Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality

The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the SP 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK

The properties of double-blind Dutch auctions in a clearing house; some new results for the Mendelson Model

In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories of crossing, extending Mendelson’s results which are based on a single category of crossing. Secondly, conditioning on quantity, we derive the joint distribution of the relevant demand and supply prices associated with such two-sided markets originally described by Bohm-Bawerk (1891). The distributional result is extended to the case where the limit orders on different sides of the market arrive at different rates. Finally, we derive the distributional properties of the price elasticities

Sequential variable selection as Bayesian pragmatism in linear factor models

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful

Steady-state distributions for models of bubbles: their existence and econometric implications

The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we can obtain a steady state distribution of asset prices using our simple model of bubbles based on our particular definition of a bubble. We derive general results and further extend the analysis by considering the steady state distribution in three cases of a (I) a normally distributed error process, (II) a non normally (exponentially) distributed steady-state process and (III) a switching random walk with a fairly general i.i.d error process We then examine the issues related to unit root testing for the presence of bubbles using standard econometric procedures. We illustrate as an example, the market for art, which shows distinctly bubble-like characteristics. Our results shed light on the ubiquitous finding of no bubbles in the econometric literature

Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can give better forecasts than conventional loss functions such as mean square error (MSE).LINEX Loss Function, Forecasting, Volatility

The Nucleus of Comet 10P/Tempel 2 in 2013 and Consequences Regarding Its Rotational State: Early Science from the Discovery Channel Telescope

We present new lightcurve measurements of Comet 10P/Tempel 2 carried out with Lowell Observatory's Discovery Channel Telescope in early 2013 when the comet was at aphelion. These data represent some of the first science obtained with this new 4.3-m facility. With Tempel 2 having been observed to exhibit a small but ongoing spin-down in its rotation period for over two decades, our primary goals at this time were two-fold. First, to determine its current rotation period and compare it to that measured shortly after its most recent perihelion passage in 2010, and second, to disentangle the spin-down from synodic effects due to the solar day and the Earth's orbital motion and to determine the sense of rotation, i.e. prograde or retrograde. At our midpoint of 2013 Feb 24, the observed synodic period is 8.948+/-0.001 hr, exactly matching the predicted prograde rotation solution based on 2010 results, and yields a sidereal period of the identical value due to the solar and Earth synodic components just canceling out during the interval of the 2013 observations. The retrograde solution is ruled out because the associated sidereal periods in 2010 and 2013 are quite different even though we know that extremely little outgassing, needed to produce torques, occurred in this interval. With a definitive sense of rotation, the specific amounts of spin-down to the sidereal period could be assessed. The nominal values imply that the rate of spin-down has decreased over time, consistent with the secular drop in water production since 1988. Our data also exhibited an unexpectedly small lightcurve amplitude which appears to be associated with viewing from a large, negative sub-Earth latitude, and a lightcurve shape deviating from a simple sinusoid implying a highly irregularly shaped nucleus.Comment: Accepted by AJ; 12 pages of text (pre-print style), 3 tables, 2 figure

A first comparison of search methods for gravitational wave bursts using LIGO and Virgo simulated data

We present a comparative study of 6 search methods for gravitational wave bursts using simulated LIGO and Virgo noise data. The data's spectra were chosen to follow the design sensitivity of the two 4km LIGO interferometers and the 3km Virgo interferometer. The searches were applied on replicas of the data sets to which 8 different signals were injected. Three figures of merit were employed in this analysis: (a) Receiver Operator Characteristic curves, (b) necessary signal to noise ratios for the searches to achieve 50 percent and 90 percent efficiencies, and (c) variance and bias for the estimation of the arrival time of a gravitational wave burst.Comment: GWDAW9 proceeding

Activation of STING-Dependent Innate Immune Signaling By S-Phase-Specific DNA Damage in Breast Cancer

