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

Sick building syndrome among office workers in relation to office environment and indoor air pollutant at an academic institution, Malaysia

Introduction: Good indoor air quality (IAQ) is important for workers’ well-being whilst simultaneously optimize work productivity and job performance of the workers in an office. This study aims to determine the association between the sick building syndrome (SBS) in relation to the personal factors, indoor office environment and indoor air pollutants at an academic institution in Malaysia. Methods: A total of 342 office workers; made up of 188 (55%) female and 154 male (45%), from 14 different office buildings; made up of administrative, faculties, centers, institutes and school, participated in this study. A self-administered questionnaire was used to determine symptoms related to SBS. Real time readings of IAQ parameters were conducted three times daily for 15 minutes /sampling point. Results: Results showed higher prevalence of the SBS symptoms generally among women; diagnosed asthma was positively associated with mucosal symptoms; current smoking was significantly associated with skin symptoms; and centralized air conditioning system, the use of photocopiers, printers or fax machines for more than 1 hour per day and installation of a new carpet in the office environment were significant risk factors of SBS. After adjusting for demographic characteristics, formaldehyde, ultrafine particle and total volatile organic compounds were significantly associated with mucosal symptoms. Conclusion: Demographic characteristics, indoor office environment and indoor air pollutants were significant risk factors of SBS among workers in this study. It is highly recommended to maintain good housekeeping and to isolate printers and photocopier machines from the main workplace since both were sources of particulates

Respiratory health among office workers in Malaysia and endotoxin and (1,3)-b-glucan in office dust

Objective: To examine the associations between endotoxin and (1,3)-β-glucan concentrations in office dust and respiratory symptoms and airway inflammation among 695 office workers in Malaysia. Methods: Health data were collected using a questionnaire, sensitisation testing and measurement of fractional exhaled nitric oxide (FeNO). Indoor temperature, relative air humidity (RH) and carbon dioxide (CO 2) were measured in the offices and settled dust was vacuumed and analysed for endotoxin and (1,3)-β-glucan concentrations. Associations were analysed by two level multiple logistic regression. Results: Overall, 9.6% of the workers had doctor-diagnosed asthma, 15.5% had wheeze, 18.4% had daytime attacks of breathlessness and 25.8% had elevated FeNO (≥25 ppb). The median levels in office dust were 11.3 EU/mg endotoxin and 62.9 ng/g (1,3)-β-glucan. After adjusting for personal and home environment factors, endotoxin concentration in dust was associated with wheeze (P = 0.02) and rhino conjunctivitis (P = 0.007). The amount of surface dust (P = 0.04) and (1,3)-β-glucan concentration dust (P = 0.03) were associated with elevated FeNO. Conclusion: Endotoxin in office dust could be a risk factor for wheeze and rhino conjunctivitis among office workers in mechanically ventilated offices in a tropical country. The amount of dust and (1,3)-β-glucan (a marker of indoor mould exposure) were associated with Th2 driven airway inflammation

Synergy study on charge transport dynamics in hybrid organic solar cell: photocurrent mapping and performance analysis under local spectrum

Charge transport dynamics in ZnO based inverted organic solar cell (IOSC) has been characterized with transient photocurrent spectroscopy and localised photocurrent mapping-atomic force microscopy. The value of maximum exciton generation rate was found to vary from 2.6 × 1027 m−3s−1 (Jsat = 79.7 A m−2) to 2.9 × 1027 m−3s−1 (Jsat = 90.8 A m−2) for devices with power conversion efficiency ranging from 2.03 to 2.51%. These results suggest that nanorods served as an excellent electron transporting layer that provides efficient charge transport and enhances IOSC device performance. The photovoltaic performance of OSCs with various growth times of ZnO nanorods have been analysed for a comparison between AM1.5G spectrum and local solar spectrum. The simulated PCE of all devices operating under local spectrum exhibited extensive improvement with the gain of 13.3–13.7% in which the ZnO nanorods grown at 15 min possess the highest PCE under local solar with the value of 2.82%

