A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping

Bootstrapping time series is one of the most acknowledged tools to study the statistical properties of an evolutive phenomenon. An important class of bootstrapping methods is based on the assumption that the sampled phenomenon evolves according to a Markov chain. This assumption does not apply when the process takes values in a continuous set, as it frequently happens with time series related to economic and financial phenomena. In this paper we apply the Markov chain theory for bootstrapping continuous-valued processes, starting from a suitable discretization of the support that provides the state space of a Markov chain of order k≥1. Even for small k, the number of rows of the transition probability matrix is generally too large and, in many practical cases, it may incorporate much more information than it is really required to replicate the phenomenon satisfactorily. The paper aims to study the problem of compressing the transition probability matrix while preserving the “law” characterising the process that generates the observed time series, in order to obtain bootstrapped series that maintain the typical features of the observed time series. For this purpose, we formulate a partitioning problem of the set of rows of such a matrix and propose a mixed integer linear program specifically tailored for this particular problem. We also provide an empirical analysis by applying our model to the time series of Spanish and German electricity prices, and we show that, in these medium size real-life instances, bootstrapped time series reproduce the typical features of the ones under observation. This is a post-peer-review, pre-copyedit version of an article published in Annals of Operations Research volume. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10479-016-2181-

Remarks on 2+1 Self-dual Chern-Simons Gravity

We study 2+1 Chern-Simons gravity at the classical action level. In particular we rederive the linear combinations of the ``standard'' and ``exotic'' Einstein actions, from the (anti) self-duality of the ``internal'' Lorentzian indices. The relation to a genuine four-dimensional (anti)self-dual topological theory greatly facilitates the analysis and its relation to hyperbolic three-dimensional geometry. Finally a non-abelian vector field ``dual'' action is also obtained.Comment: 16+1 pages, LaTeX file, no figures, clarifications and comments added, typos corrected and one reference adde

The Strategic Exploitation of Limited Information and Opportunity in Networked Markets

This paper studies the effect of constraining interactions within a market. A model is analysed in which boundedly rational agents trade with and gather information from their neighbours within a trade network. It is demonstrated that a trader’s ability to profit and to identify the equilibrium price is positively correlated with its degree of connectivity within the market. Where traders differ in their number of potential trading partners, well-connected traders are found to benefit from aggressive trading behaviour.Where information propagation is constrained by the topology of the trade network, connectedness affects the nature of the strategies employed

Sphingosine-1 phosphate induces cAMP/PKA-independent phosphorylation of the cAMP response element-binding protein (CREB) in granulosa cells

Background and aims: Sphingosine-1 phosphate (S1P) is a lysosphingolipid present in the ovarian follicular fluid. The role of the lysosphingolipid in gonads of the female is widely unclear. At nanomolar concentrations, S1P binds and activates five specific G protein-coupled receptors (GPCRs), known as S1P1-5, modulating different signaling pathways. S1P1 and S1P3 are highly expressed in human primary granulosa lutein cells (hGLC), as well as in the immortalized human primary granulosa cell line hGL5. In this study, we evaluated the signaling cascade activated by S1P and its synthetic analogues in hGLC and hGL5 cells, exploring the biological relevance of S1PR-stimulation in this context. METHODS AND RESULTS. hGLC and hGL5 cells were treated with a fixed dose (0.1 \u3bcM) of S1P, or by S1P1- and S1P3-specific agonists SEW2871 and CYM5541. In granulosa cells, S1P and, at a lesser extent, SEW2871 and CYM5541, potently induced CREB phosphorylation. No cAMP production was detected and pCREB activation occurred even in the presence of the PKA inhibitor H-89. Moreover, S1P-dependent CREB phosphorylation was dampened by the mitogen-activate protein kinase (MEK) inhibitor U0126 and by the L-type Ca2+ channel blocker verapamil. The complete inhibition of CREB phosphorylation occurred by blocking either S1P2 or S1P3 with the specific receptor antagonists JTE-013 and TY52156, or under PLC/PI3K depletion. S1P-dependent CREB phosphorylation induced FOXO1 and the EGF-like epiregulin-encoding gene (EREG), confirming the exclusive role of gonadotropins and interleukins in this process, but did not affect steroidogenesis. However, S1P or agonists did not modulate granulosa cell viability and proliferation in our conditions. Conclusions: This study demonstrates for the first time that S1P may induce a cAMP-independent activation of pCREB in granulosa cells, although this is not sufficient to induce intracellular steroidogenic signals and progesterone synthesis. S1P-induced FOXO1 and EREG gene expression suggests that the activation of S1P\u2013S1PR axis may cooperate with gonadotropins in modulating follicle development

A Study of Time-Dependent CP-Violating Asymmetries and Flavor Oscillations in Neutral B Decays at the Upsilon(4S)

