Frontiers of finance: Evolution and efficient markets

In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions of research, some focusing on more elaborate mathematical models that are captable of rationalizing the empirical facrts, others taking a completely different different tack in rejecting rationality altogether. One of the most promising directions is to view financial markets from a biological perspective and, specifically, with an evolutionary framework in which markets, instruments, institutions, and investors interact and evolve dynamically according to the "law" of economic selection. Under this view, financial agents compete and adapt, but they do not necessarily do so in an optimal fashion. Evolutionary and ecological models of financial markets is truly a new frontier whose exploration has just begun.Comment: 2 page

Design of a Multi-Moon Orbiter

The Multi-Moon Orbiter concept is introduced, wherein a single spacecraft orbits several moons of Jupiter, allowing long duration observations. The ΔV requirements for this mission can be low if ballistic captures and resonant gravity assists by Jupiter’s moons are used. For example, using only 22 m/s, a spacecraft initially injected in a jovian orbit can be directed into a capture orbit around Europa, orbiting both Callisto and Ganymede enroute. The time of flight for this preliminary trajectory is four years, but may be reduced by striking a compromise between fuel and time optimization during the inter-moon transfer phases

Application of dynamical systems theory to a very low energy transfer

We use lobe dynamics in the restricted three-body problem to design orbits with prescribed itineraries with respect to the resonance regions within a Hill’s region. The application we envision is the design of a low energy trajectory to orbit three of Jupiter’s moons using the patched three-body approximation (P3BA). We introduce the “switching region,” the P3BA analogue to the “sphere of influence.” Numerical results are given for the problem of finding the fastest trajectory from an initial region of phase space (escape orbits from moon A) to a target region (orbits captured by moon B) using small controls

Invariant Manifolds, the Spatial Three-Body Problem and Space Mission Design

The invariant manifold structures of the collinear libration points for the spatial restricted three-body problem provide the framework for understanding complex dynamical phenomena from a geometric point of view. In particular, the stable and unstable invariant manifold \tubes" associated to libration point orbits are the phase space structures that provide a conduit for orbits between primary bodies for separate three-body systems. These invariant manifold tubes can be used to construct new spacecraft trajectories, such as a \Petit Grand Tour" of the moons of Jupiter. Previous work focused on the planar circular restricted three-body problem. The current work extends the results to the spatial case

Assessing individual dietary intake in food sharing scenarios with food and human pose detection

Food sharing and communal eating are very common in some countries. To assess individual dietary intake in food sharing scenarios, this work proposes a vision-based approach to first capturing the food sharing scenario with a 360-degree camera, and then using a neural network to infer different eating states of each individual based on their body pose and relative positions to the dishes. The number of bites each individual has taken of each dish is then deduced by analyzing the inferred eating states. A new dataset with 14 panoramic food sharing videos was constructed to validate our approach. The results show that our approach is able to reliably predict different eating states as well as individual’s bite count with respect to each dish in food sharing scenarios

Relay-Assisted User Scheduling in Wireless Networks with Hybrid-ARQ

This paper studies the problem of relay-assisted user scheduling for downlink wireless transmission. The base station or access point employs hybrid automatic-repeat-request (HARQ) with the assistance of a set of fixed relays to serve a set of mobile users. By minimizing a cost function of the queue lengths at the base station and the number of retransmissions of the head-of-line packet for each user, the base station can schedule an appropriate user in each time slot and an appropriate transmitter to serve it. It is shown that a priority-index policy is optimal for a linear cost function with packets arriving according to a Poisson process and for an increasing convex cost function where packets must be drained from the queues at the base station.Comment: 14 pages, 5 figures, submitted to the IEEE Transactions on Vehicular Technology in October 2008, revised in March 2009 and May 200

Point2Volume: A vision-based dietary assessment approach using view synthesis

Dietary assessment is an important tool for nutritional epidemiology studies. To assess the dietary intake, the common approach is to carry out 24-h dietary recall (24HR), a structured interview conducted by experienced dietitians. Due to the unconscious biases in such self-reporting methods, many research works have proposed the use of vision-based approaches to provide accurate and objective assessments. In this article, a novel vision-based method based on real-time three-dimensional (3-D) reconstruction and deep learning view synthesis is proposed to enable accurate portion size estimation of food items consumed. A point completion neural network is developed to complete partial point cloud of food items based on a single depth image or video captured from any convenient viewing position. Once 3-D models of food items are reconstructed, the food volume can be estimated through meshing. Compared to previous methods, our method has addressed several major challenges in vision-based dietary assessment, such as view occlusion and scale ambiguity, and it outperforms previous approaches in accurate portion size estimation

The role of initial geometry in experimental models of wound closing

Wound healing assays are commonly used to study how populations of cells, initialised on a two-dimensional surface, act to close an artificial wound space. While real wounds have different shapes, standard wound healing assays often deal with just one simple wound shape, and it is unclear whether varying the wound shape might impact how we interpret results from these experiments. In this work, we describe a new kind of wound healing assay, called a sticker assay, that allows us to examine the role of wound shape in a series of wound healing assays performed with fibroblast cells. In particular, we show how to use the sticker assay to examine wound healing with square, circular and triangular shaped wounds. We take a standard approach and report measurements of the size of the wound as a function of time. This shows that the rate of wound closure depends on the initial wound shape. This result is interesting because the only aspect of the assay that we change is the initial wound shape, and the reason for the different rate of wound closure is unclear. To provide more insight into the experimental observations we describe our results quantitatively by calibrating a mathematical model, describing the relevant transport phenomena, to match our experimental data. Overall, our results suggest that the rates of cell motility and cell proliferation from different initial wound shapes are approximately the same, implying that the differences we observe in the wound closure rate are consistent with a fairly typical mathematical model of wound healing. Our results imply that parameter estimates obtained from an experiment performed with one particular wound shape could be used to describe an experiment performed with a different shape. This fundamental result is important because this assumption is often invoked, but never tested

Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses? An Analytical Framework

A common theme in the regulation of financial institutions and transactions is leverage constraints. Although such constraints are implemented in various ways—from minimum net capital rules to margin requirements to credit limits—the basic motivation is the same: to limit the potential losses of certain counterparties. However, the emergence of dynamic trading strategies, derivative securities, and other financial innovations poses new challenges to these constraints. We propose a simple analytical framework for specifying leverage constraints that addresses this challenge by explicitly linking the likelihood of financial loss to the behavior of the financial entity under supervision and prevailing market conditions. An immediate implication of this framework is that not all leverage is created equal, and any fixed numerical limit can lead to dramatically different loss probabilities over time and across assets and investment styles. This framework can also be used to investigate the macroprudential policy implications of microprudential regulations through the general-equilibrium impact of leverage constraints on market parameters such as volatility and tail probabilities.Massachusetts Institute of Technology. Laboratory for Financial EngineeringNorthwestern University School of Law (Faculty Research Program