Namur Institute For Complex Systems

Arnaud Dufays (University of Laval)
2017-06-01 13:00 - 14:00 (Europe/Paris) | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title : A new approach to volatility modeling: the High-Dimensional Markov model
Abstract : A new model — the high-dimensional Markov (HDM) model — is proposed for financial returns and their latent variances. It is also applicable to model directly realized variances. Volatility is modeled as a product of three components: a Markov chain driving volatility persistence, an independent discrete process capable of generating jumps in the volatility, and a predictable (data-driven) process capturing the leverage effect. The Markov chain and jump components allow volatility to switch abruptly between thousands of states. The transition probability matrix of the Markov chain is structured in such a way that the multiplicity of the second largest eigenvalue can be greater than one. This distinctive feature generates a high degree of volatility persistence. The statistical properties of the HDM model are derived and an economic interpretation is attached to each component. In-sample results on six financial time series highlight that the HDM model compares favorably to the main existing volatility processes. A forecasting experiment shows that the HDM model significantly outperforms its competitors when predicting volatility over time horizons longer than five days.

Yannick de Decker (ULB)
2017-05-30 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Canceled

Stefano Berti (University of Lille)
2017-05-23 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Reaction-transport systems in heterogeneous environments and population dynamics
Abstract: Understanding the conditions ensuring the persistence of a population or determining the efficiency of its invasion into a new territory are issues of primary importance in population biology. A convenient conceptual framework to study these problems from a theoretical point of view is offered by reaction-transport equations. Taking this modeling approach, in the first part of the talk I present a study on the evolution of a population in a heterogeneous environment in the presence of advection. The habitat consists of a periodic alternation of favorable and unfavorable patches where the population grows according to logistic dynamics and dies at a fixed rate, respectively. I show that the population can survive and invade the habitat only above a critical size of the favorable patches and below a critical velocity of the medium. I characterize the survival/extinction transition, and I present some analytical and numerical results on the invasion speed. Then, I discuss some limitations of this description, extending the analysis to a model with a growth term accounting for decreased reproductive power at low population densities. The phenomenology of this model is found to be richer when varying the advection intensity.
In the second part of the talk I discuss some effects of discreteness and demographic stochasticity on the extinction dynamics of a population confined in a favorable patch (an oasis) surrounded by a deadly environment. For this purpose, I introduce an individual-based reaction-diffusion model and investigate its behavior focusing on the average time to extinction and on the quasistationary distribution of the number of individuals that sets in for large enough patch sizes.

Nikos Kouvaris ( University Pompeu Fabra)
2017-05-09 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Pattern formation in bistable networks: Theory and applications to chemical reactions

Abstract:
Self-organization processes in complex networks is an interdisciplinary research field with great theoretical interest and many potential applications in chemistry and biology. Stationary localized patterns constitute a classical example of self-organization; they can spontaneously be generated by the Turing mechanism, as it has been reported in both continuous and networked media. However, an alternative mechanism for the emergence of stationary patterns in networks was recently discovered [1-4]. We have experimentally demonstrated and theoretically analyzed that bistable networks can support a rich variety of stationary patterns determined by the network architecture and the initial conditions [2,3]. By applying a localized perturbation to a network node or a subset of nodes, we demonstrate the subsequent spreading, pinning, or retraction of the activations; such analysis enables the characterization of the formation of stationary patterns of localized activity. Weak coupling results in trivial pinned states where the activation is stationary. At strong coupling, a uniform state is expected with active or inactive elements at small or large nodes degree, respectively. Nontrivial stationary spatial patterns, corresponding to an activation pinning, are predicted to occur at nodes with intermediate degrees and at intermediate coupling strengths. The results are confirmed in experiments with networks of coupled bistable electrochemical reactions. Although our experimental system is actually more complex than the simplifying assumptions under which the theory was constructed, the results show a surprisingly good agreement. This indicates that the found pattern formation mechanism is robust and generic.
In this talk we discuss theoretical and experimental studies with bistable chemical reactions organized in tree [1,2] and star [3] networks. These results are relevant for large random networks [2]. Mechanisms for the control and deliberate design of such patterns [4] will also be considered.
References:
———–
1. N. E. Kouvaris, H. Kori and A. S. Mikhailov, PLoS ONE 7, e45029 (2012).
2. N. E. Kouvaris, M. Sebek, A. S. Mikhailov and I. Z. Kiss, Angew. Chem. Int. Ed., 55, 13267-13270 (2016).
3. N. E. Kouvaris, M. Sebek, A. Iribarne, A. Diaz-Guilera and I. Z. Kiss, Phys. Rev. E 95, 042203 (2017).
4. N. E. Kouvaris and A. S. Mikhailov, Europhys. Lett. 102, 16003 (2013).

