Statistical mixing and aggregation in Feller diffusion

We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion, such as stochastic volatility and interest rates in finance, and neuronal and populations dynamics in natural sciences. We focus on the statistical mixing (or superstatistical) process in which the parameter related to the mean value can fluctuate - a plausible mechanism for the emergence of heavy-tailed distributions. We obtain analytical results for the associated probability density function (both stationary and time dependent), its correlation structure and aggregation properties. Our results are applied to explain the statistics of stock traded volume at different aggregation scales.Comment: 16 pages, 3 figures. To be published in Journal of Statistical Mechanics: Theory and Experimen

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter

On exact time-averages of a massive Poisson particle

In this work we study, under the Stratonovich definition, the problem of the damped oscillatory massive particle subject to a heterogeneous Poisson noise characterised by a rate of events, \lambda (t), and a magnitude, \Phi, following an exponential distribution. We tackle the problem by performing exact time-averages over the noise in a similar way to previous works analysing the problem of the Brownian particle. From this procedure we obtain the long-term equilibrium distributions of position and velocity as well as analytical asymptotic expressions for the injection and dissipation of energy terms. Considerations on the emergence of stochastic resonance in this type of system are also set forth.Comment: 21 pages, 5 figures. To be published in Journal of Statistical Mechanics: Theory and Experimen

Components of multifractality in the Central England Temperature anomaly series

We study the multifractal nature of the Central England Temperature (CET) anomaly, a time series that spans more than 200 years. The series is analyzed as a complete data set and considering a sliding window of 11 years. In both cases, we quantify the broadness of the multifractal spectrum as well as its components defined by the deviations from the Gaussian distribution and the influence of the dependence between measurements. The results show that the chief contribution to the multifractal structure comes from the dynamical dependencies, mainly the weak ones, followed by a residual contribution of the deviations from Gaussianity. However, using the sliding window, we verify that the spikes in the non-Gaussian contribution occur at very close dates associated with climate changes determined in previous works by component analysis methods. Moreover, the strong non-Gaussian contribution found in the multifractal measures from the 1960s onwards is in agreement with global results very recently proposed in the literature.Comment: 21 pages, 10 figure

Minding impacting events in a model of stochastic variance

We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a clustering profile. Specifically, inspired by the fact that in a variety of systems impacting events are hardly forgot, we split the process into two different regimes: a first one for regular periods where the average volatility of the fluctuations within a certain period of time is below a certain threshold and another one when the local standard deviation outnumbers it. In the former situation we use standard rules for heteroscedastic processes whereas in the latter case the system starts recalling past values that surpassed the threshold. Our results show that for appropriate parameter values the model is able to provide fat tailed probability density functions and strong persistence of the instantaneous variance characterised by large values of the Hurst exponent is greater than 0.8, which are ubiquitous features in complex systems.Comment: 18 pages, 5 figures, 1 table. To published in PLoS on

Hyperhomocysteinemia in Renal Transplantation: Preliminary Results

Cardiovascular disease (CVD) is a major cause of morbidity and mortality after renal transplantation (RT).[1] and [2] The excess risk of CVD in RT is due in part to a higher prevalence of established atherosclerotic risk factors, including hypertension, dyslipidemia, diabetes, obesity, and physical inactivity.[1] and [2] However, some renal-related risk factors like immunosuppressive medication and residual renal insufficiency also contribute to this excess CVD risk and may complicate the management of dyslipidemia and hypertension in this population.[1] and [2] Accordingly, there is a compelling need to identify and safely manage other putative CVD risk factors among RT patients. Elevated plasma homocysteine is emerging as an important risk factor for cardiovascular disease in general populations.[3] and 4 R Clarke, L Daly and K Robinson et al., N Engl J Med 324 (1991), p. 1149. View Record in Scopus | Cited By in Scopus (1372)[4] Some studies have demonstrated that hyperhomocysteinemia is present in patients with impaired renal function and is associated with CVD.[5], [6] and [7] Only a small number of studies are available on the prevalence and determinants of hyperhomocysteinemia in renal transplant recipients.[8], [9], [10], [11], [12], [13], [14] and [15] We undertook this study to 1. estimate the prevalence of hyperhomocysteinemia in renal transplant recipients; 2. examine the relationships between plasma total homocysteine (tHcy) and its metabolic determinants vitamin B6, vitamin B12, and folic acid; and 3. identify other determinants of tHcy

