An Application of Wavelets to Finance: The Three-Factor Fama/French Model

We use multi-scale analysis and a rolling 250-day window to estimate a widely used standard for empirical asset pricing. The asset pricing model employed is the Fama-French three-factor model. The model is estimated using stock returns for 49 industry stocks of US industry portfolios for the period from July 1969 to September 2017. The rolling window estimation approach allows us to capture the behavior of an investor who periodically reallocates his portfolio. Employing periodic estimates of expected return, we implement a set of long/short investment strategies based on the standard Fama-French three-factor model, and scale versions of the model. We find that during recessions, the higher scale long/short strategies tend to outperform the standard approach. Our results suggest distinct risk dynamics at specific horizons during recessions. We conclude that the information content of the economic phenomena that generate the three-factor model does not follow strict periodicity during recessions, making the wavelet approach more suitable for portfolio managers who must be prepared to rebalance portfolios during official downturns

Forensic DNA phenotyping: Developing a model privacy impact assessment

© 2018 Elsevier B.V. Forensic scientists around the world are adopting new technology platforms capable of efficiently analysing a larger proportion of the human genome. Undertaking this analysis could provide significant operational benefits, particularly in giving investigators more information about the donor of genetic material, a particularly useful investigative lead. Such information could include predicting externally visible characteristics such as eye and hair colour, as well as biogeographical ancestry. This article looks at the adoption of this new technology from a privacy perspective, using this to inform and critique the application of a Privacy Impact Assessment to this emerging technology. Noting the benefits and limitations, the article develops a number of themes that would influence a model Privacy Impact Assessment as a contextual framework for forensic laboratories and law enforcement agencies considering implementing forensic DNA phenotyping for operational use

Massively parallel sequencing of customised forensically informative SNP panels on the MiSeq.

Forensic DNA-based intelligence, or forensic DNA phenotyping, utilises SNPs to infer the biogeographical ancestry and externally visible characteristics of the donor of evidential material. SNaPshot® is a commonly employed forensic SNP genotyping technique, which is limited to multiplexes of 30-40 SNPs in a single reaction and prone to PCR contamination. Massively parallel sequencing has the ability to genotype hundreds of SNPs in multiple samples simultaneously by employing an oligonucleotide sample barcoding strategy. This study of the Illumina MiSeq massively parallel sequencing platform analysed 136 unique SNPs in 48 samples from SNaPshot PCR amplicons generated by five established forensic DNA phenotyping assays comprising the SNPforID 52-plex, SNPforID 34-plex, Eurasiaplex, Pacifiplex and IrisPlex. Approximately 3 GB of sequence data were generated from two MiSeq flow cells and profiles were obtained from just 0.25 ng of DNA. Compared with SNaPshot, an average 98% genotyping concordance was achieved. Our customised approach was successful in attaining SNP profiles from extremely degraded, inhibited, and compromised casework samples. Heterozygote imbalance and sequence coverage in negative controls highlight the need to establish baseline sequence coverage thresholds and refine allele frequency thresholds. This study demonstrates the potential of the MiSeq for forensic SNP analysis

Empirical Evidence on Enhanced Mutation Rates of 19 RM-YSTRs for Differentiating Paternal Lineages.

Rapidly mutating Y-chromosomal short tandem repeats (RM Y STRs) with mutation rates ≥ 10-2 per locus per generation are valuable for differentiating amongst male paternal relatives where standard Y STRs with mutation rates of ≤10-3 per locus per generation may not. Although the 13 RM Y STRs commonly found in commercial assays provide higher levels of paternal lineage differentiation than conventional Y STRs, there are many male paternal relatives that still cannot be differentiated. This can be improved by increasing the number of Y STRs or choosing those with high mutation rates. We present a RM Y STR multiplex comprising 19 loci with high mutation rates and its developmental validation (repeatability, sensitivity and male specificity). The multiplex was found to be robust, reproducible, specific and sensitive enough to generate DNA profiles from samples with inhibitors. It was also able to detect all contributor alleles of mixtures in ratios up to 9:1. We provide preliminary evidence for the ability of the multiplex to discriminate between male paternal relatives by analyzing large numbers of male relative pairs (536) separated by one to seven meioses. A total of 96 mutations were observed in 162 meioses of father-son pairs, and other closely related male pairs were able to be differentiated after 1, 2, 3, 4, 5, 6 and 7 meiosis in 44%, 69%, 68%, 85%, 0%, 100% and 100% of cases, respectively. The multiplex offers a noticeable enhancement in the ability to differentiate paternally related males compared with the 13 RM Y STR set. We envision the future application of our 19 RM Yplex in criminal cases for the exclusion of male relatives possessing matching standard Y STR profiles and in familial searching with unknown suspects. It represents a step towards the complete individualization of closely related males

Forensic Autosomal Short Tandem Repeats and Their Potential Association With Phenotype

