These systems are characterized by being defined on a Boolean state space and by simultaneous updating at discrete time steps. Of particular importance for biological...
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0711.3812
1
Experiments in recent years have vividly demonstrated that gene expression can Hobe highly stochastic. How protein concentration fluctuations affect the growth rate of a population of cells, is, however, a wide open question. We present a mathematical model that makes it possible to quantify the effect of protein conce...
Experiments in recent years have vividly demonstrated that gene expression can be highly stochastic. How protein concentration fluctuations affect the growth rate of a population of cells, is, however, a wide open question. We present a mathematical model that makes it possible to quantify the effect of protein concent...
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0712.2771
1
We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. With asset prices undergoing a multiplicative random process , we derive approximate analytical results for the optimal investment fractions under various constraints . We show that , when returns and volatilities of the a...
We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. For lognormally distributed asset returns , we derive approximate analytical results for the optimal investment fractions in various settings . We show that when mean returns and volatilities of the assets are small and th...
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0712.2773
1
Database replication is difficult but indispensable. We report on our experiences building and deploying middleware-based replication systems both as commercial products and research systems. We identify gaps that still separate academic research from industrial practiceand thus thwart potential technology transfer fro...
The need for high availability and performance in data management systems has been fueling a long running interest in database replication from both academia and industry. However, academic groups often attack replication problems in isolation, overlooking the need for completeness in their solutions, while commercial ...
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0712.3485
1
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and jump Poisson process. We show that the accuracy of the formula depends on the smoothness of the payoff . Our approach relies on an asymptotic expansion related to small d...
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function . Our approach relies on an asymptotic expansion related to...
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0712.4304
1
Kinesins are biomolecular motors which move on cylindrical nano-tubes called microtubules . A normal microtubule consists of more than one protofilament on which the equispaced motor binding sites form a periodic array. The collective movement of the kinesins on a microtubule is, therefore, analogous to vehicular traf...
KIF1A kinesins are single-headed motor proteins which move on cylindrical nano-tubes called microtubules (MT) . A normal MT consists of 13 protofilaments on which the equispaced motor binding sites form a periodic array. The collective movement of the kinesins on a MT is, therefore, analogous to vehicular traffic on mu...
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0801.0718
1
In \mbox{%DIFAUXCMD Gua the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness further. In particular, we show that stickiness is invariant un...
In 2 the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness further. In particular, we give examples of processes that are not semimartingales...
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0801.1480
1
In this paper, we propose a thermodynamic mechanism for the formation of transcriptional foci via the joint agglomeration of DNA-looping proteins and protein-binding domains on DNA: The competition between the gain in protein-DNA binding free energy and the entropy loss due to DNA looping is argued to result in an effe...
In this paper, we propose a thermodynamic mechanism for the formation of transcriptional foci via the joint agglomeration of DNA-looping proteins and protein-binding domains on DNA: The competition between the gain in protein-DNA binding free energy and the entropy loss due to DNA looping is argued to result in an effe...
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0801.4592
1
It is well-known that power control can affect the wireless network capacity. However, recent works show conflicting results: network capacity may increase or decrease with higher transmission power under different scenarios. In this work, we want to explore this paradoxand provide fundamental understanding on power co...
Recent works show conflicting results: network capacity may increase or decrease with higher transmission power under different scenarios. In this work, we want to understand this paradox . Specifically, we address the following questions: (1)Theoretically, should we increase or decrease transmission power to maximize ...
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0802.1288
1
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage-free under proportional transaction costs in the same spirit of Guasoni et al (2006 , 2007) . In particular, we obtain a drift conditi...
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same spirit of Guasoni Math. Finance 16 (2006 ) 569-582 . In particular, we obtain a ...
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0802.2004
1
We show that a simple model reproduces very closely the evolution of the GDP in constant dollars of many countries during the times of recession and recovery. A theoretical analysis illustrates how an optimal dynamical policy reduces both recession duration and severity, and increases the value of GDP at all times. We ...
We show that a simple model reproduces very closely the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. A theoretical analysis illustrates how an optimal dynamical policy reduces both recession duration and severity, and increas...
