Universitat Pompeu Fabra

We propose a unified theory of brain function called ‘Thermodynamics of Mind’ which provides a natural, parsimonious way to explain the underlying computational mechanisms. The theory uses tools from non-equilibrium thermodynamics to describe the hierarchical dynamics of brain states over time. Crucially, the theory combines correlative (model-free) measures with causal generative models to provide solid causal inference for the underlying brain mechanisms. The model-based framework is a powerful way to use regional neural dynamics within the hierarchical anatomical brain connectivity to understand the underlying mechanisms for shaping the temporal unfolding of whole-brain dynamics in brain states. As such this model-based framework fitted to empirical data can be exhaustively investigated to provide objectively strong causal evidence of the underlying brain mechanisms orchestrating brain states. 

We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calculus techniques, allows us to describe the properties of the at-the-money implied volatility (ATMI) in terms of the Malliavin derivatives of the underlying process. More precisely, we study the short-time behaviour of the ATMI level and skew. As an application, we describe the short-term behavior of the ATMI of VIX and realized variance options in terms of the Hurst parameter of the model, and most importantly we describe the class of volatility processes that generate a positive skew for the VIX implied volatility. In addition, we find that our ATMI asymptotic formulae perform very well even for large maturities. Several numerical examples are provided to support our theoretical results.  

Online discussions are the essence of many social platforms on the Internet. Discussion platforms are receiving increasing interest because of their potential to become deliberative spaces. Although previous studies have proposed approaches to measure online deliberation using the complexity of discussion networks as a proxy, little research has focused on how these networks are affected by changes of platform features.

In this talk, we will focus on how interfaces might influence the network structures of discussions using techniques like interrupted time series analysis and regression discontinuity design. Futhermore, we will review and extend state-of-the-art generative models of discussion threads to explain better the structure and growth of online discussions.