Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey in 2000 and combine GARCH-type models with the extreme value theory to estimate the tails of three financial index returns ¿ S&P 500, FTSE 100 and NIKKEI 225 ¿ representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are more accurate than those from conventional GARCH models assuming normal or Student¿s t distribution innovations when doing not only in-sample but also out-of-sample estimation. Moreover, these results are robust to alternative GARCH model specifications. The findings of this paper should be useful to investors in general, since their goal is to be able to forecast unforeseen price movements and take advantage of them by positioning themselves in the market according to these predictions

PCR-based methods for the detection of L1014 kdr mutation in Anopheles culicifacies sensu lato

<p>Abstract</p> <p>Background</p> <p><it>Anopheles culicifacies s.l</it>., a major malaria vector in India, has developed widespread resistance to DDT and is becoming resistant to pyrethroids–the only insecticide class recommended for the impregnation of bed nets. Knock-down resistance due to a point mutation in the voltage gated sodium channel at L1014 residue (<it>kdr</it>) is a common mechanism of resistance to DDT and pyrethroids. The selection of this resistance may pose a serious threat to the success of the pyrethroid-impregnated bed net programme. This study reports the presence of <it>kdr </it>mutation (L1014F) in a field population of <it>An. culicifacies s.l</it>. and three new PCR-based methods for <it>kdr </it>genotyping.</p> <p>Methods</p> <p>The IIS4-IIS5 linker to IIS6 segments of the para type voltage gated sodium channel gene of DDT and pyrethroid resistant <it>An. culicifacies s.l</it>. population from the Surat district of India was sequenced. This revealed the presence of an A-to-T substitution at position 1014 leading to a leucine-phenylalanine mutation (L1014F) in a few individuals. Three molecular methods viz. Allele Specific PCR (AS-PCR), an Amplification Refractory Mutation System (ARMS) and Primer Introduced Restriction Analysis-PCR (PIRA-PCR) were developed and tested for <it>kdr </it>genotyping. The specificity of the three assays was validated following DNA sequencing of the samples genotyped.</p> <p>Results</p> <p>The genotyping of this <it>An. culicifacies s.l</it>. population by the three PCR based assays provided consistent result and were in agreement with DNA sequencing result. A low frequency of the <it>kdr </it>allele mostly in heterozygous condition was observed in the resistant population. Frequencies of the different genotypes were in Hardy-Weinberg equilibrium.</p> <p>Conclusion</p> <p>The Leu-Phe mutation, which generates the <it>kdr </it>phenotype in many insects, was detected in a pyrethroid and DDT resistant <it>An. culicifacies s.l</it>. population. Three PCR-based methods were developed for <it>kdr </it>genotyping. All the three assays were specific. The ARMS method was refractory to non-specific amplification in non-stringent amplification conditions. The PIRA-PCR assay is able to detect both the codons for the phenylalanine mutation at <it>kdr </it>locus, i.e., TTT and TTC, in a single assay, although the latter codon was not found in the population genotyped.</p

Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?

This article presents a comprehensive analysis of the relative ability of three information sets—daily trading volume, intraday returns and overnight returns—to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into economic gains for technical traders. Various profitability criteria and utility-based switching fees indicate that the largest gains stem from combining historical daily returns with volume information. Using common statistical loss functions, the largest degree of predictive power is found instead in intraday returns. Our analysis thus reinforces the view that statistical significance does not have a direct mapping onto economic value. As a byproduct, we show that buying the stock when the forecasted volatility is extremely high appears largely profitable, suggesting a strong return-risk relationship in turbulent conditions

A propofol binding site on mammalian GABAA receptors identified by photolabeling

Propofol is the most important intravenous general anesthetic in current clinical use. It acts by potentiating GABA(A) receptors, but where it binds to this receptor is not known and has been a matter of some controversy. We have synthesized a novel propofol analogue photolabeling reagent that has a biological activity very similar to that of propofol. We confirmed that this reagent labeled known propofol binding sites in human serum albumin which have been identified using X-ray crystallography. Using a combination of the protiated label and a deuterated version, and mammalian receptors labeled in intact membranes, we have identified a novel binding site for propofol in GABA(A) receptors consisting of both β(3) homopentamers and α(1)β(3) heteropentamers. The binding site is located within the β subunit, at the interface between the transmembrane domains and the extracellular domain, and lies close to known determinants of anesthetic sensitivity in transmembrane segments TM1 and TM2

