Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of contemporary thoughts and attempts vis-à-vis asset market/liquidity risk management. Furthermore, this research focuses on the theoretical aspects of asset liquidity risk and presents critically two reciprocal approaches to measuring market liquidity risk for individual trading securities, and discusses the problems that arise in attempting to quantify asset market liquidity risk at a portfolio level. This paper extends research literature related to the assessment of asset market/liquidity risk by providing a generalized theoretical modeling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements, while the second component focuses on the risk of variation in transactions costs due to bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. We thereafter propose a concrete theoretical foundation and a new modeling framework that attempts to tackle the issue of market/liquidity risk at a portfolio level by combining two asset market/liquidity risk models. The first model is a re-engineered and robust liquidity horizon multiplier that can aid in producing realistic asset market liquidity losses during the unwinding period. The essence of the model is based on the concept of Liquidity-Adjusted Value-at-Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions. Conversely, the second model is related to the transactions cost of liquidation due to bid-ask spreads and includes an improved technique that tackles the issue of bid-ask spread volatility. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk.Economic Capital; Emerging Markets; Financial Engineering; Financial Risk Management; Financial Markets; Liquidity Risk; Portfolio Management; Liquidity Adjusted Value at Risk

Understanding the Contributions of Alzheimer’s Disease & Cardiovascular Risks to Cerebral Small Vessel Disease Manifest as White Matter Hyperintensities on Magnetic Resonance Imaging (MRI)

Introduction: Alzheimer’s Diseases (AD) & cerebral small vessel disease associated with cardiovascular risk factors (cSVD) frequently coexist, differentially affecting both imaging and clinical features associated with aging and dementia. We hypothesized that Magnetic Resonance Imaging (MRI) can be used in novel ways to identify relative contributions of AD & cardiovascular risks to cSVD and brain atrophy, generating new biomarkers & insights into mixed disease states associated with cognitive decline and dementia. Methods: Three experiments were conducted to address the overarching hypothesis. First, we visually rated the clinical MRI of 325 participants from a community-based cross-sectional sample to elucidate the relative association of age, AD (visualized as hippocampal atrophy) and cSVD (visualized as white matter hyperintensities; WMH) with global brain atrophy in experiment 1. In experiment 2, we analyzed cross-sectional MRI scans from 62 participants from the University of Kentucky Alzheimer’s Disease Center (UKADC) with available clinical data on cardiovascular risk and cerebrospinal fluid (CSF) beta-amyloid levels as a marker of AD. Voxel wise regression was used to examine the association of white matter hyperintensities with AD and/or cardiovascular risk (hypertension). Experiment 3, examined longitudinal MRI changes in WMH volumes in 377 participants from the Alzheimer’s Disease Neuroimaging Initiative 2 (ADNI 2). Subjects were categorized into three groups based on WMH volume change, including those that demonstrated regression (n=96; 25.5%), stability (n=72; 19.1%), and progression (n=209; 55.4%) of WMH volume over time. Differences in brain atrophy measures and cognitive testing among the three group were conducted. Results: In the first experiment, logistic regression analysis demonstrated that a 1-year increase in age was associated with global brain atrophy (OR = 1.04; p = .04), medial temporal lobe atrophy (MTA; a surrogate of AD) (OR = 3.7; p \u3c .001), and WMH as surrogate of cSVD (OR = 8.80; p \u3c .001). Both MTA and WMH were strongly associated with global brain atrophy in our study population, with WMH showing the strongest relationship after adjusting for age. In the second experiment, linear regression as well as mediation and moderation analyses demonstrated significant main effects of hypertension (HTN; the strongest risk factor associated with cSVD) and CSF Aβ 1-42 (a surrogate of AD) on WMH volume, but no significant HTN×CSF Aβ 1-42 interaction. Further exploration of the independence of HTN and Aβ using a voxelwise analysis approach, demonstrated unique patterns of WM alteration associated with either hypertension or CSF Aβ 1-42, confirming that both independently contribute to WMH previously classified as cSVD. Extending this work into a longitudinal model rather than focusing on purely cross-sectional associations, we demonstrated that spontaneous WMH regression is common, and that such regression is associated with a reduced rate of global brain atrophy (p = 0.012), and improvement in memory function over time (p = 0.003). Conclusion: These data demonstrate that both AD and cSVD frequently coexist in the same brain, contributing differentially to alterations in brain structure, subcortical white matter injury, and cognitive function. These effects can be disentangled using MRI, and while we currently lack therapeutic interventions to halt or reverse AD, the dynamic WMH change evident in our data clearly suggests that the ability to reverse cSVD exists today

Echocardiographic profile of endomyocardial fibrosis in Tanzania, East Africa

A CAJM article on tropical disease.Endomyocardial fibrosis (EMF) is endemic in parts of Africa, South and Central America, and Asia, and occurs sporadically throughout the world.1-3 A few cases have been reported in Caucasians in temperate climates rarely in the absence of prior residence in tropical countries. This disease, which was first described by Davies et al. is essentially restrictive ardiomyopathy characterized by EMF or thickening, usually involving the apex and outflow tracts of one or both ventricles

CEREBROVASCULAR RISK FACTORS, ARTERIOLAR SCLEROSIS, AND COGNITIVE DECLINE IN THE KENTUCKY APPALACHIAN “STROKE-BELT”

