A nonparametric dimension test of the term structure

This paper addresses the problem of conducting a nonparametric test of the dimension of the state variable vector in a continuous-time term structure model. The paper shows that a bivariate diffusion function of the short rate process is a sufficient condition for the term structure to be driven by two stochastic factors. Using an easy-to-implement kernel smoothing method the number of state variables can be tested under very unrestrictive assumptions. The results suggest that continuous-time models for the US interest rates should contain at least two stochastic factors

A NONPARAMETRIC DIMENSION TEST OF THE TERM STRUCTURE

This paper addresses the problem of conducting a nonparametric test of the dimension of the state variable vector in a continuous-time term structure model. The paper shows that a bivariate diffusion function of the short rate process is a sufficient condition for the term structure to be driven by two stochastic factors. Using an easy-to-implement kernel smoothing method the number of state variables can be tested under very unrestrictive assumptions. The results suggest that continuous-time models for the US interest rates should contain at least two stochastic factors.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

A nonparametric dimension test of the term structure

In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates. This paper studies the empirical relevance of both issues from a time-series nonparametric perspective. The analysis is formulated as a test for the dependence of the short rate drift and diffusion on variables other than the short rate, and exploits Ait-Sahalia, Bickel, and Stocker (2001) dimension reduction method. The paper explores the finite sample performance of the method and applies the test to US interest rate data. Results reject a single-factor Markovian model, although conclusions are sensitive to the choice of additional conditioning variables.Publicad

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates. This paper studies the empirical relevance of both issues from a time-series nonparametric perspective. The analysis is formulated as a test for the dependence of the short rate drift and diffusion on variables other than the short rate, and exploits Ait-Sahalia, Bickel, and Stocker (2001) dimension reduction method. The paper explores the finite sample performance of the method and applies the test to US interest rate data. Results reject a single-factor Markovian model, although conclusions are sensitive to the choice of additional conditioning variables.Javier Gil-Bazo thanks funding from Ministerio de Educación y Cultura, grant SEC2001-1169. Gonzalo Rubio acknowledges the financial support provided by Ministerio de Ciencia y Tecnología, grant BEC2001-0636, and by Fundación BBVA, research grant 1-BBVA 0004.321-15466/2002

Delimited Massively Parallel Algorithm based on Rules Elimination for Application of Active Rules in Transition P Systems

In the field of Transition P systems implementation, it has been determined that it is very important to determine in advance how long takes evolution rules application in membranes. Moreover, to have time estimations of rules application in membranes makes possible to take important decisions related to hardware/software architectures design. The work presented here introduces an algorithm for applying active evolution rules in Transition P systems, which is based on active rules elimination. The algorithm complies the requisites of being nondeterministic, massively parallel, and what is more important, it is time delimited because it is only dependant on the number of membrane evolution rules

Métodos acotados de aplicación de reglas de evolución para la implementación de Sistemas P de Transición

La característica fundamental de la Computación Natural se basa en el empleo de conceptos, principios y mecanismos del funcionamiento de la Naturaleza. La Computación Natural -y dentro de ésta, la Computación de Membranas- surge como una posible alternativa a la computación clásica y como resultado de la búsqueda de nuevos modelos de computación que puedan superar las limitaciones presentes en los modelos convencionales. En concreto, la Computación de Membranas se originó como un intento de formular un nuevo modelo computacional inspirado en la estructura y el funcionamiento de las células biológicas: los sistemas basados en este modelo constan de una estructura de membranas que actúan a la vez como separadores y como canales de comunicación, y dentro de esa estructura se alojan multiconjuntos de objetos que evolucionan de acuerdo a unas determinadas reglas de evolución. Al conjunto de dispositivos contemplados por la Computación de Membranas se les denomina genéricamente como Sistemas P. Hasta el momento los Sistemas P sólo han sido estudiados a nivel teórico y no han sido plenamente implementados ni en medios electrónicos, ni en medios bioquímicos, sólo han sido simulados o parcialmente implementados. Por tanto, la implantación de estos sistemas es un reto de investigación abierto. Esta tesis aborda uno de los problemas que debe ser resuelto para conseguir la implantación de los Sistemas P sobre plataformas hardware. El problema concreto se centra en el modelo de los Sistemas P de Transición y surge de la necesidad de disponer de algoritmos de aplicación de reglas que, independientemente de la plataforma hardware sobre la que se implementen, cumplan los requisitos de ser no deterministas, masivamente paralelos y además su tiempo de ejecución esté estáticamente acotado. Como resultado se ha obtenido un conjunto de algoritmos (tanto para plataformas secuenciales, como para plataformas paralelas) que se adecúan a las diferentes configuraciones de los Sistemas P. ABSTRACT The main feature of Natural Computing is the use of concepts, principles and mechanisms inspired by Nature. Natural Computing and within it, Membrane Computing emerges as an potential alternative to conventional computing and as from the search for new models of computation that may overcome the existing limitations in conventional models. Specifically, Membrane Computing was created to formulate a new computational paradigm inspired by the structure and functioning of biological cells: it consists of a membrane structure, which acts as separators as well as communication channels, and within this structure are stored multisets of objects that evolve according to certain evolution rules. The set of computing devices addressed by Membrane Computing are generically known P systems. Up to now, no P systems have been fully implemented yet in electronic or biochemical means. They only have been studied in theory, simulated or partially implemented. Therefore, the implementation of these systems is an open research challenge. This thesis addresses one of the problems to be solved in order to deploy P systems on hardware platforms. This specific problem is focused on the Transition P System model and emerges from the need of providing application rules algorithms that independently on the hardware platform on which they are implemented, meets the requirements of being nondeterministic, massively parallel and runtime-bounded. As a result, this thesis has developed a set of algorithms for both platforms, sequential and parallel, adapted to all possible configurations of P systems

Do transient white holes have a place in Nature?

The white-hole sector of Kruskal's solution is almost never used in physical applications. However, it can provide a radically different take on the gravitational collapse process, avoiding the problems appearing within the standard paradigm. In this contribution we will try to draw attention to some bouncing geometries that make a democratic usage of the black and white sectors of Kruskal's solution. We will argue that this type of behaviour could be perfectly natural in some approaches to the next physical level beyond classical General Relativity. © Published under licence by IOP Publishing Ltd.Peer Reviewe

Do stars die too long?

MG14, University of Rome "La Sapienza" - Rome, July 12-18, 2015; http://www.icra.it/mg/mg14/Current proposals for regularizing the classical singularity of black holes present longlived trapping horizons, with enormous inaccessible evaporation lifetimes. We propose an alternative regularization model, inspired in condensed matter gravitational analogues, in which the collapse of a stellar object would result in a genuine time-symmetric bounce. In geometrical terms this amounts to the connection of a black-hole geometry with a white-hole geometry in a regular manner. The complete bouncing geometry is a solution of standard classical general relativity everywhere except in a transient region that necessarily extends beyond the gravitational radius. The duration of the bounce as seen by external observers is very brief. This motivates the search for new forms of stellar equilibrium.Financial support was provided by the Spanish MICINN through Projects No. FIS2011-30145-C03-01 and FIS2011-30145-C03-02 (with FEDER contribution), and by the Junta de Andalucía through Project No. FQM219. R. C-R. acknowledges support from CSIC through the JAE-predoc program, cofunded by FSE.Peer Reviewe