Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility

This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated volatility in the second step to study possible discontinuities in markets. We support our methodology by simulations where we also discuss the importance of stochastic noise and volatility in deterministic cusp catastrophe model. The methodology is empirically tested on almost 27 years of U.S. stock market evolution covering several important recessions and crisis periods. Due to the very long sample period we also develop a rolling estimation approach and we find that while in the first half of the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this behavior. Results suggest that the proposed methodology provides an important shift in application of catastrophe theory to stock markets

Estimation of financial agent-based models with simulated maximum likelihood

This paper proposes a general computational framework for empirical estimation of financial agent based models, for which criterion functions do not have known analytical form. For this purpose, we adapt a nonparametric simulated maximum likelihood estimation based on kernel methods. Employing one of the most widely analysed heterogeneous agent models in the literature developed by Brock and Hommes (1998), we extensively test properties of the proposed estimator and its ability to recover parameters consistently and efficiently using simulations. Key empirical findings point us to the statistical insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with superiority of trend-following over contrarian strategies. In addition, we document slight proportional dominance of fundamentalists over trend following chartists in main world markets

Fluvastatin in the first-line therapy of acute coronary syndrome: results of the multicenter, randomized, double-blind, placebo-controlled trial (the FACS-trial)

<p>Abstract</p> <p>Background</p> <p>Statins have been proved to be effective in reduction of mortality and morbidity when started in the early secondary prevention in stabilized patients after acute coronary syndrome (ACS). The safety and efficacy of statin administration directly in the first-line therapy in unstable ACS patients is not clear. The aim of our study was, therefore, to assess the effect of statin treatment initiated immediately at hospital admission of patients with ACS.</p> <p>Methods</p> <p>The trial was stopped prematurely after enrollment of one hundred and fifty-six patients with ACS that were randomized at admission to fluvastatin 80 mg (N = 78) or placebo (N = 78). Study medication was administered immediately after randomization and then once daily for 30 days; all patients were then encouraged to continue in open-label statin therapy and at the end of one-year follow-up 75% in the fluvastatin group and 78% in the placebo group were on statin therapy.</p> <p>Results</p> <p>We did not demonstrate any difference between groups in the level of C-reactive protein, interleukin 6, and pregnancy-associated plasma protein A on Day 2 and Day 30 (primary endpoint). Fluvastatin-therapy, however, significantly reduced one-year occurrence of major adverse cardiovascular events (11.5% vs. 24.4%, odds ratio (OR) 0.40, 95% CI 0.17-0.95, P = 0.038). This difference was caused mainly by reduction of recurrent symptomatic ischemia (7.7% vs. 20.5%, OR 0.32, 95% CI 0.12-0.88, P = 0.037).</p> <p>Conclusions</p> <p>This study failed to prove the effect of fluvastatin given as first-line therapy of ACS on serum markers of inflammation and plaque instability. Fluvastatin therapy was, however, safe and it may reduce cardiovascular event rate that supports immediate use of a statin in patients admitted for ACS.</p> <p>Trial registration</p> <p>NCT00171275</p

Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through the so-called `Break Point Date', which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulent U.S. stock market periods reveals interesting pattern in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with behavioural breaks is also able to partially replicate price behaviour found in the data during turbulent stock market periods

An Adsorptive Transfer Technique Coupled with Brdicka Reaction to Reveal the Importance of Metallothionein in Chemotherapy with Platinum Based Cytostatics

The drugs based on platinum metals represent one of the oldest, but also one of the most effective groups of chemotherapeutic agents. Thanks to many clinical studies it is known that resistance of tumor cells to drugs is a frequent cause of chemotherapy failure. With regard to platinum based drugs, multidrug resistance can also be connected with increased expression of low-molecular weight protein metallothionein (MT). This study aimed at investigating the interactions of MT with cisplatin or carboplatin, using the adsorptive transfer technique coupled with differential pulse voltammetry Brdicka reaction (AdTS DPV Brdicka reaction), and a comparison of in vitro results with results obtained in vivo. The results obtained from the in vitro study show a strong affinity between platinum based drugs and MT. Further, we analyzed extracts of neuroblastoma cell lines treated with cisplatin or carboplatin. It is clear that neuroblastoma UKF-NB-4 cisplatin-resistant and cisplatin-sensitive cell lines unlikely respond to the presence of the platinum-based cytostatics cisplatin and carboplatin. Finally, we determined the level of MT in samples from rabbits treated with carboplatin and patients with retinoblastoma treated with the same drug

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This paper proposes a general computational framework for empirical estimation of financial agent based models, for which criterion functions do not have known analytical form. For this purpose, we adapt a nonparametric simulated maximum likelihood estimation based on kernel methods. Employing one of the most widely analysed heterogeneous agent models in the literature developed by Brock and Hommes (1998), we extensively test properties of the proposed estimator and its ability to recover parameters consistently and efficiently using simulations. Key empirical findings point us to the statistical insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with superiority of trend-following over contrarian strategies. In addition, we document slight proportional dominance of fundamentalists over trend following chartists in main world markets

Serum metallothionein in newly diagnosed patients with childhood solid tumours

Tumour markers are substances produced by malignant cells or by the organism as a response to cancer development. Determination of their levels can, therefore, be used to monitor the risk, presence and prognosis of a cancer disease or to monitor the therapeutic response or early detection of residual disease. Time-consuming imaging methods, examination of cerebrospinal fluid or tumour tissue and assays for hormones and tumour markers have been used for cancer diagnosis. However, no specific marker for diagnosis of childhood solid tumours has been discovered yet. In this study, metallothionein (MT) was evaluated as a prospective marker for such diseases. Serum metallothionein levels of patients with childhood solid tumours were determined using differential pulse voltammetry - Brdicka reaction. A more than 5-fold increase in the amount of metallothionein was found in sera of patients suffering from cancer disease, compared with those in sera of healthy donors. The average metallothionein level in the sera of healthy volunteers was 0.5 ± 0.2 μmol · dm-3 and was significantly different (p<0.05, determined using the Schefe test) from the average MT level found in serum samples of patients suffering from childhood solid tumours (3.4 ± 0.8 μmol · dm-3). Results found in this work indicate that the MT level in blood serum can be considered as a promising marker for diagnostics, prognosis and estimation of therapy efficiency of childhood tumours