Inferring short-term volatility indicators from Bitcoin blockchain

In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We infer the low-dimensional representations of transaction graphs in the time period from 2012 to 2017 using Bitcoin blockchain, and demonstrate how these representations can be used to predict extreme price volatility events. Our EWI, which is obtained with a non-negative decomposition, contains more predictive information than those obtained with singular value decomposition or scalar value of the total Bitcoin transaction volume

On the exchange of intersection and supremum of sigma-fields in filtering theory

We construct a stationary Markov process with trivial tail sigma-field and a nondegenerate observation process such that the corresponding nonlinear filtering process is not uniquely ergodic. This settles in the negative a conjecture of the author in the ergodic theory of nonlinear filters arising from an erroneous proof in the classic paper of H. Kunita (1971), wherein an exchange of intersection and supremum of sigma-fields is taken for granted.Comment: 20 page

Chronology with a pinch of salt:Integrated stratigraphy of Messinian evaporites in the deep Eastern Mediterranean reveals long-lasting halite deposition during Atlantic connectivity

The Messinian Salinity Crisis (MSC; 5.97–5.33 Ma) is considered an extreme environmental event driven by changes in climate and tectonics, which affected global ocean salinity and shaped the biogeochemical composition of the Mediterranean Sea. Yet, after more than 50 years of research, MSC stratigraphy remains controversial. Recent studies agree that the transition from the underlying pre-evaporite sediments to thick halite deposits is conformal in the deep Eastern Mediterranean Basin. However, the age of the base and the duration of halite deposition are still unclear. Also disputed is the nature of the intermediate and upper MSC units, which are characterized as periods of increased clastic deposition into the Eastern Mediterranean based on marginal outcrops and seismic data. We provide a multidisciplinary study of sedimentary, geochemical, and geophysical data from industrial offshore wells in the Levant Basin, which recovered a sedimentary record of deep-basin Mediterranean evaporites deposited during the MSC. In combination with previous observations of the MSC throughout the Mediterranean Basin, our results promote the need for a new chronological model. Remarkably, the one-kilometer-thick lower part of the evaporitic unit is composed of essentially pure halite, except for a thin transitional anhydrite layer at its base. The halite is undisturbed and homogeneous, lacking diverse features apparent in more proximal sections, indicating a deep-sea depositional environment. We find that distinct, meters-thick non-evaporitic intervals interbedded with the halite, previously thought to be clastic layers, are diatomites. While XRD analysis confirms an increase in clastic components in these sediments, they are composed primarily of well-preserved marine and freshwater planktonic diatoms. The occurrence of marine planktonic diatoms in these intervals indicates the input of Atlantic waters into the Mediterranean Basin during the deposition of the massive halite unit. Seismic stratigraphy and well-log cyclostratigraphy further support deep basin halite deposition, which started about 300 kyr earlier than widely assumed (~5.97 Ma). We propose that halite deposition in the deep Mediterranean took place during stage 1 of the MSC, rather than being limited to the short 50 kyr MSC acme when sea level was presumably at its lowest. Thus, brine formation, salt precipitation, and faunal extinction occurred at least in part in a deep, non-desiccated basin, with a restricted yet open Mediterranean-Atlantic connection that allowed inflow of oceanic water. We observe an increase in heavy minerals and reworked fauna within the clastic-evaporitic, Interbedded Evaporites of the basinal MSC section, and argue that these settings correspond in the deep basins with a significant sea-level drawdown during stage 2 of the MSC, as observed in the marginal sections. This correlation is corroborated by astrochronology and chemostratigraphic markers, such as the distribution of n-alkanes and biomarker-based thermal maturity indices. The Levant deposits indicate that high sea level and partial connectivity with global oceans promoted the deposition of deep-basin deep-water halite, while sea-level drawdown promoted deposition of reworked and transported material from the margins into deep Mediterranean basins. This study modifies the current understanding of the mechanisms governing salt deposition throughout the MSC with implications for other evaporitic events in the geologic record

