Forecasting volatility using LINEX loss functions

This paper applies the LINEX loss functions to volatility forecasting. We derive the optimal one-step-ahead LINEX forecast for various volatility models. Our results suggest that the LINEX loss function may give us better forecasts than conventional ones

Optimal long term investment in a jump diffusion setting : a large deviation approach

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk

Optimal investment and asymmetric risk for a large portfolio: a large deviations approach

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk

SHIPping out diabetes-Metformin, an old friend among new SHIP2 inhibitors

SHIP2 (Src homology 2 domain-containing inositol 5 '-phosphatase 2) belongs to the family of 5 '-phosphatases. It regulates the phosphoinositide 3-kinase (PI3K)-mediated insulin signalling cascade by dephosphorylating the 5 '-position of PtdIns(3,4,5)P3 to generate PtdIns(3,4)P2, suppressing the activity of the pathway. SHIP2 mouse models and genetic studies in human propose that increased expression or activity of SHIP2 contributes to the pathogenesis of the metabolic syndrome, hypertension and type 2 diabetes. This has raised great interest to identify SHIP2 inhibitors that could be used to design new treatments for metabolic diseases. This review summarizes the central mechanisms associated with the development of diabetic kidney disease, including the role of insulin resistance, and then moves on to describe the function of SHIP2 as a regulator of metabolism in mouse models. Finally, the identification of SHIP2 inhibitors and their effects on metabolic processes in vitro and in vivo are outlined. One of the newly identified SHIP2 inhibitors is metformin, the first-line medication prescribed to patients with type 2 diabetes, further boosting the attraction of SHIP2 as a treatment target to ameliorate metabolic disorders.Peer reviewe

In the shadow of coal: How large-scale industries contributed to present-day regional differences in personality and well-being

Recent research has identified regional variation of personality traits within countries but we know little about the underlying drivers of this variation. We propose that the Industrial Revolution, as a key era in the history of industrialized nations, has led to a persistent clustering of well-being outcomes and personality traits associated with psychological adversity via processes of selective migration and socialization. Analyzing data from England and Wales, we examine relationships between the historical employment share in large-scale coal-based industries (coal mining and steam-powered manufacturing industries that used this coal as fuel for their steam engines) and today’s regional variation in personality and well- being. Even after controlling for possible historical confounds (historical energy supply, education, wealth, geology, climate, population density), we find that the historical local dominance of large-scale coal-based industries predicts today’s markers of psychological adversity (lower Conscientiousness [and order facet scores], higher Neuroticism [and anxiety and depression facet scores], lower activity [an Extraversion facet], and lower life satisfaction and life expectancy). An instrumental variable analysis, using the historical location of coalfields, supports the causal assumption behind these effects (with the exception of life satisfaction). Further analyses focusing on mechanisms hint at the roles of selective migration and persisting economic hardship. Finally, a robustness check in the U.S. replicates the effect of the historical concentration of large-scale industries on today’s levels of psychological adversity. Taken together, the results show how today’s regional patterns of personality and well-being may have their roots in major societal changes underway decades or centuries earlier

Dispositional disinhibition and alcohol use disorders: personality, risk appraisal and problematic alcohol consumption

Background: The relationship between psychopathic personality and problematic alcohol consumption could be important for understanding risk and potential interventions. This existing work on psychopathy and alcohol abuse is typically conducted in criminal and hospitalised populations and little attention has been paid to investigating the general populations’ psychopathic personality and problematic consumption of alcohol. The psychopathy-focused Triarchic Psychopathy Measure (TriPM) and the more general Reinforcement Sensitivity Theory of personality (RST) focus on individual differences related to low self-control and sensation seeking, and could relate to problematic alcohol consumption in non-forensic samples. The current study brings together RST and psychopathic personality traits to predict alcohol use disorders. We hypothesise that impulsivity and anxiety predict problematic alcohol consumption and related risk appraisal. Methods: We analysed data from a sample of 349 general population participants who had completed measures of the TriPM, RST, alcohol use disorders (AUDIT) and their perceived negative outcomes of high risk behaviour with the Cognitive Appraisal of Risky Events (CARE) measure. Results: We find some evidence that TriPM’s disinhibition and RST’s anxious personality traits relate to AUDIT scores. We find limited evidence that personality traits predict the negative appraisal of risky events, but alcohol use was related to increased perceptions of the negative outcomes of alcohol consumption. Conclusions: Overall this study shows that individual differences do relate to problematic alcohol consumption but not the appraisal of risks related to alcohol consumption. This has implications for the structuring of intervention for those at risk of problematic consumption of alcohol

Coastal Management: A guide to using archaeological, palaeoenvironmental, historical and artistic resources

This ‘Guide’ has been produced as part of the project ‘Archaeology, art and coastal heritage: tools to support coastal management and climate change planning across the Channel Regional Sea’ (Arch-Manche). It details how data sources have been identified, ranked and analysed together to provide evidence of coastal change. Experiences of deploying a range of field investigation techniques to gather scientific data supporting understanding of past coastal change are detailed. The importance of this work in relation to coastal management is presented through a range of results from case studies within areas exhibiting different physical and geomorphological characteristics. The results demonstrate the asyet unrealised potential within archaeological, paleoenvironmental, historical and artistic resources to inform on the scale and pace of coastal change

Spin-valve Josephson junctions with perpendicular magnetic anisotropy for cryogenic memory

We demonstrate a Josephson junction with a weak link containing two ferromagnets with perpendicular magnetic anisotropy and independent switching fields in which the critical current can be set by the mutual orientation of the two layers. Such pseudospin-valve Josephson junctions are a candidate cryogenic memory in an all superconducting computational scheme. Here, we use Pt/Co/Pt/CoB/Pt as the weak link of the junction with dCo=0.6 nm, dCoB=0.3 nm, and dPt=5 nm and obtain a 60% change in the critical current for the two magnetization configurations of the pseudospin-valve. Ferromagnets with perpendicular magnetic anisotropy have advantages over magnetization in-plane systems, which have been exclusively considered at this point, as, in principle, the magnetization and magnetic switching of layers in the junction should not affect the in-plane magnetic flux