An analysis of skewness and skewness persistence in three emerging markets

This paper reports an investigation into the extent and persistence of skewness in stock returns in three emerging markets, namely the Czech Republic, Kenya and Poland. The study is undertaken using the extended skew normal distribution and an asymmetric version of the generalised error distribution. The motivation for this paper is the hypothesis that skewness is a particular feature of returns in emerging markets; it may lack persistence and may decline in absolute terms as time passes and the market matures. When daily returns are considered, the majority of stocks in all three markets exhibit a significant degree of skewness. The value of the skewness parameter is often different in each of the three estimation periods considered. Little evidence has been found to support the view that skewness is an artifact of emerging or evolving markets. Over the period covered by the study, the number of stocks with a significant degree of skewness has remained more or less the same. For weekly returns, the same conclusions apply to the Czech Republic and to Kenya, but there is far less evidence of skewness in weekly returns on Polish Stocks. There is consistent evidence of short-term reversion in daily returns; increases (decreases) in mean return and volatility imply that there will be a decrease (increase) in skewness in the next month. This effect does not persist over longer time horizons

An analysis of skewness and skewness persistence in three emerging markets

This paper reports an investigation into the extent and persistence of skewness in stock returns in three emerging markets, namely the Czech Republic, Kenya and Poland. The study is undertaken using the extended skew normal distribution and an asymmetric version of the generalised error distribution. The motivation for this paper is the hypothesis that skewness is a particular feature of returns in emerging markets; it may lack persistence and may decline in absolute terms as time passes and the market matures. When daily returns are considered, the majority of stocks in all three markets exhibit a significant degree of skewness. The value of the skewness parameter is often different in each of the three estimation periods considered. Little evidence has been found to support the view that skewness is an artifact of emerging or evolving markets. Over the period covered by the study, the number of stocks with a significant degree of skewness has remained more or less the same. For weekly returns, the same conclusions apply to the Czech Republic and to Kenya, but there is far less evidence of skewness in weekly returns on Polish Stocks. There is consistent evidence of short-term reversion in daily returns; increases (decreases) in mean return and volatility imply that there will be a decrease (increase) in skewness in the next month. This effect does not persist over longer time horizons

The Aerodynamics of Hummingbird Flight

Hummingbirds fly with their wings almost fully extended during their entire wingbeat. This pattern, associated with having proportionally short humeral bones, long distal wing elements, and assumed to be an adaptation for extended hovering flight, has lead to predictions that the aerodynamic mechanisms exploited by hummingbirds during hovering should be similar to those observed in insects. To test these predictions, we flew rufous hummingbirds (Selasphorus rufus, 3.3 g, n = 6) in a variable–speed wind tunnel (0-12 ms-1) and measured wake structure and dynamics using digital particle image velocimetry (DPIV). Unlike hovering insects, hummingbirds produced 75% of their weight support during downstroke and only 25% during upstroke, an asymmetry due to the inversion of their cambered wings during upstroke. Further, we have found no evidence of sustained, attached leading edge vorticity (LEV) during up or downstroke, as has been seen in similarly-sized insects - although a transient LEV is produced during the rapid change in angle of attack at the end of the downstroke. Finally, although an extended-wing upstroke during forward flight has long been thought to produce lift and negative thrust, we found circulation during downstroke alone to be sufficient to support body weight, and that some positive thrust was produced during upstroke, as evidenced by a vortex pair shed into the wake of all upstrokes at speeds of 4 – 12 m s-1

The self-assembly of particles with isotropic interactions: Using DNA coated colloids to create designer nanomaterials

Copyright (2014) AIP Publishing. This article may be downloaded for personal use only. Any other use requires prior permission of the author and AIP Publishing. The following article appeared in AIP Conference Proceedings 1590 and may be found at http://dx.doi.org/10.1063/1.4870223Self-consistent field theory equations are presented that are suitable for use as a coarse-grained model for DNA coated colloids, polymer-grafted nanoparticles and other systems with approximately isotropic interactions. The equations are generalized for arbitrary numbers of chemically distinct colloids. The advantages and limitations of such a coarsegrained approach for DNA coated colloids are discussed, as are similarities with block copolymer self-assembly. In particular, preliminary results for three species self-assembly are presented that parallel results from a two dimensional ABC triblock copolymer phase. The possibility of incorporating crystallization, dynamics, inverse statistical mechanics and multiscale modelling techniques are discussed

