Statistical physics of pairwise probability models (2009)
Roudi, Yasser, Aurell, Erik, Hertz, John
Statistical models for describing the probability distribution over the states of biological systems are commonly used for dimensional reduction. Among these models, pairwise models are very...
Gaussian Belief with dynamic data and in dynamic network (2009)
In this paper we analyse Belief Propagation over a Gaussian model in a dynamic environment. Recently, this has been proposed as a method to average local measurement values by a distributed protocol...
A Physics-Style Approach to Scalability of Distributed Systems ⋆ (2008)
Abstract. Is it possible to treat large scale distributed systems as physical systems? The importance of that question stems from the fact that the behavior of many P2P systems is very complex to...
Comparing Maintenance Strategies for Overlays (2008)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In this paper, we present an analytical tool for understanding the performance of structured overlay networks under churn based on the master-equation approach of physics. We motivate and derive an...
A computational systems biology study of the lambda-lac mutants (2007)
We present a comprehensive computational study of some 900 possible "lambda-lac" mutants of the lysogeny maintenance switch in phage lambda, of which up to date 19 have been studied experimentally...
Circumspect descent prevails in solving random constraint satisfaction problems (2007)
Alava, Mikko, Ardelius, John, Aurell, Erik, Kaski, Petteri, Krishnamurthy, Supriya, Orponen, Pekka, ...
We study the performance of stochastic local search algorithms for random instances of the $K$-satisfiability ($K$-SAT) problem. We introduce a new stochastic local search algorithm, ChainSAT, which...
1 A Price Dynamics in Bandwidth Markets for Point-to-point (2007)
Lars Rasmusson, Lars Rasmusson, Erik Aurell, Erik Aurell
We describe a model of a network of N sub-networks (or routers) where M network users making concurrent point-to-point connections by selling and buying router capacity to and from each other. The...
dynamically routed point-to-point (2007)
Lars Rasmusson, Lars Rasmusson, Erik Aurell, Erik Aurell
Simulation of a network capacity market and three middle-man strategies t o price and sell
Erik Aurell, Mats Carlsson, Jan Ekman
This document summarizes the results obtained by SICS in project GENFUNK (2001). The project was carried out in collaboration with Global Genomics AB (Stockholm, Sweden). Jointly obtained results...
Erik Aurell, Magnus Boman, Mats Carlsson, Joakim Eriksson, Niclas Finne, Sverker Janson, ...
constraint programming agent for
An Analytical Study of a Structured Overlay in the presence of Dynamic Membership (2007)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In this paper we present an analytical study of dynamic membership (aka churn) in structured peer-to-peer networks. We use a fluid model approach to describe steady-state or transient phenomena, and...
Comparing Maintenance Strategies for Overlays (2007)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In this paper, we present an analytical tool for understanding the performance of structured overlay networks under churn based on the master-equation approach of physics. We motivate and derive an...
Comparing maintenance strategies for overlays (2007)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In this paper, we present an analytical tool for understanding the performance of structured overlay networks under churn based on the master-equation approach of physics. We motivate and derive an...
Clustering of solutions in hard satisfiability problems (2007)
Ardelius, John, Aurell, Erik, Krishnamurthy, Supriya
We study the structure of the solution space and behavior of local search methods on random 3-SAT problems close to the SAT/UNSAT transition. Using the overlap measure of similarity between different...
Epstein-Barr virus latency switch in human B-cells: a physico-chemical model (2007)
Werner, Maria, Ernberg, Ingemar, Zou, JieZhi, Almqvist, Jenny, Aurell, Erik
Abstract Background The Epstein-Barr virus is widespread in all human populations and is strongly associated with human disease, ranging from infectious mononucleosis to cancer. In infected cells the...
Cooperative action in eukaryotic gene regulation: physical properties of a viral example (2007)
Werner, Maria, Zhu, LiZhe, Aurell, Erik
The Epstein-Barr virus (EBV) infects more than 90% of the human population, and is the cause of several both serious and mild diseases. It is a tumorivirus, and has been widely studied as a model...
Noise-filtering features of transcription regulation in the yeast S. cerevisiae (2007)
Aurell, Erik, D'Herouel, Aymeric Fouquier, Malmnas, Claes, Vergassola, Massimo
Transcription regulation is largely governed by the profile and the dynamics of transcription factors' binding to DNA. Stochastic effects are intrinsic to this dynamics and the binding to functional...