The relationship between cerebrovascular disease (CVD) risk factors and cognitive impairment or dementia has been widely studied with significant variability in findings between groups. We hypothesized that chronic small vessel injury in the form of arteriolar sclerosis, measured quantitatively using MRI to measure total white matter hyperintensity (WMH) volumes, would identify specific association of CVD risk factors and patterns of cognitive decline, associated with mild cognitive impairment of the cerebrovascular type, that represent the core features of vascular cognitive impairment in our cohort. A Cross-sectional analysis of clinical and quantitative MRI data on 114 subjects with normal cognitive function (n=52) and mild cognitive impairment (MCI; n=62) was performed. Quantitative total WMH volumes were examined in relation to potentially causative CVD risk factors and resultant test scores across cognitive domains using linear regression models adjusted for age, gender, and education. Among CVD risk factors analyzed, age (p\u3c 0.001), education (p= 0.003), hypertension (p= 0.012), and hyperlipidemia (p= 0.008) demonstrated the strongest associations with WMH volumes. Conversely, diabetes, smoking, history of heart attacks, atrial fibrillation, and history of stroke that have shown associations with CVD pathology on imaging in other studies were not statistically associated with increased WMH in this cohort. WMH volumes were associated with decrease performance on the Trial Making Test type A & B and long delayed free recall on the California Verbal Learning Test. Our findings suggest similarities and yet differences in comparison to other studies. Hypertension and hyperlipidemia appear to represent common shared risks across geographically disparate groups. Our findings, like others, suggest CVD pathology impact processing speed and executive function and provide further evidence for CVD effects on short-term memory in those at risk for cognitive decline and the future development of dementia in our cohort

Stability analysis of higher-order delta-sigma modulators for sinusoidal inputs

The aim of this paper is to determine the stability of higher-order Δ-Σ modulators for sinusoidal inputs. The nonlinear gains for the single bit quantizer for a dual sinusoidal input have been derived and the maximum stable input limits for a fifth-order Chebyshev Type II based Δ-Σ modulators are established. These results are useful for optimising the design of higher-order Δ-Σ modulators

Study the Differences in the Eyes Shape in some Local Fish

This study focused on collecting different species of local fish to study the eye shine of those species and the degree of variation in the intensity and color of this shine or glow in addition to the differences in the eye shine of these speciesdue to the difference in ways and habits of feeding, which gives evidence of the diversity of color in eyes shine in fish is different between fish species, The feeding style, type of nutrition and fish activity had an effect on variation in color of eye shine. Sex of fish had no clear effect on eye shine, it was not possible to tell the sex of fish according to the eye shine of the local fish

Design and Implementation of Novel FPGA Based Time-Interleaved Variable Centre-Frequency Digital Sigma-Delta Modulators

Novel, multi-path, time-interleaved digital sigma-delta modulators that can operate at any arbitrary frequency from DC to Nyquist are designed, analysed and synthesized in this study. Dual- and quadruple-path fourth-order Butterworth, Chebyshev, Inverse Chebyshev and Elliptical based digital sigma-delta modulators, which offer designers the flexibility of specifying the centre-frequency, pass-band/stop-band attenuation as well as the signal bandwidth are presented. These topologies are compared in terms of their signal-to-noise ratios, hardware complexity, stability, tonality and sensitivity to non-idealities. Detailed simulations performed at the behavioural-level in MATLAB are compared with the experimental results of the FPGA implementation of the designed modulators. The signal-to-noise ratios between the simulated and empirical results are shown to be different by not more than 3-5 dBs. Furthermore, this paper presents the mathematical modelling and evaluation of the tones caused by the finite wordlengths of these digital multi-path sigma-delta modulators when excited by sinusoidal input signals

A GUI driven Σ-Δ modulator design, evaluation and measurement tool with a view to practical implementation

A user-friendly design tool created in the MATLAB/Simulink environment to speed up the design, analysis, evaluation and measurement of single-loop and multistage sigma-delta (Sigma-Delta) modulators at the system level is presented in this paper. The tool covers a variety of Simulink-based design topologies of low-pass, band-pass and high-pass Sigma-Delta modulators

Heterochromatin Polymorphisms and Chromosomes Damage in Heavy Smoking Men

Objective: The goal of the study is to appraise the heterochromatin polymorphism and chromosomal abnormalities associated with chromosome in smoking men. Methods: During a 9-months period (January 2014 to September 2014) a total of 60 heavy smoking men (more than 20 cigarettes daily) together with 60 normal controls were subjected to the present investigation. A study of the variants heterochromatin of chromosomes1, 9 and 16 was performed on lymphocyte culture followed by C-banding from a total of 60 heavy smokers and 60 nonsmoker persons. Constitutive evaluation was based on qualitative method, blood culture, chromosomes harvesting and C-band technique were carry out according to the standard methods. Results: Study indicates smoking men had significantly increased frequency of larger C- band variants on chromosome 1 and 9 as compared with nonsmoking men (p˂0.05).  The frequency of inversions revealed significant differences for variants heterochromatin of chromosome 1, 9 and to less extent 16 between smokers and nonsmokers control group and significant association (p<0.05). Conclusion: These results confirm the positive correlation between the amount of heterochromatin on chromosomes 1 and 9 and susceptibility of the smoking men to early development of cancer. Keywords: Polymorphisms, Chromosomes, Heterochromatin, Smoking