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0802.2004
2
We show that a simple model reproduces very closely the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. A theoretical analysis illustrates how an optimal dynamical policy reduces both recession duration and severity, and increas...
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its predictive power. Finally, ...
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0802.2004
3
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its predictive power. Finally,...
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of recession and recovery. We then argue that this equation is the response function of the economy to isolated shocks, hence...
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0802.2172
1
In that paper, we solve dynamically a partial hedging problem for an American contingent claim: assuming superhedging is not feasible, we explain in this context the notion of efficient hedging by introducing a risk minimization criterion: we consider here the problem of minimizing the conditional expected loss for a g...
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver g is convex and has quadratic growth in its second variable: this is done by introducing the extended notion of g-Snell enveloppe. Then, in a second step, we relate...
[ { "type": "D", "before": "solve dynamically a partial hedging problem for an American contingent claim: assuming superhedging is not feasible, we explain in this context the notion of efficient hedging by introducing a risk minimization criterion: we consider here the problem of minimizing the conditional e...
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0802.2512
1
Many networks exhibit the small-world property of the neighborhood connectivity being higher than in comparable random networks. However, the standard measure of local neighborhood clustering is typically not defined if a node has one or no neighbor. In such cases, local clustering has traditionally been set to zero an...
Many networks exhibit the small-world property of the neighborhood connectivity being higher than in comparable random networks. However, the standard measure of local neighborhood clustering is typically not defined if a node has one or no neighbor. In such cases, local clustering has traditionally been set to zero an...
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0802.2512
2
Many networks exhibit the small-world property of the neighborhood connectivity being higher than in comparable random networks. However, the standard measure of local neighborhood clustering is typically not defined if a node has one or no neighbor . In such cases, local clustering has traditionally been set to zero a...
Many networks exhibit the small-world property of the neighborhood connectivity being higher than in comparable random networks. However, the standard measure of local neighborhood clustering is typically not defined if a node has one or no neighbors . In such cases, local clustering has traditionally been set to zero ...
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0802.3679
1
In Black-Scholes delta-hedging method generalization, a "mirror-diffusion" inverse stochastic process is introduced with condition determined by the underlying price variance and payoff function. The process reduces an expected option value at maturity under equivalent martingale measure back to the current time. The n...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic volatility data; it maintains the constant expected value at maturity of the hedged inst...
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0802.4411
1
We present a positivity preserving numerical scheme for the pathwise solution of nonlinear stochastic differential equations driven by a multi-dimensional Wiener process and governed by non-commutative linear and non-Lipschitz vector fields. This strong order one scheme uses: (i) Strang exponential splitting, an approx...
For nonlinear stochastic differential systems, we develop strong fully implicit positivity preserving numerical methods in the case that the zero boundary is non-attracting. These methods are implicit in the diffusion vector fields. They thus apply to a restricted class, namely those with sublinear form. This however, ...
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0802.4411
2
For nonlinear stochastic differential systems, we develop strong fully implicit positivity preserving numerical methods in the case that the zero boundary is non-attracting. These methods are implicit in the diffusion vector fields. They thus apply to a restricted class, namely those with sublinear form. This however, ...
In the Heston stochastic volatility model, the transition probability of the variance process can be represented by a non-central chi-square density. We focus on the case when the number of degrees of freedom is small and the zero boundary is attracting and attainable, typical in foreign exchange markets. We prove a ne...
[ { "type": "R", "before": "For nonlinear stochastic differential systems, we develop strong fully implicit positivity preserving numerical methods in the case that the zero boundary is non-attracting. These methods are implicit in the diffusion vector fields. They thus apply to a restricted class, namely tho...
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0802.4411
3
In the Heston stochastic volatility model, the transition probability of the variance process can be represented by a non-central chi-square density. We focus on the case when the number of degrees of freedom is small and the zero boundary is attracting and attainable, typical in foreign exchange markets. We prove a ne...
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square density based on sums of powers of generalized Gaussian random variables. Second we prove Marsaglia's polar method extends to this distributio...
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0803.0483
1
Translocation of a single stranded DNA through genetically engineered \alpha-hemolysin channels with positively charged walls is studied. It is predicted that transport properties of such channels are dramatically different from the neutral wild type \alpha-hemolysin channel. We assume that the wall charges compensate ...