Gabapentin as add-on to morphine for severe neuropathic or mixed pain in children from age 3 months to 18 years - Evaluation of the safety, pharmacokinetics, and efficacy of a new gabapentin liquid formulation: Study protocol for a randomized controlled trial

Background: Gabapentin has shown efficacy in the treatment of chronic neuropathic or mixed pain in adults. Although pediatric pain specialists have extensive experience with gabapentin for the treatment of neuropathic pain, its use is off-label. Its efficacy and safety in this context have never been shown. The aim of this trial is to compare gabapentin with placebo as add-on to morphine for the treatment of severe chronic mixed or neuropathic pain in children. This trial is part of the European Union Seventh Framework Programme project Gabapentin in Paediatric Pain (GAPP) to develop a pediatric use marketing authorization for a new gabapentin suspension. Methods/design: The GAPP-2 study is a randomized, double-blind, placebo-controlled, multicenter superiority phase II study in children with severe chronic neuropathic or mixed pain. Its primary objective is to evaluate the efficacy of a gabapentin liquid formulation as adjunctive therapy to morphine. Sixty-six eligible children 3 months to 18 years of age with severe pain (pain scores ≥ 7), stratified in three age groups, will be randomized to receive gabapentin (to an accumulating dose of 45 to 63 mg/kg/day, dependent on age) or placebo, both in addition to morphine, for 12 weeks. Randomization will be preceded by a short washout period, and treatment will be initiated by a titration period of 3 weeks. After the treatment period, medication will be tapered during 4 weeks. The primary endpoint is the average pain scores in the two treatment groups (average of two measures each day for 3 days before the end-of-study visit [V10] assessed by age-appropriate pain scales (Face, Legs, Activity, Cry, Consolability scale; Faces Pain Scale-Revised; Numeric Rating Scale). Secondary outcomes include percentage responders to treatment (subjects with 30% reduction in pain scale), number of episodes of breakthrough pain, number of rescue interventions, number of pain-free days, participant dropouts, quality of life (Pediatric Quality of Life Inventory), and acceptability of treatment. Outcomes will be measured at the end-of-study visit after 12 weeks of treatment at the optimal gabapentin dose. Groups will be compared on an intention-to-treat basis. Discussion: We hope to provide evidence that the combination of morphine and gabapentin will provide better analgesia than morphine alone and will be safe. We also aim to obtain confirmation of the recommended pediatric dose. Trial registration: EudractCT, 2014-004897-40. Registered on 7 September 2017. ClinicalTrials.gov, NCT03275012. Registered on 7 September 2017

Role of hydrodynamic factors in controlling the formation and location of unconformity-related uranium deposits: insights from reactive-flow modeling

The role of hydrodynamic factors in controlling the formation and location of unconformity-related uranium (URU) deposits in sedimentary basins during tectonically quiet periods is investigated. A number of reactive-flow modeling experiments at the deposit scale were carried out by assigning different dip angles and directions to a fault and various permeabilities to hydrostratigraphic units). The results show that the fault dip angle and direction, and permeability of the hydrostratigraphic units govern the convection pattern, temperature distribution, and uranium mineralization. Avertical fault results in uranium mineralization at the bottom of the fault within the basement, while a dipping fault leads to precipitation of uraninite below the unconformity either away from or along the plane of the fault, depending on the fault permeability. A more permeable fault causes uraninite precipitates along the fault plane,whereas a less permeable one gives rise to the precipitation of uraninite away from it. No economic ore mineralization can form when either very low or very high permeabilities are assigned to the sandstone or basement suggesting that these units seem to have an optimal window of permeability for the formation of uranium deposits. Physicochemical parameters also exert an additional control in both the location and grade of URU deposits. These results indicate that the difference in size and grade of different URU deposits may result from variation in fluid flow pattern and physicochemical conditions, caused by the change in structural features and hydraulic properties of the stratigraphic units involved

A New Methodology to Associate SNPs with Human Diseases According to Their Pathway Related Context