Background: Previously we identified a DNA damage response–deficient (DDRD) molecular subtype within breast cancer. A 44-gene assay identifying this subtype was validated as predicting benefit from DNA-damaging chemotherapy. This subtype was defined by interferon signaling. In this study, we address the mechanism of this immune response and its possible clinical significance. Methods: We used immunohistochemistry (IHC) to characterize immune infiltration in 184 breast cancer samples, of which 65 were within the DDRD subtype. Isogenic cell lines, which represent DDRD-positive and -negative, were used to study the effects of chemokine release on peripheral blood mononuclear cell (PBMC) migration and the mechanism of immune signaling activation. Finally, we studied the association between the DDRD subtype and expression of the immune-checkpoint protein PD-L1 as detected by IHC. All statistical tests were two-sided. Results: We found that DDRD breast tumors were associated with CD4+ and CD8+ lymphocytic infiltration (Fisher’s exact test P < .001) and that DDRD cells expressed the chemokines CXCL10 and CCL5 3.5- to 11.9-fold more than DNA damage response–proficient cells (P < .01). Conditioned medium from DDRD cells statistically significantly attracted PBMCs when compared with medium from DNA damage response–proficient cells (P < .05), and this was dependent on CXCL10 and CCL5. DDRD cells demonstrated increased cytosolic DNA and constitutive activation of the viral response cGAS/STING/TBK1/IRF3 pathway. Importantly, this pathway was activated in a cell cycle–specific manner. Finally, we demonstrated that S-phase DNA damage activated expression of PD-L1 in a STING-dependent manner. Conclusions: We propose a novel mechanism of immune infiltration in DDRD tumors, independent of neoantigen production. Activation of this pathway and associated PD-L1 expression may explain the paradoxical lack of T-cell-mediated cytotoxicity observed in DDRD tumors. We provide a rationale for exploration of DDRD in the stratification of patients for immune checkpoint–based therapies

A high-sensitivity electrochemiluminescence-based ELISA for the measurement of the oxidative stress biomarker, 3-nitrotyrosine, in human blood serum and cells

The generation of 3-nitrotyrosine, within proteins, is a post-translational modification resulting from oxidative or nitrative stress. It has been suggested that this modification could be used as a biomarker for inflammatory diseases. Despite the superiority of mass spectrometry-based determinations of nitrotyrosine, in a high-throughput clinical setting the measurement of nitrotyrosine by an enzyme-linked immunosorbent assay (ELISA) is likely to be more cost-effective. ELISAs offer an alternative means to detect nitrotyrosine, but many commercially available ELISAs are insufficiently sensitive to detect nitrotyrosine in healthy human serum. Here, we report the development, validation and clinical application of a novel electrochemiluminescence-based ELISA for nitrotyrosine which provides superior sensitivity (e.g. a 50-fold increase in sensitivity compared with one of the tested commercial colorimetric ELISAs). This nitrotyrosine ELISA has the following characteristics: a lower limit of quantitation of 0.04 nM nitrated albumin equivalents; intra- and inter-assay coefficients of variation of 6.5% and 11.3%, respectively; a mean recovery of 106 ± 3% and a mean linearity of 0.998 ± 0.001. Far higher nitration levels were measured in normal human blood cell populations when compared to plasma. Mass spectrometry was used to validate the new ELISA method. The analysis of the same set of chemically modified albumin samples using the ELISA method and mass spectrometry showed good agreement for the relative levels of nitration present in each sample. The assay was applied to serum samples from patients undergoing elective surgery which induces the human inflammatory response. Matched samples were collected before and one day after surgery. An increase in nitration was detected following surgery (median (IQR): 0.59 (0.00–1.34) and 0.97 (0.00–1.70) nitrotyrosine (fmol of nitrated albumin equivalents/mg protein) for pre- and post-surgery respectively. The reported assay is suitable for nitrotyrosine determination in patient serum samples, and may also be applicable as a means to determine oxidative stress in primary and cultured cell populations