Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods

We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to financial data, a novel hierarchical clustering approach, the Directed Bubble Hierarchical Tree and we compare it with other methods including the Linkage and k-medoids. In particular, by taking the industrial sector classification of stocks as a benchmark partition, we evaluate how the different methods retrieve this classification. The results show that the Directed Bubble Hierarchical Tree can outperform other methods, being able to retrieve more information with fewer clusters. Moreover, we show that the economic information is hidden at different levels of the hierarchical structures depending on the clustering method. The dynamical analysis on a rolling window also reveals that the different methods show different degrees of sensitivity to events affecting financial markets, like crises. These results can be of interest for all the applications of clustering methods to portfolio optimization and risk hedging.Comment: 31 pages, 17 figure

Alarm flood reduction using multiple data sources

The introduction of distributed control systems in the process industry has increased the number of alarms per operator exponentially. Modern plants present a high level of interconnectivity due to steam recirculation, heat integration and the complex control systems installed in the plant. When there is a disturbance in the plant it spreads through its material, energy and information connections affecting the process variables on the path. The alarms associated to these process variables are triggered. The alarm messages may overload the operator in the control room, who will not be able to properly investigate each one of these alarms. This undesired situation is called an “alarm flood”. In such situations the operator might not be able to keep the plant within safe operation. The aim of this thesis is to reduce alarm flood periods in process plants. Consequential alarms coming from the same process abnormality are isolated and a causal alarm suggestion is given. The causal alarm in an alarm flood is the alarm associated to the asset originating the disturbance that caused the flood. Multiple information sources are used: an alarm log containing all past alarms messages, process data and a topology model of the plant. The alarm flood reduction is achieved with a combination of alarm log analysis, process data root-cause analysis and connectivity analysis. The research findings are implemented in a software tool that guides the user through the different steps of the method. Finally the applicability of the method is proved with an industrial case study

Computational Approaches to Simulation and Analysis of Large Conformational Transitions in Proteins

abstract: In a typical living cell, millions to billions of proteins—nanomachines that fluctuate and cycle among many conformational states—convert available free energy into mechanochemical work. A fundamental goal of biophysics is to ascertain how 3D protein structures encode specific functions, such as catalyzing chemical reactions or transporting nutrients into a cell. Protein dynamics span femtosecond timescales (i.e., covalent bond oscillations) to large conformational transition timescales in, and beyond, the millisecond regime (e.g., glucose transport across a phospholipid bilayer). Actual transition events are fast but rare, occurring orders of magnitude faster than typical metastable equilibrium waiting times. Equilibrium molecular dynamics (EqMD) can capture atomistic detail and solute-solvent interactions, but even microseconds of sampling attainable nowadays still falls orders of magnitude short of transition timescales, especially for large systems, rendering observations of such "rare events" difficult or effectively impossible. Advanced path-sampling methods exploit reduced physical models or biasing to produce plausible transitions while balancing accuracy and efficiency, but quantifying their accuracy relative to other numerical and experimental data has been challenging. Indeed, new horizons in elucidating protein function necessitate that present methodologies be revised to more seamlessly and quantitatively integrate a spectrum of methods, both numerical and experimental. In this dissertation, experimental and computational methods are put into perspective using the enzyme adenylate kinase (AdK) as an illustrative example. We introduce Path Similarity Analysis (PSA)—an integrative computational framework developed to quantify transition path similarity. PSA not only reliably distinguished AdK transitions by the originating method, but also traced pathway differences between two methods back to charge-charge interactions (neglected by the stereochemical model, but not the all-atom force field) in several conserved salt bridges. Cryo-electron microscopy maps of the transporter Bor1p are directly incorporated into EqMD simulations using MD flexible fitting to produce viable structural models and infer a plausible transport mechanism. Conforming to the theme of integration, a short compendium of an exploratory project—developing a hybrid atomistic-continuum method—is presented, including initial results and a novel fluctuating hydrodynamics model and corresponding numerical code.Dissertation/ThesisDoctoral Dissertation Physics 201

