Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the building of a set of stylized facts about the traders themselves. Using the client database of Swissquote Bank SA, the largest on-line Swiss broker, we find empirical relationships between turnover, account values and the number of assets in which a trader is invested. A theory based on simple mean-variance portfolio optimization that crucially includes variable transaction costs is able to reproduce faithfully the observed behaviors. We finally argue that our results bring into light the collective ability of a population to construct a mean-variance portfolio that takes into account the structure of transaction costsComment: 26 pages, 9 figures, Fig. 8 fixe

Modeling house price dynamics with heterogeneous speculators

This paper investigates the impact of speculative behavior on house price dynamics. Speculative demand for housing is modeled using a heterogeneous agent approach, whereas ‘real’ demand and housing supply are represented in a standard way. Together, real and speculative forces determine excess demand in each period and house price adjustments. Three alternative models are proposed, capturing in different ways the interplay between fundamental trading rules and extrapolative trading rules, resulting in a 2D, a 3D, and a 4D nonlinear discretetime dynamical system, respectively. While the destabilizing effect of speculative behavior on the model’s steady state is proven in general, the three specific cases illustrate a variety of situations that can bring about endogenous dynamics, with lasting and significant price swings around the ‘fundamental ’ price, as we have seen in many real markets

Diacylglycerol-Stimulated Endocytosis of Transferrin in Trypanosomatids Is Dependent on Tyrosine Kinase Activity

Small molecule regulation of cell function is an understudied area of trypanosomatid biology. In Trypanosoma brucei diacylglycerol (DAG) stimulates endocytosis of transferrin (Tf). However, it is not known whether other trypanosomatidae respond similarly to the lipid. Further, the biochemical pathways involved in DAG signaling to the endocytic system in T. brucei are unknown, as the parasite genome does not encode canonical DAG receptors (e.g. C1-domains). We established that DAG stimulates endocytosis of Tf in Leishmania major, and we evaluated possible effector enzymes in the pathway with multiple approaches. First, a heterologously expressed glycosylphosphatidylinositol phospholipase C (GPI-PLC) activated endocytosis of Tf 300% in L. major. Second, exogenous phorbol ester and DAGs promoted Tf endocytosis in L. major. In search of possible effectors of DAG signaling, we discovered a novel C1-like domain (i.e. C1_5) in trypanosomatids, and we identified protein Tyr kinases (PTKs) linked with C1_5 domains in T. brucei, T. cruzi, and L. major. Consequently, we hypothesized that trypanosome PTKs might be effector enzymes for DAG signaling. General uptake of Tf was reduced by inhibitors of either Ser/Thr or Tyr kinases. However, DAG-stimulated endocytosis of Tf was blocked only by an inhibitor of PTKs, in both T. brucei and L. major. We conclude that (i) DAG activates Tf endocytosis in L. major, and that (ii) PTKs are effectors of DAG-stimulated endocytosis of Tf in trypanosomatids. DAG-stimulated endocytosis of Tf may be a T. brucei adaptation to compete effectively with host cells for vertebrate Tf in blood, since DAG does not enhance endocytosis of Tf in human cells

Lysophosphatidic acid and sphingosine-1-phosphate promote morphogenesis and block invasion of prostate cancer cells in three-dimensional organotypic models

Normal prostate and some malignant prostate cancer (PrCa) cell lines undergo acinar differentiation and form spheroids in three-dimensional (3-D) organotypic culture. Acini formed by PC-3 and PC-3M, less pronounced also in other PrCa cell lines, spontaneously undergo an invasive switch, leading to the disintegration of epithelial structures and the basal lamina, and formation of invadopodia. This demonstrates the highly dynamic nature of epithelial plasticity, balancing epithelial-to-mesenchymal transition against metastable acinar differentiation. This study assessed the role of lipid metabolites on epithelial maturation. PC-3 cells completely failed to form acinar structures in delipidated serum. Adding back lysophosphatidic acid (LPA) and sphingosine-1-phosphate (S1P) rescued acinar morphogenesis and repressed invasion effectively. Blocking LPA receptor 1 (LPAR1) functions by siRNA (small interference RNA) or the specific LPAR1 inhibitor Ki16425 promoted invasion, while silencing of other G-protein-coupled receptors responsive to LPA or S1P mainly caused growth arrest or had no effects. The G-proteins Gα12/13 and Gαi were identified as key mediators of LPA signalling via stimulation of RhoA and Rho kinases ROCK1 and 2, activating Rac1, while inhibition of adenylate cyclase and accumulation of cAMP may be secondary. Interfering with these pathways specifically impeded epithelial polarization in transformed cells. In contrast, blocking the same pathways in non-transformed, normal cells promoted differentiation. We conclude that LPA and LPAR1 effectively promote epithelial maturation and block invasion of PrCa cells in 3-D culture. The analysis of clinical transcriptome data confirmed reduced expression of LPAR1 in a subset of PrCa's. Our study demonstrates a metastasis-suppressor function for LPAR1 and Gα12/13 signalling, regulating cell motility and invasion versus epithelial maturation

Heterogeneous Expectations, Boom-Bust Housing Cycles, and Supply Conditions: A Nonlinear Dynamics Approach

We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive expectation rules. The model results in a two-dimensional discrete-time nonlinear dynamical system. Based on realistic parameters, the model is able to generate endogenous boom-bust housing market dynamics with lasting periods of overvaluation and overbuilding. We thus exploit our model to investigate how real forces, in particular supply conditions, interact with expectations-driven housing market fluctuations