Agricultural Wastewater Treatment Using Coal, Coconut Fibre, Citronella And Clay As A Biofiltration

River water quality has decreased due to agriculture wastewater discharge. Statistic data in 2021 showed 22.6 thousand of water pollution cases were reported in Malaysia, which is a critical issue to the aquatic plants and animals. Thus, this paper aims to measure removal efficiency of a natural and economically designed bio-filter. The bio-filter was made of coal, coconut fibre, citronella, and clay to treat agricultural wastewater and compared the water quality before and after filtering. Selected parameters (TSS, BOD, COD, and NH3-N) were assessed in the wastewater samples before and after the operation of a bio-filter on a laboratory scale. The result shows that bio-filter success to improve the agriculture wastewater quality. Consequently, we recommend that this bio-filter can be further tested on a larger scale and potentially used in the agriculture wastewater industries

Fractional exhaled nitric oxide (FeNO) among office workers in an academic institution, Malaysia – associations with asthma, allergies and office environment

Objective: There are few studies on fractional exhaled nitric oxide (FeNO) and respiratory symptoms among adults in tropical areas. The aim was to study associations between FeNO and selected personal factors, respiratory symptoms, allergies, office characteristics and indoor office exposures among office workers (n = 460) from a university in Malaysia. Methods: Information on health was collected by a questionnaire, skin prick test and FeNO measurement. Temperature, relative air humidity, carbon monoxide and carbon dioxide were measured in the offices. Settled dust was vacuumed in the offices and analyzed for endotoxin, (1,3)-β-glucan and house dust mites allergens, namely Dermatophagoides pteronyssinus (Der p 1) and Dermatophagoides farinae (Der f 1). Two-level linear mixed models and multiple logistic regression were used to analyze the associations. Results: One-fourth (25.9%) of the office workers had elevated FeNO level (≥25 ppb) and 61.5% had HDM, cat, seafood or pollen allergy. Male gender (p < 0.001), current smoking (p = 0.037), height (p < 0.001) and atopy (p < 0.001) were associated with FeNO. The amount of vacuumed dust was associated with FeNO among atopic subjects (p = 0.009). Asthma and rhinitis symptoms were associated with FeNO (p < 0.05), especially among atopic subjects. In particular, a combination of atopy and elevated FeNO were associated with doctor-diagnosed asthma (p < 0.001), rhinitis (p < 0.001) and airway symptoms last 12 months (p < 0.001). Conclusion: Gender, smoking, height and atopy are important risk factors for elevated FeNO levels. A combination of allergy testing and FeNO measurement could be useful in respiratory illness epidemiology studies and patient investigations in tropical areas

Vascular function in the aging human brain during muscle exertion

: To determine how brain oxygenation is stably maintained during advancing age, cerebral oxygenation and hemoglobin were measured real-time at 10 Hz using near-infrared spectroscopy (NIRS) at rest (30 seconds) and during a 10-repeated handgrip strength test (30 seconds) for 834 adults (M/F = 45/55%) aged 20-88 y. The amplitude of cerebral hemodynamic fluctuation was reflected by converting 300 values of % oxygen saturation and hemoglobin of each 30-second phase to standard deviation as indicatives of brain oxygenation variability (BOV) and brain hemodynamic variability (BHV) for each participant. Both BOV (+21-72%) and BHV (+94-158%) increased during the maximal voluntary muscle exertions for all age levels (α &lt; 0.05), suggesting an increased vascular recruitment to maintain oxygen homeostasis in the brain. Intriguingly, BHV was &gt;100 folds for both resting and challenged conditions (α &lt; 0.001) in &gt;80% of adults aged above 50 y despite similar BOV compared with young age counterparts, indicating a huge cost of amplifying hemodynamic oscillation to maintain a stable oxygenation in the aging brain. Since vascular endothelial cells are short-lived, our results implicate a hemodynamic compensation to emergence of daily deficits in replacing senescent endothelial cells after age 50 y

Hypolipidemic and hypoglycemic effects of Orostachys japonicus A. Berger extracts in streptozotocin-induced diabetic rats

