Dynamic multilateral markets

We study dynamic multilateral markets, in which players' payoffs result from intra-coalitional bargaining. The latter is modeled as the ultimatum game with exogenous (time-invariant) recognition probabilities and unanimity acceptance rule. Players in agreeing coalitions leave the market and are replaced by their replicas, which keeps the pool of market participants constant over time. In this infinite game, we establish payoff uniqueness of stationary equilibria and the emergence of endogenous cooperation structures when traders experience some degree of (heterogeneous) bargaining frictions. When we focus on market games with different player types, we derive, under mild conditions, an explicit formula for each type's equilibrium payoff as the market frictions vanish

Molecular Dynamics Simulations of the O-glycosylated 21-residue MUC1 Peptides

The conformational propensities of the 21-residue peptide and its Oglycosylated analogs were studied by molecular dynamics (MD) simulations. This polypeptide motif comprises the tandem repeat of the human mucin (MUC1) protein core that is differently glycosylated in normal and cancer cells. To evaluate the structural effects of O-glycosylation on the polypeptide backbone, conformations of the nonglycosylated peptide and its glycosylated analogs were monitored during the 1 ns MD simulations. Radius gyration for whole peptide and its fragments, as well as root-mean-square-deviation between coordinate sets of the backbone atoms of starting structures and generated structures, were calculated. It was shown that O-glycosylation promotes and stabilizes the extended conformations of the whole peptide and its central PDTRP fragment. O-glycosylation of the specific Thr residues significantly affects the conformational distributions of the flanking Ser residues. It was also shown that Oglycosylation promoted backbone conformations of the immunodominant region PDTRP that were similar to the structural features of the peptides presented by the major histocompatability complex (MHC) to T-cell receptors Keywords: glycoprotein MUC1, glycopeptides, molecular dynamics, conformations

Random Time Forward Starting Options

We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis, we can exhibit arbitrage free prices, which can be explicitly computed in many classical market models, at least under independence between the random time and the assets' prices. Practical implementations of the pricing methodologies are also provided. Finally a credit value adjustment formula for these OTC options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur

Quadrilateral-octagon coordinates for almost normal surfaces

Normal and almost normal surfaces are essential tools for algorithmic 3-manifold topology, but to use them requires exponentially slow enumeration algorithms in a high-dimensional vector space. The quadrilateral coordinates of Tollefson alleviate this problem considerably for normal surfaces, by reducing the dimension of this vector space from 7n to 3n (where n is the complexity of the underlying triangulation). Here we develop an analogous theory for octagonal almost normal surfaces, using quadrilateral and octagon coordinates to reduce this dimension from 10n to 6n. As an application, we show that quadrilateral-octagon coordinates can be used exclusively in the streamlined 3-sphere recognition algorithm of Jaco, Rubinstein and Thompson, reducing experimental running times by factors of thousands. We also introduce joint coordinates, a system with only 3n dimensions for octagonal almost normal surfaces that has appealing geometric properties.Comment: 34 pages, 20 figures; v2: Simplified the proof of Theorem 4.5 using cohomology, plus other minor changes; v3: Minor housekeepin

Random walk approach to the d-dimensional disordered Lorentz gas

A correlated random walk approach to diffusion is applied to the disordered nonoverlapping Lorentz gas. By invoking the Lu-Torquato theory for chord-length distributions in random media [J. Chem. Phys. 98, 6472 (1993)], an analytic expression for the diffusion constant in arbitrary number of dimensions d is obtained. The result corresponds to an Enskog-like correction to the Boltzmann prediction, being exact in the dilute limit, and better or nearly exact in comparison to renormalized kinetic theory predictions for all allowed densities in d=2,3. Extensive numerical simulations were also performed to elucidate the role of the approximations involved.Comment: 5 pages, 5 figure

Topological analysis of polymeric melts: Chain length effects and fast-converging estimators for entanglement length

