Carry trades and global foreign exchange volatility

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess returns arising from popular strategies that borrow in low-interest rate currencies and invest in high-interest rate currencies, so-called `carry trades'. We find that high interest rate currencies are negatively related to innovations in global FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross-sectional excess returns in five carry trade portfolios. In turn, these results provide evidence that there is an economically meaningful risk-return relation in the FX market. Further analysis shows that liquidity risk also matters for expected FX returns, but to a lesser degree than volatility risk. Finally, exposure to our volatility risk proxy also performs well for pricing returns of other cross sections in foreign exchange, U.S. equity, and corporate bond markets

Diversification with volatility products

Recent changes to clearing-house regulations have promoted exchange-traded products offering risk premia previously accessible only over-the-counter. Thus, as correlations increase between equity, bonds and commodities, a new strand of research questions the benefits of home-grown diversification using volatility products. First we ask: “What expected returns will induce equity and bond investors to perceive ex-ante diversification benefits from adding volatility?” We call this the optimal diversification threshold. We derive the theoretical thresholds for minimum-variance, mean-variance and Black–Litterman optimization. Empirical analysis of US and European markets shows that volatility diversification is frequently perceived to be optimal, ex-ante, but these apparent benefits are almost never realized, being eroded by high roll and transaction costs. Exchange-traded volatility only proved an effective diversifier during the banking crisis. At other times long equity and bond portfolios diversified with volatility futures have not performed as well as those without diversification, or even those diversified with commodities

Analysing 454 amplicon resequencing experiments using the modular and database oriented Variant Identification Pipeline

<p>Abstract</p> <p>Background</p> <p>Next-generation amplicon sequencing enables high-throughput genetic diagnostics, sequencing multiple genes in several patients together in one sequencing run. Currently, no open-source out-of-the-box software solution exists that reliably reports detected genetic variations and that can be used to improve future sequencing effectiveness by analyzing the PCR reactions.</p> <p>Results</p> <p>We developed an integrated database oriented software pipeline for analysis of 454/Roche GS-FLX amplicon resequencing experiments using Perl and a relational database. The pipeline enables variation detection, variation detection validation, and advanced data analysis, which provides information that can be used to optimize PCR efficiency using traditional means. The modular approach enables customization of the pipeline where needed and allows researchers to adopt their analysis pipeline to their experiments. Clear documentation and training data is available to test and validate the pipeline prior to using it on real sequencing data.</p> <p>Conclusions</p> <p>We designed an open-source database oriented pipeline that enables advanced analysis of 454/Roche GS-FLX amplicon resequencing experiments using SQL-statements. This modular database approach allows easy coupling with other pipeline modules such as variant interpretation or a LIMS system. There is also a set of standard reporting scripts available.</p

Volatility forecasting in the Chinese commodity futures market with intraday data

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies. We adopt popular volatility models in the literature and assess the forecasts obtained via these models against alternative proxies for the true volatility. Our results suggest that the long memory property is an essential feature in the commodity futures volatility dynamics and that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best in statistical terms

EMU sovereign spreads and macroeconomic news

We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by aggregating deviations between data releases and market expectations on a set of indicators chosen for being closely watched by economic analysts and financial operators. We find that the dissemination of macroeconomic data on the US economy affects the level of sovereign spreads, i.e. the better the news the lower the spreads. Moreover, the dissemination of bad news on the euro area economy affects negatively the volatility, i.e. the worse the news the higher the volatility

A high-density linkage map and sex-linked markers for the Amazon tambaqui Colossoma macropomum.

Tambaqui (Colossoma macropomum, Cuvier, 1818) is the most economically important native freshwater fish species in Brazil. It can reach a total length of over 1 m and a weight of over 40 kg. The species displays a clear sex dimorphism in growth performance, with females reaching larger sizes at harvest. In aquaculture, the production of monosex populations in selective breeding programmes has been therefore identified as a key priority. In the present study, a genetic linkage map was generated by double digest restriction-site associated DNA (ddRAD) sequencing from 248 individuals sampled from two F1 families. The map was constructed using 14,805 informative SNPs and spanned 27 linkage groups. From this, the tambaqui draft genome was improved, by ordering the scaffolds into chromosomes, and sex-linked markers were identified. A total of 235 markers on linkage group 26 showed a significant association with the phenotypic sex, supporting an XX/XY sex determination system in the species. The four most informative sex-linked markers were validated on another 206 sexed individuals, demonstrating an accuracy in predicting sex ranging from 90.0 to 96.7%

A high-density linkage map and sex-linked markers for the Amazon Tambaqui Colossoma macropomum

Tambaqui (\textit{Colossoma macropomum}, Cuvier, 1818) is the most economically important native freshwater fish species in Brazil. It can reach a total length of over 1~m and a weight of over 40~kg. The species displays a clear sex dimorphism in growth performance with females reaching larger sizes at harvest. In aquaculture, the production of monosex populations in selective breeding programmes has been therefore identified as a key priority. In the present study, a genetic linkage map was generated by double digest restriction-site associated DNA (ddRAD) sequencing from 248 individuals sampled from two F1 families. The map was constructed using 14,805 informative SNPs and spanned 27 linkage groups. From this, the tambaqui draft genome was improved, by ordering the scaffolds into chromosomes, and sex-linked markers were identified. A total of 235 markers on linkage group 26 showed a significant association with the phenotypic sex supporting an XX/XY sex determination system in the species. The four most informative sex-linked markers were validated on another 206 sexed individuals demonstrating an accuracy in predicting sex ranging from 90.0\% to 96.7\%. The genetic mapping and novel sex-linked DNA markers identified and validated offer new tools for rapid progeny sexing, thus supporting the development of monosex female production in the industry while also supporting breeding programs of the species