The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

ABSTRACT. This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one market to another

Does the market maker stabilize the market?

The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market model that examines the impact on market stability of the market maker, who acts as both a liquidity provider and an active investor in a market consisting of two types of boundedly rational speculative investors-the fundamentalists and trend followers. We show that the market maker does not necessarily stabilize the market when he/she actively manages the inventory to maximize profits, and that rather the market maker's impact depends on the behavior of the speculators. Numerical simulations show that the model is able to generate outcomes for asset returns and market inventories that are consistent with empirical findings. © 2009

A behavioral asset pricing model with a time-varying second moment

We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stability, bifurcation, and normal form analysis, the market impact of the weighting process and time-varying second moment are examined. It is found that the fundamental price becomes stable (unstable) when the activities from both types of traders are balanced (unbalanced). When the fundamental price becomes unstable, the weighting process leads to different price dynamics, depending on whether the chartists act as either trend followers or contrarians. It is also found that a time-varying second moment of the chartists does not change the stability of the fundamental price, but it does influence the stability of the bifurcations. The bifurcation becomes stable (unstable) when the chartists are more (less) concerned about the market risk characterized by the time-varying second moment. Different routes to complicated price dynamics are also observed. The analysis provides an analytical foundation for the statistical analysis of the corresponding stochastic version of this type of behavioral model. © 2005 Elsevier Ltd. All rights reserved

Structural investigation of nucleophosmin interaction with the tumor suppressor Fbw7γ

Nucleophosmin (NPM1) is a multifunctional nucleolar protein implicated in ribogenesis, centrosome duplication, cell cycle control, regulation of DNA repair and apoptotic response to stress stimuli. The majority of these functions are played through the interactions with a variety of protein partners. NPM1 is frequently overexpressed in solid tumors of different histological origin. Furthermore NPM1 is the most frequently mutated protein in acute myeloid leukemia (AML) patients. Mutations map to the C-terminal domain and lead to the aberrant and stable localization of the protein in the cytoplasm of leukemic blasts. Among NPM1 protein partners, a pivotal role is played by the tumor suppressor Fbw7γ, an E3-ubiquitin ligase that degrades oncoproteins like c-MYC, cyclin E, Notch and c-jun. In AML with NPM1 mutations, Fbw7γ is degraded following its abnormal cytosolic delocalization by mutated NPM1. This mechanism also applies to other tumor suppressors and it has been suggested that it may play a key role in leukemogenesis. Here we analyse the interaction between NPM1 and Fbw7γ, by identifying the protein surfaces implicated in recognition and key aminoacids involved. Based on the results of computational methods, we propose a structural model for the interaction, which is substantiated by experimental findings on several site-directed mutants. We also extend the analysis to two other NPM1 partners (HIV Tat and CENP-W) and conclude that NPM1 uses the same molecular surface as a platform for recognizing different protein partners. We suggest that this region of NPM1 may be targeted for cancer treatment

Statistical properties of a heterogeneous asset pricing model with time-varying second moment

Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial markets. However, the impact of such dynamic phenomena on various statistical properties of the corresponding stochastic model, including skewness and excess kurtosis, various autocorrelation (AC) patterns of under and over reactions, and volatility clustering characterised by the long-range dependence of ACs, is not clear and has been very little studied. This paper aims to contribute to this issue. Through a simple behavioural asset pricing model with fundamentalists and chartists, we examine the statistical properties of the model and their connection to the dynamics of the underlying deterministic model. In particular, our analysis leads to some insights into various mechanisms that may generate some of the stylised facts, such as fat tails, skewness, high kurtosis and long memory, observed in high frequency financial data. © 2006 Springer-Verlag Berlin Heidelberg

Primary cosmic ray spectrum in the 10 to the 12th power - 10 to the 16th power eV energy range from the NUSEX experiment

A primary cosmic ray spectrum was derived which fits both experimental multiple muon rates and the all-nucleon flux derived from the single muon intensities underground. In the frame of the interaction model developed by Gaisser, Elbert and Stanev, it is possible to reproduce NUSEX muon data with a primary composition in which the iron spectrum is only slightly flatter than the proton one. This result rules out the popular idea that the primary composition varies drastically with increasing energy, leading to the dominance of heavier nuclei at energies 10 to the 15th power to 10 to the 16th power eV

Nucleon decay and atmospheric neutrinos in the Mont Blanc experiment

In the NUSEX experiment, during 2.8 years of operation, 31 fully contained events have been collected; 3 among them are nucleon decay candidates, while the others have been attributed to upsilon interactions. Limits on nucleon lifetime and determinations of upsilon interaction rates are presented

The stochastic bifurcation behaviour of speculative financial markets

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined numerically. It is shown that speculative behaviour of chartists can cause the market price to display different forms of equilibrium distributions. In particular, when chartists are less active, there is a unique equilibrium distribution which is stable. However, when the chartists become more active, a new equilibrium distribution will be generated and become stable. The corresponding stationary density will change from a single peak to a crater-like density. The change of stationary distribution is characterized by a bimodal logarithm price distribution and fat tails. The paper demonstrates that stochastic bifurcation theory is a useful tool in providing insight into various types of financial market behaviour in a stochastic environment. © 2008 Elsevier Ltd. All rights reserved

The Perioperative Nursing Workforce Program in NSW: How a professional perioperative nursing association meets one of its mandates Part 1

The need to review and change the way nursing care is delivered in perioperative settings is predicated on nursing workforce shortages, the changing, increasingly technologised and risk-prone OR practice milieu, and increasing demand for surgery. In responding to members' concerns about these issues, the NSW Operating Theatre Association Inc. (NSW OTA) in conjunction with and with sponsorship from the NSW Chief Nursing and Midwifery Officer, initiated and oversaw the development of a program, called the Perioperative Nursing Workforce Program (PNWP). The aims of this program are to make better use of human resources, to improve the way care is provided and thus improve patient outcomes; and to empower perioperative nurses so they are capable of independently improving their working environment. The program, which takes a practice development approach, program participants and some of their projects are presented in this paper. What is known about the topic The role of perioperative professional nursing associations is to write standards for practice and to assist in the professional development of their members. Practice development is hypothesised to assist clinical nurses to 'see' their work contexts afresh and to implement changes to improve patient care by focusing on patient-centredness and the use of credible evidence. What this article contributes It describes the contents and the implementation of a perioperative nursing workforce program, initiated by the NSW OTA and auspiced by the Chief Nursing and Midwifery Officer, NSW Health. The PNWP uses the tenets of practice development (PD) to achieve its aims and this is possibly the first use of PD in perioperative settings, and on a statewide basis