Genome-wide association studies (GWAS) with hundreds of żthousands of single nucleotide polymorphisms (SNPs) are popular strategies to reveal the genetic basis of human complex diseases. Despite many successes of GWAS, it is well recognized that new analytical approaches have to be integrated to achieve their full potential. Starting with a list of SNPs, found to be associated with disease in GWAS, here we propose a novel methodology to devise functionally important KEGG pathways through the identification of genes within these pathways, where these genes are obtained from SNP analysis. Our methodology is based on functionalization of important SNPs to identify effected genes and disease related pathways. We have tested our methodology on WTCCC Rheumatoid Arthritis (RA) dataset and identified: i) previously known RA related KEGG pathways (e.g., Toll-like receptor signaling, Jak-STAT signaling, Antigen processing, Leukocyte transendothelial migration and MAPK signaling pathways); ii) additional KEGG pathways (e.g., Pathways in cancer, Neurotrophin signaling, Chemokine signaling pathways) as associated with RA. Furthermore, these newly found pathways included genes which are targets of RA-specific drugs. Even though GWAS analysis identifies 14 out of 83 of those drug target genes; newly found functionally important KEGG pathways led to the discovery of 25 out of 83 genes, known to be used as drug targets for the treatment of RA. Among the previously known pathways, we identified additional genes associated with RA (e.g. Antigen processing and presentation, Tight junction). Importantly, within these pathways, the associations between some of these additionally found genes, such as HLA-C, HLA-G, PRKCQ, PRKCZ, TAP1, TAP2 and RA were verified by either OMIM database or by literature retrieved from the NCBI PubMed module. With the whole-genome sequencing on the horizon, we show that the full potential of GWAS can be achieved by integrating pathway and network-oriented analysis and prior knowledge from functional properties of a SNP

Morbidity and mortality after anaesthesia in early life: results of the European prospective multicentre observational study, neonate and children audit of anaesthesia practice in Europe (NECTARINE)

BACKGROUND: Neonates and infants requiring anaesthesia are at risk of physiological instability and complications, but triggers for peri-anaesthetic interventions and associations with subsequent outcome are unknown. METHODS: This prospective, observational study recruited patients up to 60 weeks' postmenstrual age undergoing anaesthesia for surgical or diagnostic procedures from 165 centres in 31 European countries between March 2016 and January 2017. The primary aim was to identify thresholds of pre-determined physiological variables that triggered a medical intervention. The secondary aims were to evaluate morbidities, mortality at 30 and 90 days, or both, and associations with critical events. RESULTS: Infants (n=5609) born at mean (standard deviation [sd]) 36.2 (4.4) weeks postmenstrual age (35.7% preterm) underwent 6542 procedures within 63 (48) days of birth. Critical event(s) requiring intervention occurred in 35.2% of cases, mainly hypotension (>30% decrease in blood pressure) or reduced oxygenation (SpO2 <85%). Postmenstrual age influenced the incidence and thresholds for intervention. Risk of critical events was increased by prior neonatal medical conditions, congenital anomalies, or both (relative risk [RR]=1.16; 95% confidence interval [CI], 1.04–1.28) and in those requiring preoperative intensive support (RR=1.27; 95% CI, 1.15–1.41). Additional complications occurred in 16.3% of patients by 30 days, and overall 90-day mortality was 3.2% (95% CI, 2.7–3.7%). Co-occurrence of intraoperative hypotension, hypoxaemia, and anaemia was associated with increased risk of morbidity (RR=3.56; 95% CI, 1.64–7.71) and mortality (RR=19.80; 95% CI, 5.87–66.7). CONCLUSIONS: Variability in physiological thresholds that triggered an intervention, and the impact of poor tissue oxygenation on patient's outcome, highlight the need for more standardised perioperative management guidelines for neonates and infants

Estimating global injuries morbidity and mortality: methods and data used in the Global Burden of Disease 2017 study

BACKGROUND: While there is a long history of measuring death and disability from injuries, modern research methods must account for the wide spectrum of disability that can occur in an injury, and must provide estimates with sufficient demographic, geographical and temporal detail to be useful for policy makers. The Global Burden of Disease (GBD) 2017 study used methods to provide highly detailed estimates of global injury burden that meet these criteria. METHODS: In this study, we report and discuss the methods used in GBD 2017 for injury morbidity and mortality burden estimation. In summary, these methods included estimating cause-specific mortality for every cause of injury, and then estimating incidence for every cause of injury. Non-fatal disability for each cause is then calculated based on the probabilities of suffering from different types of bodily injury experienced. RESULTS: GBD 2017 produced morbidity and mortality estimates for 38 causes of injury. Estimates were produced in terms of incidence, prevalence, years lived with disability, cause-specific mortality, years of life lost and disability-adjusted life-years for a 28-year period for 22 age groups, 195 countries and both sexes. CONCLUSIONS: GBD 2017 demonstrated a complex and sophisticated series of analytical steps using the largest known database of morbidity and mortality data on injuries. GBD 2017 results should be used to help inform injury prevention policy making and resource allocation. We also identify important avenues for improving injury burden estimation in the future