Parallel Computation in Econometrics: A Simplified Approach

Parallel computation has a long history in econometric computing, but is not at all wide spread. We believe that a major impediment is the labour cost of coding for parallel architectures. Moreover, programs for specific hardware often become obsolete quite quickly. Our approach is to take a popular matrix programming language (Ox), and implement a message-passing interface using MPI. Next, object-oriented programming allows us to hide the specific parallelization code, so that a program does not need to be rewritten when it is ported from the desktop to a distributed network of computers. Our focus is on so-called embarrassingly parallel computations, and we address the issue of parallel random number generation.Code optimization; Econometrics; High-performance computing; Matrix-programming language; Monte Carlo; MPI; Ox; Parallel computing; Random number generation.

Computationally-intensive Econometrics using a Distributed Matrix-programming Language

This paper reviews the need for powerful facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling.Distributed computing; Econometrics; High-performance computing; Matrix-programming language

Fitting and testing vast dimensional time-varying covariance models

Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel way of estimating models of time-varying covariances that overcome some of the computational problems which have troubled existing methods when applied to 1,000s of assets. The theory of this new strategy is developed in some detail, allowing formal hypothesis testing to be carried out on these models. Simulations are used to explore the performance of this inference strategy while empirical examples are reported which show the strength of this method

On Proper Polynomial Maps of C2.\mathbb{C}^2.

Two proper polynomial maps $f_1, f_2 \colon \mathbb{C}^2 \longrightarrow \mathbb{C}^2$ are said to be \emph{equivalent} if there exist $\Phi_1, \Phi_2 \in \textrm{Aut}(\mathbb{C}^2)$ such that $f_2=\Phi_2 \circ f_1 \circ \Phi_1$. We investigate proper polynomial maps of arbitrary topological degree $d \geq 2$ up to equivalence. Under the further assumption that the maps are Galois coverings we also provide the complete description of equivalence classes. This widely extends previous results obtained by Lamy in the case $d=2$.Comment: 15 pages. Final version, to appear in Journal of Geometric Analysi

Identification of flavin-containing monooxygenase 5 (FMO5) as a regulator of glucose homeostasis and a potential sensor of gut bacteria

We have previously identified flavin-containing monooxygenase 5 (FMO5) as a regulator of metabolic aging. The aim of the present study was to investigate the role of FMO5 in glucose homeostasis and the impact of diet and gut flora on the phenotype of mice in which the Fmo5 gene has been disrupted (Fmo5−/− mice). In comparison with wild-type (WT) counterparts, Fmo5−/− mice are resistant to age-related changes in glucose homeostasis and maintain the higher glucose tolerance and insulin sensitivity characteristic of young animals. When fed a high-fat diet, they are protected against weight gain and reduction of insulin sensitivity. The phenotype of Fmo5−/− mice is independent of diet and the gut microbiome and is determined solely by the host genotype. Fmo5−/− mice have metabolic characteristics similar to those of germ-free mice, indicating that FMO5 plays a role in sensing or responding to gut bacteria. In WT mice, FMO5 is present in the mucosal epithelium of the gastrointestinal tract where it is induced in response to a high-fat diet. In comparison with WT mice, Fmo5−/− mice have fewer colonic goblet cells, and they differ in the production of the colonic hormone resistin-like molecule β. Fmo5−/− mice have lower concentrations of tumor necrosis factor α in plasma and of complement component 3 in epididymal white adipose tissue, indicative of improved inflammatory tone. Our results implicate FMO5 as a regulator of body weight and of glucose disposal and insulin sensitivity and, thus, identify FMO5 as a potential novel therapeutic target for obesity and insulin resistance

Lyashko-Looijenga morphisms and submaximal factorisations of a Coxeter element

When W is a finite reflection group, the noncrossing partition lattice NCP_W of type W is a rich combinatorial object, extending the notion of noncrossing partitions of an n-gon. A formula (for which the only known proofs are case-by-case) expresses the number of multichains of a given length in NCP_W as a generalised Fuss-Catalan number, depending on the invariant degrees of W. We describe how to understand some specifications of this formula in a case-free way, using an interpretation of the chains of NCP_W as fibers of a Lyashko-Looijenga covering (LL), constructed from the geometry of the discriminant hypersurface of W. We study algebraically the map LL, describing the factorisations of its discriminant and its Jacobian. As byproducts, we generalise a formula stated by K. Saito for real reflection groups, and we deduce new enumeration formulas for certain factorisations of a Coxeter element of W.Comment: 18 pages. Version 2 : corrected typos and improved presentation. Version 3 : corrected typos, added illustrated example. To appear in Journal of Algebraic Combinatoric

A Robust Solution Procedure for Hyperelastic Solids with Large Boundary Deformation

Compressible Mooney-Rivlin theory has been used to model hyperelastic solids, such as rubber and porous polymers, and more recently for the modeling of soft tissues for biomedical tissues, undergoing large elastic deformations. We propose a solution procedure for Lagrangian finite element discretization of a static nonlinear compressible Mooney-Rivlin hyperelastic solid. We consider the case in which the boundary condition is a large prescribed deformation, so that mesh tangling becomes an obstacle for straightforward algorithms. Our solution procedure involves a largely geometric procedure to untangle the mesh: solution of a sequence of linear systems to obtain initial guesses for interior nodal positions for which no element is inverted. After the mesh is untangled, we take Newton iterations to converge to a mechanical equilibrium. The Newton iterations are safeguarded by a line search similar to one used in optimization. Our computational results indicate that the algorithm is up to 70 times faster than a straightforward Newton continuation procedure and is also more robust (i.e., able to tolerate much larger deformations). For a few extremely large deformations, the deformed mesh could only be computed through the use of an expensive Newton continuation method while using a tight convergence tolerance and taking very small steps.Comment: Revision of earlier version of paper. Submitted for publication in Engineering with Computers on 9 September 2010. Accepted for publication on 20 May 2011. Published online 11 June 2011. The final publication is available at http://www.springerlink.co