An Application of Wavelets to Finance: The Three-Factor Fama/French Model

We use multi-scale analysis and a rolling 250-day window to estimate a widely used standard for empirical asset pricing. The asset pricing model employed is the Fama-French three-factor model. The model is estimated using stock returns for 49 industry stocks of US industry portfolios for the period from July 1969 to September 2017. The rolling window estimation approach allows us to capture the behavior of an investor who periodically reallocates his portfolio. Employing periodic estimates of expected return, we implement a set of long/short investment strategies based on the standard Fama-French three-factor model, and scale versions of the model. We find that during recessions, the higher scale long/short strategies tend to outperform the standard approach. Our results suggest distinct risk dynamics at specific horizons during recessions. We conclude that the information content of the economic phenomena that generate the three-factor model does not follow strict periodicity during recessions, making the wavelet approach more suitable for portfolio managers who must be prepared to rebalance portfolios during official downturns

Forensic DNA phenotyping: Developing a model privacy impact assessment

© 2018 Elsevier B.V. Forensic scientists around the world are adopting new technology platforms capable of efficiently analysing a larger proportion of the human genome. Undertaking this analysis could provide significant operational benefits, particularly in giving investigators more information about the donor of genetic material, a particularly useful investigative lead. Such information could include predicting externally visible characteristics such as eye and hair colour, as well as biogeographical ancestry. This article looks at the adoption of this new technology from a privacy perspective, using this to inform and critique the application of a Privacy Impact Assessment to this emerging technology. Noting the benefits and limitations, the article develops a number of themes that would influence a model Privacy Impact Assessment as a contextual framework for forensic laboratories and law enforcement agencies considering implementing forensic DNA phenotyping for operational use

Uncertainty and the Oracle of Market Returns: Evidence from Wavelet Coherence Analysis

Wavelet methodology is employed to investigate the statistical relationship between three well-accepted measures of uncertainty and both market and sector returns. Our primary goal is to determine whether uncertainty is sector specific. Although there are periods when the market works effectively as an oracle capturing uncertainty, we also find sector specific uncertainty. The wavelet equivalent of correlation, coherence, is used to determine the presence of sector specific uncertainty. We find that allowing localized information in the time frequency domain is critical for separating out sector specific uncertainty from market uncertainty

Forensic characterization of 15 autosomal STRs in four populations from Xinjiang, China, and genetic relationships with neighboring populations

© 2018 The Author(s). The Xinjiang Uyghur Autonomous Region of China (XUARC) harbors 47 ethnic groups including the Manchu (MCH: 0.11%), Mongols (MGL: 0.81%), Kyrgyz (KGZ: 0.86%) and Uzbek (UZK: 0.066%). To establish DNA databases for these populations, allele frequency distributions for 15 autosomal short tandem repeat (STR) loci were determined using the AmpFlSTR Identifiler PCR amplification kit. There was no evidence of departures from Hardy-Weinberg equilibrium (HWE) in any of the four populations and minimal departure from linkage equilibrium (LE) for a very small number of pairwise combinations of loci. The probabilities of identity for the different populations ranged from 1 in 1.51 × 1017 (MCH) to 1 in 9.94 × 1018 (MGL), the combined powers of discrimination ranged from 0.99999999999999999824 (UZK) to 0.9999999999999999848 (MCH) and the combined probabilities of paternal exclusion ranged from 0.9999979323 (UZK) to 0.9999994839 (MCH). Genetic distances, a phylogenetic tree and principal component analysis (PCA) revealed that the MCH, KGZ and UZK are genetically closer to the Han population of Liaoning and the Mongol population of Mongolia while the MGL are closer to Han, Japanese, Korean, Malaysian, Hong Kong Han and Russians living in China

Massively parallel sequencing of customised forensically informative SNP panels on the MiSeq.

Forensic DNA-based intelligence, or forensic DNA phenotyping, utilises SNPs to infer the biogeographical ancestry and externally visible characteristics of the donor of evidential material. SNaPshot® is a commonly employed forensic SNP genotyping technique, which is limited to multiplexes of 30-40 SNPs in a single reaction and prone to PCR contamination. Massively parallel sequencing has the ability to genotype hundreds of SNPs in multiple samples simultaneously by employing an oligonucleotide sample barcoding strategy. This study of the Illumina MiSeq massively parallel sequencing platform analysed 136 unique SNPs in 48 samples from SNaPshot PCR amplicons generated by five established forensic DNA phenotyping assays comprising the SNPforID 52-plex, SNPforID 34-plex, Eurasiaplex, Pacifiplex and IrisPlex. Approximately 3 GB of sequence data were generated from two MiSeq flow cells and profiles were obtained from just 0.25 ng of DNA. Compared with SNaPshot, an average 98% genotyping concordance was achieved. Our customised approach was successful in attaining SNP profiles from extremely degraded, inhibited, and compromised casework samples. Heterozygote imbalance and sequence coverage in negative controls highlight the need to establish baseline sequence coverage thresholds and refine allele frequency thresholds. This study demonstrates the potential of the MiSeq for forensic SNP analysis

Empirical Evidence on Enhanced Mutation Rates of 19 RM-YSTRs for Differentiating Paternal Lineages.

