On nonlinear models of markets with finite liquidity: Some cautionary notes

The recent financial crisis and related liquidity issues have illuminated an urgent need for a better understanding of the effects of limited liquidity on all aspects of the financial system. This paper considers such effects on the Black-Scholes-Merton financial model, which for the most part result in highly nonlinear partial differential equations (PDEs). We investigate in detail a model studied by Schönbucher and Wilmott (2000) which incorporates the price impact of option hedging strategies. First, we consider a first-order feedback model, which leads to the exceptional case of a linear PDE. Numerical results, and more particularly an asymptotic approach close to option expiry, reveal subtle differences from the Black-Scholes-Merton model. Second, we go on to consider a full-feedback model in which price impact is fully incorporated into the model. Here, standard numerical techniques lead to spurious results in even the simplest cases. An asymptotic approach, valid close to expiry, is mounted, and a robust numerical procedure, valid for all times, is developed, revealing two distinct classes of behavior. The first may be attributed to the infinite second derivative associated with standard option payoff conditions, for which it is necessary to admit solutions with discontinuous first derivatives; perhaps even more disturbingly, negative option values are a frequent occurrence. The second failure (applicable to smoothed payoff functions) is caused by a singularity in the coefficient of the diffusion term in the option-pricing equation. Our conclusion is that several classes of model in the literature involving permanent price impact irretrievably break down (i.e., there is insufficient "financial modeling" in the pricing equation). Our analysis should provide the information necessary to avoid such pitfalls in the future. © 2010 Society for Industrial and Applied Mathematics

Inference of disease associations with unmeasured genetic variants by combining results from genome-wide association studies with linkage disequilibrium patterns in a reference data set

Results from whole-genome association studies of many common diseases are now available. Increasingly, these are being incorporated into meta-analyses to increase the power to detect weak associations with measured single-nucleotide polymorphisms (SNPs). Imputation of genotypes at unmeasured loci has been widely applied using patterns of linkage disequilibrium (LD) observed in the HapMap panels, but there is a need for alternative methods that can utilize the pooled effect estimates from meta-analyses and explore possible associations with SNPs and haplotypes that are not included in HapMap

Sex differences in the movement patterns of free-ranging chimpanzees (Pan troglodytes schweinfurthii): foraging and border checking

Most social primates live in cohesive groups, so travel paths inevitably reflect compromise: decision processes of individuals are obscured. The fission-fusion social organisation of the chimpanzee, however, allows an individual’s movements to be investigated independently. We followed 15 chimpanzees (8 male and 7 female) through the relatively flat forest of Budongo, Uganda, plotting the path of each individual over periods of 1-3 days. Chimpanzee movement was parsed into phases ending with halts of more than 20 minutes, during which individuals fed, rested or engaged in social activities. Males, lactating or pregnant females, and sexually receptive females all travelled similar average distances between halts, at similar speeds, and along similarly direct beeline paths. Compared to lactating or pregnant females, males did travel for a significantly longer time each day and halted more often, but the most striking sex differences appeared in the organisation of movement phases into a day’s path. After a halt, males tended to continue in the same direction as before. Lactating or pregnant females showed no such strategy and often retraced the preceding phase, returning to previously visited food patches. We suggest that female chimpanzee movements approximate an optimal solution to feeding requirements, whereas the paths of males allow integration of foraging with territorial defence. The ‘continually moving forwards’ strategy of males enables them to monitor their territory boundaries – border checking – whilst foraging, generally avoiding the explicit boundary patrols observed at other chimpanzee study sites

Symptom increase following a functional capacity evaluation in patients with chronic low back pain:An explorative study of safety

Introduction: This study was performed to study intensity and duration of symptom increase following an FCE and to explore safety of an FCE. Methods: Included were 92 patients with chronic low back pain (CLBP), mean age 38.5 years, mean self-reported disability 12.5 (Roland Morris Disability Questionnaire). All patients underwent an FCE. Symptom increase was measured with a 2-item questionnaire. Operational definition for safety: no formal complaint filed and symptom increase to occur only temporarily. Results: No formal complaints were filed (n=92). In total, 54 patients returned the questionnaire (59%; 'responders'). Of the responders, 76% reported increased symptom intensity after an FCE, ranging from 'little increase' to 'severe increase'. Symptoms of all responders returned to pre-FCE level. Duration of symptom increase of the responders ranged from 1 day to 3 weeks. Symptom increase resided to pre-FCE level within 1 week in 93% of the responders. Symptom increase was weakly related to self-reported disability (r=0.38, p <0.05). Except for gender, differences between responders and non-responders were non-significant. Conclusion: A temporary increase in symptom intensity following an FCE is common. Within the operational definitions of safety used in this study, assessment of functional capacity of patients with CLBP appears safe