Forensic DNA profiling utilizes autosomal short tandem repeat (STR) markers to establish identity of missing persons, confirm familial relations, and link persons of interest to crime scenes. It is a widely accepted notion that genetic markers used in forensic applications are not predictive of phenotype. At present, there has been no demonstration of forensic STR variants directly causing or predicting disease. Such a demonstration would have many legal and ethical implications. For example, is there a duty to inform a DNA donor if a medical condition is discovered during routine analysis of their sample? In this review, we evaluate the possibility that forensic STRs could provide information beyond mere identity. An extensive search of the literature returned 107 articles associating a forensic STR with a trait. A total of 57 of these studies met our inclusion criteria: a reported link between a STR-inclusive gene and a phenotype and a statistical analysis reporting a p-value less than 0.05. A total of 50 unique traits were associated with the 24 markers included in the 57 studies. TH01 had the greatest number of associations with 27 traits reportedly linked to 40 different genotypes. Five of the articles associated TH01 with schizophrenia. None of the associations found were independently causative or predictive of disease. Regardless, the likelihood of identifying significant associations is increasing as the function of non-coding STRs in gene expression is steadily revealed. It is recommended that regular reviews take place in order to remain aware of future studies that identify a functional role for any forensic STRs

Systematic benchmarking of tools for CpG methylation detection from nanopore sequencing

DNA methylation plays a fundamental role in the control of gene expression and genome integrity. Although there are multiple tools that enable its detection from Nanopore sequencing, their accuracy remains largely unknown. Here, we present a systematic benchmarking of tools for the detection of CpG methylation from Nanopore sequencing using individual reads, control mixtures of methylated and unmethylated reads, and bisulfite sequencing. We found that tools have a tradeoff between false positives and false negatives and present a high dispersion with respect to the expected methylation frequency values. We described various strategies to improve the accuracy of these tools, including a consensus approach, METEORE ( https://github.com/comprna/METEORE ), based on the combination of the predictions from two or more tools that shows improved accuracy over individual tools. Snakemake pipelines are also provided for reproducibility and to enable the systematic application of our analyses to other datasets

Population genetic portrait of Pakistani Lahore-Christians based on 32 STR loci.

Phylogenetic relationship and the population structure of 500 individuals from the Christian community of Lahore, Pakistan, were examined based on 15 autosomal short tandem repeats (STRs) using the AmpFℓSTR Identifiler Plus PCR Amplification Kit and our previously published Y-filer kit data (17 Y-STRs) of same samples. A total of 147 alleles were observed in 15 loci and allele 11 at the TPOX locus was the most frequent with frequency value (0.464). The data revealed that the Christian population has unique genetic characteristics with respect to a few unusual alleles and their frequencies relative to the other Pakistani population. Significant deviations from Hardy-Weinberg equilibrium were found at two loci (D13S317, D18S51) after Boneferroni's correction (p ≤ 0.003). The combined power of discrimination, combined power of exclusion and cumulative probability of matching were 0.999999999999999978430815060354, 0.999995039393942 and 2.15692 × 10-17, respectively. On the bases of genetic distances, PCA, phylogenetic and structure analysis Lahore-Christians appeared genetically more associated to south Asian particularly Indian populations like Tamil, Karnataka, Kerala and Andhra Pradesh than rest of global populations

In situ labeling of DNA reveals interindividual variation in nuclear DNA breakdown in hair and may be useful to predict success of forensic genotyping of hair

Hair fibers are formed by keratinocytes of the hair follicle in a process that involves the breakdown of the nucleus including DNA. Accordingly, DNA can be isolated with high yield from the hair bulb which contains living keratinocytes, whereas it is difficult to prepare from the distal portions of hair fibers and from shed hair. Nevertheless, forensic investigations are successful in a fraction of shed hair samples found at crime scenes. Here, we report that interindividual differences in the completeness of DNA removal from hair corneocytes are major determinants of DNA content and success rates of forensic investigations of hair. Distal hair samples were permeabilized with ammonia and incubated with the DNA-specific dye Hoechst 33258 to label DNA in situ. Residual nuclear DNA was visualized under the fluorescence microscope. Hair from some donors did not contain any stainable nuclei, whereas hair of other donors contained a variable number of DNA-positive nuclear remnants. The number of DNA-containing nuclear remnants per millimeter of hair correlated with the amount of DNA that could be extracted and amplified by quantitative PCR. When individual hairs were investigated, only hairs in which DNA could be labeled in situ gave positive results in short tandem repeat typing. This study reveals that the completeness of DNA degradation during cornification of the hair is a polymorphic trait. Furthermore, our results suggest that in situ labeling of DNA in hair may be useful for predicting the probability of success of forensic analysis of nuclear DNA in shed hair

Source Level Attribution: DNA Profiling from the ABAcard® HemaTrace® Kit

ABAcard® HemaTrace® kits have been used for crime scene stains for confirmation of human blood for many years. However, when the stain is too small to allow for separate testing, confirmatory testing may be forgone to preference DNA analysis. This can lead to court challenges as to the biological source and therefore probative value of the DNA profile. This research aimed to develop a protocol for DNA analysis of a minute blood stain subsequent to HemaTrace® testing. Stains were collected and subjected to HemaTrace® testing. Swabs were then removed from the HemaTrace® buffer solution and processed. DNA yields and STR DNA profiles were analysed for both quantity and quality. Full profiles were reliably obtained from stains with diameters of 0.6 mm–0.7 mm, reflecting DNA concentrations between 0.0036 ng/μL and 0.007 ng/μL, varying according to substrate characteristics. However, stains below a diameter of 0.6 mm should proceed directly for DNA profiling. This protocol was also successfully performed on blood stains which had undergone UV irradiation, although use of the reporting peak height threshold (lower than the routine analytical threshold) was required to obtain useable profiles. We have been able to demonstrate a protocol which, with minor adjustments to crime scene procedures, allows for both the confirmation of the presence of human blood, together with the generation of useful DNA profiles.</jats:p