Rapidly mutating Y-chromosomal short tandem repeats (RM Y STRs) with mutation rates ≥ 10-2 per locus per generation are valuable for differentiating amongst male paternal relatives where standard Y STRs with mutation rates of ≤10-3 per locus per generation may not. Although the 13 RM Y STRs commonly found in commercial assays provide higher levels of paternal lineage differentiation than conventional Y STRs, there are many male paternal relatives that still cannot be differentiated. This can be improved by increasing the number of Y STRs or choosing those with high mutation rates. We present a RM Y STR multiplex comprising 19 loci with high mutation rates and its developmental validation (repeatability, sensitivity and male specificity). The multiplex was found to be robust, reproducible, specific and sensitive enough to generate DNA profiles from samples with inhibitors. It was also able to detect all contributor alleles of mixtures in ratios up to 9:1. We provide preliminary evidence for the ability of the multiplex to discriminate between male paternal relatives by analyzing large numbers of male relative pairs (536) separated by one to seven meioses. A total of 96 mutations were observed in 162 meioses of father-son pairs, and other closely related male pairs were able to be differentiated after 1, 2, 3, 4, 5, 6 and 7 meiosis in 44%, 69%, 68%, 85%, 0%, 100% and 100% of cases, respectively. The multiplex offers a noticeable enhancement in the ability to differentiate paternally related males compared with the 13 RM Y STR set. We envision the future application of our 19 RM Yplex in criminal cases for the exclusion of male relatives possessing matching standard Y STR profiles and in familial searching with unknown suspects. It represents a step towards the complete individualization of closely related males

Forensic Autosomal Short Tandem Repeats and Their Potential Association With Phenotype

Forensic DNA profiling utilizes autosomal short tandem repeat (STR) markers to establish identity of missing persons, confirm familial relations, and link persons of interest to crime scenes. It is a widely accepted notion that genetic markers used in forensic applications are not predictive of phenotype. At present, there has been no demonstration of forensic STR variants directly causing or predicting disease. Such a demonstration would have many legal and ethical implications. For example, is there a duty to inform a DNA donor if a medical condition is discovered during routine analysis of their sample? In this review, we evaluate the possibility that forensic STRs could provide information beyond mere identity. An extensive search of the literature returned 107 articles associating a forensic STR with a trait. A total of 57 of these studies met our inclusion criteria: a reported link between a STR-inclusive gene and a phenotype and a statistical analysis reporting a p-value less than 0.05. A total of 50 unique traits were associated with the 24 markers included in the 57 studies. TH01 had the greatest number of associations with 27 traits reportedly linked to 40 different genotypes. Five of the articles associated TH01 with schizophrenia. None of the associations found were independently causative or predictive of disease. Regardless, the likelihood of identifying significant associations is increasing as the function of non-coding STRs in gene expression is steadily revealed. It is recommended that regular reviews take place in order to remain aware of future studies that identify a functional role for any forensic STRs

Systematic benchmarking of tools for CpG methylation detection from nanopore sequencing

DNA methylation plays a fundamental role in the control of gene expression and genome integrity. Although there are multiple tools that enable its detection from Nanopore sequencing, their accuracy remains largely unknown. Here, we present a systematic benchmarking of tools for the detection of CpG methylation from Nanopore sequencing using individual reads, control mixtures of methylated and unmethylated reads, and bisulfite sequencing. We found that tools have a tradeoff between false positives and false negatives and present a high dispersion with respect to the expected methylation frequency values. We described various strategies to improve the accuracy of these tools, including a consensus approach, METEORE ( https://github.com/comprna/METEORE ), based on the combination of the predictions from two or more tools that shows improved accuracy over individual tools. Snakemake pipelines are also provided for reproducibility and to enable the systematic application of our analyses to other datasets

Population genetic portrait of Pakistani Lahore-Christians based on 32 STR loci.

Phylogenetic relationship and the population structure of 500 individuals from the Christian community of Lahore, Pakistan, were examined based on 15 autosomal short tandem repeats (STRs) using the AmpFℓSTR Identifiler Plus PCR Amplification Kit and our previously published Y-filer kit data (17 Y-STRs) of same samples. A total of 147 alleles were observed in 15 loci and allele 11 at the TPOX locus was the most frequent with frequency value (0.464). The data revealed that the Christian population has unique genetic characteristics with respect to a few unusual alleles and their frequencies relative to the other Pakistani population. Significant deviations from Hardy-Weinberg equilibrium were found at two loci (D13S317, D18S51) after Boneferroni's correction (p ≤ 0.003). The combined power of discrimination, combined power of exclusion and cumulative probability of matching were 0.999999999999999978430815060354, 0.999995039393942 and 2.15692 × 10-17, respectively. On the bases of genetic distances, PCA, phylogenetic and structure analysis Lahore-Christians appeared genetically more associated to south Asian particularly Indian populations like Tamil, Karnataka, Kerala and Andhra Pradesh than rest of global populations