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

Biological measurement beyond the quantum limit

Quantum noise places a fundamental limit on the per photon sensitivity attainable in optical measurements. This limit is of particular importance in biological measurements, where the optical power must be constrained to avoid damage to the specimen. By using non-classically correlated light, we demonstrated that the quantum limit can be surpassed in biological measurements. Quantum enhanced microrheology was performed within yeast cells by tracking naturally occurring lipid granules with sensitivity 2.4 dB beyond the quantum noise limit. The viscoelastic properties of the cytoplasm could thereby be determined with a 64% improved measurement rate. This demonstration paves the way to apply quantum resources broadly in a biological context

Respiratory Syncytial Virus (RSV) RNA loads in peripheral blood correlates with disease severity in mice

<p>Abstract</p> <p>Background</p> <p>Respiratory Syncytial Virus (RSV) infection is usually restricted to the respiratory epithelium. Few studies have documented the presence of RSV in the systemic circulation, however there is no consistent information whether virus detection in the blood correlates with disease severity.</p> <p>Methods</p> <p>Balb/c mice were inoculated with live RSV, heat-inactivated RSV or medium. A subset of RSV-infected mice was treated with anti-RSV antibody 72 h post-inoculation. RSV RNA loads were measured by PCR in peripheral blood from day 1-21 post-inoculation and were correlated with upper and lower respiratory tract viral loads, the systemic cytokine response, lung inflammation and pulmonary function. Immunohistochemical staining was used to define the localization of RSV antigens in the respiratory tract and peripheral blood.</p> <p>Results</p> <p>RSV RNA loads were detected in peripheral blood from day 1 to 14 post-inoculation, peaked on day 5 and significantly correlated with nasal and lung RSV loads, airway obstruction, and blood CCL2 and CXCL1 expression. Treatment with anti-RSV antibody reduced blood RSV RNA loads and improved airway obstruction. Immunostaining identified RSV antigens in alveolar macrophages and peripheral blood monocytes.</p> <p>Conclusions</p> <p>RSV RNA was detected in peripheral blood upon infection with live RSV, followed a time-course parallel to viral loads assessed in the respiratory tract and was significantly correlated with RSV-induced airway disease.</p

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Delayed Treatment with Systemic (S)-Roscovitine Provides Neuroprotection and Inhibits In Vivo CDK5 Activity Increase in Animal Stroke Models

Although quite challenging, neuroprotective therapies in ischemic stroke remain an interesting strategy to counter mechanisms of ischemic injury and reduce brain tissue damage. Among potential neuroprotective drug, cyclin-dependent kinases (CDK) inhibitors represent interesting therapeutic candidates. Increasing evidence indisputably links cell cycle CDKs and CDK5 to the pathogenesis of stroke. Although recent studies have demonstrated promising neuroprotective efficacies of pharmacological CDK inhibitors in related animal models, none of them were however clinically relevant to human treatment.In the present study, we report that systemic delivery of (S)-roscovitine, a well known inhibitor of mitotic CDKs and CDK5, was neuroprotective in a dose-dependent manner in two models of focal ischemia, as recommended by STAIR guidelines. We show that (S)-roscovitine was able to cross the blood brain barrier. (S)-roscovitine significant in vivo positive effect remained when the compound was systemically administered 2 hrs after the insult. Moreover, we validate one of (S)-roscovitine in vivo target after ischemia. Cerebral increase of CDK5/p25 activity was observed 3 hrs after the insult and prevented by systemic (S)-roscovitine administration. Our results show therefore that roscovitine protects in vivo neurons possibly through CDK5 dependent mechanisms.Altogether, our data bring new evidences for the further development of pharmacological CDK inhibitors in stroke therapy

Gene expression profile of cervical and skin tissues from human papillomavirus type 16 E6 transgenic mice

<p>Abstract</p> <p>Background</p> <p>Although K14E6 transgenic mice develop spontaneous tumors of the skin epithelium, no spontaneous reproductive tract malignancies arise, unless the transgenic mice were treated chronically with 17β-estradiol. These findings suggest that E6 performs critical functions in normal adult cervix and skin, highlighting the need to define E6-controlled transcriptional programs in these tissues.</p> <p>Methods</p> <p>We evaluated the expression profile of 14,000 genes in skin or cervix from young K14E6 transgenic mice compared with nontransgenic. To identify differentially expressed genes a linear model was implemented using R and the LIMMA package. Two criteria were used to select the set of relevant genes. First a set of genes with a Log-odds ≥ 3 were selected. Then, a hierarchical search of genes was based on Log Fold Changes.</p> <p>Results</p> <p>Microarray analysis identified a total of 676 and 1154 genes that were significantly up and down-regulated, respectively, in skin from K14E6 transgenic mice. On the other hand, in the cervix from K14E6 transgenic mice we found that only 97 and 252 genes were significantly up and down-regulated, respectively. One of the most affected processes in the skin from K14E6 transgenic mice was the cell cycle. We also found that skin from transgenic mice showed down-regulation of pro-apoptotic genes and genes related to the immune response. In the cervix of K14E6 transgenic mice, we could not find affected any gene related to the cell cycle and apoptosis pathways but did observe alterations in the expression of immune response genes. Pathways such as angiogenesis, cell junction and epidermis development, also were altered in their gene expression profiles in both tissues.</p> <p>Conclusion</p> <p>Expression of the HPV16 E6 oncoprotein in our model alters expression of genes that fell into several functional groups providing insights into pathways by which E6 deregulate cell cycle progression, apoptosis, the host resistance to infection and immune function, providing new opportunities for early diagnostic markers and therapeutic drug targets.</p

