On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.Comment: 10 pages, 3 figures. Paper presented in the APFA 5 conferenc

On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.Comment: 10 pages, 3 figures. Paper presented in the APFA 5 conferenc

Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomena is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.Comment: 8 pages; 2 figures; paper presented in APFA 6 conferenc

Asymmetric Conditional Volatility in International Stock Markets

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the S&P 500, FTSE100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.Comment: 11 pages, 3 figure

Complex cytogenetic rearrangements at the DURS1 locus in syndromic Duane retraction syndrome

Key Clinical Message A patient with syndromic Duane retraction syndrome harbors a chromosome 811.1q13.2 inversion and 8p11.1-q12.3 marker chromosome containing subregions with differing mosaicism and allele frequencies. This case highlights the potential requirement for multiple genetic methods to gain insight into genotype–phenotype correlation, and ultimately into molecular mechanisms that underlie human disease

HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

The missing link: Bordetella petrii is endowed with both the metabolic versatility of environmental bacteria and virulence traits of pathogenic Bordetellae

Gross R, Guzman CA, Sebaihia M, et al. The missing link: Bordetella petrii is endowed with both the metabolic versatility of environmental bacteria and virulence traits of pathogenic Bordetellae. BMC Genomics. 2008;9(1): 449.Background: Bordetella petrii is the only environmental species hitherto found among the otherwise host-restricted and pathogenic members of the genus Bordetella. Phylogenetically, it connects the pathogenic Bordetellae and environmental bacteria of the genera Achromobacter and Alcaligenes, which are opportunistic pathogens. B. petrii strains have been isolated from very different environmental niches, including river sediment, polluted soil, marine sponges and a grass root. Recently, clinical isolates associated with bone degenerative disease or cystic fibrosis have also been described. Results: In this manuscript we present the results of the analysis of the completely annotated genome sequence of the B. petrii strain DSMZ12804. B. petrii has a mosaic genome of 5,287,950 bp harboring numerous mobile genetic elements, including seven large genomic islands. Four of them are highly related to the clc element of Pseudomonas knackmussii B13, which encodes genes involved in the degradation of aromatics. Though being an environmental isolate, the sequenced B. petrii strain also encodes proteins related to virulence factors of the pathogenic Bordetellae, including the filamentous hemagglutinin, which is a major colonization factor of B. pertussis, and the master virulence regulator BvgAS. However, it lacks all known toxins of the pathogenic Bordetellae. Conclusion: The genomic analysis suggests that B. petrii represents an evolutionary link between free-living environmental bacteria and the host-restricted obligate pathogenic Bordetellae. Its remarkable metabolic versatility may enable B. petrii to thrive in very different ecological niches

Speak-up culture in an intensive care unit in Hong Kong: a cross-sectional survey exploring the communication openness perceptions of Chinese doctors and nurses

Objectives Despite growing recognition of the importance of speaking up to protect patient safety in critical care, little research has been performed in this area in an intensive care unit (ICU) context. This study explored the communication openness perceptions of Chinese doctors and nurses and identified their perceptions of issues in ICU communication, their reasons for speaking up and the possible factors and strategies involved in promoting the practice of speaking up. Design A mixed-methods design with quantitative and sequential qualitative components was used. Setting and participants Eighty ICU staff members from a large public hospital in Hong Kong completed a questionnaire regarding their perceptions of communication openness. Ten clinicians whose survey responses indicated support for open communication were then interviewed about their speak-up practices. Results The participating ICU staff members had similar perceptions of their openness to communication. However, the doctors responded more positively than the nurses to many aspects of communication openness. The two groups also had different perceptions of speaking up. The interviewed ICU staff members who indicated a high level of communication openness reported that their primary reasons for speaking up were to seek and clarify information, which was achieved by asking questions. Other factors perceived to influence the motivation to speak up included seniority, relationships and familiarity with patient cases. Conclusions Creating an atmosphere of safety and equality in which team members feel confident in expressing their personal views without fear of reprisal or embarrassment is necessary to encourage ICU staff members, regardless of their position, to speak up. Because harmony and saving face is valued in Chinese culture, training nurses and doctors to speak up by focusing on human factors and values rather than simply addressing conflict management is desirable in this context.This work was supported by funding from the Hospital Authority’s Kowloon Central Cluster Research Grant (grant number: KCC/RC/G/1516-B03)

Rising rural body-mass index is the main driver of the global obesity epidemic in adults

Body-mass index (BMI) has increased steadily in most countries in parallel with a rise in the proportion of the population who live in cities(.)(1,2) This has led to a widely reported view that urbanization is one of the most important drivers of the global rise in obesity(3-6). Here we use 2,009 population-based studies, with measurements of height and weight in more than 112 million adults, to report national, regional and global trends in mean BMI segregated by place of residence (a rural or urban area) from 1985 to 2017. We show that, contrary to the dominant paradigm, more than 55% of the global rise in mean BMI from 1985 to 2017-and more than 80% in some low- and middle-income regions-was due to increases in BMI in rural areas. This large contribution stems from the fact that, with the exception of women in sub-Saharan Africa, BMI is increasing at the same rate or faster in rural areas than in cities in low- and middle-income regions. These trends have in turn resulted in a closing-and in some countries reversal-of the gap in BMI between urban and rural areas in low- and middle-income countries, especially for women. In high-income and industrialized countries, we noted a persistently higher rural BMI, especially for women. There is an urgent need for an integrated approach to rural nutrition that enhances financial and physical access to healthy foods, to avoid replacing the rural undernutrition disadvantage in poor countries with a more general malnutrition disadvantage that entails excessive consumption of low-quality calories.Peer reviewe