Discrete sine transform for multi-scale realized volatility measures

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data

From DPSIR the DAPSI(W)R(M) Emerges… a Butterfly – ‘protecting the natural stuff and delivering the human stuff’

The complexity of interactions and feedbacks between human activities and ecosystems can make the analysis of such social-ecological systems intractable. In order to provide a common means to understand and analyse the links between social and ecological process within these systems, a range of analytical frameworks have been developed and adopted. Following decades of practical experience in implementation, the Driver Pressure State Impact Response (DPSIR) conceptual framework has been adapted and re-developed to become the D(A)PSI(W)R(M). This paper describes in detail the D(A)PSI(W)R(M) and its development from the original DPSIR conceptual frame. Despite its diverse application and demonstrated utility, a number of inherent shortcomings are identified. In particular the DPSIR model family tend to be best suited to individual environmental pressures and human activities and their resulting environmental problems, having a limited focus on the supply and demand of benefits from nature. We present a derived framework, the “Butterfly”, a more holistic approach designed to expand the concept. The “Butterfly” model, moves away from the centralised accounting framework approach while more-fully incorporating the complexity of social and ecological systems, and the supply and demand of ecosystem services, which are central to human-environment interactions

Changes in articular cartilage after meniscectomy and meniscus replacement using a biodegradable porous polymer implant

Purpose: To evaluate the long-term effects of implantation of a biodegradable polymer meniscus implant on articular cartilage degeneration and compare this to articular cartilage degeneration after meniscectomy. Methods: Porous polymer polycaprolacton-based polyurethane meniscus implants were implanted for 6 or 24 months in the lateral compartment of Beagle dog knees. Contralateral knees were meniscectomized, or left intact and served as controls. Articular cartilage degeneration was evaluated in detail using India ink staining, routine histology, immunochemistry for denatured (Col2-¾M) and cleaved (Col2-¾Cshort) type II collagen, Mankin’s grading system, and cartilage thickness measurements. Results: Histologically, fibrillation and substantial immunohistochemical staining for both denatured and cleaved type II collagen were found in all three treatment groups. The cartilage of the three groups showed identical degradation patterns. In the 24 months implant group, degradation appeared to be more severe when compared to the 6 months implant group and meniscectomy group. Significantly more cartilage damage (India ink staining, Mankin’s grading system, and cartilage thickness measurements) was found in the 24 months implant group compared to the 6 months implant group and meniscectomy group. Conclusion: Degradation of the cartilage matrix was the result of both mechanical overloading as well as localized cell-mediated degradation. The degeneration patterns were highly variable between animals. Clinical application of a porous polymer implant for total meniscus replacement is not supported by this study.

Serologic Cross-Reactivity of Human IgM and IgG Antibodies to Five Species of Ebola Virus

Five species of Ebola virus (EBOV) have been identified, with nucleotide differences of 30–45% between species. Four of these species have been shown to cause Ebola hemorrhagic fever (EHF) in humans and a fifth species (Reston ebolavirus) is capable of causing a similar disease in non-human primates. While examining potential serologic cross-reactivity between EBOV species is important for diagnostic assays as well as putative vaccines, the nature of cross-reactive antibodies following EBOV infection has not been thoroughly characterized. In order to examine cross-reactivity of human serologic responses to EBOV, we developed antigen preparations for all five EBOV species, and compared serologic responses by IgM capture and IgG enzyme-linked immunosorbent assay (ELISA) in groups of convalescent diagnostic sera from outbreaks in Kikwit, Democratic Republic of Congo (n = 24), Gulu, Uganda (n = 20), Bundibugyo, Uganda (n = 33), and the Philippines (n = 18), which represent outbreaks due to four different EBOV species. For groups of samples from Kikwit, Gulu, and Bundibugyo, some limited IgM cross-reactivity was noted between heterologous sera-antigen pairs, however, IgM responses were largely stronger against autologous antigen. In some instances IgG responses were higher to autologous antigen than heterologous antigen, however, in contrast to IgM responses, we observed strong cross-reactive IgG antibody responses to heterologous antigens among all sets of samples. Finally, we examined autologous IgM and IgG antibody levels, relative to time following EHF onset, and observed early peaking and declining IgM antibody levels (by 80 days) and early development and persistence of IgG antibodies among all samples, implying a consistent pattern of antibody kinetics, regardless of EBOV species. Our findings demonstrate limited cross-reactivity of IgM antibodies to EBOV, however, the stronger tendency for cross-reactive IgG antibody responses can largely circumvent limitations in the utility of heterologous antigen for diagnostic assays and may assist in the development of antibody-mediated vaccines to EBOV

