Measuring and Modeling Risk Using High-Frequency Data

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure of volatility. Moreover, non-parametric measures of systematic risk are attainable, that can straightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorporation and of the DJIA index

A Measurement of Rb using a Double Tagging Method

The fraction of Z to bbbar events in hadronic Z decays has been measured by the OPAL experiment using the data collected at LEP between 1992 and 1995. The Z to bbbar decays were tagged using displaced secondary vertices, and high momentum electrons and muons. Systematic uncertainties were reduced by measuring the b-tagging efficiency using a double tagging technique. Efficiency correlations between opposite hemispheres of an event are small, and are well understood through comparisons between real and simulated data samples. A value of Rb = 0.2178 +- 0.0011 +- 0.0013 was obtained, where the first error is statistical and the second systematic. The uncertainty on Rc, the fraction of Z to ccbar events in hadronic Z decays, is not included in the errors. The dependence on Rc is Delta(Rb)/Rb = -0.056*Delta(Rc)/Rc where Delta(Rc) is the deviation of Rc from the value 0.172 predicted by the Standard Model. The result for Rb agrees with the value of 0.2155 +- 0.0003 predicted by the Standard Model.Comment: 42 pages, LaTeX, 14 eps figures included, submitted to European Physical Journal

Measurement of the B+ and B-0 lifetimes and search for CP(T) violation using reconstructed secondary vertices

The lifetimes of the B+ and B-0 mesons, and their ratio, have been measured in the OPAL experiment using 2.4 million hadronic Z(0) decays recorded at LEP. Z(0) --> b (b) over bar decays were tagged using displaced secondary vertices and high momentum electrons and muons. The lifetimes were then measured using well-reconstructed charged and neutral secondary vertices selected in this tagged data sample. The results aretau(B+) = 1.643 +/- 0.037 +/- 0.025 pstau(Bo) = 1.523 +/- 0.057 +/- 0.053 pstau(B+)/tau(Bo) = 1.079 +/- 0.064 +/- 0.041,where in each case the first error is statistical and the second systematic.A larger data sample of 3.1 million hadronic Z(o) decays has been used to search for CP and CPT violating effects by comparison of inclusive b and (b) over bar hadron decays, No evidence fur such effects is seen. The CP violation parameter Re(epsilon(B)) is measured to be Re(epsilon(B)) = 0.001 +/- 0.014 +/- 0.003and the fractional difference between b and (b) over bar hadron lifetimes is measured to(Delta tau/tau)(b) = tau(b hadron) - tau((b) over bar hadron)/tau(average) = -0.001 +/- 0.012 +/- 0.008

Active rehabilitation for chronic low back pain: Cognitive-behavioral, physical, or both? First direct post-treatment results from a randomized controlled trial [ISRCTN22714229]

BACKGROUND: The treatment of non-specific chronic low back pain is often based on three different models regarding the development and maintenance of pain and especially functional limitations: the deconditioning model, the cognitive behavioral model and the biopsychosocial model. There is evidence that rehabilitation of patients with chronic low back pain is more effective than no treatment, but information is lacking about the differential effectiveness of different kinds of rehabilitation. A direct comparison of a physical, a cognitive-behavioral treatment and a combination of both has never been carried out so far. METHODS: The effectiveness of active physical, cognitive-behavioral and combined treatment for chronic non-specific low back pain compared with a waiting list control group was determined by performing a randomized controlled trial in three rehabilitation centers. Two hundred and twenty three patients were randomized, using concealed block randomization to one of the following treatments, which they attended three times a week for 10 weeks: Active Physical Treatment (APT), Cognitive-Behavioral Treatment (CBT), Combined Treatment of APT and CBT (CT), or Waiting List (WL). The outcome variables were self-reported functional limitations, patient's main complaints, pain, mood, self-rated treatment effectiveness, treatment satisfaction and physical performance including walking, standing up, reaching forward, stair climbing and lifting. Assessments were carried out by blinded research assistants at baseline and immediately post-treatment. The data were analyzed using the intention-to-treat principle. RESULTS: For 212 patients, data were available for analysis. After treatment, significant reductions were observed in functional limitations, patient's main complaints and pain intensity for all three active treatments compared to the WL. Also, the self-rated treatment effectiveness and satisfaction appeared to be higher in the three active treatments. Several physical performance tasks improved in APT and CT but not in CBT. No clinically relevant differences were found between the CT and APT, or between CT and CBT. CONCLUSION: All three active treatments were effective in comparison to no treatment, but no clinically relevant differences between the combined and the single component treatments were found