Intronic L1 Retrotransposons and Nested Genes Cause Transcriptional Interference by Inducing Intron Retention, Exonization and Cryptic Polyadenylation

Transcriptional interference has been recently recognized as an unexpectedly complex and mostly negative regulation of genes. Despite a relatively few studies that emerged in recent years, it has been demonstrated that a readthrough transcription derived from one gene can influence the transcription of another overlapping or nested gene. However, the molecular effects resulting from this interaction are largely unknown.Using in silico chromosome walking, we searched for prematurely terminated transcripts bearing signatures of intron retention or exonization of intronic sequence at their 3' ends upstream to human L1 retrotransposons, protein-coding and noncoding nested genes. We demonstrate that transcriptional interference induced by intronic L1s (or other repeated DNAs) and nested genes could be characterized by intron retention, forced exonization and cryptic polyadenylation. These molecular effects were revealed from the analysis of endogenous transcripts derived from different cell lines and tissues and confirmed by the expression of three minigenes in cell culture. While intron retention and exonization were comparably observed in introns upstream to L1s, forced exonization was preferentially detected in nested genes. Transcriptional interference induced by L1 or nested genes was dependent on the presence or absence of cryptic splice sites, affected the inclusion or exclusion of the upstream exon and the use of cryptic polyadenylation signals.Our results suggest that transcriptional interference induced by intronic L1s and nested genes could influence the transcription of the large number of genes in normal as well as in tumor tissues. Therefore, this type of interference could have a major impact on the regulation of the host gene expression

A Research Agenda for Helminth Diseases of Humans: Diagnostics for Control and Elimination Programmes

Diagnostic tools appropriate for undertaking interventions to control helminth infections are key to their success. Many diagnostic tests for helminth infection have unsatisfactory performance characteristics and are not well suited for use in the parasite control programmes that are being increasingly implemented. Although the application of modern laboratory research techniques to improve diagnostics for helminth infection has resulted in some technical advances, uptake has not been uniform. Frequently, pilot or proof of concept studies of promising diagnostic technologies have not been followed by much needed product development, and in many settings diagnosis continues to rely on insensitive and unsatisfactory parasitological or serodiagnostic techniques. In contrast, PCR-based xenomonitoring of arthropod vectors, and use of parasite recombinant proteins as reagents for serodiagnostic tests, have resulted in critical advances in the control of specific helminth parasites. The Disease Reference Group on Helminths Infections (DRG4), established in 2009 by the Special Programme for Research and Training in Tropical Diseases (TDR) was given the mandate to review helminthiases research and identify research priorities and gaps. In this review, the diagnostic technologies relevant to control of helminth infections, either available or in development, are reviewed. Critical gaps are identified and opportunities to improve needed technologies are discussed

P2 receptors are involved in the mediation of motivation-related behavior

The importance of purinergic signaling in the intact mesolimbic–mesocortical circuit of the brain of freely moving rats is reviewed. In the rat, an endogenous ADP/ATPergic tone reinforces the release of dopamine from the axon terminals in the nucleus accumbens as well as from the somatodendritic region of these neurons in the ventral tegmental area, as well as the release of glutamate, probably via P2Y1 receptor stimulation. Similar mechanisms may regulate the release of glutamate in both areas of the brain. Dopamine and glutamate determine in concert the activity of the accumbal GABAergic, medium-size spiny neurons thought to act as an interface between the limbic cortex and the extrapyramidal motor system. These neurons project to the pallidal and mesencephalic areas, thereby mediating the behavioral reaction of the animal in response to a motivation-related stimulus. There is evidence that extracellular ADP/ATP promotes goal-directed behavior, e.g., intention and feeding, via dopamine, probably via P2Y1 receptor stimulation. Accumbal P2 receptor-mediated glutamatergic mechanisms seem to counteract the dopaminergic effects on behavior. Furthermore, adaptive changes of motivation-related behavior, e.g., by chronic succession of starvation and feeding or by repeated amphetamine administration, are accompanied by changes in the expression of the P2Y1 receptor, thought to modulate the sensitivity of the animal to respond to certain stimuli