Dynamic Asset Allocation: A Bayesian Approach

The first half of this dissertation consists of two essays addressing dynamic asset allocation problem by exploring time-varying volatility and covariance between different assets. In the first essay, I propose a time-varying Bayesian approach based on autoregressive models. To allow a parsimonious specification while improving predictive power, I specify a step function that considerably decreases the number of parameters to be estimated. To reduce data dimensionality, I use orthogonal portfolios instead of correlated assets in estimation and forecast. Finally, a Bayesian estimation is applied to dynamically update coefficients and error variance. I combine Bayesian time-varying autoregression with step function restriction in the univariate forecast of return and volatility of orthogonal portfolios. Using a daily rebalancing portfolio of four asset classes, this approach generates Sharpe ratios above 2 under a range of specifications within the dataset. In the second essay, I implement a new approach that dynamically rebalance portfolio based on forecast of asset returns under coefficient uncertainty and time-varying conditional covariance in a multivariate setting. I incorporates Principal Component Analysis in a vector autoregressive form multivariate Bayesian Dynamic Linear Model to forecast multivariate asset return and covariance. This approach can be applied to data with large dimension. It combines forecasting of return vector and covariance matrix all in one model. I use a daily rebalancing portfolio of five asset classes to show the improved portfolio performance as measured by the goodness of fit measures and the ex-post Sharpe ratio compared to several competing approaches. The second half of the dissertation studies the intraday price responses to overnight movements of individual stocks and index exchange-traded funds. I find that the overnight returns are followed by a reversal during the first half-hour of intraday trading, especially concentrated in the first ten minutes. Such reversal is significant in both time series of index and cross-section of individual stocks. The reversal effect implies market mispricing at the open and investors correcting the prices during the first half-hour. The effect leads to profitable trading opportunities. By forming a long-short portfolio based on overnight performance, investors earn a daily premium of 16.7 basis points. The results are robust after controlling for market risk, reversal from lag intraday interval, and different market conditions

The Price Transmission in European Stock Markets

We investigate the dynamic price relationships among ten major stock indexes in Europe before, during and after the recent financial crisis. Using an error-correction model we find that the stock markets are cointegrated with three cointegrating vectors before the crisis and that the markets are cointegrated with only one cointegrating vector during and after the crisis. We further apply directed acyclic graph (DAG) analysis on the contemporaneous correlations innovation matrix to explore the instantaneous transmission pattern. The results show that France and Spain appear to share leadership roles before the crisis while leadership role is less obvious during and after the crisis. We also find a decreasing number of instantaneous casual relationships between the markets after the crisis, indicating that the markets are becoming more independent

Mechanism underlying synergic activation of Tyrosinase promoter by MITF and IRF4

Background: The transcription factor interferon regulatory factor 4 (IRF4) was identified to be involved in human pigmentation by genome-wide association studies (GWASs). The rs12203592-[T/C], which is located in intron 4 of IRF4, shows the strongest link to these pigmentation phenotypes including freckling, sun sensitivity, eye and hair color. Previous studies indicated a functional cooperation of IRF4 with Microphthalmia-associated transcription factor (MITF), a causing gene of Waardenburg syndrome (WS), to synergistically trans-activate Tyrosinase (TYR). However, the underlying mechanism is still unknown. Methods: To investigate the importance of DNA binding in the synergic effect of IRF4. Reporter plasmids with mutant TYR promoters was generated to locate the IRF4 DNA binding sites in the Tyrosinase minimal promoter. By building MITF and IRF4 truncated mutations plasmids, the necessary regions of the synergy functions of these two proteins were also located. Results: The cooperative effect between MITF and IRF4 was specific for TYR promoter. The DNA-binding of IRF4 was critical for the synergic function. IRF4 DNA binding sites in TYR promoter were identified. The Trans-activation domains in IRF4 (aa134-207, aa300-420) were both important for the synergic function, whereas the auto-mask domain (aa207-300) appeared to mask the synergic effect. Mutational analysis in MITF indicated that both DNA-binding and transcriptional activation domains were both required for this synergic effect. Conclusions: Here we showed that IRF4 potently synergized with MITF to activate the TYR promoter, which was dependent on DNA binding of IRF4. The synergic domains in both IRF4 and MITF were identified by mutational analysis. This identification of IRF4 as a partner for MITF in regulation of TYR may provide an important molecular function for IRF4 in the genesis of melanocytes and the pathogenic mechanism in WS

Unraveling the Prognostic Significance of Rgs Gene Family in Gastric Cancer and the Potential Implication of Rgs4 in Regulating Tumor-infiltrating Fibroblast

Regulator of G-protein signaling (RGS) proteins are regulators of signal transduction mediated by G protein-coupled receptors (GPCRs). Current studies have shown that some molecules in the RGS gene family are related to the occurrence, development and poor prognosis of malignant tumors. However, the RGS gene family has been rarely studied in gastric cancer. In this study, we explored the mutation and expression profile of RGS gene family in gastric cancer, and evaluated the prognostic value of RGS expression. Then we established a prognostic model based on RGS gene family and performed functional analysis. Further studies showed that RGS4, as an independent prognostic predictor, may play an important role in regulating fibroblasts in the immune microenvironment. In conclusion, this study explores the value of RGS gene family in gastric cancer, which is of great significance for predicting the prognosis and guiding the treatment of gastric cancer