We present a measurement of time-dependent CP-violating asymmetries in neutral B meson decays collected with the BABAR detector at the PEP-II asymmetric-energy B Factory at the Stanford Linear Accelerator Center. The data sample consists of 29.7 ${\rm fb}^{-1}$ recorded at the $\Upsilon(4S)$ resonance and 3.9 ${\rm fb}^{-1}$ off-resonance. One of the neutral B mesons, which are produced in pairs at the $\Upsilon(4S)$, is fully reconstructed in the CP decay modes $J/\psi K^0_S$, $\psi(2S) K^0_S$, $\chi_{c1} K^0_S$, $J/\psi K^{*0}$ ($K^{*0}\to K^0_S\pi^0$) and $J/\psi K^0_L$, or in flavor-eigenstate modes involving $D^{(*)}\pi/\rho/a_1$ and $J/\psi K^{*0}$ ($K^{*0}\to K^+\pi^-$). The flavor of the other neutral B meson is tagged at the time of its decay, mainly with the charge of identified leptons and kaons. The proper time elapsed between the decays is determined by measuring the distance between the decay vertices. A maximum-likelihood fit to this flavor eigenstate sample finds $\Delta m_d = 0.516\pm 0.016 {\rm (stat)} \pm 0.010 {\rm (syst)} {\rm ps}^{-1}$. The value of the asymmetry amplitude $\sin2\beta$ is determined from a simultaneous maximum-likelihood fit to the time-difference distribution of the flavor-eigenstate sample and about 642 tagged $B^0$ decays in the CP-eigenstate modes. We find $\sin2\beta=0.59\pm 0.14 {\rm (stat)} \pm 0.05 {\rm (syst)}$, demonstrating that CP violation exists in the neutral B meson system. (abridged)Comment: 58 pages, 35 figures, submitted to Physical Review

Measurement of the B0-anti-B0-Oscillation Frequency with Inclusive Dilepton Events

The $B^0$-$\bar B^0$ oscillation frequency has been measured with a sample of 23 million \B\bar B pairs collected with the BABAR detector at the PEP-II asymmetric B Factory at SLAC. In this sample, we select events in which both B mesons decay semileptonically and use the charge of the leptons to identify the flavor of each B meson. A simultaneous fit to the decay time difference distributions for opposite- and same-sign dilepton events gives $\Delta m_d = 0.493 \pm 0.012{(stat)}\pm 0.009{(syst)}$ ps$^{-1}$.Comment: 7 pages, 1 figure, submitted to Physical Review Letter

Measurement of the branching fraction and CP content for the decay B(0) -> D(*+)D(*-)

This is the pre-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2002 APS.We report a measurement of the branching fraction of the decay B0→D*+D*- and of the CP-odd component of its final state using the BABAR detector. With data corresponding to an integrated luminosity of 20.4  fb-1 collected at the Υ(4S) resonance during 1999–2000, we have reconstructed 38 candidate signal events in the mode B0→D*+D*- with an estimated background of 6.2±0.5 events. From these events, we determine the branching fraction to be B(B0→D*+D*-)=[8.3±1.6(stat)±1.2(syst)]×10-4. The measured CP-odd fraction of the final state is 0.22±0.18(stat)±0.03(syst).This work is supported by DOE and NSF (USA), NSERC (Canada), IHEP (China), CEA and CNRS-IN2P3 (France), BMBF (Germany), INFN (Italy), NFR (Norway), MIST (Russia), and PPARC (United Kingdom). Individuals have received support from the A.P. Sloan Foundation, Research Corporation, and Alexander von Humboldt Foundation

Measurement of D-s(+) and D-s(*+) production in B meson decays and from continuum e(+)e(-) annihilation at √s=10.6 GeV

This is the pre-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2002 APSNew measurements of Ds+ and Ds*+ meson production rates from B decays and from qq̅ continuum events near the Υ(4S) resonance are presented. Using 20.8 fb-1 of data on the Υ(4S) resonance and 2.6 fb-1 off-resonance, we find the inclusive branching fractions B(B⃗Ds+X)=(10.93±0.19±0.58±2.73)% and B(B⃗Ds*+X)=(7.9±0.8±0.7±2.0)%, where the first error is statistical, the second is systematic, and the third is due to the Ds+→φπ+ branching fraction uncertainty. The production cross sections σ(e+e-→Ds+X)×B(Ds+→φπ+)=7.55±0.20±0.34pb and σ(e+e-→Ds*±X)×B(Ds+→φπ+)=5.8±0.7±0.5pb are measured at center-of-mass energies about 40 MeV below the Υ(4S) mass. The branching fractions ΣB(B⃗Ds(*)+D(*))=(5.07±0.14±0.30±1.27)% and ΣB(B⃗Ds*+D(*))=(4.1±0.2±0.4±1.0)% are determined from the Ds(*)+ momentum spectra. The mass difference m(Ds+)-m(D+)=98.4±0.1±0.3MeV/c2 is also measured.This work was supported by DOE and NSF (USA), NSERC (Canada), IHEP (China), CEA and CNRS-IN2P3 (France), BMBF (Germany), INFN (Italy), NFR (Norway), MIST (Russia), and PPARC (United Kingdom). Individuals have received support from the Swiss NSF, A. P. Sloan Foundation, Research Corporation, and Alexander von Humboldt Foundation