Factors associated with mortality in HIV-infected and uninfected patients with pulmonary tuberculosis

<p>Abstract</p> <p>Background</p> <p>HIV has fuelled the TB epidemic in sub-Saharan Africa. Mortality in patients co-infected with TB and HIV is high. Managing factors influencing mortality in TB patients might help reducing it. This study investigates factors associated with mortality including patients' HIV sero-status, CD4 cell count, laboratory, nutritional and demographic characteristics in AFB smear positive pulmonary TB patients.</p> <p>Methods</p> <p>We studied 887 sputum smear positive PTB patients, between 18 and 65 years of age receiving standard 8 months anti-TB treatment. Demographic, anthropometric and laboratory data including HIV, CD4 and other tests were collected at baseline and at regular intervals. Patients were followed for a median period of 2.5 years.</p> <p>Results</p> <p>Of the 887 participants, 155 (17.5%) died, of whom 90.3% (140/155) were HIV-infected, a fatality of 29.7% (140/471) compared to 3.6% (15/416) among HIV-uninfected. HIV infection, age, low Karnofsky score, CD4 cell counts and hemoglobin, high viral load, and oral thrush were significantly associated with high mortality in all patients.</p> <p>Conclusion</p> <p>Mortality among HIV-infected TB patients is high despite the use of effective anti-TB therapy. Most deaths occur after successful completion of therapy, an indication that patients die from causes other than TB. HIV infection is the strongest independent predictor of mortality in this cohort.</p

Interaction Between Convection and Pulsation

This article reviews our current understanding of modelling convection dynamics in stars. Several semi-analytical time-dependent convection models have been proposed for pulsating one-dimensional stellar structures with different formulations for how the convective turbulent velocity field couples with the global stellar oscillations. In this review we put emphasis on two, widely used, time-dependent convection formulations for estimating pulsation properties in one-dimensional stellar models. Applications to pulsating stars are presented with results for oscillation properties, such as the effects of convection dynamics on the oscillation frequencies, or the stability of pulsation modes, in classical pulsators and in stars supporting solar-type oscillations.Comment: Invited review article for Living Reviews in Solar Physics. 88 pages, 14 figure

Free will and mental disorder: Exploring the relationship

A link between mental disorder and freedom is clearly present in the introduction of the fourth edition of the Diagnostic and Statistical Manual of Mental Disorders (DSM-IV). It mentions “an important loss of freedom” as one of the possible defining features of mental disorder. Meanwhile, it remains unclear how “an important loss of freedom” should be understood. In order to get a clearer view on the relationship between mental disorder and (a loss of) freedom, in this article, I will explore the link between mental disorder and free will. I examine two domains in which a connection between mental disorder and free will is present: the philosophy of free will and forensic psychiatry. As it turns out, philosophers of free will frequently refer to mental disorders as conditions that compromise free will and reduce moral responsibility. In addition, in forensic psychiatry, the rationale for the assessment of criminal responsibility is often explained by referring to the fact that mental disorders can compromise free will. Yet, in both domains, it remains unclear in what way free will is compromised by mental disorders. Based on the philosophical debate, I discuss three senses of free will and explore their relevance to mental disorders. I conclude that in order to further clarify the relationship between free will and mental disorder, the accounts of people who have actually experienced the impact of a mental disorder should be included in future research

The quest for the solar g modes

Solar gravity modes (or g modes) -- oscillations of the solar interior for which buoyancy acts as the restoring force -- have the potential to provide unprecedented inference on the structure and dynamics of the solar core, inference that is not possible with the well observed acoustic modes (or p modes). The high amplitude of the g-mode eigenfunctions in the core and the evanesence of the modes in the convection zone make the modes particularly sensitive to the physical and dynamical conditions in the core. Owing to the existence of the convection zone, the g modes have very low amplitudes at photospheric levels, which makes the modes extremely hard to detect. In this paper, we review the current state of play regarding attempts to detect g modes. We review the theory of g modes, including theoretical estimation of the g-mode frequencies, amplitudes and damping rates. Then we go on to discuss the techniques that have been used to try to detect g modes. We review results in the literature, and finish by looking to the future, and the potential advances that can be made -- from both data and data-analysis perspectives -- to give unambiguous detections of individual g modes. The review ends by concluding that, at the time of writing, there is indeed a consensus amongst the authors that there is currently no undisputed detection of solar g modes.Comment: 71 pages, 18 figures, accepted by Astronomy and Astrophysics Revie