Trading or coercion? Variation in male mating strategies between two communities of East African chimpanzees

Across taxa, males employ a variety of mating strategies, including sexual coercion and the provision, or trading, of resources. Biological Market theory (BMT) predicts that trading of commodities for mating opportunities should exist only when males cannot monopolise access to females and/or obtain mating by force, in situations where power differentials between males are low; both coercion and trading have been reported for chimpanzees (Pan troglodytes). Here, we investigate whether the choice of strategy depends on the variation in male power differentials, using data from two wild communities of East African chimpanzees (P.t. schweinfurthii): the structurally despotic Sonso community (Budongo, Uganda) and the structurally egalitarian M-group (Mahale, Tanzania). We found evidence of sexual coercion by male Sonso chimpanzees, and of trading—of grooming for mating—by M-group males; females traded sex for neither meat nor protection from male aggression. Our results suggest that the despotism–egalitarian axis influences strategy choice: male chimpanzees appear to pursue sexual coercion when power differentials are large and trading when power differentials are small and coercion consequently ineffective. Our findings demonstrate that trading and coercive strategies are not restricted to particular chimpanzee subspecies; instead, their occurrence is consistent with BMT predictions. Our study raises interesting, and as yet unanswered, questions regarding female chimpanzees’ willingness to trade sex for grooming, if doing so represents a compromise to their fundamentally promiscuous mating strategy. It highlights the importance of within-species cross-group comparisons and the need for further study of the relationship between mating strategy and dominance steepness

Threat-sensitive anti-predator defence in precocial wader, the northern lapwing Vanellus vanellus

Birds exhibit various forms of anti-predator behaviours to avoid reproductive failure, with mobbing—observation, approach and usually harassment of a predator—being one of the most commonly observed. Here, we investigate patterns of temporal variation in the mobbing response exhibited by a precocial species, the northern lapwing (Vanellus vanellus). We test whether brood age and self-reliance, or the perceived risk posed by various predators, affect mobbing response of lapwings. We quantified aggressive interactions between lapwings and their natural avian predators and used generalized additive models to test how timing and predator species identity are related to the mobbing response of lapwings. Lapwings diversified mobbing response within the breeding season and depending on predator species. Raven Corvus corax, hooded crow Corvus cornix and harriers evoked the strongest response, while common buzzard Buteo buteo, white stork Ciconia ciconia, black-headed gull Chroicocephalus ridibundus and rook Corvus frugilegus were less frequently attacked. Lapwings increased their mobbing response against raven, common buzzard, white stork and rook throughout the breeding season, while defence against hooded crow, harriers and black-headed gull did not exhibit clear temporal patterns. Mobbing behaviour of lapwings apparently constitutes a flexible anti-predator strategy. The anti-predator response depends on predator species, which may suggest that lapwings distinguish between predator types and match mobbing response to the perceived hazard at different stages of the breeding cycle. We conclude that a single species may exhibit various patterns of temporal variation in anti-predator defence, which may correspond with various hypotheses derived from parental investment theory

Average Household Exposure to Newspaper Coverage about the Harmful Effects of Hormone Therapy and Population-Based Declines in Hormone Therapy Use

BACKGROUND: The news media facilitated the rapid dissemination of the findings from the estrogen plus progestin therapy arm of the Women’s Health Initiative (EPT-WHI). OBJECTIVE: To examine the relationship between the potential exposure to newspaper coverage and subsequent hormone therapy (HT) use. DESIGN/POPULATION: Population-based cohort of women receiving mammography at 7 sites (327,144 postmenopausal women). MEASUREMENTS: The outcome was the monthly prevalence of self-reported HT use. Circulation data for local, regional, and national newspapers was used to create zip-code level measures of the estimated average household exposure to newspaper coverage that reported the harmful effects of HT in July 2002. RESULTS: Women had an average potential household exposure of 1.4 articles. There was substantial variation in the level of average household exposure to newspaper coverage; women from rural sites received less than women from urban sites. Use of HT declined for all average potential exposure groups after the publication of the EPT-WHI. HT prevalence among women who lived in areas where there was an average household exposure of at least 3 articles declined significantly more (45 to 27%) compared to women who lived in areas with <1 article (43 to 31%) during each of the subsequent 5 months (relative risks 0.86–0.92; p < .006 for all). CONCLUSIONS: Greater average household exposure to newspaper coverage about the harms associated with HT was associated with a large population-based decline in HT use. Further studies should examine whether media coverage directly influences the health behavior of individual women

