A model for the Yield curve

The starting point is an interrogation about the non-broken character of the term structure of interest rates. Some arguments for that smooth character are presented here, all of which are based upon the assumption that market participants - arbitrageurs and speculators - always try to explore any misalignments discovered in the interest market. This led to the basic concept behind the model that the current short-term rate determines most of the value of the rate level for the subsequent period. A linear model describing that simple relationship is assumed and that constitutes the building block from where one can develop the mathematical equations necessary to work with different sets of market data. A number of different yield curves were modelled by adjustment to real market data using this basic model, all of them showing a very high quality of the fits when measured by the non-linear ratio R2. Nevertheless this fact still needs to be confirmed as the examples were drawn from non-independent markets and from a very short time window. The model can be improved by simple addition of a liquidity premium depend only upon the maturity of the rates. However, that improvement sophisticates tremendously the mathematical tractability of any real situation without any assurance that this added cost compensates for the increased quality of the fit. The model is designed around only 3 parameters that can all be interpreted in economic terms. Two of them, in particular, bring a significant improvement over the traditional views frequently extracted from the shape of the yield curve. Provided future tests confirm the high quality of the basic and the improved (with a liquidity premium) models, both are supportive of the expectation hypothesis (EH) and the liquidity premium hypothesis (LPH).

Twisted Jacobi manifolds, twisted Dirac-Jacobi structures and quasi-Jacobi bialgebroids

We study twisted Jacobi manifolds, a concept that we had introduced in a previous Note. Twisted Jacobi manifolds can be characterized using twisted Dirac-Jacobi, which are sub-bundles of Courant-Jacobi algebroids. We show that each twisted Jacobi manifold has an associated Lie algebroid with a 1-cocycle. We introduce the notion of quasi-Jacobi bialgebroid and we prove that each twisted Jacobi manifold has a quasi-Jacobi bialgebroid canonically associated. Moreover, the double of a quasi-Jacobi bialgebroid is a Courant-Jacobi algebroid. Several examples of twisted Jacobi manifolds and twisted Dirac-Jacobi structures are presented

Zero-temperature TAP equations for the Ghatak-Sherrington model

The zero-temperature TAP equations for the spin-1 Ghatak-Sherrington model are investigated. The spin-glass energy density (ground state) is determined as a function of the anisotropy crystal field $D$ for a large number of spins. This allows us to locate a first-order transition between the spin-glass and paramagnetic phases within a good accuracy. The total number of solutions is also determined as a function of $D$.Comment: 11 pages, 2 ps figures include

On quasi-Jacobi and Jacobi-quasi bialgebroids

We study quasi-Jacobi and Jacobi-quasi bialgebroids and their relationships with twisted Jacobi and quasi Jacobi manifolds. We show that we can construct quasi-Lie bialgebroids from quasi-Jacobi bialgebroids, and conversely, and also that the structures induced on their base manifolds are related via a quasi Poissonization

The Redner - Ben-Avraham - Kahng cluster system

We consider a coagulation model first introduced by Redner, Ben-Avraham and Krapivsky in [Redner, Ben-Avraham, Kahng: Kinetics of 'cluster eating', J. Phys. A: Math. Gen., 20 (1987), 1231-1238], the main feature of which is that the reaction between a j-cluster and a k-cluster results in the creation of a |j-k|-cluster, and not, as in Smoluchowski's model, of a (j+k)-cluster. In this paper we prove existence and uniqueness of solutions under reasonably general conditions on the coagulation coefficients, and we also establish differenciability properties and continuous dependence of solutions. Some interesting invariance properties are also proved. Finally, we study the long-time behaviour of solutions, and also present a preliminary analysis of their scaling behaviour.Comment: 24 pages. 2 figures. Dedicated to Carlos Rocha and Luis Magalhaes on the occasion of their sixtieth birthday

Towards a Multi-Subject Analysis of Neural Connectivity

Directed acyclic graphs (DAGs) and associated probability models are widely used to model neural connectivity and communication channels. In many experiments, data are collected from multiple subjects whose connectivities may differ but are likely to share many features. In such circumstances it is natural to leverage similarity between subjects to improve statistical efficiency. The first exact algorithm for estimation of multiple related DAGs was recently proposed by Oates et al. 2014; in this letter we present examples and discuss implications of the methodology as applied to the analysis of fMRI data from a multi-subject experiment. Elicitation of tuning parameters requires care and we illustrate how this may proceed retrospectively based on technical replicate data. In addition to joint learning of subject-specific connectivity, we allow for heterogeneous collections of subjects and simultaneously estimate relationships between the subjects themselves. This letter aims to highlight the potential for exact estimation in the multi-subject setting.Comment: to appear in Neural Computation 27:1-2

The Redner - Ben-Avraham - Kahng coagulation system with constant coefficients: the finite dimensional case

We study the behaviour as $t\to\infty$ of solutions $(c_j(t))$ to the Redner--Ben-Avraham--Kahng coagulation system with positive and compactly supported initial data, rigorously proving and slightly extending results originally established in [4] by means of formal arguments.Comment: 13 pages, 1 figur