Hybrid scheme for Brownian semistationary processes

We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to approximate the kernel function by a power function near zero and by a step function elsewhere. The resulting approximation of the process is a combination of Wiener integrals of the power function and a Riemann sum, which is why we call this method a hybrid scheme. Our main theoretical result describes the asymptotics of the mean square error of the hybrid scheme and we observe that the scheme leads to a substantial improvement of accuracy compared to the ordinary forward Riemann-sum scheme, while having the same computational complexity. We exemplify the use of the hybrid scheme by two numerical experiments, where we examine the finite-sample properties of an estimator of the roughness parameter of a Brownian semistationary process and study Monte Carlo option pricing in the rough Bergomi model of Bayer et al. [Quant. Finance 16(6), 887-904, 2016], respectively.Comment: 33 pages, 4 figures, v4: minor revision, in particular we have derived a new expression (3.5), equivalent to the previous one but numerically more convenient, for the off-diagonal elements of the covariance matrix Sigm

The Local Fractional Bootstrap

We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data

Electron-electron interaction effects in quantum point contacts

We consider electron-electron interaction effects in quantum point contacts on the first quantization plateau, taking into account all scattering processes. We compute the low-temperature linear and nonlinear conductance, shot noise, and thermopower, by perturbation theory and a self-consistent nonperturbative method. On the conductance plateau, the low-temperature corrections are solely due to momentum-nonconserving processes that change the relative number of left- and right-moving electrons. This leads to a suppression of the conductance for increasing temperature or voltage. The size of the suppression is estimated for a realistic saddle-point potential, and is largest in the beginning of the conductance plateau. For large magnetic field, interaction effects are strongly suppressed by the Pauli principle, and hence the first spin-split conductance plateau has a much weaker interaction correction. For the nonperturbative calculations, we use a self-consistent nonequilibrium Green's function approach, which suggests that the conductance saturates at elevated temperatures. These results are consistent with many experimental observations related to the so-called 0.7 anomaly

Variations in Postprandial Blood Glucose Responses and Satiety after Intake of Three Types of Bread

Background. The magnitude and duration of postprandial blood glucose (PPG) elevations are important risk factors of diabetes and coronary heart diseases. Aim. To study PPG after ingestion of breads with and without pea fibre and rapeseed oil. Methods. After fasting overnight, 10 Pakistani immigrant women participated in three experiments having a crossover design and involving ingestion of various types of bread: regular coarse bread or fibre enriched-bread with two levels of rapeseed oil, all providing 25 g available carbohydrates (CHO). Blood glucose and satiety were determined before the meal and every 15 min over the next 2 hours. Results. Intake of an amount of pea fibre-enriched bread containing 25 g CHO attenuated, the postprandial peak glucose value, the incremental area under the glucose versus time curve during 15 to 75 min, and the glycemic profile, and increased duration of satiety (P < .05), as compared with intake of regular bread with 25 g carbohydrate. Conclusion. Pea fibre-enriched breads can reduce PPG and prolong satiety

Unsteady effects during resistance tests on a ship model in a towing tank

It is known that there are oscillations in the wave resistance during the constantvelocity phase of a towing-tank resistance test on a ship model. In this work, the unsteady thin-ship resistance theory has been applied to this case. The results have been compared with experiment data obtained using a towing carriage the velocity history of which can be programmed. It is demonstrated here that generally excellent correlation exists between the theory and the experiments. In particular, one can predict the influence of Froude number, rate of acceleration, and type of smoothing of the acceleration on the characteristics of the oscillations. These characteristics include the amplitude, rate of decay, frequency, and phasing of the oscillations in the curve of wave resistance versus time

Periplasmic expression of soluble single chain T cell receptors is rescued by the chaperone FkpA

<p>Abstract</p> <p>Background</p> <p>Efficient expression systems exist for antibody (Ab) molecules, which allow for characterization of large numbers of individual Ab variants. In contrast, such expression systems have been lacking for soluble T cell receptors (TCRs). Attempts to generate bacterial systems have generally resulted in low yields and material which is prone to aggregation and proteolysis. Here we present an optimized periplasmic bacterial expression system for soluble single chain (sc) TCRs.</p> <p>Results</p> <p>The effect of 1) over-expression of the periplasmic chaperon FkpA, 2) culture conditions and 3) molecular design was investigated. Elevated levels of FkpA allowed periplasmic soluble scTCR expression, presumably by preventing premature aggregation and inclusion body formation. Periplasmic expression enables disulphide bond formation, which is a prerequisite for the scTCR to reach its correct fold. It also enables quick and easy recovery of correctly folded protein without the need for time-consuming downstream processing. Expression without IPTG induction further improved the periplasmic expression yield, while addition of sucrose to the growth medium showed little effect. Shaker flask yield of mg levels of active purified material was obtained. The Vαβ domain orientation was far superior to the Vβα domain orientation regarding monomeric yield of functionally folded molecules.</p> <p>Conclusion</p> <p>The general expression regime presented here allows for rapid production of soluble scTCRs and is applicable for 1) high yield recovery sufficient for biophysical characterization and 2) high throughput screening of such molecules following molecular engineering.</p