Superstatistical distributions from a maximum entropy principle

We deal with a generalized statistical description of nonequilibrium complex systems based on least biased distributions given some prior information. A maximum entropy principle is introduced that allows for the determination of the distribution of the fluctuating intensive parameter $\beta$ of a superstatistical system, given certain constraints on the complex system under consideration. We apply the theory to three examples: The superstatistical quantum mechanical harmonic oscillator, the superstatistical classical ideal gas, and velocity time series as measured in a turbulent Taylor-Couette flow

Componentes da dieta artificial de Anthonomus grandis (Coleoptera: Curculionidae) afetam a viabilidade dos conídios de Metarhizium anisopliae (Hypocreales: Clavicipitaceae)?

Estudos tem demonstrado que Metarhizium anisopliae (Hypocreales: Clavicipitaceae) é altamente virulento a Anthonomus grandis (Coleoptera: Curculionidae) quando os adultos se alimentam de botões florais, mas quando se alimentam de dieta artificial a mortalidade dos adultos pelo fungo reduz significativamente. Desta forma, o objetivo deste trabalho foi determinar se componentes da dieta artificial de A. grandis podem afetar a germinação de M. anisopliae

An objective framework to test the quality of candidate indicators of good environmental status

This is the final version. Available from the publisher via the DOI in this record.Large efforts are on-going within the EU to prepare the Marine Strategy Framework Directive's (MSFD) assessment of the environmental status of the European seas. This assessment will only be as good as the indicators chosen to monitor the 11 descriptors of good environmental status (GEnS). An objective and transparent framework to determine whether chosen indicators actually support the aims of this policy is, however, not yet in place. Such frameworks are needed to ensure that the limited resources available to this assessment optimize the likelihood of achieving GEnS within collaborating states. Here, we developed a hypothesis-based protocol to evaluate whether candidate indicators meet quality criteria explicit to the MSFD, which the assessment community aspires to. Eight quality criteria are distilled from existing initiatives, and a testing and scoring protocol for each of them is presented. We exemplify its application in three worked examples, covering indicators for three GEnS descriptors (1, 5, and 6), various habitat components (seaweeds, seagrasses, benthic macrofauna, and plankton), and assessment regions (Danish, Lithuanian, and UK waters). We argue that this framework provides a necessary, transparent and standardized structure to support the comparison of candidate indicators, and the decision-making process leading to indicator selection. Its application could help identify potential limitations in currently available candidate metrics and, in such cases, help focus the development of more adequate indicators. Use of such standardized approaches will facilitate the sharing of knowledge gained across the MSFD parties despite context-specificity across assessment regions, and support the evidence-based management of European seas.European Union: 7th Framework ProgrammeNatural Environment Research Council (NERC)UK Department for Environment, Food and Rural Affair

A new living lab for usability evaluation of ICT and next generation networks for elderly@home

Living Usability Lab for Next Generation Networks (www.livinglab.pt) is a Portuguese industry-academia collaborative R&D project, active in the field of live usability testing, focusing on the development of technologies and services to support healthy, productive and active citizens. The project adopts the principles of universal design and natural user interfaces (speech, gesture) making use of the benefits of next generation networks and distributed computing. Therefore, it will have impact on the general population, including the elderly and citizens with permanent or situational special needs. This paper presents project motivations, conceptual model, architecture and work in progress.info:eu-repo/semantics/acceptedVersio