Role of Endoplasmic Reticulum Stress-Autophagy Axis in Severe Burn-Induced Intestinal Tight Junction Barrier Dysfunction in Mice

Severe burn injury induces intestinal barrier dysfunction; however, the underlying mechanisms remain elusive. Our previous studies have shown that the intestinal epithelial tight junction (TJ) barrier dysfunction is associated with both endoplasmic reticulum (ER) stress and autophagy in severely burned mice, but the precise role of ER stress and autophagy in the burn-induced intestinal TJ barrier dysfunction needs to be determined. In this study, female C57/BL6 mice were assigned randomly to either sham burn or 30% total body surface area (TBSA) full-thickness burn. The effects of ER stress and autophagy on the intestinal epithelial TJ barrier were validated by inducing or inhibiting both ER stress and autophagy in mice treated with sham burn or burn injury. The intestinal permeability, expression, and localization of TJ proteins, ER stress, and autophagy were assessed by physiological, morphological, and biochemical analyses. The results showed that inducing ER stress with tunicamycin or thapsigargin caused the activation of autophagy, the increase of intestinal permeability, as well as the reduction and reorganization of TJ proteins in the sham-burned mice, and aggravated the burn-induced activation of autophagy, increase of intestinal permeability, as well as the reduction and reorganization of TJ proteins. In contrast, inhibiting ER stress with 4-phenylbutyrate alleviated the burn-induced activation of autophagy, increase of intestinal permeability, as well as the reduction and reorganization of TJ proteins. In addition, inducing autophagy with rapamycin resulted in the increase of intestinal permeability, as well as the reduction and reorganization of TJ proteins in the sham-burned mice, and aggravated the burn-induced increase of intestinal permeability as well as the reduction and reorganization of TJ proteins. However, inhibiting autophagy with 3-methyladenine attenuated the burn-induced increase of intestinal permeability, as well as the reduction and reorganization TJ proteins. It is suggested that the ER stress-autophagy axis contributes to the intestinal epithelial TJ barrier dysfunction after severe burn injury

Short-Chain Fatty Acids Manifest Stimulative and Protective Effects on Intestinal Barrier Function Through the Inhibition of NLRP3 Inflammasome and Autophagy

Background/Aims: Short-chain fatty acids (SCFAs) are the major energy resources of intestinal epithelial cells. It has been reported that SCFAs can repair the dysfunction of intestinal barrier, however, the underlying mechanisms are still not fully understood. Here, we investigated the stimulative and protective effects of SCFAs on intestinal barrier function and the possible mechanisms. Methods: To investigate the effects of SCFAs on intestinal barrier function, the Caco-2 monolayers were exposed to acetate, propionate, butyrate respectively or simultaneously without or with lipopolysaccharide (LPS). Next, Caco-2 cells were treated with trichostatin A and etomoxir to identify whether SCFAs act as HDAC inhibitors or energy substances. To activate NLRP3 inflammasome and autophagy, Caco-2 cells were treated with LPS+ATP and rapamycin respectively without or with SCFAs. The transepithelial electrical resistance (TER) and paracellular permeability were respectively detected with a Millicell-ERS voltohmmeter and fluorescein isothiocyanate-labeled dextran. Immunoblotting and immunofluorescence were applied to analyze the expression and distribution of tight junction proteins, and the activation of NLRP3 inflammasome and autophagy. Results: Acetate (0.5mM), propionate(0.01mM) and butyrate (0.01mM) alone or in combination significantly increased TER, and stimulated the formation of tight junction. SCFAs also dramatically attenuated the LPS-induced TER reduction and paracellular permeability increase, accompanying significantly alleviated morphological disruption of ZO-1 and occludin. Meanwhile, the activation of NLRP3 inflammasome and autophagy induced by LPS were significantly inhibited by SCFAs. Trichostatin A imitated the inhibiting action of SCFAs on NLRP3 inflammasome, whereas etomoxir blocked the action of SCFAs on protecting intestinal barrier and inhibiting autophagy. In addition, the activation of autophagy and NLRP3 inflammasome by rapamycin and LPS+ATP resulted in TER reduction, paracellular permeability increase and morphological disruption of both ZO-1 and occludin, which was alleviated by SCFAs. Conclusion: It is suggested that SCFAs stimulate the formation of intestinal barrier, and protect the intestinal barrier from the disruption of LPS through inhibiting NLRP3 inflammasome and autophagy. In addition, SCFAs act as energy substances to protect intestinal barrier and inhibit autophagy, but act as HDAC inhibitors to suppress NLRP3 inflammasome. Furthermore, the mutual promoting action between NLRP3 inflammasome and autophagy would destroy intestinal barrier function, which could be alleviated by SCFAs

Metformin downregulates PD-L1 expression in esophageal squamous cell catrcinoma by inhibiting IL-6 signaling pathway

