Modelling diffusional transport in the interphase cell nucleus

In this paper a lattice model for diffusional transport of particles in the interphase cell nucleus is proposed. Dense networks of chromatin fibers are created by three different methods: randomly distributed, non-interconnected obstacles, a random walk chain model, and a self avoiding random walk chain model with persistence length. By comparing a discrete and a continuous version of the random walk chain model, we demonstrate that lattice discretization does not alter particle diffusion. The influence of the 3D geometry of the fiber network on the particle diffusion is investigated in detail, while varying occupation volume, chain length, persistence length and walker size. It is shown that adjacency of the monomers, the excluded volume effect incorporated in the self avoiding random walk model, and, to a lesser extent, the persistence length, affect particle diffusion. It is demonstrated how the introduction of the effective chain occupancy, which is a convolution of the geometric chain volume with the walker size, eliminates the conformational effects of the network on the diffusion, i.e., when plotting the diffusion coefficient as a function of the effective chain volume, the data fall onto a master curve.Comment: 9 pages, 8 figure

An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return

This paper provides interesting empirical evidence on the relation between the volatility impact effect of the Taiwan institutional trading volume and the stock market index by using the MEGARCH model. We found a significant autoregressive coefficient of institutional trading volume and stock market index. The cross-volatility spillover effect, asymmetric leverage effect, and persistence of volatility effect are statistically significant. The feedback and lead-lag relationship between trading volume and stock index return are also statistically significant. Therefore, Taiwan¡¦s institutional trading volume can affect the stock market index through volatility effect and causality.

The Electrostatic Persistence Length of Polymers beyond the OSF Limit

We use large scale Monte Carlo simulations to test scaling theories for the electrostatic persistence length $l_e$ of isolated, uniformly charged polymers with \DH intrachain interactions in the limit where the screening length $\kappa^{-1}$ exceeds the intrinsic persistence length of the chains. Our simulations cover a significantly larger part of the parameter space than previous studies. We observe no significant deviations from the prediction $l_e\propto\kappa^{-2}$ by Khokhlov and Khachaturian which is based on applying the Odijk-Skolnick-Fixman theory to the stretched de Gennes-Pincus-Velasco-Brochard polyelectrolyte blob chain. A linear or sublinear dependence of the persistence length on the screening length can be ruled out. We argue that previous numerical results pointing into this direction are probably due to a combination of excluded volume and finite chain length effects. The paper emphasizes the role of scaling arguments in the development of useful representations for experimental and simulation data.Comment: 11 pages, 7 figure

Trade Persistence and the Limits of Trade Agreements

International trade ows reveal strong persistence over time. This paper is concerned with the role of trade agreements in this persistent environment. The data reveal a high level of heterogeneity of the trade- creating effect along the trade volume and per-capita income distributions. If controlled for persistence in bilateral trade ows, I find that higher per- capita incomes are associated with smaller increases in bilateral trade ows if an agreement is present, compared to lower-income countries. This gives rise to a re-assessment of trade agreements and hence of economic policy. While they are a powerful tool for trading partners at the lower end of the per-capita income distribution, they are less so at the upper end. --Trade agreements,Gravity model,Trade persistence

On two intrinsic length scales in polymer physics: topological constraints vs. entanglement length

The interplay of topological constraints, excluded volume interactions, persistence length and dynamical entanglement length in solutions and melts of linear chains and ring polymers is investigated by means of kinetic Monte Carlo simulations of a three dimensional lattice model. In unknotted and unconcatenated rings, topological constraints manifest themselves in the static properties above a typical length scale $dt \sim 1/\sqrt{l\phi}$ ($\phi$ being the volume fraction, $l$ the mean bond length). Although one might expect that the same topological length will play a role in the dynamics of entangled polymers, we show that this is not the case. Instead, a different intrinsic length de, which scales like excluded volume blob size $\xi$, governs the scaling of the dynamical properties of both linear chains and rings.Comment: 7 pages. 4 figure

Surprise Volume and Heteroskedasticity in Equity Market Returns

Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume---i.e. unexpected above-average trading activity---which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and Lastrapes (1990) model by an asymmetric GARCH in-mean specification following Golsten et al. (1993). Model estimation for the U.S. as well as six large equity markets shows that surprise volume provides superior model fit and helps to explain volatility persistence as well as excess kurtosis. Surprise volume reveals a significant positive market risk premium, asymmetry, and a surprise volume effect in conditional variance. The findings suggest that, e.g., a surprise volume shock (breakdown)---i.e. large (small) contemporaneous and small (large) lagged surprise volume---relates to increased (decreased) conditional market variance and return.ARCH, trading volume, return volume dependence, asymmetric volatility, market risk premium, leverage effect

The adaptive nature of liquidity taking in limit order books

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the last mechanism is able to counterbalance the persistence of order flow and restore efficiency and diffusivity, the first acts in opposite direction. We introduce a statistical order book model where the persistence of the order flow is mitigated by adjusting the market order volume to the predictability of the order flow. The model reproduces the diffusive behaviour of prices at all time scales without fine-tuning the values of parameters, as well as the behaviour of most order book quantities as a function of the local predictability of order flow.Comment: 40 pages, 14 figures, and 2 tables; old figure 12 removed. Accepted for publication on JSTA

Persistence probabilities in centered, stationary, Gaussian processes in discrete time

Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay faster than exponentially. It is shown that if the spectral measure is not singular, then the exponent in the persistence probability cannot grow faster than quadratically. An example that appears (from numerical evidence) to achieve this lower bound is presented.Comment: 9 pages; To appear in a special volume of the Indian Journal of Pure and Applied Mathematic