Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the ``stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.Comment: 17 pages, 7 figure

Nonmonotonic Response of Primary Production and Export to Changes in Mixed-Layer Depth in the Southern Ocean

International audienceOngoing and future changes in wind and temperature are predicted to alter upper ocean vertical mixing across the Southern Ocean. How these changes will affect primary production (PP) remains unclear as mixing influences the two controlling factors: light and iron. We used a large ensemble of 1‐D‐biogeochemical model simulations to explore the impacts of changes in mixed‐layer depths on PP in the Southern Ocean. In summer, shoaling mixed‐layer depth always reduced depth‐integrated PP, despite increasing production rates. In winter, shoaling mixed layers had a two‐staged impact: for moderate shoaling PP increased as light conditions improved, but more pronounced shoaling decreased iron supply, which reduced PP. The fraction of PP exported below 100 m also presented a nonmonotonic behavior. This suggests a potential future shift from a situation where reduced winter mixing increases PP and export, to a situation where PP and export may collapse if the ML shoals above a threshold depth

Classical Effective Field Theory for Weak Ultra Relativistic Scattering

Inspired by the problem of Planckian scattering we describe a classical effective field theory for weak ultra relativistic scattering in which field propagation is instantaneous and transverse and the particles' equations of motion localize to the instant of passing. An analogy with the non-relativistic (post-Newtonian) approximation is stressed. The small parameter is identified and power counting rules are established. The theory is applied to reproduce the leading scattering angle for either a scalar interaction field or electro-magnetic or gravitational; to compute some subleading corrections, including the interaction duration; and to allow for non-zero masses. For the gravitational case we present an appropriate decomposition of the gravitational field onto the transverse plane together with its whole non-linear action. On the way we touch upon the relation with the eikonal approximation, some evidence for censorship of quantum gravity, and an algebraic ring structure on 2d Minkowski spacetime.Comment: 29 pages, 2 figures. v4: Duration of interaction is determined in Sec 4 and detailed in App C. Version accepted for publication in JHE

Long-term safety and effectiveness of canakinumab therapy in patients with cryopyrin-associated periodic syndrome: results from the β-Confident Registry.

OBJECTIVE: To report the long-term safety and effectiveness of canakinumab, a fully human anti-interleukin 1β monoclonal antibody, in patients with cryopyrin-associated periodic syndromes (CAPS), including familial cold autoinflammatory syndrome (FCAS), Muckle-Wells syndrome (MWS) and neonatal-onset multisystem inflammatory disease (NOMID), in a real-world setting. METHODS: From December 2009 to December 2015, the β-Confident Registry prospectively enrolled patients with CAPS and non-CAPS conditions who received canakinumab per routine care and were prospectively followed for up to 6 years. The registry protocol did not mandate specific visits or procedures; however, all observed adverse events (AEs) and serious adverse events (SAEs) had to be recorded. Canakinumab effectiveness was evaluated by Physician's Global Assessment (PGA). RESULTS: Of 288 patients enrolled, 3 were excluded due to missing informed consent. Among the remaining 285 patients, 243 (85.3%) were patients with CAPS and 42 (14.7%) had atypical CAPS (6.3%) or other conditions (8.4%). The median age was 26.6 years. Based on PGA, 58 of 123 (47.2%) patients with CAPS had no disease activity at 48 months, and 65 of 123 (52.8%) experienced mild/moderate disease activity at 48 months. Among CAPS phenotypes, AE incidence rates per 100 patient-years were lowest for FCAS (73.1; 95% CI 60.3 to 87.8) compared with those with MWS (105.0; 95% CI 97.2 to 113.2) or NOMID (104.6; 95% CI 86.6 to 125.2). One hundred twenty-eight SAEs were reported in 68 patients with CAPS (incidence rate/100 patient-years, 14.0; 95% CI 11.6 to 16.6). One death (metastatic rectal adenocarcinoma in a patient with MWS) was reported. CONCLUSIONS: The response to canakinumab was sustained for up to 6 years. Canakinumab demonstrated a favourable safety profile over long-term treatment in patients with CAPS. TRIAL REGISTRATION NUMBER: NCT01213641

Anti-hLAMP2-antibodies and dual positivity for anti-GBM and MPO-ANCA in a patient with relapsing pulmonary-renal syndrome

Background Pulmonary-renal syndrome associated with anti-glomerular basement membrane (GBM) antibodies, also known as Goodpasture's syndrome, is a rare but acute and life-threatening condition. One third of patients presenting as anti-GBM antibody positive pulmonary-renal syndrome or rapidly progressive glomerulonephritis are also tested positive for anti-neutrophil cytoplasmic antibodies (ANCA). Whilst anti-GBM disease is considered a non-relapsing condition, the long-term course of double-positive patients is less predictable. Case Presentation We report a patient with such dual positivity, who presented with pulmonary hemorrhage, crescentic glomerulonephritis and membranous nephropathy. Plasmapheresis in combination with immunosuppresive therapy led to a rapid remission but the disease relapsed after two years. The serum of the patient was tested positive for antibodies to human lysosomal membrane protein 2 (hLAMP2), a novel autoantigen in patients with active small-vessel vasculitis (SVV). The anti-hLAMP2 antibody levels correlated positively with clinical disease activity in this patient. Conclusion We hypothesize that this antibody may indicate a clinical course similar to ANCA-associated vasculitis in double-positive patients. However, this needs to be confirmed on comprehensive patient cohorts