Primitive path analyses of entanglements are performed over a wide range of chain lengths for both bead spring and atomistic polyethylene polymer melts. Estimators for the entanglement length N_e which operate on results for a single chain length N are shown to produce systematic O(1/N) errors. The mathematical roots of these errors are identified as (a) treating chain ends as entanglements and (b) neglecting non-Gaussian corrections to chain and primitive path dimensions. The prefactors for the O(1/N) errors may be large; in general their magnitude depends both on the polymer model and the method used to obtain primitive paths. We propose, derive and test new estimators which eliminate these systematic errors using information obtainable from the variation of entanglement characteristics with chain length. The new estimators produce accurate results for N_e from marginally entangled systems. Formulas based on direct enumeration of entanglements appear to converge faster and are simpler to apply.Comment: Major revisions. Developed near-ideal estimators which operate on multiple chain lengths. Now test these on two very different model polymers

On the unsteady behavior of turbulence models

Periodically forced turbulence is used as a test case to evaluate the predictions of two-equation and multiple-scale turbulence models in unsteady flows. The limitations of the two-equation model are shown to originate in the basic assumption of spectral equilibrium. A multiple-scale model based on a picture of stepwise energy cascade overcomes some of these limitations, but the absence of nonlocal interactions proves to lead to poor predictions of the time variation of the dissipation rate. A new multiple-scale model that includes nonlocal interactions is proposed and shown to reproduce the main features of the frequency response correctly

Shear flow effects on phase separation of entangled polymer blends

We introduce an entanglement model mixing rule for stress relaxation in a polymer blend to a modified Cahn-Hilliard equation of motion for concentration fluctuations in the presence of shear flow. Such an approach predicts both shear-induced mixing and demixing, depending on the relative relaxation times and plateau moduli of the two components

Hierarchical search strategy for the detection of gravitational waves from coalescing binaries: Extension to post-Newtonian wave forms

The detection of gravitational waves from coalescing compact binaries would be a computationally intensive process if a single bank of template wave forms (i.e., a one step search) is used. In an earlier paper we had presented a detection strategy, called a two step search}, that utilizes a hierarchy of template banks. It was shown that in the simple case of a family of Newtonian signals, an on-line two step search was about 8 times faster than an on-line one step search (for initial LIGO). In this paper we extend the two step search to the more realistic case of zero spin 1.5 post-Newtonian wave forms. We also present formulas for detection and false alarm probabilities which take statistical correlations into account. We find that for the case of a 1.5 post-Newtonian family of templates and signals, an on-line two step search requires about 1/21 the computing power that would be required for the corresponding on-line one step search. This reduction is achieved when signals having strength S = 10.34 are required to be detected with a probability of 0.95, at an average of one false event per year, and the noise power spectral density used is that of advanced LIGO. For initial LIGO, the reduction achieved in computing power is about 1/27 for S = 9.98 and the same probabilities for detection and false alarm as above.Comment: 30 page RevTeX file and 17 figures (postscript). Submitted to PRD Feb 21, 199

Anomalous temperature behavior of resistivity in lightly doped manganites around a metal-insulator phase transition

An unusual temperature and concentration behavior of resistivity in $La_{0.7}Ca_{0.3}Mn_{1-x}Cu_xO_3$ has been observed at slight $Cu$ doping ($0\leq x \leq 0.05$). Namely, introduction of copper results in a splitting of the resistivity maximum around a metal-insulator transition temperature $T_0(x)$ into two differently evolving peaks. Unlike the original $Cu$-free maximum which steadily increases with doping, the second (satellite) peak remains virtually unchanged for $x<x_c$, increases for $x\ge x_c$ and finally disappears at $x_m\simeq 2x_c$ with $x_c\simeq 0.03$. The observed phenomenon is thought to arise from competition between substitution induced strengthening of potential barriers (which hamper the charge hopping between neighboring $Mn$ sites) and weakening of carrier's kinetic energy. The data are well fitted assuming a nonthermal tunneling conductivity theory with randomly distributed hopping sites.Comment: 10 REVTEX pages, 2 PostScript figures (epsf.sty); to be published in JETP Letter