The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect

We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that the exchange rate return fluctuations for all the pairs considered are well described by the nonextensive statistics in terms of q-Gaussians. There exist some small quantitative variations in the nonextensivity q-parameter values for different exchange rates and this can be related to the importance of a given exchange rate in the world's currency trade. Temporal correlations organize the series of returns such that they develop the multifractal characteristics for all the exchange rates with a varying degree of symmetry of the singularity spectrum f(alpha) however. The most symmetric spectrum is identified for the GBP/USD. We also form time series of triangular residual returns and find that the distributions of their fluctuations develop disproportionately heavier tails as compared to small fluctuations which excludes description in terms of q-Gaussians. The multifractal characteristics for these residual returns reveal such anomalous properties like negative singularity exponents and even negative singularity spectra. Such anomalous multifractal measures have so far been considered in the literature in connection with the diffusion limited aggregation and with turbulence. We find that market inefficiency on short time scales leads to the occurrence of the Epps effect on much longer time scales. Although the currency market is much more liquid than the stock markets and it has much larger transaction frequency, the building-up of correlations takes up to several hours - time that does not differ much from what is observed in the stock markets. This may suggest that non-synchronicity of transactions is not the unique source of the observed effect

Quantitative features of multifractal subtleties in time series

Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian distribution, both uncorrelated and correlated in time, are used. For the uncorrelated series at the border (q=5/3) between the Gaussian and the Levy basins of attraction asymptotically we find a phase-like transition between monofractal and bifractal characteristics. This indicates that these may solely be the specific nonlinear temporal correlations that organize the series into a genuine multifractal hierarchy. For analyzing various features of multifractality due to such correlations, we use the model series generated from the binomial cascade as well as empirical series. Then, within the temporal ranges of well developed power-law correlations we find a fast convergence in all multifractal measures. Besides of its practical significance this fact may reflect another manifestation of a conjectured q-generalized Central Limit Theorem

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter

A Multifractal Analysis of Asian Foreign Exchange Markets

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronge related to the presence of high values of returns in the series

Efficacy of β-lactam/β-lactamase inhibitors to treat extended-spectrum beta-lactamase-producing Enterobacterales bacteremia secondary to urinary tract infection in kidney transplant recipients

Background Whether active therapy with β-lactam/β-lactamase inhibitors (BLBLI) is as affective as carbapenems for extended-spectrum β-lactamase-producing Enterobacterales (ESBL-E) bloodstream infection (BSI) secondary to urinary tract infection (UTI) in kidney transplant recipients (KTRs) remains unclear. Methods We retrospectively evaluated 306 KTR admitted to 30 centers from January 2014 to October 2016. Therapeutic failure (lack of cure or clinical improvement and/or death from any cause) at days 7 and 30 from ESBL-E BSI onset was the primary and secondary study outcomes, respectively. Results Therapeutic failure at days 7 and 30 occurred in 8.2% (25/306) and 13.4% (41/306) of patients. Hospital-acquired BSI (adjusted OR [aOR]: 4.10; 95% confidence interval [CI]: 1.50-11.20) and Pitt score (aOR: 1.47; 95% CI: 1.21-1.77) were independently associated with therapeutic failure at day 7. Age-adjusted Charlson Index (aOR: 1.25; 95% CI: 1.05-1.48), Pitt score (aOR: 1.72; 95% CI: 1.35-2.17), and lymphocyte count ≤500 cells/μL at presentation (aOR: 3.16; 95% CI: 1.42-7.06) predicted therapeutic failure at day 30. Carbapenem monotherapy (68.6%, primarily meropenem) was the most frequent active therapy, followed by BLBLI monotherapy (10.8%, mostly piperacillin-tazobactam). Propensity score (PS)-adjusted models revealed no significant impact of the choice of active therapy (carbapenem-containing vs any other regimen, BLBLI- vs carbapenem-based monotherapy) within the first 72 hours on any of the study outcomes. Conclusions Our data suggest that active therapy based on BLBLI may be as effective as carbapenem-containing regimens for ESBL-E BSI secondary to UTI in the specific population of KTR. Potential residual confounding and unpowered sample size cannot be exclude

Statistical Properties of Fluctuations: A Method to Check Market Behavior

We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.Comment: 9 pages, 6 figures, Econophys-IV, Kolkata, 200

A reference human induced pluripotent stem cell line for large-scale collaborative studies

Human induced pluripotent stem cell (iPSC) lines are a powerful tool for studying development and disease, but the considerable phenotypic variation between lines makes it challenging to replicate key findings and integrate data across research groups. To address this issue, we sub-cloned candidate human iPSC lines and deeply characterized their genetic properties using whole genome sequencing, their genomic stability upon CRISPR-Cas9-based gene editing, and their phenotypic properties including differentiation to commonly used cell types. These studies identified KOLF2.1J as an all-around well-performing iPSC line. We then shared KOLF2.1J with groups around the world who tested its performance in head-to-head comparisons with their own preferred iPSC lines across a diverse range of differentiation protocols and functional assays. On the strength of these findings, we have made KOLF2.1J and its gene-edited derivative clones readily accessible to promote the standardization required for large-scale collaborative science in the stem cell field

Correlation-Driven Transient Hole Dynamics Resolved in Space and Time in the Isopropanol Molecule

The possibility of suddenly ionized molecules undergoing extremely fast electron hole (or hole) dynamics prior to significant structural change was first recognized more than 20 years ago and termed charge migration. The accurate probing of ultrafast electron hole dynamics requires measurements that have both sufficient temporal resolution and can detect the localization of a specific hole within the molecule. We report an investigation of the dynamics of inner valence hole states in isopropanol where we use an x-ray pump–x-ray probe experiment, with site and state-specific probing of a transient hole state localized near the oxygen atom in the molecule, together with an ab initio theoretical treatment. We record the signature of transient hole dynamics and make the first tentative observation of dynamics driven by frustrated Auger-Meitner transitions. We verify that the effective hole lifetime is consistent with our theoretical prediction. This state-specific measurement paves the way to widespread application for observations of transient hole dynamics localized in space and time in molecules and thus to charge transfer phenomena that are fundamental in chemical and material physics

Adopting a high-polyphenolic diet is associated with an improved glucose profile: prospective analysis within the PREDIMED-plus trial

Previous studies suggested that dietary polyphenols could reduce the incidence and complications of type-2 diabetes (T2D); although the evidence is still limited and inconsistent. This work analyzes whether changing to a diet with a higher polyphenolic content is associated with an improved glucose profile. At baseline, and at 1 year of follow-up visits, 5921 participants (mean age 65.0 ± 4.9, 48.2% women) who had overweight/obesity and metabolic syndrome filled out a validated 143-item semi-quantitative food frequency questionnaire (FFQ), from which polyphenol intakes were calculated. Energy-adjusted total polyphenols and subclasses were categorized in tertiles of changes. Linear mixed-effect models with random intercepts (the recruitment centers) were used to assess associations between changes in polyphenol subclasses intake and 1-year plasma glucose or glycosylated hemoglobin (HbA1c) levels. Increments in total polyphenol intake and some classes were inversely associated with better glucose levels and HbA1c after one year of follow-up. These associations were modified when the analyses were run considering diabetes status separately. To our knowledge, this is the first study to assess the relationship between changes in the intake of all polyphenolic groups and T2D-related parameters in a senior population with T2D or at high-risk of developing T2D