Clustering of solutions in hard satisfiability problems (2007)
Ardelius, John, Aurell, Erik, Krishnamurthy, Supriya
We study the structure of the solution space and behavior of local search methods on random 3-SAT problems close to the SAT/UNSAT transition. Using the overlap measure of similarity between different...
Behavior of heuristics and state space structure near SAT/UNSAT transition (2006)
We study the behavior of ASAT, a heuristic for solving satisfiability problems by stochastic local search near the SAT/UNSAT transition. The heuristic is focused, i.e. only variables in unsatisfied...
An Analytical Study of a Structured Overlay in the presence of Dynamic Membership (2005)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In this paper, we present a complete analytical study of dynamic membership (aka churn) in structured peer-to-peer networks. We use a master-equation-based approach, which is used traditionally in...
Optimal hedging of Derivatives with transaction costs (2005)
Aurell, Erik, Muratore-Ginanneschi, Paolo
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The...
"Locally homogeneous turbulence" Is it an inconsistent framework? (2005)
Frisch, Uriel, Bec, Jeremie, Aurell, Erik
In his first 1941 paper Kolmogorov assumed that the velocity has increments which are homogeneous and independent of the velocity at a suitable reference point. This assumption of local homogeneity...
A Statistical Theory of Chord under Churn (2005)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
Most earlier studies of DHTs under churn have either depended on simulations as the primary investigation tool, or on establishing bounds for DHTs to function. In this paper, we present a complete...
Physics-inspired Performace Evaluation of a Structured Peer-to-Peer Overlay Network (2005)
El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
In the majority of structured peer-to-peer overlay networks a graph with a desirable topology is constructed. In most cases, the graph is maintained by a periodic activity performed by each node in...
A Physics-Style Approach to Scalability of Distributed Systems (2005)
Aurell, Erik, El-Ansary, Sameh
Is it possible to treat large scale distributed systems as physical systems? The importance of that question stems from the fact that the behavior of many P2P systems is very complex to analyze...
A Statistical Theory of Chord under Churn (2005)
Krishnamurthy, Supriya, El-Ansary, Sameh, Aurell, Erik, Haridi, Seif
Most earlier studies of Distributed Hash Tables (DHTs) under churn have either depended on simulations as the primary investigation tool, or on establishing bounds for DHTs to function. In this...
A Statistical Theory of Chord under Churn (2005)
Supriya Krishnamurthy Sameh, Sameh El-ansary, Erik Aurell, Seif Haridi
Most earlier studies of DHTs under churn have either depended on simulations as the primary investigation tool, or on establishing bounds for DHTs to function. In this paper, we present a complete...
An Analytical Study of Consistency and Performance of DHTs under Churn (2004)
El-Ansary, Sameh, Krishnamurthy, Supriya, Aurell, Erik, Haridi, Seif
In this paper, we present a complete analytical study of dynamic membership (aka churn) in structured peer-to-peer networks. We use a master-equation-based approach, which is used traditionally in...
An Analytical Study of Consistency and Performance of DHTs under Churn (2004)
El-Ansary, Sameh, Krishnamurthy, Supriya, Aurell, Erik, Haridi, Seif
In this paper, we present a complete analytical study of dynamic membership (aka churn) in structured peer-to-peer networks. We use a master-equation-based approach, which is used traditionally in...
The global picture of self-similar and not self-similar decay in Burgers Turbulence (2004)
Noullez, Alain, Gurbatov, Sergey N., Aurell, Erik, Simdyankin, Sergey I.
This paper continue earlier investigations on the decay of Burgers turbulence in one dimension from Gaussian random initial conditions of the power-law spectral type $E_0(k)\sim|k|^n$. Depending on...
Comparing Beliefs, Surveys and Random Walks (2004)
Aurell, Erik, Gordon, Uri, Kirkpatrick, Scott
Survey propagation is a powerful technique from statistical physics that has been applied to solve the 3-SAT problem both in principle and in practice. We give, using only probability arguments, a...
A physics-style approach to scalability of distributed systems (2004)
Aurell, Erik, El-Ansary, Sameh
BEGIN example. Is it possible to treat large scale distributed systems as physical systems? The importance of that question stems from the fact that the behavior of many P2P systems is very complex...
