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

VivaxGEN: An open access platform for comparative analysis of short tandem repeat genotyping data in Plasmodium vivax populations.

BACKGROUND: The control and elimination of Plasmodium vivax will require a better understanding of its transmission dynamics, through the application of genotyping and population genetics analyses. This paper describes VivaxGEN (http://vivaxgen.menzies.edu.au), a web-based platform that has been developed to support P. vivax short tandem repeat data sharing and comparative analyses. RESULTS: The VivaxGEN platform provides a repository for raw data generated by capillary electrophoresis (FSA files), with fragment analysis and standardized allele calling tools. The query system of the platform enables users to filter, select and differentiate samples and alleles based on their specified criteria. Key population genetic analyses are supported including measures of population differentiation (FST), expected heterozygosity (HE), linkage disequilibrium (IAS), neighbor-joining analysis and Principal Coordinate Analysis. Datasets can also be formatted and exported for application in commonly used population genetic software including GENEPOP, Arlequin and STRUCTURE. To date, data from 10 countries, including 5 publicly available data sets have been shared with VivaxGEN. CONCLUSIONS: VivaxGEN is well placed to facilitate regional overviews of P. vivax transmission dynamics in different endemic settings and capable to be adapted for similar genetic studies of P. falciparum and other organisms

Ovine pedomics : the first study of the ovine foot 16S rRNA-based microbiome

We report the first study of the bacterial microbiome of ovine interdigital skin based on 16S rRNA by pyrosequencing and conventional cloning with Sanger-sequencing. Three flocks were selected, one a flock with no signs of footrot or interdigital dermatitis, a second flock with interdigital dermatitis alone and a third flock with both interdigital dermatitis and footrot. The sheep were classified as having either healthy interdigital skin (H), interdigital dermatitis (ID) or virulent footrot (VFR). The ovine interdigital skin bacterial community varied significantly by flock and clinical condition. The diversity and richness of operational taxonomic units was greater in tissue from sheep with ID than H or VFR affected sheep. Actinobacteria, Bacteriodetes, Firmicutes and Proteobacteria were the most abundant phyla comprising 25 genera. Peptostreptococcus, Corynebacterium and Staphylococcus were associated with H, ID and VFR respectively. Sequences of Dichelobacter nodosus, the causal agent of ovine footrot, were not amplified due to mismatches in the 16S rRNA universal forward primer (27F). A specific real time PCR assay was used to demonstrate the presence of D. nodosus which was detected in all samples including the flock with no signs of ID or VFR. Sheep with ID had significantly higher numbers of D. nodosus (104-109 cells/g tissue) than those with H or VFR feet

Examining the role of genetic risk and longitudinal transmission processes underlying maternal parenting and psychopathology and children’s ADHD symptoms and aggression: utilizing the advantages of a prospective adoption design

Although genetic factors may contribute to initial liability for ADHD onset, there is growing evidence of the potential importance of the rearing environment on the developmental course of ADHD symptomatology. However, associations between family-level variables (maternal hostility, maternal depressive symptoms) and child behaviors (developmental course of ADHD and aggression) may be explained by genes that are shared by biologically related parents and children. Furthermore, ADHD symptoms and aggression commonly co-occur: it is important to consider both simultaneously to have a better understanding of processes underlying the developmental course of ADHD and aggression. To addresses these issues, we employed a longitudinal genetically sensitive parent–offspring adoption design. Analyses were conducted using Cohort I (n = 340) of the Early Growth and Development Study with cross-validation analyses conducted with Cohort II (n = 178). Adoptive mother hostility, but not depression, was associated with later child ADHD symptoms and aggression. Mothers and their adopted children were genetically unrelated, removing passive rGE as a possible explanation. Early child impulsivity/activation was associated with later ADHD symptoms and aggression. Child impulsivity/activation was also associated with maternal hostility, with some evidence for evocative gene-environment correlation processes on adoptive mother depressive symptoms. This study provides novel insights into family-based environmental influences on child ADHD and aggression symptoms, independent of shared parental genetic factors, implications of which are further explicated in the discussion