Graph Theory and Networks in Biology

In this paper, we present a survey of the use of graph theoretical techniques in Biology. In particular, we discuss recent work on identifying and modelling the structure of bio-molecular networks, as well as the application of centrality measures to interaction networks and research on the hierarchical structure of such networks and network motifs. Work on the link between structural network properties and dynamics is also described, with emphasis on synchronization and disease propagation.Comment: 52 pages, 5 figures, Survey Pape

Metric Representations Of Networks

The goal of this thesis is to analyze networks by first projecting them onto structured metric-like spaces -- governed by a generalized triangle inequality -- and then leveraging this structure to facilitate the analysis. Networks encode relationships between pairs of nodes, however, the relationship between two nodes can be independent of the other ones and need not be defined for every pair. This is not true for metric spaces, where the triangle inequality imposes conditions that must be satisfied by triads of distances and these must be defined for every pair of nodes. In general terms, this additional structure facilitates the analysis and algorithm design in metric spaces. In deriving metric projections for networks, an axiomatic approach is pursued where we encode as axioms intuitively desirable properties and then seek for admissible projections satisfying these axioms. Although small variations are introduced throughout the thesis, the axioms of projection -- a network that already has the desired metric structure must remain unchanged -- and transformation -- when reducing dissimilarities in a network the projected distances cannot increase -- shape all of the axiomatic constructions considered. Notwithstanding their apparent weakness, the aforementioned axioms serve as a solid foundation for the theory of metric representations of networks. We begin by focusing on hierarchical clustering of asymmetric networks, which can be framed as a network projection problem onto ultrametric spaces. We show that the set of admissible methods is infinite but bounded in a well-defined sense and state additional desirable properties to further winnow the admissibility landscape. Algorithms for the clustering methods developed are also derived and implemented. We then shift focus to projections onto generalized q-metric spaces, a parametric family containing among others the (regular) metric and ultrametric spaces. A uniqueness result is shown for the projection of symmetric networks whereas for asymmetric networks we prove that all admissible projections are contained between two extreme methods. Furthermore, projections are illustrated via their implementation for efficient search and data visualization. Lastly, our analysis is extended to encompass projections of dioid spaces, natural algebraic generalizations of weighted networks

The Order of Circular Business Models: An Empirical Taxonomy Using Cluster Analysis

In the wake of increasing demands for raw materials and the changing climate, the circular economy concept has recently gained traction in academia, business and policy making. A central constituent in order realize it, i.e. to shift to a system in which environmental impact is decoupled from economic growth by circulating products, components and materials at their highest economic and resource value at all times, is the design and implementation of circular business models. Hence, over the last years, academics and practitioners alike have created tools and frameworks that support firms in coming up with new or more effective models. Further, emulating the evolution of general business model literature, researchers have started to propose circular business model definitions and classifications in order to consolidate the existing work and establish common ground. However, a clear understanding of what a circular business model really constitutes is still missing and a careful review of the existing literature reveals that the proposed classifications are either lacking methodological transparency or being purely conceptually derived. Consequently, from a positivistic stance, there is no basis for wider generalization and mid-range theory development. To address this gap, the thesis at hand constructs a conceptually grounded and empirically derived circular business model taxonomy. Following existing approaches to taxonomy development and building upon an extensive literature review as well as empirical data, it first creates an integrative framework on which basis circular business models can be described. In the process of its development, also a binary-coded matrix expressing the defining business model characteristics of 100 randomly selected firms is generated. This data is subsequently analyzed using hierarchical and non-hierarchical cluster analysis techniques. The final cluster solution reveals a set of seven major circular business model types which are further characterized on the basis of descriptive statistics and representative case examples. Split-sampling and the application of different cluster algorithms indicate that the solution is stable and a silhouette coefficient of 0.53 strengthens its internal validity. Finally, a comparison with existing classifications demonstrates the taxonomy’s usefulness. While not generating a definitive answer, the proposed circular business model taxonomy provides a novel perspective to the question of what types of circular business models exist and how they can be characterized. It offers a stepping stone for mid-range theory development and in combination with the review of 116 circular business model publications gives a comprehensive overview of the phenomena’s current manifestations. From a practical viewpoint, the thesis’ findings provide useful insights into the structure of circular business models thereby serving as a source of inspiration for the development of new models or as a tool for the strategic positioning of existing ones