Translocation of a single stranded DNA through genetically engineered \alpha-hemolysin channels with positively charged walls is studied. It is predicted that transport properties of such channels are dramatically different from neutral wild type \alpha-hemolysin channel. We assume that the wall charges compensate the ...
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0803.1364
1
In the Kelly game (Kelly, 1956 ), a gambler is allowed to invest a part of the wealth in each turn. With a certain probability this investment is doubled, and otherwise it is lost. Motivated by the complexity of real investments, we propose several modifications of this game to investigate the influence of diversific...
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game Kelly ( 1956 ) that incorporates these features, and us...
[ { "type": "R", "before": "In the Kelly game (Kelly,", "after": "Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the class...
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0803.1558
1
We introduce some new quantitative measures of fluctuations in the process of synthesis of proteins from a single messenger RNA (mRNA) template. We calculate the statistical distributions of these fluctuating quantities and extract the strength of the corresponding translational noise. For these calculations{\bf we u...
Proteins are polymerized by cyclic machines called ribosome which use their messenger RNA (mRNA) track also as the corresponding template and the process is called translation. We explore, in depth and detail, the stochastic nature of the translation. We compute various distributions associated with the translation pro...
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0803.1890
1
A financial market model where agents can only trade using realistic buy-and-hold strategies is considered. Minimal assumptions are made on the nature of the asset-price process - in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for unlimited resulting wealth...
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the asset-price process - in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for unlimited resulting wealth from tr...
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0803.1890
2
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the asset-price process - in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for unlimited resulting wealth from t...
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption , namely, absence of arbitrages of ...
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0804.0682
1
We address the problem of proteasomal protein translocation . Proteasomes are important for all aspects of the cellular metabolism but the mechanism of protein transport remains unknown. We introduce a new stochastic model of the proteasomal transport. We account for the protein translocation and the topology of the po...
We address the problem of proteasomal protein translocation and introduce a new stochastic model of the proteasomal digestion (cleavage) of proteins. In this model we account for the protein translocation and the positioning of cleavage sites of a proteasome from first principles. We show by test examples and by proces...
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0804.1034
1
DNA inversion is an important mechanism by which bacteria and bacteriophage switch reversibly between alternative phenotypic states. In such switches, the orientation of a short DNA element is flipped by a site-specific recombinase enzyme. We propose a simple model for a DNA inversion switch in which recombinase produc...
DNA inversion is an important mechanism by which bacteria and bacteriophage switch reversibly between phenotypic states. In such switches, the orientation of a short DNA element is flipped by a site-specific recombinase enzyme. We propose a simple model for a DNA inversion switch in which recombinase production is depe...
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0804.1227
1
{\it Transcription} is the process whereby RNA molecules are polymerized by molecular machines, called RNA polymerase (RNAP), using the corresponding DNA as the template. Recent {\it in-vivo} experiments with single cells have established that transcription takes place in ``bursts'' or ``pulses'' . In this letter we pr...
{\it Transcription} is the process whereby RNA molecules are polymerized by molecular machines, called RNA polymerase (RNAP), using the corresponding DNA as the template. Recent {\it in-vivo} experiments with single cells have established that transcription takes place in "bursts" or "pulses" . In this letter we presen...
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0804.1720
1
Charge transport modification exhibiting an increase of conductance activated by an external green light in Bacteriorhodopsin is correlated to its conformational change. A theoretical model based on a map of the protein structure into a resistor network is implemented to account for a sequential tunneling mechanism of...
When moving from native to light activated bacteriorhodopsin, modification of charge transport consisting of an increase of conductance is correlated to the protein conformational change. A theoretical model based on a map of the protein tertiary structure into a resistor network is implemented to account for a sequent...
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0804.2912
1
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes supermartingales , when deflated by it . The numeraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtra...
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes , when deflated by it , supermartingales . The numeraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtr...
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0804.3939
1
Recent works on the emergence of homochirality introduce the concept of recycling, rather than the traditional open-flow system described by Frank. This approach has been criticized by Blackmond et al. They claimed that such systems are thermodynamically impossible, except in the cases where non-microreversible reactio...
