Some simple but challenging Markov processes

In this note, we present few examples of Piecewise Deterministic Markov Processes and their long time behavior. They share two important features: they are related to concrete models (in biology, networks, chemistry,. . .) and they are mathematically rich. Their math-ematical study relies on coupling method, spectral decomposition, PDE technics, functional inequalities. We also relate these simple examples to recent and open problems

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from the long - term dependencies (long memory) of dynamic market pricing. Not coincidentally, the VaR methodology also devotes insufficient attention to the truly extreme financial events, i.e., those events that are catastrophic and that are clustering because of this long memory. Since the usual stationarity and i.i.d. assumptions of classical asset returns theory are not satisfied in reality, more attention should be paid to the measurement of the degree of dependence to determine the true risks to which any investment portfolio is exposed: the return distributions are time-varying and skewness and kurtosis occur and change over time. Conventional mean-variance diversification does not apply when the tails of the return distributions ate too fat, i.e., when many more than normal extreme events occur. Regrettably, also, Extreme Value Theory is empirically not valid, because it is based on the uncorroborated i.i.d. assumption.Long memory, Value at Risk, Extreme Value Theory, Portfolio Management, Degrees of Persistence

EUROPEAN CONFERENCE ON QUEUEING THEORY 2016

International audienceThis booklet contains the proceedings of the second European Conference in Queueing Theory (ECQT) that was held from the 18th to the 20th of July 2016 at the engineering school ENSEEIHT, Toulouse, France. ECQT is a biannual event where scientists and technicians in queueing theory and related areas get together to promote research, encourage interaction and exchange ideas. The spirit of the conference is to be a queueing event organized from within Europe, but open to participants from all over the world. The technical program of the 2016 edition consisted of 112 presentations organized in 29 sessions covering all trends in queueing theory, including the development of the theory, methodology advances, computational aspects and applications. Another exciting feature of ECQT2016 was the institution of the Takács Award for outstanding PhD thesis on "Queueing Theory and its Applications"

Bandits in the Lab

We test Keller, Rady, Cripps’ (2005) game of strategic experimentation with exponential bandits in the laboratory. We find strong support for the prediction of free-riding because of strategic concerns. We also find strong evidence for behavior that is characteristic of Markov perfect equilibrium: non-cutoff behavior, lonely pioneers and frequent switches of action

Multiscale computation and dynamic attention in biological and artificial intelligence

Biological and artificial intelligence (AI) are often defined by their capacity to achieve a hierarchy of short-term and long-term goals that require incorporating information over time and space at both local and global scales. More advanced forms of this capacity involve the adaptive modulation of integration across scales, which resolve computational inefficiency and explore-exploit dilemmas at the same time. Research in neuroscience and AI have both made progress towards understanding architectures that achieve this. Insight into biological computations come from phenomena such as decision inertia, habit formation, information search, risky choices and foraging. Across these domains, the brain is equipped with mechanisms (such as the dorsal anterior cingulate and dorsolateral prefrontal cortex) that can represent and modulate across scales, both with top-down control processes and by local to global consolidation as information progresses from sensory to prefrontal areas. Paralleling these biological architectures, progress in AI is marked by innovations in dynamic multiscale modulation, moving from recurrent and convolutional neural networks—with fixed scalings—to attention, transformers, dynamic convolutions, and consciousness priors—which modulate scale to input and increase scale breadth. The use and development of these multiscale innovations in robotic agents, game AI, and natural language processing (NLP) are pushing the boundaries of AI achievements. By juxtaposing biological and artificial intelligence, the present work underscores the critical importance of multiscale processing to general intelligence, as well as highlighting innovations and differences between the future of biological and artificial intelligence