The new risk management: the good, the bad, and the ugly

At one time, risk management was limited to insurance and the avoidance of lawsuits and accidents. The new risk management also includes using tools developed for pricing financial options for the management of financial risks within the firm. Trading in financial markets based on these tools can insulate companies from the risk of changes in interest rates, input prices, or currency fluctuations. In this article Philip H. Dybvig and William J. Marshall introduce the new risk management and the policy choices firms should be considering.Management ; Risk

Double Exponential Instability of Triangular Arbitrage Systems

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.Comment: 22 pages, 22 bibliography references, expanded Introduction and Conclusion, added bibliohraphy reference

Continuation-Passing C: compiling threads to events through continuations

In this paper, we introduce Continuation Passing C (CPC), a programming language for concurrent systems in which native and cooperative threads are unified and presented to the programmer as a single abstraction. The CPC compiler uses a compilation technique, based on the CPS transform, that yields efficient code and an extremely lightweight representation for contexts. We provide a proof of the correctness of our compilation scheme. We show in particular that lambda-lifting, a common compilation technique for functional languages, is also correct in an imperative language like C, under some conditions enforced by the CPC compiler. The current CPC compiler is mature enough to write substantial programs such as Hekate, a highly concurrent BitTorrent seeder. Our benchmark results show that CPC is as efficient, while using significantly less space, as the most efficient thread libraries available.Comment: Higher-Order and Symbolic Computation (2012). arXiv admin note: substantial text overlap with arXiv:1202.324

Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Differences in genotype and virulence among four multidrug-resistant <i>Streptococcus pneumoniae</i> isolates belonging to the PMEN1 clone

We report on the comparative genomics and characterization of the virulence phenotypes of four &lt;i&gt;S. pneumoniae&lt;/i&gt; strains that belong to the multidrug resistant clone PMEN1 (Spain&lt;sup&gt;23F&lt;/sup&gt; ST81). Strains SV35-T23 and SV36-T3 were recovered in 1996 from the nasopharynx of patients at an AIDS hospice in New York. Strain SV36-T3 expressed capsule type 3 which is unusual for this clone and represents the product of an in vivo capsular switch event. A third PMEN1 isolate - PN4595-T23 - was recovered in 1996 from the nasopharynx of a child attending day care in Portugal, and a fourth strain - ATCC700669 - was originally isolated from a patient with pneumococcal disease in Spain in 1984. We compared the genomes among four PMEN1 strains and 47 previously sequenced pneumococcal isolates for gene possession differences and allelic variations within core genes. In contrast to the 47 strains - representing a variety of clonal types - the four PMEN1 strains grouped closely together, demonstrating high genomic conservation within this lineage relative to the rest of the species. In the four PMEN1 strains allelic and gene possession differences were clustered into 18 genomic regions including the capsule, the blp bacteriocins, erythromycin resistance, the MM1-2008 prophage and multiple cell wall anchored proteins. In spite of their genomic similarity, the high resolution chinchilla model was able to detect variations in virulence properties of the PMEN1 strains highlighting how small genic or allelic variation can lead to significant changes in pathogenicity and making this set of strains ideal for the identification of novel virulence determinant

Impact of target site distribution for Type I restriction enzymes on the evolution of methicillin-resistant Staphylococcus aureus (MRSA) populations.

A limited number of Methicillin-resistant Staphylococcus aureus (MRSA) clones are responsible for MRSA infections worldwide, and those of different lineages carry unique Type I restriction-modification (RM) variants. We have identified the specific DNA sequence targets for the dominant MRSA lineages CC1, CC5, CC8 and ST239. We experimentally demonstrate that this RM system is sufficient to block horizontal gene transfer between clinically important MRSA, confirming the bioinformatic evidence that each lineage is evolving independently. Target sites are distributed randomly in S. aureus genomes, except in a set of large conjugative plasmids encoding resistance genes that show evidence of spreading between two successful MRSA lineages. This analysis of the identification and distribution of target sites explains evolutionary patterns in a pathogenic bacterium. We show that a lack of specific target sites enables plasmids to evade the Type I RM system thereby contributing to the evolution of increasingly resistant community and hospital MRSA

On the Multi-Language Construction

Modern software is no more developed in a single programming language. Instead, programmers tend to exploit cross-language interoperability mechanisms to combine code stemming from different languages, and thus yielding fully-fledged multi-language programs. Whilst this approach enables developers to benefit from the strengths of each single-language, on the other hand it complicates the semantics of such programs. Indeed, the resulting multi-language does not meet any of the semantics of the combined languages. In this paper, we broaden the boundary functions-based approach a la Matthews and Findler to propose an algebraic framework that provides a constructive mathematical notion of multi-language able to determine its semantics. The aim of this work is to overcome the lack of a formal method (resp., model) to design (resp., represent) a multi-language, regardless of the inherent nature of the underlying languages. We show that our construction ensures the uniqueness of the semantic function (i.e., the multi-language semantics induced by the combined languages) by proving the initiality of the term model (i.e., the abstract syntax of the multi-language) in its category

On the optimal investment

In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM). Under this new paradigm agents preferences depend on the probability distribution of the payoff and for the same distribution agents prefer the payoff that requires less investment. In this context he gave the notion of efficient payoff. Both approaches run parallel to the theory of choice of von Neumann -Morgenstern (1947), known as the Expected Utility Theory and posterior axiomatic alternatives. In this paper we consider the notion of optimal payoff as that maximizing the terminal position for a chosen preference functional and we investigate the relationship between both concepts, optimal and efficient payoffs, as well as the behavior of the efficient payoffs under different market dynamics. We also show that path-dependent options can be efficient in some simple models

Type IV Pili of Acidithiobacillus ferrooxidans Are Necessary for Sliding, Twitching Motility, and Adherence

We used conventional methods to investigate the mechanism by which Acidithiobacillus ferrooxidans colonizes a solid surface by assessing pili-mediated sliding, twitching motility, and adherence. A. ferrooxidans slided to form circular oxidized zones around each colony. This suggested that slide motility occurs through pili or flagella, though A. ferrooxidans strains ATCC 19859 and ATCC 23270 lack flagella. The results of reverse transcription-PCR demonstrated that the putative major pili gene of A. ferrooxidans strains ATCC 19859, ATCC 23270, and BY3 genes were transcribed. Culture of A. ferrooxidans between silicone gel and glass led to the production of type IV pili and the formation of rough twitching motility zones. When the bacteria were grown on lean ore cubes, pyrite was colonized readily by A. ferrooxidans and there is a correlation between pilus expression and strong attachment. However, non-pili bacteria attached minimally to the mineral surface. The results show a correlation between these functions and pilus expression