The question of the onset of the homochirality on prebiotic Earth still remains a fundamental question in the quest for the origin of life. Recent works in this field introduce the concept of recycling, rather than the traditional open-flow system described by Frank. This approach has been criticized by Blackmond et al...
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0804.4039
1
In this work we model multicore platforms as chip multiprocessors made up from two different types cores; each type of cores has different computation capabilities. In this simple asymmetric multicore model we study the problem of executing parallel programs that are represented as DAGs or chains of tasks . We assume 2...
In this work we study the problem of scheduling tasks with dependencies in multiprocessor architectures where processors have different speeds. We present the preemptive algorithm "Save-Energy" that given a schedule of tasks it post processes it to improve the energy efficiency without any deterioration of the makespan...
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0805.0540
1
Stochastic differential equations are commonly used to describe the dynamics of diffusive systems. Since their introduction, they have also been considered natural candidates for the description of the dynamics of financial returns. In this context we analyze the problem of the analytical characterization of the still ...
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility . In this model the prices are driven by a Geometric Brownian motion, whose diffusion coefficient is expressed through an exponential func...
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0805.1293
1
Iterative Logic Arrays (ILAs) are ideal as VLSI sub-systems because of their regular structure and its close resemblance with FPGAs (Field Programmable Gate Arrays). AND-EXOR based circuits are of interest in the design of very low power circuits where energy loss implied by high frequency switching is of much conside...
Iterative Logic Arrays (ILAs) are ideal as VLSI sub-systems because of their regular structure and its close resemblance with FPGAs (Field Programmable Gate Arrays). Reversible circuits are of interest in the design of very low power circuits where energy loss implied by high frequency switching is not of much consider...
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0806.1170
1
Based on analogies with statistical physics and complexity theory, we have developed in the last decade an approach that diagnoses bubbles as transient super-exponential regimes. Here, We present an analysis of oil prices in US dollars and in other major currencies that diagnoses unsustainable faster-than-exponential b...
We present an analysis of oil prices in US and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up has been amplified by speculative behavior of the type found during a bubble-like expansion. We also attempt to unravel t...
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0806.2763
1
One approach to studying the URLanization of biochemistry is to use statistical graph theory. Even in such a heavily simplified method, which disregards most of the dynamic aspects of biochemistry, one is faced with fundamental questions, such as how the chemical reaction systems should be reduced to a graph so that as...
One approach to studying the URLanization of biochemistry is to use statistical graph theory. Even in such a heavily simplified method, which disregards most of the dynamic aspects of biochemistry, one is faced with fundamental questions, such as how the chemical reaction systems should be reduced to a graph retaining ...
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0806.4061
1
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corr...
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corr...
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0806.4125
1
This paper is a survey of recent progress in the theory of ruin for risk processes that earn investment return on invested assets .
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and numerical solutions, asymptotic results, bounds on the ruin probability and also th...
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[ 0 ]
0807.0308
1
Active centres and hot spots of proteins have a paramount importance in enzyme action, protein complex formation and drug design. Recently a number of publications successfully applied the analysis of residue networks to predict active centres in proteins. Most real-world networks show a number of properties, such as s...
Active centres and hot spots of proteins have a paramount importance in enzyme action, protein complex formation and drug design. Recently a number of publications successfully applied the analysis of residue networks to predict active centres in proteins. Most real-world networks show a number of properties, such as s...
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0807.1823
1
We address two issues that puzzled moral and socio-economic thinking since antiquity. The first of the puzzles is the emergence and selection fitness of altruist behavior in a world of self-reproducing individuals (or capital,etc.; memes in general). The second is the sustainability of growth and the survival in a stoc...
Most of real life systems have a random component: the multitude of endogenous and exogenous factors influencing them result in stochastic fluctuations of the parameters influencing their dynamics. While in the physical systems the random component is usually additive (e.g. molecules can absorb or emit spontaneously en...
[ { "type": "R", "before": "We address two issues that puzzled moral and socio-economic thinking since antiquity. The first of the puzzles is the emergence and selection fitness of altruist behavior in a world of self-reproducing individuals (or capital,etc.; memes in general). The second is the sustainabilit...