Jan Baert (UGent)
2017-05-02 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Environmental dependency of biodiversity effects on ecosystem functioning
Abstract: Expanding human activities are increasingly interfering with Earth’s biogeochemical cycles. This has led to unprecedented global changes in biodiversity and environmental conditions. In the past 3 decades, ecologists have principally been focusing on whether the functioning of an ecosystem depends on the number of species it contains. There is now ample evidence that biodiversity-ecosystem functioning relationships are generally positive, and ecosystem function provisioning is at risk by biodiversity loss. However, evidence is also mounting that the relationship between biodiversity and ecosystem functioning, and therefore also the consequences of biodiversity changes, depend on the environmental conditions. In my work, I ai to explain how biodiversity-ecosystem functioning relationships are affected by changes in environmental conditions. Theoretical models are thereby combined with microcosm experiments to demonstrate how environmental changes lead to predictable changes in biodiversity effects on ecosystem functioning, and how these changes depend the type of species interactions and species sensitivities to environmental changes. As such, the presented framework offers new insights in the combined effect of upcoming biodiversity and environmental changes for ecosystem function provisioning.

Francesco Piazza (University of Orléans)
2017-04-25 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Diffusion of small ligands in complex confining and reactive landscapes:
the geometry of chemoreception.
Abstract:
The rate constant that describes the diffusive encounter/reaction between a particle
and a large sphere can be computed easily by solving the stationary diffusion
(i.e. Laplace) equation for the particle density with appropriate boundary conditions
imposed on the surface of the sphere. In one classic, text-book example, this calculation is
used to estimate the binding rate constant of a ligand to a receptor-covered cell.
But what happens if the particles are diffusing in the presence of many reactive boundaries
of different strength (intrinsic reaction rate), which compete for the same ligands and amidst
a landscape of inert obstacles? In spite of the apparent overwhelming complexity, the same mathematical framework as the two-body problem can be used to solve the N-body problem exactly, by resorting to addition theorems for the appropriate fundamental solutions of the Laplace equation.
This powerful mathematical framework allows one to investigate fundamental issues
that are central in cell biology and modern nano-sciences, such as how the specific geometric
configurations of many reactive boundaries shape the overall reaction rate constant.
We will illustrate several examples, including applications to the study of ligand binding
to arrays of receptors on the surface of a cell and the action of many nano-catalysts embedded within a core-shell nano-reactor.

William Polycarpe (Paris Observatory)
2017-04-04 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Is Titan responsible for Iapetus’ orbit ?

Abstract: Latest astrometrical results on Saturnian moons show evidence for high migration rates (Lainey et al. 2012; 2016). The tidal dissipation in the planet is responsible for those large orbital expansions and should therefore be much stronger than usually expected. The idea of significant tidal dissipation in the massive core (Remus et al. 2012) and the convective envelope (Le Guenel et al. 2015; Fuller et al. 2016) of the planet has been brought forward as a likely explanation.
Nevertheless, high changes in semi-major axes of the moons shuffle up the ideas we had on the past evolution of the system of Saturn. In particular, depending on tidal mechanisms at play, several Mean Motion Resonances could have been crossed just a few million years ago.
In the frame of high tidal migration, we investigate the consequences of the past 5:1 mean motion resonance between Titan and Iapetus, which could have happened between 5 and 500 million years ago. Numerical simulations show that the most common outcome for Iapetus is to be ejected, as Titan migrates through the resonance. However, if Titan has a very high recession (Q <2000), Iapetus may survive the resonance and come out of it with an eccentricity consistent with today’s value. The effect on Iapetus’ inclination is still under investigation.