When One Hemisphere Takes Control: Metacontrol in Pigeons (Columba livia)

Vertebrate brains are composed of two hemispheres that receive input, compute, and interact to form a unified response. How the partially different processes of both hemispheres are integrated to create a single output is largely unknown. In some cases one hemisphere takes charge of the response selection--a process known as metacontrol. Thus far, this phenomenon has only been shown in a handful of studies with primates, mostly conducted in humans. Metacontrol, however, is even more relevant for animals like birds with laterally placed eyes and complete chiasmatic decussation since visual input to the hemispheres is largely different.Homing pigeons (Columba livia) were trained with a color discrimination task. Each hemisphere was trained with a different color pair and therefore had a different experience. Subsequently, the pigeons were binocularly examined with two additional stimuli that combined the positive color of one hemisphere with a negative color that had been shown to the other, omitting the availability of a coherent solution and confronting the pigeons with a conflicting situation. Some of the pigeons responded to both stimuli, indicating that none of the hemispheres dominated the overall preference. Some birds, however, responded primarily to one of the conflicting stimuli, showing that they based their choice on the left- or right-monocularly learned color pair, indicating hemispheric metacontrol.We could demonstrate for the first time that metacontrol is a widespread phenomenon that also exists in birds, and thus in principle requires no corpus callosum. Our results are closely similar to those in humans: monocular performance was higher than binocular one and animals displayed different modes of hemispheric dominance. Thus, metacontrol is a dynamic and widely distributed process that possibly constitutes a requirement for all animals with a bipartite brain to confront the problem of choosing between two hemisphere-bound behavioral options

The second law and beyond in microscopic quantum setups

The Clausius inequality (CI) is one of the most versatile forms of the second law. Although it was originally conceived for macroscopic steam engines, it is also applicable to quantum single particle machines. Moreover, the CI is the main connecting thread between classical microscopic thermodynamics and nanoscopic quantum thermodynamics. In this chapter, we study three different approaches for obtaining the CI. Each approach shows different aspects of the CI. The goals of this chapter are: (i) To show the exact assumptions made in various derivations of the CI. (ii) To elucidate the structure of the second law and its origin. (iii) To discuss the possibilities each approach offers for finding additional second-law like inequalities. (iv) To pose challenges related to the second law in nanoscopic setups. In particular, we introduce and briefly discuss the notions of exotic heat machines (X machines), and "lazy demons".Comment: As a chapter of: F. Binder, L. A. Correa, C. Gogolin, J. Anders, and G. Adesso (eds.), "Thermodynamics in the quantum regime - Recent Progress and Outlook", (Springer International Publishing). v1 does not include references to other book chapter

InternationaL cross-sectIonAl and longItudinal assessment on aSthma cONtrol in European adult patients : the LIAISON study protocol

The study is funded by Chiesi Farmaceutici S.p.A., Parma, ItalyPeer reviewedPublisher PD

Self-rated health in middle-aged and elderly Chinese : distribution, determinants and associations with cardio-metabolic risk factors

Background: Self-rated health (SRH) has been demonstrated to be an accurate reflection of a person's health and a valid predictor of incident mortality and chronic morbidity. We aimed to evaluate the distribution and factors associated with SRH and its association with biomarkers of cardio-metabolic diseases among middle-aged and elderly Chinese. Methods: Survey of 1,458 men and 1,831 women aged 50 to 70 years, conducted in one urban and two rural areas of Beijing and Shanghai in 2005. SRH status was measured and categorized as good (very good and good) vs. not good (fair, poor and very poor). Determinants of SRH and associations with biomarkers of cardio-metabolic diseases were evaluated using logistic regression. Results: Thirty two percent of participants reported good SRH. Males and rural residents tended to report good SRH. After adjusting for potential confounders, residence, physical activity, employment status, sleep quality and presence of diabetes, cardiovascular disease, and depression were the main determinants of SRH. Those free from cardiovascular disease (OR 3.68; 95%CI 2.39; 5.66), rural residents (OR 1.89; 95% CI 1.47; 2.43), non-depressed participants (OR 2.50; 95% CI 1.67; 3.73) and those with good sleep quality (OR 2.95; 95% CI 2.22; 3.91) had almost twice or over the chance of reporting good SRH compared to their counterparts. There were significant associations -and trend- between SRH and levels of inflammatory markers, insulin levels and insulin resistance. Conclusion: Only one third of middle-aged and elderly Chinese assessed their health status as good or very good. Although further longitudinal studies are required to confirm our findings, interventions targeting social inequalities, lifestyle patterns might not only contribute to prevent chronic morbidity but as well to improve populations' perceived health