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0807.1823
2
Most of real life systems have a random component: the multitude of endogenous and exogenous factors influencing them result in stochastic fluctuations of the parameters influencing their dynamics. While in the physical systems the random component is usually additive (e.g. molecules can absorb or emit spontaneously en...
Most real life systems have a random component: the multitude of endogenous and exogenous factors influencing them result in stochastic fluctuations of the parameters determining their dynamics. These empirical systems are in many cases subject to noise of multiplicative nature . The special properties of multiplicativ...
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0808.0321
1
Constraint-based modelling of metabolic networks often gives rise to a linear programming problem. Mathematically, there always exists a dual to any linear programming problem, with dual variables known as shadow prices. Here we analyse the structure of the dual problem and the properties of the shadow prices, for typi...
%DIFDELCMD < ]%%% A metabolic model can be represented as bipartite graph comprising linked reaction and metabolite nodes. Here it is shown how a network of conserved fluxes can be assigned to the edges of such a graph by combining the reaction fluxes with a conserved metabolite property such as molecular weight. A si...
[ { "type": "D", "before": "Constraint-based modelling of metabolic networks often gives rise to a linear programming problem. Mathematically, there always exists a dual to any linear programming problem, with dual variables known as shadow prices. Here we analyse the structure of the dual problem and the pro...
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0808.1431
1
The universal scalability law (USL) of computational capacity is a rational function C_p = P(p)/Q(p) with P(p) a linear polynomial and Q(p) a second-degree polynomial in the number of physical processors p, that has long been used for statistical modeling and prediction of computer system performance. We prove that C_p...
The universal scalability law of computational capacity is a rational function C_p = P(p)/Q(p) with P(p) a linear polynomial and Q(p) a second-degree polynomial in the number of physical processors p, that has been long used for statistical modeling and prediction of computer system performance. We prove that C_p is eq...
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0808.3339
1
By analyzing ] financial time series of exceptional events such as bubbles and crashes, we confirm the existence of nonlinear potential forces in the markets. The shape of the potential function changes rather slowly and smoothly, thereby enabling a statistical prediction of market prices for a limited time range in th...
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces Physica A 370, pp91-97, 2006]. By analyzing high-frequency financial time series of e...
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0809.0241
1
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is also required for regulatory purposes. Its popularity is partly due to the fact ...
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is also required for regulatory purposes. Its popularity is partly due to the fact ...
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0809.0739
1
We propose a mathematical framework for the study of a family of random fields - called forward performances - which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure corresponds to that of utility functions, while the temporal one reflects a Nis...
We propose a mathematical framework for the study of a family of random fields - called forward performances - which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure corresponds to that of utility functions, while the temporal one reflects a Nis...
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0809.0739
2
We propose a mathematical framework for the study of a family of random fields - called forward performances - which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure corresponds to that of utility functions, while the temporal one reflects a Nis...
We propose a mathematical framework for the study of a family of random fields--called forward performances--which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure corresponds to that of utility functions, while the temporal one reflects a Nisio...
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0809.1516
1
We construct an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise, using the local and occupation times of Gaussian processes. The method relies on the almost-sure minimization of a Stein Unbiased Risk Estimator (SURE ) obtained through integration by parts on Gaussia...
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using their local and occupation times . By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbe...
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0809.1985
1
Affine term structure models have gained a lot of attention in the finance literature, which is due to their analytic tractability and statistical flexibility. The aim of this article is to present both , theoretical foundations and empirical aspects . Starting from the first short rate models , namely the Vasicek and ...
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class . Starting from the original one-fa...
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0809.3405
1
We discuss the valuation problem for a broad spectrum of plain vanilla and path-dependent options in a general modeling framework, and specifically for L\'evy driven models. Among the derivatives which we consider are digitals, double digitals, asset-or-nothing options, self-quantos, lookback and one-touch options. Ext...
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff funct...
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0809.4139
1
One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and Mezard have proposed an interesting model of economy [Bouchaud and Mezard (2000)] based on trade and investments of agents. In the mean-field approximation, the model produces a stationary wealth distribution with a power-law ...
One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and M\'ezard have proposed an interesting model of economy [Bouchaud and M\'ezard (2000)] based on trade and investments of agents. In the mean-field approximation, the model produces a stationary wealth distribution with a power-...