AMN107 (nilotinib): a novel and selective inhibitor of BCR-ABL

Chronic myelogenous leukaemia (CML) and Philadelphia chromosome positive (Ph+) acute lymphoblastic leukaemia (ALL) are caused by the BCR-ABL oncogene. Imatinib inhibits the tyrosine kinase activity of the BCR-ABL protein and is an effective, frontline therapy for chronic-phase CML. However, accelerated or blast-crisis phase CML patients and Ph+ ALL patients often relapse due to drug resistance resulting from the emergence of imatinib-resistant point mutations within the BCR-ABL tyrosine kinase domain. This has stimulated the development of new kinase inhibitors that are able to over-ride resistance to imatinib. The novel, selective BCR-ABL inhibitor, AMN107, was designed to fit into the ATP-binding site of the BCR-ABL protein with higher affinity than imatinib. In addition to being more potent than imatinib (IC50<30 nM) against wild-type BCR-ABL, AMN107 is also significantly active against 32/33 imatinib-resistant BCR-ABL mutants. In preclinical studies, AMN107 demonstrated activity in vitro and in vivo against wild-type and imatinib-resistant BCR-ABL-expressing cells. In phase I/II clinical trials, AMN107 has produced haematological and cytogenetic responses in CML patients, who either did not initially respond to imatinib or developed imatinib resistance. Dasatinib (BMS-354825), which inhibits Abl and Src family kinases, is another promising new clinical candidate for CML that has shown good efficacy in CML patients. In this review, the early characterisation and development of AMN107 is discussed, as is the current status of AMN107 in clinical trials for imatinib-resistant CML and Ph+ ALL. Future trends investigating prediction of mechanisms of resistance to AMN107, and how and where AMN107 is expected to fit into the overall picture for treatment of early-phase CML and imatinib-refractory and late-stage disease are discussed

Family History of Alcoholism and Childhood Adversity: Joint Effects on Alcohol Consumption and Dependence

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/65494/1/j.1530-0277.1994.tb00085.x.pd

Prenatal Stress and Balance of the Child's Cardiac Autonomic Nervous System at Age 5-6 Years

Objective: Autonomic nervous system (ANS) misbalance is a potential causal factor in the development of cardiovascular disease. The ANS may be programmed during pregnancy due to various maternal factors. Our aim is to study maternal prenatal psychosocial stress as a potential disruptor of cardiac ANS balance in the child. Methods: Mothers from a prospective birth cohort (ABCD study) filled out a questionnaire at gestational week 16 [IQR 12– 20], that included validated instruments for state anxiety, depressive symptoms, pregnancy-related anxiety, parenting daily hassles and job strain. A cumulative stress score was also calculated (based on 80 th percentiles). Indicators of cardiac ANS in the offspring at age 5–6 years are: pre-ejection period (PEP), heart rate (HR), respiratory sinus arrhythmia (RSA) and cardiac autonomic balance (CAB), measured with electrocardiography and impedance cardiography in resting supine and sitting positions. Results: 2,624 mother-child pairs, only single births, were available for analysis. The stress scales were not significantly associated with HR, PEP, RSA and CAB (p$0.17). Accumulation of maternal stress was also not associated with HR, PEP, RSA and CAB (p$0.07). Conclusion: Results did not support the hypothesis that prenatal maternal psychosocial stress deregulates cardiac AN