Modeling the non-Markovian, non-stationary scaling dynamics of financial markets

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our records. In order to give statistical significance to such a comparison, assumptions of stationarity for some quantities extracted from the single historical time series, like the distribution of the returns over a given time interval, cannot be avoided. Such assumptions entail the risk of masking or misrepresenting non-stationarities of the underlying process, and of giving an incorrect account of its correlations. Here we overcome this difficulty by showing that five years of daily Euro/US-Dollar trading records in the about three hours following the New York market opening, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators are in agreement with the predictions of this model, which is constructed on the basis of the time-inhomogeneous, anomalous scaling obeyed by the return distribution.Comment: Throughout revision. 15 pages, 6 figures. Presented by A.L. Stella in a Talk at the "Econophysics - Kolkata V'' International Workshop, March 2010, Saha Institute of Nuclear Physics, Kolkata, Indi

Dynamical features of reaction-diffusion fronts in fractals

The speed of front propagation in fractals is studied by using (i) the reduction of the reaction-transport equation into a Hamilton-Jacobi equation and (ii) the local-equilibrium approach. Different equations proposed for describing transport in fractal media, together with logistic reaction kinetics, are considered. Finally, we analyze the main features of wave fronts resulting from this dynamic process, i.e., why they are accelerated and what is the exact form of this acceleration

Experimental support of the scaling rule for demographic stochasticity

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73613/1/j.1461-0248.2006.00903.x.pd

Ecological Invasion, Roughened Fronts, and a Competitor's Extreme Advance: Integrating Stochastic Spatial-Growth Models

Both community ecology and conservation biology seek further understanding of factors governing the advance of an invasive species. We model biological invasion as an individual-based, stochastic process on a two-dimensional landscape. An ecologically superior invader and a resident species compete for space preemptively. Our general model includes the basic contact process and a variant of the Eden model as special cases. We employ the concept of a "roughened" front to quantify effects of discreteness and stochasticity on invasion; we emphasize the probability distribution of the front-runner's relative position. That is, we analyze the location of the most advanced invader as the extreme deviation about the front's mean position. We find that a class of models with different assumptions about neighborhood interactions exhibit universal characteristics. That is, key features of the invasion dynamics span a class of models, independently of locally detailed demographic rules. Our results integrate theories of invasive spatial growth and generate novel hypotheses linking habitat or landscape size (length of the invading front) to invasion velocity, and to the relative position of the most advanced invader.Comment: The original publication is available at www.springerlink.com/content/8528v8563r7u2742

Transport networks and inequities in vaccination: remoteness shapes measles vaccine coverage and prospects for elimination across Africa

Measles vaccination is estimated to have averted 13·8 million deaths between 2000 and 2012. Persisting heterogeneity in coverage is a major contributor to continued measles mortality, and a barrier to measles elimination and introduction of rubella-containing vaccine. Our objective is to identify determinants of inequities in coverage, and how vaccine delivery must change to achieve elimination goals, which is a focus of the WHO Decade of Vaccines. We combined estimates of travel time to the nearest urban centre (?50 000 people) with vaccination data from Demographic Health Surveys to assess how remoteness affects coverage in 26 African countries. Building on a statistical mapping of coverage against age and geographical isolation, we quantified how modifying the rate and age range of vaccine delivery affects national coverage. Our scenario analysis considers increasing the rate of delivery of routine vaccination, increasing the target age range of routine vaccination, and enhanced delivery to remote areas. Geographical isolation plays a key role in defining vaccine inequity, with greater inequity in countries with lower measles vaccine coverage. Eliminating geographical inequities alone will not achieve thresholds for herd immunity, indicating that changes in delivery rate or age range of routine vaccination will be required. Measles vaccine coverage remains far below targets for herd immunity in many countries on the African continent and is likely to be inadequate for achieving rubella elimination. The impact of strategies such as increasing the upper age range eligible for routine vaccination should be considered

Stage-structured transmission of phocine distemper virus in the Dutch 2002 outbreak

Heterogeneities in transmission among hosts can be very important in shaping infectious disease dynamics. In mammals with strong social organization, such heterogeneities are often structured by functional stage: juveniles, subadults and adults. We investigate the importance of such stage-related heterogeneities in shaping the 2002 phocine distemper virus (PDV) outbreak in the Dutch Wadden Sea, when more than 40 per cent of the harbour seals were killed. We do this by comparing the statistical fit of a hierarchy of models with varying transmission complexity: homogeneous versus heterogeneous mixing and density- versus frequency-dependent transmission. We use the stranding data as a proxy for incidence and use Poisson likelihoods to estimate the ‘who acquires infection from whom’ (WAIFW) matrix. Statistically, the model with strong heterogeneous mixing and density-dependent transmission was found to best describe the transmission dynamics. However, patterns of incidence support a model of frequency-dependent transmission among adults and juveniles. Based on the maximum-likelihood WAIFW matrix estimates, we use the next-generation formalism to calculate an R(0) between 2 and 2.5 for the Dutch 2002 PDV epidemic

Estimating transmission intensity for a measles epidemic in Niamey, Niger: lessons for intervention.

The objective of this study is to estimate the effective reproductive ratio for the 2003-2004 measles epidemic in Niamey, Niger. Using the results of a retrospective and prospective study of reported cases within Niamey during the 2003-2004 epidemic, we estimate the basic reproductive ratio, effective reproductive ratio (RE) and minimal vaccination coverage necessary to avert future epidemics using a recent method allowing for estimation based on the epidemic case series. We provide these estimates for geographic areas within Niamey, thereby identifying neighbourhoods at high risk. The estimated citywide RE was 2.8, considerably lower than previous estimates, which may help explain the long duration of the epidemic. Transmission intensity varied during the course of the epidemic and within different neighbourhoods (RE range: 1.4-4.7). Our results indicate that vaccination coverage in currently susceptible children should be increased by at least 67% (vaccine efficacy 90%) to produce a citywide vaccine coverage of 90%. This research highlights the importance of local differences in vaccination coverage on the potential impact of epidemic control measures. The spatial-temporal spread of the epidemic from district to district in Niamey over 30 weeks suggests that targeted interventions within the city could have an impact