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0810.2358
1
Certain short polycations, such as TAT and polyarginine, rapidly pass through cell plasma membranes by an unknown mechanism called transduction. These cell-penetrating peptides (CPPs) when fused to biologically active peptides promise to be medically useful . I offer a simple model in which phosphatidylserines (and po...
Certain short polycations, such as TAT and polyarginine, rapidly pass through the plasma membranes of mammalian cells by an unknown mechanism called transduction. These cell-penetrating peptides (CPPs) promise to be medically useful when fused to biologically active peptides . I offer a simple model in which phosphatid...
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0810.2358
2
Certain short polycations, such as TAT and polyarginine, rapidly pass through the plasma membranes of mammalian cells by an unknown mechanism called transduction . These cell-penetrating peptides (CPPs) promise to be medically useful when fused to biologically active peptides. I offer a simple model in which phosphati...
Certain short polycations, such as TAT and polyarginine, rapidly pass through the plasma membranes of mammalian cells by an unknown mechanism called transduction as well as by endocytosis and macropinocytosis . These cell-penetrating peptides (CPPs) promise to be medically useful when fused to biologically active pepti...
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0810.3280
1
Sequence comparison and alignment has had an enormous impact on our understanding of evolution, biology, and disease. It is likely that comparison and alignment of biological networks will similarly revolutionize our understanding of biological systems . Existing network alignments are based largely upon information ex...
Sequence comparison and alignment has had an enormous impact on our understanding of evolution, biology, and disease. Comparison and alignment of biological networks will likely have a similar impact . Existing network alignments use information external to the networks, such as sequence, because no good algorithm for ...
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0810.3280
2
Sequence comparison and alignment has had an enormous impact on our understanding of evolution, biology, and disease. Comparison and alignment of biological networks will likely have a similar impact. Existing network alignments use information external to the networks, such as sequence, because no good algorithm for p...
Sequence comparison and alignment has had an enormous impact on our understanding of evolution, biology, and disease. Comparison and alignment of biological networks will likely have a similar impact. Existing network alignments use information external to the networks, such as sequence, because no good algorithm for p...
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0810.5146
1
It turns out that a slightly generalised Margrabe formula exhibits symmetry properties leading to semi-static hedges of rather general options in the bivariate Black-Scholes economy . In order to increase the liquidity of the used hedging instruments for currency options, the duality principle can be used to set up th...
It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination . In order to increase the liquidity of the hedging instrum...
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0811.1296
1
The problem of inhibiting viral DNA ejection from bacteriophages by Mg^{+2} counterions is studied. Experimentally, it is known that Mg^{+2 has a strong and non-monotonic effect on the amount of DNA ejected. There exists an optimal Mg^{+2 concentration at which the least DNA is ejected from the virus. At lower or hig...
The problem of inhibiting viral DNA ejection from bacteriophages by multivalent counterions, especially Mg^{+2} counterions , is studied. Experimentally, it is known that MgSO_4 salt has a strong and non-monotonic effect on the amount of DNA ejected. There exists an optimal concentration at which the least DNA is eject...
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0811.1296
2
The problem of inhibiting viral DNA ejection from bacteriophages by multivalent counterions, especially Mg^{+2} counterions, is studied. Experimentally, it is known that MgSO_4 salt has a strong and non-monotonic effect on the amount of DNA ejected. There exists an optimal concentration at which the least DNA is ejecte...
The problem of inhibiting viral DNA ejection from bacteriophages by multivalent counterions, specifically Mg^{+2} counterions, is studied. Experimentally, it is known that MgSO_4 salt has a strong and non-monotonic effect on the amount of DNA ejected. There exists an optimal concentration at which the minimum amount of...
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0811.2209
1
Complex systems are often modeled as Boolean networks in attempts to capture their logical structure and reveal its dynamical consequences. Approximating the dynamics of continuous variables by discrete values and Boolean logic gates may, however, introduce dynamical possibilities that are not accessible to the origina...
Complex systems are often modeled as Boolean networks in attempts to capture their logical structure and reveal its dynamical consequences. Approximating the dynamics of continuous variables by discrete values and Boolean logic gates may, however, introduce dynamical possibilities that are not accessible to the origina...