Purpose: To characterize the mechanism by which metformin inhibits PD-L1 expression in esophageal squamous cell carcinoma (ESCC) and to evaluate the effect of metformin on the antitumor immune response. Methods: The Cancer Genome Atlas (TCGA) database was used to analyze the correlations between IL-6 and prognosis and between IL-6 and PD-L1 gene expression in esophageal cancer. Reverse transcription-quantitative polymerase chain reaction (RT-PCR), Western blotting and immunofluorescence were used to study the mechanism by which metformin affects PD-L1 expression. Additionally, T cell function was assessed in a coculture system containing ESCC cells and peripheral blood mononuclear cells (PBMCs) treated with metformin or IL-6. In an Results: The TCGA esophageal cancer data showed that IL-6 expression was positively correlated with PD-L1 expression and that patients with high IL-6 expression had a significantly lower overall survival rate than patients with low IL-6 expression. PD-L1 expression in ESCC cell lines was significantly inhibited by metformin Conclusions: Metformin downregulated PD-L1 expression by blocking the IL-6/JAK2/STAT3 signaling pathway in ESCC, which enhanced the antitumor immune response

Unraveling the prognostic significance of RGS gene family in gastric cancer and the potential implication of RGS4 in regulating tumor-infiltrating fibroblast

Regulator of G-protein signaling (RGS) proteins are regulators of signal transduction mediated by G protein-coupled receptors (GPCRs). Current studies have shown that some molecules in the RGS gene family are related to the occurrence, development and poor prognosis of malignant tumors. However, the RGS gene family has been rarely studied in gastric cancer. In this study, we explored the mutation and expression profile of RGS gene family in gastric cancer, and evaluated the prognostic value of RGS expression. Then we established a prognostic model based on RGS gene family and performed functional analysis. Further studies showed that RGS4, as an independent prognostic predictor, may play an important role in regulating fibroblasts in the immune microenvironment. In conclusion, this study explores the value of RGS gene family in gastric cancer, which is of great significance for predicting the prognosis and guiding the treatment of gastric cancer

Reactivation of mutant p53 in esophageal squamous cell carcinoma by isothiocyanate inhibits tumor growth

p53 mutations are prevalent in human cancers; approximately half of patients with esophageal cancer present these mutations. Mutant p53 (mutp53) exerts oncogenic functions that promote malignant tumor progression, invasion, metastasis, and drug resistance, resulting in poor prognosis. Some small molecules have been shown to mitigate the oncogenic function of mutp53 by restoring its wild-type activity. Although these molecules have been evaluated in clinical trials, none have been successfully used in the clinic. Here, we investigated the antitumor effects of phenethyl isothiocyanate (PEITC) in p53-mutant esophageal squamous cell carcinoma (ESCC) and elucidated its mechanism to identify new therapeutic strategies. We observed that p53R248Q is a DNA contact mutation and a structural mutation and that PEITC can restore the activity of p53R248Qin vitro and in vivo, further clarifying the antitumor activity of PEITC in cancers with different types of p53 mutations. PEITC can inhibit ESCC growth, induce apoptosis, and arrest cell cycle progression and has a preferential selectivity for ESCC with p53 mutations. Mechanistic studies showed that PEITC induced apoptosis and arrested cells at G2/M transition in cells expressing the p53R248Q mutant by restoring the wild-type conformation and transactivation function of p53; these effects were concentration dependent. Furthermore, PEITC inhibited the growth of subcutaneous xenografts in vivo and restored p53 mutant activity in xenografts. According to these findings, PEITC has antitumor effects, with its ability to restore p53R248Q activity being a key molecular event responsible for these effects

Deep Feature and Domain Knowledge Fusion Network for Mapping Surface Water Bodies by Fusing Google Earth RGB and Sentinel-2 images

Mapping surface water bodies from fine spatial resolution optical remote sensing imagery is essential for the understanding of the global hydrologic cycle. Although satellite data are useful for mapping, the limited spectral information captured by some satellite systems can be sub-optimal for the task. For example, the very high resolution images of Google Earth (GE) only contain RGB bands, which often means many water bodies and land objects are confused. Sentinel-2 (S2) imagery have a spectral resolution more suitable for mapping water bodies, but its medium spatial resolution limits the ability for detailed mapping of water-land boundaries. This letter proposes a deep feature and domain knowledge fusion network (DFDKFNet) for mapping surface water bodies by fusing GE and S2 images while incorporating domain knowledge. DFDKFNet uses the remote sensing indices of normalized difference water index (NDWI) and normalized difference vegetation index (NDVI) derived from the S2 image as the representative domain knowledge to better extract water bodies from terrestrial features. A similar pixel-based approach is used to downscaling the NDWI and NDVI maps to match the spatial resolution between the GE and S2 images. The DFDKFNet uses the GE and downscaled NDWI and NDVI images to extract the deep semantic features of water bodies, which are fused with the domain knowledge extracted from the NDWI and NDVI images. DFDKFNet was compared with several state-of-the-art algorithms, and the results show that DFDKFNet can enhance water body mapping accuracy