Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based component of the analysis also accommodates the concept of model-free implied volatility, such that the forecasting performance of the options market is separated from the issue of misspecification of the option pricing model. The forecasting assessment is conducted using an extensive set of observations on equity and option trades for News Corporation for the 1992 to 2001 period, yielding certain clear results. According to several different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this result being robust to the way in which alternative measures of future volatility accommodate microstructure noise and jumps. Of the volatility measures considered, the one which is, in turn, best forecast by the option-implied volatility is that measure which adjusts for microstructure noise, but which retains some information about random jumps.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures; Model-free Implied Volatility.

Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account. The paper also assesses the robustness of the performance of the option-implied forecasts to the way in which those forecasts are extracted from the option market. Using a test for superior predictive ability, model-free implied volatility, which aggregates information across the volatility 'smile', and at-the-money implied volatility, which ignores such information, are both tested as benchmark forecasts. The forecasting assessment is conducted using intraday data for three Dow Jones Industrial Average (DJIA) stocks and the S&P500 index over the 1996-2006 period, with future volatility proxied by a range of alternative noise-corrected realized measures. The results provide compelling evidence against the model-free forecast, with its poor performance linked to both the bias and excess variability that it exhibits as a forecast of actual volatility. The positive bias, in particular, is consistent with the option market factoring in a substantial premium for volatility risk. In contrast, implied volatility constructed from liquid at-the-money options is given strong support as a forecast of volatility, at least for the DJIA stocks. Neither benchmark is supported for the S&P500 index. Importantly, the qualitative results are robust to the measure used to proxy future volatility, although there is some evidence to suggest that any option-implied forecast may perform less well in forecasting the measure that excludes jump information, namely bi-power variation.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures

Differential expression of α- and β-expansin genes in the elongating leaf of Festuca pratensis

Grasses contain a number of genes encoding both α- and β-expansins. These cell wall proteins are predicted to play a role in cell wall modifications, particularly during tissue elongation. We report here on the characterisation of five α- and three vegetative β-expansins expressed in the leaf elongation zone (LEZ) of the forage grass, Festuca pratensis Huds. The expression of the predominant α-expansin (FpExp2) was localised to the vascular tissue, as was the β-expansin FpExpB3. Expression of another β-expansin (FpExpB2) was not localised to vascular tissue but was highly expressed in roots and initiating tillers. This is the first description of vegetative β-expansin gene expression at the organ and tissue level and also the first evidence of differential expression between members of this gene family. In addition, an analysis of both α- and β-expansin expression along the LEZ revealed no correlation with growth rate distribution, whereas we were able to identify a novel xyloglucan endotransglycosylase (FpXET1) whose expression profile closely mimicked leaf growth rate. These data suggest that α- and β-expansin activities in the grass leaf are associated with tissue differentiation, that expansins involved in leaf growth may represent more minor components of the spectrum of expansin genes expressed in this tissue, and that XETs may be useful markers for the analysis of grass leaf growth

Anomaly Detection in Networks with Application to Financial Transaction Networks

This paper is motivated by the task of detecting anomalies in networks of financial transactions, with accounts as nodes and a directed weighted edge between two nodes denoting a money transfer. The weight of the edge is the transaction amount. Examples of anomalies in networks include long paths of large transaction amounts, rings of large payments, and cliques of accounts. There are many methods available which detect such specific structures in networks. Here we introduce a method which is able to detect previously unspecified anomalies in networks. The method is based on a combination of features from network comparison and spectral analysis as well as local statistics, yielding 140 main features. We then use a simple feature sum method, as well as a random forest method, in order to classify nodes as normal or anomalous. We test the method first on synthetic networks which we generated, and second on a set of synthetic networks which were generated without the methods team having access to the ground truth. The first set of synthetic networks was split in a training set of 70 percent of the networks, and a test set of 30 percent of the networks. The resulting classifier was then applied to the second set of synthetic networks. We compare our method with Oddball, a widely used method for anomaly detection in networks, as well as to random classification. While Oddball outperforms random classification, both our feature sum method and our random forest method outperform Oddball. On the test set, the random forest outperforms feature sum, whereas on the second synthetic data set, initially feature sum tends to pick up more anomalies than random forest, with this behaviour reversing for lower-scoring anomalies. In all cases, the top 2 percent of flagged anomalies contained on average over 90 percent of the planted anomalies

All-optical OFDM and distributed Raman amplification:challenges to enable high capacities and extend reach

We review recent advances in all-optical OFDM technologies and discuss the performance of a field trial of a 2 Tbit/s Coherent WDM over 124 km with distributed Raman amplification. The results indicate that careful optimisation of the Raman pumps is essential. We also consider how all-optical OFDM systems perform favourably against energy consumption when compared with alternative coherent detection schemes. We argue that, in an energy constrained high-capacity transmission system, direct detected all-optical OFDM with `ideal' Raman amplification is an attractive candidate for metro area datacentre interconnects with ~100 km fibre spans, with an overall energy requirement at least three times lower than coherent detection techniques

Intracorporeal and Extracorporeal Anastomosis for Robotic-Assisted and Laparoscopic Right Colectomy: Short-Term Outcomes of a Multi-Center Prospective Trial