Missense and nonsense mutations in melanocortin 1 receptor (MC1R) gene of different goat breeds: association with red and black coat colour phenotypes but with unexpected evidences

<p>Abstract</p> <p>Background</p> <p><it>Agouti </it>and <it>Extension </it>loci control the relative amount of eumelanin and pheomelanin production in melanocytes that, in turn, affects pigmentation of skin and hair. The <it>Extension </it>locus encodes the melanocortin 1 receptor (MC1R) whose permanent activation, caused by functional mutations, results in black coat colour, whereas other inactivating mutations cause red coat colour in different mammals.</p> <p>Results</p> <p>The whole coding region of the <it>MC1R </it>gene was sequenced in goats of six different breeds showing different coat colours (Girgentana, white cream with usually small red spots in the face; Maltese, white with black cheeks and ears; Derivata di Siria, solid red; Murciano-Granadina, solid black or solid brown; Camosciata delle Alpi, brown with black stripes; Saanen, white; F₁goats and the parental animals). Five single nucleotide polymorphisms (SNPs) were identified: one nonsense mutation (p.Q225X), three missense mutations (p.A81V, p.F250V, and p.C267W), and one silent mutation. The stop codon at position 225 should cause the production of a shorter MC1R protein whose functionality may be altered. These SNPs were investigated in a larger sample of animals belonging to the six breeds. The Girgentana breed was almost fixed for the p.225X allele. However, there was not complete association between the presence of red spots in the face and the presence of this allele in homozygous condition. The same allele was identified in the Derivata di Siria breed. However, its frequency was only 33%, despite the fact that these animals are completely red. The p.267W allele was present in all Murciano-Granadina black goats, whereas it was never identified in the brown ones. Moreover, the same substitution was present in almost all Maltese goats providing evidence of association between this mutation and black coat colour.</p> <p>Conclusion</p> <p>According to the results obtained in the investigated goat breeds, <it>MC1R </it>mutations may determine eumelanic and pheomelanic phenotypes. However, they are probably not the only factors. In particular, the surprising not complete association of the nonsense mutation (p.Q225X) with red coat colour raises a few hypotheses on the determination of pheomelanic phenotypes in goats that should be further investigated.</p

Living with prostate cancer: randomised controlled trial of a multimodal supportive care intervention for men with prostate cancer

Background: Prostate cancer is the most common male cancer in developed countries and diagnosis and treatment carries with it substantial morbidity and related unmet supportive care needs. These difficulties may be amplified by physical inactivity and obesity. We propose to apply a multimodal intervention approach that targets both unmet supportive care needs and physical activity.Methods/design: A two arm randomised controlled trial will compare usual care to a multimodal supportive care intervention &ldquo;Living with Prostate Cancer&rdquo; that will combine self-management with tele-based group peer support. A series of previously validated and reliable self-report measures will be administered to men at four time points: baseline/recruitment (when men are approximately 3-6 months post-diagnosis) and at 3, 6, and 12 months after recruitment and intervention commencement. Social constraints, social support, self-efficacy, group cohesion and therapeutic alliance will be included as potential moderators/mediators of intervention effect. Primary outcomes are unmet supportive care needs and physical activity levels. Secondary outcomes are domain-specific and healthrelated quality of life (QoL); psychological distress; benefit finding; body mass index and waist circumference. Disease variables (e.g. cancer grade, stage) will be assessed through medical and cancer registry records. An economic evaluation will be conducted alongside the randomised trial.Discussion: This study will address a critical but as yet unanswered research question: to identify a populationbased way to reduce unmet supportive care needs; promote regular physical activity; and improve disease-specific and health-related QoL for prostate cancer survivors. The study will also determine the cost-effectiveness of the intervention.<br /