Self-Consistent Asset Pricing Models

We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alpha's and beta's of the factor model are unobservable. Self-consistency leads to renormalized beta's with zero effective alpha's, which are observable with standard OLS regressions. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value $\alpha_i$ at the origin between an asset $i$'s return and the proxy's return. Self-consistency also introduces ``orthogonality'' and ``normality'' conditions linking the beta's, alpha's (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from Jan. 1990 to Feb. 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Finally, the factor decomposition with the self-consistency condition derives a risk-factor decomposition in the multi-factor case which is identical to the principal components analysis (PCA), thus providing a direct link between model-driven and data-driven constructions of risk factors.Comment: 36 pages with 8 figures. large version with 6 appendices for the Proceedings of the 5th International Conference APFS (Applications of Physics in Financial Analysis), June 29-July 1, 2006, Torin

Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices

Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing average correlations between a finite fraction of all pairs of elements. The coexistence of an eigenvalue spectrum predicted by random matrix theory (RMT) and a few very large eigenvalues in large empirical correlation matrices is shown to result from a bottom-up collective effect of the underlying time series rather than a top-down impact of factors. Our results, in excellent agreement with previous results obtained on large financial correlation matrices, show that there is relevant information also in the bulk of the eigenvalue spectrum and rationalize the presence of market factors previously introduced in an ad hoc manner.Comment: 4 pages with 3 figur

Polls and the political process: the use of opinion polls by political parties and mass media organizations in European post‐communist societies (1990–95)

Opinion polling occupies a significant role within the political process of most liberal-capitalist societies, where it is used by governments, parties and the mass media alike. This paper examines the extent to which polls are used for the same purposes in the post-communist countries of Central and Eastern Europe, and in particular, for bringing political elites and citizens together. It argues that these political elites are more concerned with using opinion polls for gaining competitive advantage over their rivals and for reaffirming their political power, than for devolving political power to citizens and improving the general processes of democratization

The Equivalence Principle in the Non-baryonic Regime

We consider the empirical validity of the equivalence principle for non-baryonic matter. Working in the context of the TH\epsilon\mu formalism, we evaluate the constraints experiments place on parameters associated with violation of the equivalence principle (EVPs) over as wide a sector of the standard model as possible. Specific examples include new parameter constraints which arise from torsion balance experiments, gravitational red shift, variation of the fine structure constant, time-dilation measurements, and matter/antimatter experiments. We find several new bounds on EVPs in the leptonic and kaon sectors.Comment: 22 pages, late

Lesão por pododermatite em frangos de corte alojados em diferentes densidades.

A criação avícola com uma maior densidade visa o aumento da produção, com o mínimo de investimentos em construções e otimização dos custos fixos. Em consequência, a pressão para redução dos custos na criação de frangos de corte levou ao aumento da densidade das aves que promove maior produção de peso vivo/m2 (2). Além disso, a piora na qualidade da cama, principalmente pela compactação decorrente de aumento de umidade, determina o aparecimento de lesões na pele, pododermatites, calo de peito e hematomas (4). As pododermatites de contato são lesões erosivas da pele, predominantes na superfície plantar das patas dos frangos de corte. A etiologia apresenta uma inflamação da pele devido a uma combinação de umidade e fatores cáusticos presentes na cama, sendo a excreta das aves, que é composta de ácido úrico, um agente importante na formação do problema (1). As pododermatites em frangos de corte passaram a ter maior relevância nos últimos anos devido à exportação dos pés dos frangos para os mercados da Ásia. Objetivou-se com este trabalho avaliar o efeito do aumento da densidade em aviário convencional sobre a frequência de lesões por pododermatite em frangos de corte

Beagle 2: Mission to Mars — current status

Beagle 2, developed in the UK, was launched on June 2, 2003. It landed on Mars on December 25th, 2003 in Isidis Planitia, a large sedimentary basin. To date, the team is awaiting signals from the Beagle 2 lander. Current status of the mission will be reported

Efficacious, effective, and embedded interventions: Implementation research in infectious disease control

Background: Research in infectious disease control is heavily skewed towards high end technology; development of new drugs, vaccines and clinical interventions. Oft ignored, is the evidence to inform the best strategies that ensure the embedding of interventions into health systems and amongst populations. In this paper we undertake an analysis of the challenge in the development of research for the sustainable implementation of disease control interventions. Results: We highlight the fundamental differences between the research paradigms associated with the development of technologies and interventions for disease control on the one hand and the research paradigms required for enhancing the sustainable uptake of those very same interventions within the communities on the other. We provide a definition for implementation research in an attempt to underscore its critical role and explore the multidisciplinary science needed to address the challenges in disease control. Conclusion: The greatest value for money in health research lies in the sustainable and effective implementation of already proven, efficacious solutions. The development of implementation research that can help provide some solutions on how this can be achieved is sorely needed

Prevalence and Predictors of Urinary Tract Infection and Severe Malaria Among Febrile Children Attending Makongoro Health Centre in Mwanza City, North-Western Tanzania.