Background: Studies to date show contrasting conclusions when comparing intracorporeal and extracorporeal anastomoses for minimally invasive right colectomy. Large multi-center prospective studies comparing perioperative outcomes between these two techniques are needed. The purpose of this study was to compare intracorporeal and extracorporeal anastomoses outcomes for robotic assisted and laparoscopic right colectomy. Methods: Multi-center, prospective, observational study of patients with malignant or benign disease scheduled for laparoscopic or robotic-assisted right colectomy. Outcomes included conversion rate, gastrointestinal recovery, and complication rates. Results: There were 280 patients: 156 in the robotic assisted and laparoscopic intracorporeal anastomosis (IA) group and 124 in the robotic assisted and laparoscopic extracorporeal anastomosis (EA) group. The EA group was older (mean age 67 vs. 65 years, p = 0.05) and had fewer white (81% vs. 90%, p = 0.05) and Hispanic (2% vs. 12%, p = 0.003) patients. The EA group had more patients with comorbidities (82% vs. 72%, p = 0.04) while there was no significant difference in individual comorbidities between groups. IA was associated with fewer conversions to open and hand-assisted laparoscopic approaches (p = 0.007), shorter extraction site incision length (4.9 vs. 6.2 cm; p ≤ 0.0001), and longer operative time (156.9 vs. 118.2 min). Postoperatively, patients with IA had shorter time to first flatus, (1.5 vs. 1.8 days; p ≤ 0.0001), time to first bowel movement (1.6 vs. 2.0 days; p = 0.0005), time to resume soft/regular diet (29.0 vs. 37.5 h; p = 0.0014), and shorter length of hospital stay (median, 3 vs. 4 days; p ≤ 0.0001). Postoperative complication rates were comparable between groups. Conclusion: In this prospective, multi-center study of minimally invasive right colectomy across 20 institutions, IA was associated with significant improvements in conversion rates, return of bowel function, and shorter hospital stay, as well as significantly longer operative times compared to EA. These data validate current efforts to increase training and adoption of the IA technique for minimally invasive right colectomy

Characterisation and expression profile of the bovine cathelicidin gene repertoire in mammary tissue

BACKGROUND: Cathelicidins comprise a major group of host-defence peptides. Conserved across a wide range of species, they have several functions related to host defence. Only one cathelicidin has been found in humans but several cathelicidin genes occur in the bovine genome. We propose that these molecules may have a protective role against mastitis. The aim of this study was to characterise the cathelicidin gene-cluster in the bovine genome and to identify sites of expression in the bovine mammary gland. RESULTS: Bioinformatic analysis of the bovine genome (BosTau7) revealed seven protein-coding cathelicidin genes, CATHL1-7, including two identical copies of CATHL4, as well as three additional putative cathelicidin genes, all clustered on the long arm of chromosome 22. Six of the seven protein-coding genes were expressed in leukocytes extracted from milk of high somatic cell count (SCC) cows. CATHL5 was expressed across several sites in the mammary gland, but did not increase in response to Staphylococcus aureus infection. CONCLUSIONS: Here, we characterise the bovine cathelicidin gene cluster and reconcile inconsistencies in the datasets of previous studies. Constitutive cathelicidin expression in the mammary gland suggests a possible role for these host defence peptides its protection.An Irish Department of Agriculture, Fisheries and Food Research Stimulus Fund Grant (RSF 06-340).http://www.biomedcentral.com/bmcgenomics/am201

Physiological Benefits of Being Small in a Changing World: Responses of Coho Salmon (Oncorhynchus kisutch) to an Acute Thermal Challenge and a Simulated Capture Event

Evidence is building to suggest that both chronic and acute warm temperature exposure, as well as other anthropogenic perturbations, may select for small adult fish within a species. To shed light on this phenomenon, we investigated physiological and anatomical attributes associated with size-specific responses to an acute thermal challenge and a fisheries capture simulation (exercise+air exposure) in maturing male coho salmon (Oncorhynchus kisutch). Full-size females were included for a sex-specific comparison. A size-specific response in haematology to an acute thermal challenge (from 7 to 20°C at 3°C h−1) was apparent only for plasma potassium, whereby full-size males exhibited a significant increase in comparison with smaller males (‘jacks’). Full-size females exhibited an elevated blood stress response in comparison with full-size males. Metabolic recovery following exhaustive exercise at 7°C was size-specific, with jacks regaining resting levels of metabolism at 9.3±0.5 h post-exercise in comparison with 12.3±0.4 h for full-size fish of both sexes. Excess post-exercise oxygen consumption scaled with body mass in male fish with an exponent of b = 1.20±0.08. Jacks appeared to regain osmoregulatory homeostasis faster than full-size males, and they had higher ventilation rates at 1 h post-exercise. Peak metabolic rate during post-exercise recovery scaled with body mass with an exponent of b∼1, suggesting that the slower metabolic recovery in large fish was not due to limitations in diffusive or convective oxygen transport, but that large fish simply accumulated a greater ‘oxygen debt’ that took longer to pay back at the size-independent peak metabolic rate of ∼6 mg min−1 kg−1. Post-exercise recovery of plasma testosterone was faster in jacks compared with full-size males, suggesting less impairment of the maturation trajectory of smaller fish. Supporting previous studies, these findings suggest that environmental change and non-lethal fisheries interactions have the potential to select for small individuals within fish populations over time