Forecasting and prequential validation for time varying meta-elliptical distributions

We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameter problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We illustrate the ideas of the paper using a large data set of 16 commodity prices

Informational and allocative efficiency in financial markets with costly information

Abstract Costly information acquisition is introduced into a dynamic trading model of Glosten and Milgrom (1985). The market maker and some traders, called "value traders," value the asset at its fundamental value, which can be either high or low. The remaining traders, called "liquidity traders," have idiosyncratic valuations that are independent of the fundamental. At a cost, each value trader can acquire an informative, but imperfect, signal about the fundamental. In this setting, at equilibrium, each value trader acquires the signal if and only if the uncertainty about the fundamental's value conditional on publicly available information is sufficiently high. Thus, the prices quoted by the market maker are "informationally inefficient," as they do not reveal the value of the fundamental, even in the long-run. Equilibrium amount of information acquisition is either excessive or insufficient relative to the social optimum and results in an inefficient allocation of the asset among the market maker and liquidity traders

Dynamic project selection

We study a normative model of an internal capital market, used by a company to choose between its two divisions’ pet projects. Each project’s value is initially unknown to all but can be dynamically learned by the corresponding division. Learning can be suspended or resumed at any time and is costly. We characterize an internal capital market that maximizes the company’s expected cash flow. This market has indicative bidding by the two divisions, followed by a spell of learning and then firm bidding, which occurs at an endogenous deadline or as soon as either division requests it

An optimal auction with moral hazard

Abstract We consider a single-item, independent private value auction environment with two bidders: the leader, who knows his valuation, and the follower, who exerts an effort that affects the probability distribution of his valuation, which he then learns. We provide sufficient conditions under which an ex-post efficient revenue-maximizing auction solicits bids sequentially and partially discloses the leader’s bid to the follower, thereby influencing the follower’s effort. This disclosure rule, which is novel, is non-monotone and prescribes sometimes revealing only a pair to which the leader’s bid belongs and sometimes revealing the bid itself. The induced effort distortion relative to the first-best is discussed

Contracting for the second best in dysfunctional electricity markets

Power pools constitute a set of sometimes complex institutional arrangements for efficiency-enhancing coordination among power systems. In many developing countries, where such institutional arrangements can't be established over the short term, there still can be scope for voluntary electricity-sharing agreements among power systems. Using a particular type of efficient risk-sharing model with no commitment we demonstrate that second-best coordination improvements can be achieved with low to moderate risks of participants leaving the agreement. In the absence of an impartial market operator who can observe production fluctuations in connected power systems, establishing quasi-markets for trading excess electricity helps to achieve some cooperation in mutually beneficial electricity sharing

Bioprospecting for the soil-derived actinobacteria and bioactive secondary metabolites on the Western Qinghai-Tibet Plateau

IntroductionThe increase in incidence of multidrug-resistant bacteria and the inadequacy of new antimicrobial drugs have led to a widespread outbreak of bacterial antimicrobial resistance. To discover new antibiotics, biodiversity, and novelty of culturable actinobacteria dwelled in soil of the Western Qinghai-Tibet Plateau were investigated. By integrating antibacterial assay with omics tools, Amycolatopsis sp. A133, a rare actinobacterial strain and its secondary metabolites were further studied.MethodCulture-dependent method was used to obtain actinobacterial strains from two soil samples collected from Ali region in Qinghai-Tibet Plateau. The cultural extractions of representative strains were assayed against “ESKAPE” pathogens by paper-disk diffusion method and the double fluorescent protein reporter “pDualrep2” system. An Amycolatopsis strain coded as A133 was prioritized and its secondary metabolites were further analyzed and annotated by omics tools including antiSMASH and GNPS (Global Natural Social Molecular Networking). The predicted rifamycin analogs produced by Amycolatopsis sp. A133 were isolated and identified by chromatographic separation, such as Sephadex LH-20 and HPLC, and spectral analysis, such as NMR and UPLC-HRESI-MS/MS, respectively.ResultsA total of 406 actinobacteria strains affiliated to 36 genera in 17 families of 9 orders were isolated. Out of 152 representative strains, 63 isolates exhibited antagonistic activity against at least one of the tested pathogens. Among them, 7 positive strains were identified by the “pDualrep2” system as either an inhibitor of protein translation or DNA biosynthesis. The cultural broth of Amycolatopsis sp. A133 exhibited a broader antimicrobial activity and can induce expression of TurboRFP. The secondary metabolites produced by strain A133 was annotated as rifamycins and zampanolides by antiSMASH and GNPS analysis. Five members of rifamycins, including rifamycin W, protorifamycin I, rifamycin W-M1, proansamycin B, and rifamycin S, were purified and identified. Rifamycin W-M1, was found as a new member of the naturally occurring rifamycin group of antibiotics.DiscussionAssisted by omics tools, the successful and highly efficient discovery of rifamycins, a group of clinically used antibiotics from actinobacteria in Ali area encouraged us to devote more energy to explore new antibiotics from the soils on the Western Tibetan Plateau

Repeated Play of Families of Games by Resource-Constrained Players

This paper studies a repeated play of a family of games by resource-constrained players. To economize on reasoning resources, the family of games is partitioned into subsets of games which players do not distinguish. An example is constructed to show that when games are played a finite number of times, partitioning of the game set according to a coarse exogenously given partition might introduce new symmetric equilibrium payoffs which Pareto dominate best equilibrium outcomes with distinguished games. Moreover, these new equilibrium payoffs are also immune to evolutionary pressure at the partition selection stage

Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameter problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We illustrate the ideas of the paper using a large data set of 16 commodity prices.