Global gene expression analysis by combinatorial optimization (2004)
Ameur, Adam, Aurell, Erik, Carlsson, Mats, Westholm, Jakub Orzechowski
Generally, there is a trade-off between methods of gene expression analysis that are precise but labor-intensive, e.g. RT-PCR, and methods that scale up to global coverage but are not quite as...
Evidence for a k(-5/3) spectrum from the EOLE Lagrangian balloons in the low stratosphere (2004)
Lacorata, Guglielmo, Aurell, Erik, Legras, Bernard, Vulpiani, Angelo
Comparing beliefs, surveys and random walks (2004)
Erik Aurell, Uri Gordon, Scott Kirkpatrick
Survey propagation is a powerful technique from statistical physics that has been applied to solve the 3-SAT problem both in principle and in practice. We give, using only probability arguments, a...
Evidence for a k^{-5/3} spectrum from the EOLE Lagrangian balloons in the low stratosphere (2003)
Lacorata, Guglielmo, Aurell, Erik, Legras, Bernard, Vulpiani, Angelo
The EOLE Experiment is revisited to study turbulent processes in the lower stratosphere circulation from a Lagrangian viewpoint and resolve a discrepancy on the slope of the atmospheric energy...
The inner structure of Zeldovich' pancakes (2003)
Aurell, Erik, Fanelli, Duccio, Gurbatov, S.N, Moshkov, Yu
The evolution of a planar perturbation in a Einstein–de Sitter Universe is studied using a previously introduced Lagrangian scheme. An approximate discrete dynamical system is derived, which...
Systems Biology Is Taking Off (2003)
Ehrenberg, Måns, Elf, Johan, Aurell, Erik, Sandberg, Rickard, Tegnér, Jesper
In a simulation of a computer network, the capacity between pairs of border routers in a network domain is sold on a spot market. End-users establish point-to-point connections across several domains...
Aurell, Erik, Carlsson, Mats, Ekman, Jan, Kreuger, Per
This document summarizes the results obtained by SICS in project GENFUNK (2001). The project was carried out in collaboration with Global Genomics AB (Stockholm, Sweden). Jointly obtained results...
A constraint programming agent for automated trading (2002)
Aurell, Erik, Boman, Magnus, Carlsson, Mats, Finne, Niclas, Janson, Sverker, Kreuger, Per, ...
Stability puzzles in phage lambda (2002)
In the absence of RecA-mediated cleavage of the repressor, the [lambda] prophage is exceptionally stable. We develop a stochastic model that predicts the stability of such epigenetic states from...
Self-gravitating systems in a three-dimensional expanding universe (2002)
The non-linear evolution of one-dimensional perturbations in a three-dimensional expanding Universe is considered. A general Lagrangian scheme is derived, and compared to two previously introduced...
Aurell, Erik, Carlsson, Mats, Kreuger, Per, Ekman, Jan
This document summarizes the results obtained by SICS in project GENFUNK (2001). The project was carried out in collaboration with Global Genomics AB (Stockholm, Sweden). Jointly obtained results...
Epigenetics as a first exit problem (2002)
We develop a framework to discuss stability of epigenetic states as first exit problems in dynamical systems with noise. We consider in particular the stability of the lysogenic state of the lambda...
Asymptotic behaviour of a stratified perturbation in a three dimensional expanding universe (2002)
The non-linear evolution of a stratified perturbation in a three dimensional expanding Universe is considered. A general Lagrangian scheme (Q model) is introduced and numerical investigations are...
A trading agent built on constraint programming (2002)
The Trading Agent Competition (TAC) combines a fairly realistic model of the Internet commerce of the future, including shopbots and pricebots, with a challenging problem in automated reasoning and...
A Price Dynamics in Bandwidth Markets for Point-to-point Connections (2001)
We describe a model of a network of N sub-networks (or routers) where M network users making concurrent point-to-point connections by selling and buying router capacity to and from each other. The...
Self-gravitating systems in a three-dimensional expanding Universe (2001)
The non-linear evolution of one-dimensional perturbations in a three-dimensional expanding Universe is considered. A general Lagrangian scheme is derived, and compared to two previously introduced...
An inventory of Lattice Boltzmann models of multiphase flows (2001)
This document reports investigations of models of multiphase flows using Lattice Boltzmann methods. The emphasis is on deriving by Chapman-Enskog techniques the corresponding macroscopic equations....