Hands-on session with GIT.
2017-03-30 08:00 - 17:00 | Brussels
The train to Brussels costs will be re-imbursed by Naxys. The training itself is free of charge. Agenda will be send around well in advance.
Registration is free vut mandatory on: http://doodle.com/poll/bdq4aetpkk6kav9w

Tarik Roukny (UGent)
2017-03-28 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Compressing Over-the-counter Markets

Abstract: In this talk, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we show conditions under which such excess can be removed while preserving individual net positions. We refer to this operation as compression and identify feasibility and efficiency criteria, highlighting intermediation as the key element for excess levels. We show that a trade-off exists between the amount of notional that can be removed from the system and the conservation of trading relationships. Third, we apply our theoretical framework to a unique and comprehensive transaction-level dataset on OTC derivatives. We document large levels of excess across all markets and time. Finally, we show that compression – when applied at a global level – can reduce a considerable fraction of total notional even under relationship constrained approaches.

Ryota Kobayashi (NII, Tokyo): Inferring synaptic connections from spike data of multiple neurons
2017-03-21 11:00 - 12:00
Inferring synaptic connections from spike data of multiple neurons:
Abstract: Correlations in electric activity among neurons are defined as “functional connections”. It is still unclear how the functional connectivity is related to underlying (physiological) synaptic connectivity. Here, we develop a method for estimating synaptic connections from spike data of multiple neurons. Estimation performance of the proposed method was evaluated by using simulated data generated by a realistic cortical network model (Kitano & Fukai, 2007). This is joint work with Katsunori Kitano.
The meeting will take place at 11H00 in the 4th floor, Room Camille Joset (401).

Malbor Asllani (FNRS & NaXys)
2017-03-14 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Title: Desynchronization of the Kuramoto oscillators. A neurostimulation method for controlling epilepsy seizures

Abstract:
Many coordination phenomena are based on a synchronization process, whose global behavior emerges from the interactions among the individual parts. Often in nature, such self-organized mechanism allows the system to behave as a whole and thus grounding its very first existence, or expected functioning, on such process. There are however cases where synchronization acts against the stability of the system; for instance in some neurodegenerative diseases or epilepsy or the famous case of Millennium Bridge where the crowd synchronization of the pedestrians seriously endangered the stability of the structure. In this talk we propose an innovative control method to tackle the synchronization process based on the application of the Hamiltonian control theory, by adding a small control term to the system we are able to impede the onset of the synchronisation. We illustrate the effectiveness of our method applying it to control the epileptic seizures.

Introduction to GIT
2017-03-09 08:00 - 17:00 | Namur
Contact Frederik de Laender (frederik.delaender@unamur.be) for details.
Registration is free, but mandatory on: http://doodle.com/poll/bdq4aetpkk6kav9w
Precise schedule to be confirmed.

Seminar of Melaine Saillenfest
2017-02-07 13:00 - 14:00 | Seminar room, Rempart de la Vierge 8, Namur, 1170
Affiliations: IMCCE – Observatoire de Paris and Dipartimento di Matematica – Università di Pisa
Titre : Secular representations for the long-term dynamics beyond Neptune
Abstract: I will present the development and the application of semi-analytical secular models, designed to describe generically the long-term dynamics of transneptunian objects. One-degree-of-freedom systems are obtained in both the non-resonant and resonant cases, allowing to represent every possible trajectory by the level curves of the Hamiltonian. The application to known objects reveals pathways to high perihelion distances. In particular, distant resonant objects can be tracked back to their resonance capture.

SQLfast : langage et environnement logiciel pour la manipulation de données par des utilisateur non experts
2016-11-08 12:00 - 13:00