In malaria endemic areas, fever has been used as an entry point for presumptive treatment of malaria. At present, the decrease in malaria transmission in Africa implies an increase in febrile illnesses related to other causes among underfives. Moreover, it is estimated that more than half of the children presenting with fever to public clinics in Africa do not have a malaria infection. Thus, for a better management of all febrile illnesses among under-fives, it becomes relevant to understand the underlying aetiology of the illness. The present study was conducted to determine the relative prevalence and predictors of P. falciparum malaria, urinary tract infections and bacteremia among under-fives presenting with a febrile illness at the Makongoro Primary Health Centre, North-Western Tanzania. From February to June 2011, a cross-sectional analytical survey was conducted among febrile children less than five years of age. Demographic and clinical data were collected using a standardized pre-tested questionnaire. Blood and urine culture was done, followed by the identification of isolates using in-house biochemical methods. Susceptibility patterns to commonly used antibiotics were investigated using the disc diffusion method. Giemsa stained thin and thick blood smears were examined for any malaria parasites stages. A total of 231 febrile under-fives were enrolled in the study. Of all the children, 20.3% (47/231, 95%CI, 15.10-25.48), 9.5% (22/231, 95%CI, 5.72-13.28) and 7.4% (17/231, 95%CI, 4.00-10.8) had urinary tract infections, P. falciparum malaria and bacteremia respectively. In general, 11.5% (10/87, 95%CI, 8.10-14.90) of the children had two infections and only one child had all three infections. Predictors of urinary tract infections (UTI) were dysuria (OR = 12.51, 95% CI, 4.28-36.57, P < 0.001) and body temperature (40-41 C) (OR = 12.54, 95% CI, 4.28-36.73, P < 0.001). Predictors of P. falciparum severe malaria were pallor (OR = 4.66 95%CI, 1.21-17.8, P = 0.025) and convulsion (OR = 102, 95% CI, 10-996, P = 0.001). Escherichia coli were the common gram negative isolates from urine (72.3%, 95% CI, 66.50-78.10) and blood (40%, 95%CI, and 33.70-46.30). Escherichia coli from urine were 100% resistant to ampicillin, 97% resistant to co-trimoxazole, 85% resistant to augmentin and 32.4% resistant to gentamicin; and they were 100%, 91.2% and 73.5% sensitive to meropenem, ciprofloxacin and ceftriaxone respectively. Urinary tract infection caused by multi drug resistant Escherichia coli was the common cause of febrile illness in our setting. Improvement of malaria diagnosis and its differential diagnosis from other causes of febrile illnesses may provide effective management of febrile illnesses among children in Tanzania

Nets, Spray or Both? The Effectiveness of Insecticide-Treated Nets and Indoor Residual Spraying in Reducing Malaria Morbidity and Child Mortality in sub-Saharan Africa.

Malaria control programmes currently face the challenge of maintaining, as well as accelerating, the progress made against malaria with fewer resources and uncertain funding. There is a critical need to determine what combination of malaria interventions confers the greatest protection against malaria morbidity and child mortality under routine conditions. This study assesses intervention effectiveness experienced by children under the age of five exposed to both insecticide-treated nets (ITNs) and indoor residual spraying (IRS), as compared to each intervention alone, based on nationally representative survey data collected from 17 countries in sub-Saharan Africa. Living in households with both ITNs and IRS was associated with a significant risk reduction against parasitaemia in medium and high transmission areas, 53% (95% CI 37% to 67%) and 31% (95% CI 11% to 47%) respectively. For medium transmission areas, an additional 36% (95% CI 7% to 53%) protection was garnered by having both interventions compared with exposure to only ITNs or only IRS. Having both ITNs and IRS was not significantly more protective against parasitaemia than either intervention alone in low and high malaria transmission areas. In rural and urban areas, exposure to both interventions provided significant protection against parasitaemia, 57% (95% CI 48% to 65%) and 39% (95% CI 10% to 61%) respectively; however, this effect was not significantly greater than having a singular intervention. Statistically, risk for all-cause child mortality was not significantly reduced by having both ITNs and IRS, and no additional protectiveness was detected for having dual intervention coverage over a singular intervention. These findings suggest that greater reductions in malaria morbidity and health gains for children may be achieved with ITNs and IRS combined beyond the protection offered by IRS or ITNs alone