Model Averaging in Risk Management with an Application to Futures Markets

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average ’ models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures

On dilatation operator for a renormalizable theory

Given a renormalizable theory we construct the dilatation operator, in the sense of generator of RG flow of composite operators. The generator is found as a differential operator acting on the space of normal symbols of composite operators in the theory. In the spirit of AdS/CFT correspondence, this operator is interpreted as the Hamiltonian of the dual theory. In the case of a field theory with non-abelian gauge symmetry the resulting system is a matrix model. The one-loop case is analyzed in details and it is shown that we reproduce known results from N=4 supersymmetric Yang-Mills theory.Comment: 26 pages, no figure

Time series aggregation, disaggregation and long memory

We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases. In particular cases of the mixture densities, the structure (moving average representation) of the aggregated process is investigated

High level of telomerase RNA gene expression is associated with chromatin modification, the ALT phenotype and poor prognosis in liposarcoma

Telomere length is maintained by two known mechanisms, activation of telomerase or alternative lengthening of telomeres (ALT). The ALT pathway is more commonly activated in tumours of mesenchymal origin, although the mechanisms involved in the decision of a cell to activate either telomerase or ALT are unknown at present and no molecular markers exist to define the ALT phenotype. We have previously shown an association between chromatin remodelling, telomerase gene expression and ALT in cell line models. Here, we evaluate these findings and investigate their prognostic significance in a panel of liposarcoma tissue samples to understand the biology underlying the ALT phenotype. Liposarcoma samples were split into three groups: telomerase positive (Tel+); ALT positive; ALT−/Tel−. Differences in telomerase gene expression were evident between the groups with increased expression of hTR in ALT and Tel+ compared to ALT−/Tel− samples and increased hTERT in Tel+ samples only. Investigation of a small panel of chromatin modifications revealed significantly increased binding of acetyl H3 in association with hTR expression. We confirm that the presence of the ALT phenotype is associated with poor prognosis and in addition, for the first time, we show a direct association between hTR expression and poor prognosis in liposarcoma patients

Mastering the Master Space

Supersymmetric gauge theories have an important but perhaps under-appreciated notion of a master space, which controls the full moduli space. For world-volume theories of D-branes probing a Calabi-Yau singularity X the situation is particularly illustrative. In the case of one physical brane, the master space F is the space of F-terms and a particular quotient thereof is X itself. We study various properties of F which encode such physical quantities as Higgsing, BPS spectra, hidden global symmetries, etc. Using the plethystic program we also discuss what happens at higher number N of branes. This letter is a summary and some extensions of the key points of a longer companion paper arXiv:0801.1585.Comment: 10 pages, 1 Figur

Variations in multiple sclerosis practice within Europe - Is it time for a new treatment guideline?

In the past 5 years, the combination of developments in diagnostic strategy and approval of new disease-modifying therapies has provided an opportunity to achieve dramatic improvements in patient outcomes in multiple sclerosis (MS). However, across Europe there are several factors that may prevent patients from receiving the best therapy at the appropriate time, and there is variation among countries in terms of which of these factors are most relevant. Here, we review current MS clinical practices in a number of countries in the European Union to identify differences regarding initiation of treatment in patients with clinically isolated syndrome or relapsing-remitting MS, and differences in the timing of treatment switch or escalation. While recognizing that policy is not static in any country, we believe that patients' interests would be better served if a European treatment guideline was developed. Such a guideline could both inform and be informed by national policies, facilitating the dissemination of best clinical practice internationally.info:eu-repo/semantics/publishedVersio

Activity of a trinuclear platinum complex in human ovarian cancer cell lines sensitive and resistant to cisplatin: cytotoxicity and induction and gene-specific repair of DNA lesions

A collateral sensitivity or a very modest cross-resistance to BBR 3464 was found in 2 ovarian cancer cell lines with experimentally induced resistance to cisplatin. Loss of mismatch repair proteins (hMLH1, hPMS2) or overexpression of nucleotide excision repair proteins (ERCC1) was not detrimental for the cellular sensitivity to BBR 3464. Moreover, interesting differences in the kinetics of formation and removal of DNA lesions at the single-gene (N- ras) level were observed between BBR 3464 and CDDP. © 2001 Cancer Research Campaign www.bjcancer.co

Poly(I:C) and CpG-ODN combined aerosolization to treat lung metastases and counter the immunosuppressive microenvironment

The immunostimulatory ability of synthetic oligonucleotides containing CpG motifs (CpG-ODN), agonists of Toll-like receptor 9 (TLR9), can be harnessed to promote antitumor immunity by their application at the tumor site to stimulate local activation of innate immunity; however, particularly in the lung, tumor-associated immunosuppression can subvert such antitumor innate immune responses. To locally maintain continuous activation of innate subpopulations while inhibiting immunosuppressive cells, we evaluated aerosol delivery CpG-ODN combined with Poly(I:C), a TLR3 agonist able to convert tumor-supporting macrophages to tumoricidal effectors, in the treatment of B16 melanoma lung metastases in C57BL/6 mice. Aerosolization of CpG-ODN with Poly(I:C) into the bronchoalveolar space reduced the presence of M2-associated arginase- and IL-10-secreting macrophages in tumor-bearing lungs and increased the antitumor activity of aerosolized CpG-ODN alone against B16 lung metastases without apparent signs of toxicity or injury of the bronchial-bronchiolar structures and alveolar walls. Moreover, CpG-ODN/Poly(I:C) aerosol combined with dacarbazine, a therapeutic agent used in patients with inoperable metastatic melanoma able to exert immunostimulatory effects, led to a significant increase in antitumor activity as compared to treatments with aerosolized CpG-ODN/Poly(I:C) or dacarbazine alone. This effect was related to an enhanced recruitment and cytotoxic activity of tumor-infiltrating NK cells in the lung. Our results point to aerosol delivery as a convenient approach for repeated applications of immunostimulants in patients with lung metastases to maintain a continuous local activation of innate immune cells while suppressing polarization of tumor-infiltrating macrophages to an M2 phenotype

Role of the Receptor Tyrosine Kinase Axl and its Targeting in Cancer Cells

Aberrant expression and activation of receptor tyrosine kinases (RTK) is a frequent feature of tumor cells that may underlie tumor aggressiveness. Among RTK, Axl, a member of the Tyro3-Axl-Mer family, represents a potential therapeutic target in different tumor types given its over-expression which leads to activation of oncogenic signaling promoting cell proliferation and survival, as well as migration and invasion. Axl can promote aggressiveness of various cell types through PI3K/Akt and/or MAPK/ERK, and its expression can be transcriptionally regulated by multiple factors. Deregulated Axl expression and activation have been shown to be implicated in reduced sensitivity of tumor cells to target-specific and conventional antitumor agents, but the precise mechanism underlying these phenomena are still poorly understood. Several small molecules acting as Axl inhibitors have been reported, and some of them are undergoing clinical investigation. In this review, we describe Axl biological functions, its expression in cancer and in drug-resistant tumor cells and the development of inhibitors tailored to this receptor tyrosine kinase