Modeling postural control in the lamprey (2001)
Kozlov, Alexander, Aurell, Erik
A phenomenological model of the mechanism of stabilisation of the body orientation during locomotion (dorsal side up) in the lamprey is presented. The mathematical modelling is based on experimental...
A Price Dynamics in Bandwidth Markets for Point-to-point Connections (2001)
We simulate a network of N routers and M network users making concurrent point-to-point connections by buying and selling router capacity from each other. The resources need to be acquired in...
Heap-based algorithm for one-dimensional particle systems (2001)
Noullez, Alain, Fanelli, Duccio, Aurell, Erik
A fast algorithm to study one-dimensional self-gravitating systems, and, more generally, systems that are Lagrangian integrable between collisions, is presented. The algorithm is event-driven, and...
A Price Dynamics in Bandwidth Markets for Point-to-point Connections (2001)
We describe a model of a network of N sub-networks (or routers) where M network users making concurrent point-to-point connections by selling and buying router capacity to and from each other. The...
On the dynamics of a self-gravitating medium with random and non-random initial conditions (2001)
Aurell, Erik, Fanelli, Duccio, Muratore-Ginanneschi, Paolo
The dynamics of a one-dimensional self-gravitating medium, with initial density almost uniform is studied. Numerical experiments are performed with ordered and with Gaussian random initial...
Epigenetics as a first exit problem (2001)
We develop a framework to discuss stability of epigenetic states as first exit problems in dynamical systems with noise. We consider in particular the stability of the lysogenic state of the lambda...
Kozlov, Alexander, Fagerstedt, Patriq, Ullén, Fredrik, Aurell, Erik
Steering manoeuvres in vertebrates are characterised by asymmetric modulation of the cycle duration and the intensity of the symmetric rhythmic locomotor activity. In the lamprey in vitro model...
An inventory of Lattice Boltzmann models of multiphase flows (2001)
This document reports investigations of models of multiphase flows using Lattice Boltzmann methods. The emphasis is on deriving by Chapman- Enskog techniques the corresponding macroscopic equations....
Stability Puzzles in Phage Lambda (2000)
Aurell, Erik, Brown, Stanley, Johanson, Johan, Sneppen, Kim
The lysogeny maintenance switch in phage lambda is one of the simplest examples on the molecular level of computation, command and control in a living system. If, following infection of the bacterium...
An inventory of Lattice Boltzmann models of (2000)
M. Do-quang, E. Aurell, M. Vergassola, Minh Do-quang, Erik Aurell, Massimo Vergassola
flows by
Growth Optimal Investment and Pricing of Derivatives (1999)
Aurell, Erik, Baviera, Roberto, Hammarlid, Ola, Serva, Maurizio, Vulpiani, Angelo
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal...
On the dynamics of a self-gravitating medium with random and non-random initial conditions (1999)
Aurell, Erik, Fanelli, Duccio, Muratore-Ginanneschi, Paolo
The dynamics of a one-dimensional self-gravitating medium, with initial density almost uniform is studied. Numerical experiments are performed with ordered and with Gaussian random initial...
Financial Friction and Multiplicative Markov Market Game (1999)
Aurell, Erik, Muratore-Ginanneschi, Paolo
We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the...
Drifters dispersion in the Adriatic Sea: Lagrangian data and chaotic model (1999)
Lacorata, Guglielmo, Aurell, Erik, Vulpiani, Angelo
We analyze characteristics of drifter trajectories from the Adriatic Sea with recently introduced nonlinear dynamics techniques. We discuss how in quasi-enclosed basins, relative dispersion as...
Risk-return arguments applied to options with trading costs (1998)
Aurell, Erik, Zyczkowski, Karol \.
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected...
Torsion and electron motion in Quantum Dots with crystal lattice dislocations (1997)
The motion of a conducting electron in a quantum dot with one or several dislocations in the underlying crystal lattice is considered in the continuum picture, where dislocations are represented by...
BID FREQUENCY ANALYSIS IN LIQUID MARKETS (1997)
Abstract In the interbank foreign exchange market, time between bids is found to follow a power-law, and not a Poisson distribution, as one might otherwise expect. In this brief report, we show...
Numerical Proof of Self-Similarity in Burgers' Turbulence (1996)
Aurell, Erik, Gurbatov, Sergey N., Simdyankin, Sergey I.