Criticality Analysis of Activity Networks under Interval Uncertainty

Dedicated to the memory of Professor Stefan Chanas - The extended abstract version of this paper has appeared in Proceedings of 11th International Conference on Principles and Practice of Constraint Programming (CP2005) ("Interval Analysis in Scheduling", Fortin et al. 2005)International audienceThis paper reconsiders the Project Evaluation and Review Technique (PERT) scheduling problem when information about task duration is incomplete. We model uncertainty on task durations by intervals. With this problem formulation, our goal is to assert possible and necessary criticality of the different tasks and to compute their possible earliest starting dates, latest starting dates, and floats. This paper combines various results and provides a complete solution to the problem. We present the complexity results of all considered subproblems and efficient algorithms to solve them

Genome-Scale Analysis of Translation Elongation with a Ribosome Flow Model

We describe the first large scale analysis of gene translation that is based on a model that takes into account the physical and dynamical nature of this process. The Ribosomal Flow Model (RFM) predicts fundamental features of the translation process, including translation rates, protein abundance levels, ribosomal densities and the relation between all these variables, better than alternative (‘non-physical’) approaches. In addition, we show that the RFM can be used for accurate inference of various other quantities including genes' initiation rates and translation costs. These quantities could not be inferred by previous predictors. We find that increasing the number of available ribosomes (or equivalently the initiation rate) increases the genomic translation rate and the mean ribosome density only up to a certain point, beyond which both saturate. Strikingly, assuming that the translation system is tuned to work at the pre-saturation point maximizes the predictive power of the model with respect to experimental data. This result suggests that in all organisms that were analyzed (from bacteria to Human), the global initiation rate is optimized to attain the pre-saturation point. The fact that similar results were not observed for heterologous genes indicates that this feature is under selection. Remarkably, the gap between the performance of the RFM and alternative predictors is strikingly large in the case of heterologous genes, testifying to the model's promising biotechnological value in predicting the abundance of heterologous proteins before expressing them in the desired host

Latest Miocene restriction of the Mediterranean Outflow Water:a perspective from the Gulf of Cádiz

The Mediterranean-Atlantic water mass exchange provides the ideal setting for deciphering the role of gateway evolution in ocean circulation. However, the dynamics of Mediterranean Outflow Water (MOW) during the closure of the Late Miocene Mediterranean-Atlantic gateways are poorly understood. Here, we define the sedimentary evolution of Neogene basins from the Gulf of Cádiz to the West Iberian margin to investigate MOW circulation during the latest Miocene. Seismic interpretation highlights a middle to upper Messinian seismic unit of transparent facies, whose base predates the onset of the Messinian salinity crisis (MSC). Its facies and distribution imply a predominantly hemipelagic environment along the Atlantic margins, suggesting an absence or intermittence of MOW preceding evaporite precipitation in the Mediterranean, simultaneous to progressive gateway restriction. The removal of MOW from the Mediterranean-Atlantic water mass exchange reorganized the Atlantic water masses and is correlated to a severe weakening of the Atlantic Meridional Overturning Circulation (AMOC) and a period of further cooling in the North Atlantic during the latest Miocene

A mixture likelihood approach for generalized linear models

A mixture model approach is developed that simultaneously estimates the posterior membership probabilities of observations to a number of unobservable groups or latent classes, and the parameters of a generalized linear model which relates the observations, distributed according to some member of the exponential family, to a set of specified covariates within each Class. We demonstrate how this approach handles many of the existing latent class regression procedures as special cases, as well as a host of other parametric specifications in the exponential family heretofore not mentioned in the latent class literature. As such we generalize the McCullagh and Nelder approach to a latent class framework. The parameters are estimated using maximum likelihood, and an EM algorithm for estimation is provided. A Monte Carlo study of the performance of the algorithm for several distributions is provided, and the model is illustrated in two empirical applications.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/45934/1/357_2005_Article_BF01202266.pd

Non-Parametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions With Asymmetric Bidders

Within the independent private-values paradigm, we derive the data-generating process of the winning bid for the last unit sold at multi-unit sequential English auctions when bidder valuations are draws from different distributions; i.e., in the presence of asymmetries. When the identity of the winner as well as the number of units won by each bidder in previous stages of the auction are observed, we demonstrate nonparametric identification and then propose two estimation strategies, one based on the empirical distribution function of winning bids for the last unit sold and the other based on approximation methods using orthogonal polynomials. We apply our methods to daily data from fish auctions held in Grenå, Denmark. For single-unit supply, we use our estimates to compare the revenues a seller could expect to earn were a Dutch auction employed instead