The hypolipidemic and hypoglycemic effects of two dietary dosages (0.1% and 0.5%) of water and 80% ethanol extracts from hot-air dried Orostachys japonicus A. Berger were evaluated in the serum and organ tissues of streptozotocin-induced diabetic rats. The STZ-induced diabetic groups supplemented with the O. japonicus extracts showed significantly higher body weight compared to a diabetic control group at the end of experiment. The extracts exhibited substantial hypoglycemic effects by significant reductions of fasting blood glucose levels at all time points tested compared to the initial stage before treatment of the extracts. Declines of serum and hepatic triglyceride levels were greater than declines of total cholesterol in the groups treated with the 0.5% O. japonicus extract (DBW2 and DBE2) when compared to the DBC group. Hepatic glycogen content was higher in the groups treated with O. japonicus extract, while lipid peroxide content was decreased in these treated groups compared to the DBC group. Hepatic antioxidant activity was significantly increased in the groups supplemented with the O. japonicus ethanol extract. The hypolipidemic and hypoglycemic effects of the O. japonicus ethanol extract were significantly greater than the effects of the water extract. Based on this study, it seems that O. japonicus ethanol extract, due to its higher phenolic and flavonoid components than the water extract, may control blood glucose and alleviate hyperlipidemia in diabetes

Fluid-structure interaction in blood flow capturing non-zero longitudinal structure displacement

We present a new model and a novel loosely coupled partitioned numerical scheme modeling fluid-structure interaction (FSI) in blood flow allowing non-zero longitudinal displacement. Arterial walls are modeled by a {linearly viscoelastic, cylindrical Koiter shell model capturing both radial and longitudinal displacement}. Fluid flow is modeled by the Navier-Stokes equations for an incompressible, viscous fluid. The two are fully coupled via kinematic and dynamic coupling conditions. Our numerical scheme is based on a new modified Lie operator splitting that decouples the fluid and structure sub-problems in a way that leads to a loosely coupled scheme which is {unconditionally} stable. This was achieved by a clever use of the kinematic coupling condition at the fluid and structure sub-problems, leading to an implicit coupling between the fluid and structure velocities. The proposed scheme is a modification of the recently introduced "kinematically coupled scheme" for which the newly proposed modified Lie splitting significantly increases the accuracy. The performance and accuracy of the scheme were studied on a couple of instructive examples including a comparison with a monolithic scheme. It was shown that the accuracy of our scheme was comparable to that of the monolithic scheme, while our scheme retains all the main advantages of partitioned schemes, such as modularity, simple implementation, and low computational costs

A specific group of genes respond to cold dehydration stress in cut Alstroemeria flowers whereas ambient dehydration stress accelerates developmental senescence expression patterns

Petal development and senescence entails a normally irreversible process. It starts with petal expansion and pigment production, and ends with nutrient remobilization and ultimately cell death. In many species this is accompanied by petal abscission. Post-harvest stress is an important factor in limiting petal longevity in cut flowers and accelerates some of the processes of senescence such as petal wilting and abscission. However, some of the effects of moderate stress in young flowers are reversible with appropriate treatments. Transcriptomic studies have shown that distinct gene sets are expressed during petal development and senescence. Despite this, the overlap in gene expression between developmental and stress-induced senescence in petals has not been fully investigated in any species. Here a custom-made cDNA microarray from Alstroemeria petals was used to investigate the overlap in gene expression between developmental changes (bud to first sign of senescence) and typical post-harvest stress treatments. Young flowers were stressed by cold or ambient temperatures without water followed by a recovery and rehydration period. Stressed flowers were still at the bud stage after stress treatments. Microarray analysis showed that ambient dehydration stress accelerates many of the changes in gene expression patterns that would normally occur during developmental senescence. However, a higher proportion of gene expression changes in response to cold stress were specific to this stimulus and not senescence related. The expression of 21 transcription factors was characterized, showing that overlapping sets of regulatory genes are activated during developmental senescence and by different stresses