We study the statistical properties of solutions to Burgers' equation, $v_t + vv_x = \nu v_{xx}$, for large times, when the initial velocity and its potential are stationary Gaussian processes. The...
Pricing risky options simply (1996)
Keywords:Option pricing, inherently risky options, risk minimization JEL classification: G13, G14 1 1 Introduction The theory of options and option pricing is one of the most succesfull applications...
Option pricing & Partial Hedging: Theory of Polish Options (1995)
The twin problems of hedging and pricing of options in discrete-time markets are analyzed. We consider trading strategies consisting of one stock and one bond. The bond price rises deterministically...
Further results on Functional Determinants of Laplacians in Simplicial Complexes (1994)
We investigate the functional determinant of the laplacian on piece-wise flat two-dimensional surfaces, with conical singularities in the interior and/or corners on the boundary. Our results extend...
On Spectral Laws of 2D--Turbulence in Shell Models (1993)
We consider a class of shell models of 2D-turbulence. They conserve inertially the analogues of energy and enstrophy, two quadratic forms in the shell amplitudes. Inertially conserving two quadratic...
Self-Preservation of Large-Scale Structures in Burgers' Turbulence (1993)
Aurell, Erik, Gurbatov, Sergey N., Wertgeim, Igor I.
We investigate the stability of large-scale structures in Burgers' equation under the perturbation of high wave-number noise in the initial conditions. Analytical estimates are obtained for random...
On Functional Determinants of Laplacians in Polygons and Simplices (1993)
The functional determinant of an elliptic operator with positive, discrete spectrum may be defined as $e^{-Z'(0)}$, where $Z(s)$, the zeta function, is the sum $\sum_n^{\infty} \lambda_n^{-s}$...
Recycling of Strange Sets: I. Cycle Expansions (1990)
The strange sets which arise in deterministic low dimensional dynamical systems are analyzed in terms of (unstable) cycles and their eigenvalues. The general formalism of cycle expansions is...
Recycling of Strange Sets: II. Applications (1990)
Cycle expansions are applied to a series of low dimensional dynamically generated strange sets: the skew Ulam map, the period-doubling repeller, the H'enon-type strange sets and the irrational...
What the passenger saw : a study of statistical averages of deterministic chaotic systems / (1989)
Enthält Zeitschriftenaufsätze.
Epstein-Barr virus latency switch in human B-cells: a physico-chemical model
Werner, Maria, Ernberg, Ingemar, Zou, JieZhi, Almqvist, Jenny, Aurell, Erik
OPTION PRICING & PARTIAL HEDGING: THEORY OF POLISH OPTIONS
The twin problems of hedging and pricing of options in discrete-time markets are analyzed. We consider trading strategies consisting of one stock and one bond. The bond price rises deterministically...
OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
ERIK AURELL, PAOLO MURATORE-GINANNESCHI
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The...
Circumspect descent prevails in solving random constraint satisfaction problems
Alava, Mikko, Ardelius, John, Aurell, Erik, Kaski, Petteri, Krishnamurthy, Supriya, Orponen, Pekka, ...
We study the performance of stochastic local search algorithms for random instances of the K-satisfiability (K-SAT) problem. We present a stochastic local search algorithm, ChainSAT, which moves in...
Risk-return arguments applied to options with trading costs
Erik Aurell, Karol \. Zyczkowski
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected...
Financial Friction and Multiplicative Markov Market Game
Erik Aurell, Paolo Muratore-Ginanneschi
We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the...
Growth Optimal Investment and Pricing of Derivatives
Erik Aurell, Roberto Baviera, Ola Hammarlid, Maurizio Serva, Angelo Vulpiani
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal...
Optimal hedging of Derivatives with transaction costs
Erik Aurell, Paolo Muratore-Ginanneschi
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The...
CIRCUMSPECT DESCENT PREVAILS IN SOLVING RANDOM CONSTRAINT SATISFACTION PROBLEMS
Mikko Alava, John Ardelius, Erik Aurell, Petteri Kaski, Supriya Krishnamurthy, Pekka Orponen, ...
Abstract. We study the performance of stochastic local search algorithms for random instances of the K-satisfiability (K-SAT) problem. We introduce a new stochastic local search algorithm, ChainSAT,...