Exact solutions to cable equations in branching neurons with tapering dendrites

Neurons are biological cells with uniquely complex dendritic morphologies that are not present in other cell types. Electrical signals in a neuron with branching dendrites can be studied by cable theory which provides a general mathematical modelling framework of spatio-temporal voltage dynamics. Typically such models need to be solved numerically unless the cell membrane is modelled either by passive or quasi-active dynamics, in which cases analytical solutions can be reduced to calculation of the Green's function describing the fundamental input-output relationship in a given morphology. Such analytically tractable models often assume individual dendritic segments to be cylinders. However, it is known that dendritic segments in many types of neurons taper, i.e. their radii decline from proximal to distal ends. Here we consider a generalised form of cable theory which takes into account both branching and tapering structures of dendritic trees. We demonstrate that analytical solutions can be found in compact algebraic forms in an arbitrary branching neuron with a class of tapering dendrites studied earlier in the context of single neuronal cables by Poznanski (Bull. Math. Biol. 53(3):457-467, 1991). We apply this extended framework to a number of simplified neuronal models and contrast their output dynamics in the presence of tapering versus cylindrical segments

Patterning of wound-induced intercellular Ca2+ flashes in a developing epithelium

Differential mechanical force distributions are increasingly recognized to provide important feedback into the control of an organ's final size and shape. As a second messenger that integrates and relays mechanical information to the cell, calcium ions (Ca2+) are a prime candidate for providing important information on both the overall mechanical state of the tissue and resulting behavior at the individual-cell level during development. Still, how the spatiotemporal properties of Ca2+ transients reflect the underlying mechanical characteristics of tissues is still poorly understood. Here we use an established model system of an epithelial tissue, the Drosophila wing imaginal disc, to investigate how tissue properties impact the propagation of Ca2+ transients induced by laser ablation. The resulting intercellular Ca2+ flash is found to be mediated by inositol 1,4,5-trisphosphate and depends on gap junction communication. Further, we find that intercellular Ca2+ transients show spatially non-uniform characteristics across the proximal–distal axis of the larval wing imaginal disc, which exhibit a gradient in cell size and anisotropy. A computational model of Ca2+ transients is employed to identify the principle factors explaining the spatiotemporal patterning dynamics of intercellular Ca2+ flashes. The relative Ca2+ flash anisotropy is principally explained by local cell shape anisotropy. Further, Ca2+ velocities are relatively uniform throughout the wing disc, irrespective of cell size or anisotropy. This can be explained by the opposing effects of cell diameter and cell elongation on intercellular Ca2+ propagation. Thus, intercellular Ca2+ transients follow lines of mechanical tension at velocities that are largely independent of tissue heterogeneity and reflect the mechanical state of the underlying tissue

Compressed vessels bias red blood cell partitioning at bifurcations in a hematocrit-dependent manner:implications in tumor blood flow

The tumor microenvironment is abnormal and associated with tumor tissue hypoxia, immunosuppression, and poor response to treatment. One important abnormality present in tumors is vessel compression. Vessel decompression has been shown to increase survival rates in animal models via enhanced and more homogeneous oxygenation. However, our knowledge of the biophysical mechanisms linking tumor decompression to improved tumor oxygenation is limited. In this study, we propose a computational model to investigate the impact of vessel compression on red blood cell (RBC) dynamics in tumor vascular networks. Our results demonstrate that vessel compression can alter RBC partitioning at bifurcations in a hematocrit-dependent and flow rate–independent manner. We identify RBC focusing due to cross-streamline migration as the mechanism responsible and characterize the spatiotemporal recovery dynamics controlling downstream partitioning. Based on this knowledge, we formulate a reduced-order model that will help future research to elucidate how these effects propagate at a whole vascular network level. These findings contribute to the mechanistic understanding of hemodilution in tumor vascular networks and oxygen homogenization following pharmacological solid tumor decompression