Double Exponential Instability of Triangular Arbitrage Systems

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.Comment: 22 pages, 22 bibliography references, expanded Introduction and Conclusion, added bibliohraphy reference

Continuation-Passing C: compiling threads to events through continuations

In this paper, we introduce Continuation Passing C (CPC), a programming language for concurrent systems in which native and cooperative threads are unified and presented to the programmer as a single abstraction. The CPC compiler uses a compilation technique, based on the CPS transform, that yields efficient code and an extremely lightweight representation for contexts. We provide a proof of the correctness of our compilation scheme. We show in particular that lambda-lifting, a common compilation technique for functional languages, is also correct in an imperative language like C, under some conditions enforced by the CPC compiler. The current CPC compiler is mature enough to write substantial programs such as Hekate, a highly concurrent BitTorrent seeder. Our benchmark results show that CPC is as efficient, while using significantly less space, as the most efficient thread libraries available.Comment: Higher-Order and Symbolic Computation (2012). arXiv admin note: substantial text overlap with arXiv:1202.324

Budgeted personalized incentive approaches for smoothing congestion in resource networks

Abstract. Congestion occurs when there is competition for resources by selfish agents. In this paper, we are concerned with smoothing out congestion in a network of resources by using personalized well-timed incentives that are subject to budget constraints. To that end, we provide: (i) a mathematical formulation that computes equilibrium for the resource sharing congestion game with incentives and budget constraints; (ii) an integrated approach that scales to larger problems by exploiting the factored network structure and approximating the attained equilibrium; (iii) an iterative best response algorithm for solving the unconstrained version (no budget) of the resource sharing congestion game; and (iv) theoretical and empirical results (on an illustrative theme park problem) that demonstrate the usefulness of our approach.

Impact of target site distribution for Type I restriction enzymes on the evolution of methicillin-resistant Staphylococcus aureus (MRSA) populations.

A limited number of Methicillin-resistant Staphylococcus aureus (MRSA) clones are responsible for MRSA infections worldwide, and those of different lineages carry unique Type I restriction-modification (RM) variants. We have identified the specific DNA sequence targets for the dominant MRSA lineages CC1, CC5, CC8 and ST239. We experimentally demonstrate that this RM system is sufficient to block horizontal gene transfer between clinically important MRSA, confirming the bioinformatic evidence that each lineage is evolving independently. Target sites are distributed randomly in S. aureus genomes, except in a set of large conjugative plasmids encoding resistance genes that show evidence of spreading between two successful MRSA lineages. This analysis of the identification and distribution of target sites explains evolutionary patterns in a pathogenic bacterium. We show that a lack of specific target sites enables plasmids to evade the Type I RM system thereby contributing to the evolution of increasingly resistant community and hospital MRSA

Differences in genotype and virulence among four multidrug-resistant <i>Streptococcus pneumoniae</i> isolates belonging to the PMEN1 clone

We report on the comparative genomics and characterization of the virulence phenotypes of four &lt;i&gt;S. pneumoniae&lt;/i&gt; strains that belong to the multidrug resistant clone PMEN1 (Spain&lt;sup&gt;23F&lt;/sup&gt; ST81). Strains SV35-T23 and SV36-T3 were recovered in 1996 from the nasopharynx of patients at an AIDS hospice in New York. Strain SV36-T3 expressed capsule type 3 which is unusual for this clone and represents the product of an in vivo capsular switch event. A third PMEN1 isolate - PN4595-T23 - was recovered in 1996 from the nasopharynx of a child attending day care in Portugal, and a fourth strain - ATCC700669 - was originally isolated from a patient with pneumococcal disease in Spain in 1984. We compared the genomes among four PMEN1 strains and 47 previously sequenced pneumococcal isolates for gene possession differences and allelic variations within core genes. In contrast to the 47 strains - representing a variety of clonal types - the four PMEN1 strains grouped closely together, demonstrating high genomic conservation within this lineage relative to the rest of the species. In the four PMEN1 strains allelic and gene possession differences were clustered into 18 genomic regions including the capsule, the blp bacteriocins, erythromycin resistance, the MM1-2008 prophage and multiple cell wall anchored proteins. In spite of their genomic similarity, the high resolution chinchilla model was able to detect variations in virulence properties of the PMEN1 strains highlighting how small genic or allelic variation can lead to significant changes in pathogenicity and making this set of strains ideal for the identification of novel virulence determinant

Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Specific Evolution of F1-Like ATPases in Mycoplasmas

F1F0 ATPases have been identified in most bacteria, including mycoplasmas which have very small genomes associated with a host-dependent lifestyle. In addition to the typical operon of eight genes encoding genuine F1F0 ATPase (Type 1), we identified related clusters of seven genes in many mycoplasma species. Four of the encoded proteins have predicted structures similar to the α, β, γ and ε subunits of F1 ATPases and could form an F1-like ATPase. The other three proteins display no similarity to any other known proteins. Two of these proteins are probably located in the membrane, as they have three and twelve predicted transmembrane helices. Phylogenomic studies identified two types of F1-like ATPase clusters, Type 2 and Type 3, characterized by a rapid evolution of sequences with the conservation of structural features. Clusters encoding Type 2 and Type 3 ATPases were assumed to originate from the Hominis group of mycoplasmas. We suggest that Type 3 ATPase clusters may spread to other phylogenetic groups by horizontal gene transfer between mycoplasmas in the same host, based on phylogeny and genomic context. Functional analyses in the ruminant pathogen Mycoplasma mycoides subsp. mycoides showed that the Type 3 cluster genes were organized into an operon. Proteomic analyses demonstrated that the seven encoded proteins were produced during growth in axenic media. Mutagenesis and complementation studies demonstrated an association of the Type 3 cluster with a major ATPase activity of membrane fractions. Thus, despite their tendency toward genome reduction, mycoplasmas have evolved and exchanged specific F1-like ATPases with no known equivalent in other bacteria. We propose a model, in which the F1-like structure is associated with a hypothetical X0 sector located in the membrane of mycoplasma cells

Affine term structure models : a time-changed approach with perfect fit to market curves

We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach is often not appropriate when positivity is required, which is a common constraint when dealing with credit spreads or default intensities. In this paper, we tackle this problem by adopting a time change approach. On the top of providing an elegant solution to the calibration problem under positivity constraint, our model features additional interesting properties in terms of implied volatilities. It is compared to the shift extension on various credit risk applications such as credit default swap, credit default swaption and credit valuation adjustment under wrong-way risk. The time change approach is able to generate much larger volatility and covariance effects under the positivity constraint. Our model offers an appealing alternative to the shift in such cases.Comment: 44 pages, figures and table