Run-and-tumble particles in speckle fields

The random energy landscapes developed by speckle fields can be used to confine and manipulate a large number of micro-particles with a single laser beam. By means of molecular dynamics simulations, we investigate the static and dynamic properties of an active suspension of swimming bacteria embedded into speckle patterns. Looking at the correlation of the density fluctuations and the equilibrium density profiles, we observe a crossover phenomenon when the forces exerted by the speckles are equal to the bacteria's propulsion

Effective run-and-tumble dynamics of bacteria baths

{\it E. coli} bacteria swim in straight runs interrupted by sudden reorientation events called tumbles. The resulting random walks give rise to density fluctuations that can be derived analytically in the limit of non interacting particles or equivalently of very low concentrations. However, in situations of practical interest, the concentration of bacteria is always large enough to make interactions an important factor. Using molecular dynamics simulations, we study the dynamic structure factor of a model bacterial bath for increasing values of densities. We show that it is possible to reproduce the dynamics of density fluctuations in the system using a free run-and-tumble model with effective fitting parameters. We discuss the dependence of these parameters, e.g., the tumbling rate, tumbling time and self-propulsion velocity, on the density of the bath

MV-algebras freely generated by finite Kleene algebras

If V and W are varieties of algebras such that any V-algebra A has a reduct U(A) in W, there is a forgetful functor U: V->W that acts by A |-> U(A) on objects, and identically on homomorphisms. This functor U always has a left adjoint F: W->V by general considerations. One calls F(B) the V-algebra freely generated by the W-algebra B. Two problems arise naturally in this broad setting. The description problem is to describe the structure of the V-algebra F(B) as explicitly as possible in terms of the structure of the W-algebra B. The recognition problem is to find conditions on the structure of a given V-algebra A that are necessary and sufficient for the existence of a W-algebra B such that F(B) is isomorphic to A. Building on and extending previous work on MV-algebras freely generated by finite distributive lattices, in this paper we provide solutions to the description and recognition problems in case V is the variety of MV-algebras, W is the variety of Kleene algebras, and B is finitely generated--equivalently, finite. The proofs rely heavily on the Davey-Werner natural duality for Kleene algebras, on the representation of finitely presented MV-algebras by compact rational polyhedra, and on the theory of bases of MV-algebras.Comment: 27 pages, 8 figures. Submitted to Algebra Universali

Glycemia Regulation: From Feedback Loops to Organizational Closure.

Endocrinologists apply the idea of feedback loops to explain how hormones regulate certain bodily functions such as glucose metabolism. In particular, feedback loops focus on the maintenance of the plasma concentrations of glucose within a narrow range. Here, we put forward a different, organicist perspective on the endocrine regulation of glycaemia, by relying on the pivotal concept of closure of constraints. From this perspective, biological systems are understood as organized ones, which means that they are constituted of a set of mutually dependent functional structures acting as constraints, whose maintenance depends on their reciprocal interactions. Closure refers specifically to the mutual dependence among functional constraints in an organism. We show that, when compared to feedback loops, organizational closure can generate much richer descriptions of the processes and constraints at play in the metabolism and regulation of glycaemia, by making explicit the different hierarchical orders involved. We expect that the proposed theoretical framework will open the way to the construction of original mathematical models, which would provide a better understanding of endocrine regulation from an organicist perspective

Hedging Options with Scale-Invariant Models

A price process is scale-invariant if and only if the returns distribution is independent of the price level. We show that scale invariance preserves the homogeneity of a pay-off function throughout the life of the claim and hence prove that standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally priced using some form of scale-invariant process, e.g. a stochastic volatility, jump diffusion or Lévy process, this result has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal hedge ratios to use in a delta or delta-gamma hedge strategy; in fact we recommend the use of minimum variance hedge ratios for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging performance of various smile-consistent scale-invariant and non-scale-invariant models. We find no significant difference between the minimum variance hedges in the smile-consistent models but a significant improvement upon the standard, model-free hedge ratiosScale invariance, hedging, minimum variance, hedging, stochastic volatility

Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models

The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets. This ‘scale invariance’ feature is common to the Black-Scholes (1973) model, most stochastic volatility models and most jump-diffusion models. In this paper we extend the scale-invariant property to other models, including some local volatility, Lévy and mixture models, and derive a set of equivalence properties that are useful for classifying their hedging performance. Bates (2005) shows that, if calibrated exactly to the implied volatility smile, scale-invariant models have the same ‘model-free’ partial price sensitivities for vanilla options. We show that these model-free price hedge ratios are not optimal hedge ratios for many scale-invariant models. We derive optimal hedge ratios for stochastic and local volatility models that have not always been used in the literature. An empirical comparison of well-known models applied to SP 500 index options shows that optimal hedges are similar in all the smile-consistent models considered and they perform better than the Black-Scholes model on average. The partial price sensitivities of scale-invariant models provide the poorest hedges.