[ { "type": "R", "before": "simple criterion identifies continuous systems that exhibit the full dynamical range of their Boolean counterparts. Transfer functions inferred from", "after": "suitably modified Boolean theory explains the behavior of systems in which information does not propagate faithfully ...
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0811.3130
1
The creation and annihilation of money and its economic effects are reviewed. Economic values appear "in the mind" of the market participants; e. g., by pretending, maintaining and achieving a particular price for a certain asset. Upon its creation by banks, this kind of " value phantasy " is converted into " real mone...
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups is discussed. We identify private banks as the main source of money through monetization. The asset value is inevitably determined by subjective beliefs and fantasies loosely bound by market co...
[ { "type": "R", "before": "The creation and annihilation of money and its economic effects are reviewed. Economic values appear \"in the mind\" of the market participants; e. g., by pretending, maintaining and achieving a particular price for a certain asset. Upon its creation by banks, this kind of", "a...
[ 0, 77, 142, 230, 420 ]
0811.3130
2
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups is discussed. We identify private banks as the main source of money through monetization . The asset value is inevitably determined by subjective beliefs and fantasies loosely bound by market ...
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups is discussed. We identify private banks as the main source of money through monetization of assets and future profits . The asset value is determined by subjective beliefs and fantasies loosely...
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0811.3130
3
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups is discussed. We identify private banks as the main source of money through monetization of assets and future profits. The asset value is determined by subjective beliefs and fantasies loosely...
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups are discussed. We identify private banks as the main source of money through monetization of assets and future profits. The asset value is determined by subjective confidence, beliefs and fanta...
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0811.3130
4
General options for monetary systems, in particular the creation of fiat money, as well as its appropriation in various setups are discussed. We identify private banks as the main source of money through monetization of assets and future profits. The asset value is determined by subjective confidence, beliefs and fanta...
Because of their provable indeterminateness, certain economic values and thus prices are fixed by subjective confidence, beliefs and fantasies loosely bound by market constraints. One may imagine such a monetary system as being "suspended in thought ". Monetization of " (derivative) promises" of any kind, as well as in...
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0811.3130
5
Because of their provable indeterminateness, certain economic values and thus prices are fixed by subjective confidence, beliefs and fantasies loosely bound by market constraints. One may imagine such a monetary system as being " suspended in thought " . Monetization of " (derivative) promises " of any kind, as well as...
This review is about the convenience, the benefits, as well as the destructive capacities of money. It deals with various aspects of money creation, with its value, and its appropriation. All sorts of money tend to get corrupted by eventually creating too much of them. In the long run, this renders money worthless and ...
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0812.0033
1
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This app...
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This ap...
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0812.0325
1
The analysis of network topology and dynamics is increasingly used for the description of the structure, function and evolution of complex systems. Here we summarize key aspects of the evolvability and robustness of the hierarchical network-set of macromolecules, URLanisms, and ecosystems. Listing the costs and benefit...
The network concept is increasingly used for the description of complex systems. Here we summarize key aspects of the evolvability and robustness of the hierarchical network-set of macromolecules, URLanisms, and ecosystems. Listing the costs and benefits of cooperation as a necessary behaviour to build this network hie...
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[ 0, 147, 290, 551, 717, 961, 1076, 1299 ]
0812.2066
1
Actin networks in certain URLanisms exhibit a complex pattern-forming dynamics that starts with the appearance of static `spots ' of actin on the cell cortex. Spots soon become mobile, and eventually give rise to , and coexist with, traveling waves of actin. Waves confer motility upon the cell by impinging on its peri...
Actin networks in certain URLanisms exhibit a complex pattern-forming dynamics that starts with the appearance of static spots of actin on the cell cortex. Spots soon become mobile, executing persistent random walks, and eventually give rise to traveling waves of actin. Here we describe a possible physical mechanism fo...
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0812.2440
1
We extend the model of liquidity risk of Cetin et al. 5 to allow for price impacts. Starting from simple principles, we show that the impact of a trade on prices is directly proportional to the size of the transaction and the amount of liquidityof the asset. This leads to a new characterization of self-financing tradin...
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condi...
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