Measuring market risk using extreme value theory

The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk. In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory: (1) static EVT model which is the straightforward application of POT to the bond benchmark rates; and (2) dynamic EVT model which applies POT to the residuals of the fitted AR-GARCH model. The results are compared with traditional VaR methods such as RiskMetrics and AR-GARCH-type models. The relative size, accuracy and efficiency of the models are assessed using mean relative bias, backtesting, likelihood ratio tests, loss function, mean relative scaled bias and computation of market risk charge. Findings show that the dynamic EVT model can capture market risk conservatively, accurately and efficiently. It is also practical to use because it has the potential to lower a bank’s capital requirements. Comparing the two EVT models, the dynamic model is better than static as the former can address some issues in risk measurement and effectively capture market risks.extreme value theory, peaks-over-threshold, value-at-risk, market risk, risk management

Adversarially Learned Anomaly Detection on CMS Open Data: re-discovering the top quark

We apply an Adversarially Learned Anomaly Detection (ALAD) algorithm to the problem of detecting new physics processes in proton-proton collisions at the Large Hadron Collider. Anomaly detection based on ALAD matches performances reached by Variational Autoencoders, with a substantial improvement in some cases. Training the ALAD algorithm on 4.4 fb-1 of 8 TeV CMS Open Data, we show how a data-driven anomaly detection and characterization would work in real life, re-discovering the top quark by identifying the main features of the t-tbar experimental signature at the LHC.Comment: 16 pages, 9 figure

Differential deposition of fibronectin by asthmatic bronchial epithelial cells

© 2015 the American Physiological Society. Altered ECM protein deposition is a feature in asthmatic airways. Fibronectin (Fn), an ECM protein produced by human bronchial epithelial cells (HBECs), is increased in asthmatic airways. This study investigated the regulation of Fn production in asthmatic or nonasthmatic HBECs and whether Fn modulated HBEC proliferation and inflammatory mediator secretion. The signaling pathways underlying transforming growth factor (TGF)-β1-regulated Fn production were examined using specific inhibitors for ERK, JNK, p38 MAPK, phosphatidylinositol 3 kinase, and activin-like kinase 5 (ALK5). Asthmatic HBECs deposited higher levels of Fn in the ECM than nonasthmatic cells under basal conditions, whereas cells from the two groups had similar levels of Fn mRNA and soluble Fn. TGF-β1 increased mRNA levels and ECM and soluble forms of Fn but decreased cell proliferation in both cells. The rate of increase in Fn mRNA was higher in nonasthmatic cells. However, the excessive amounts of ECM Fn deposited by asthmatic cells after TGF-β1 stimulation persisted compared with nonasthmatic cells. Inhibition of ALK5 completely prevented TGF- β1-induced Fn deposition. Importantly, ECM Fn increased HBEC proliferation and IL-6 release, decreased PGE2 secretion, but had no effect on VEGF release. Soluble Fn had no effect on cell proliferation and inflammatory mediator release. Asthmatic HBECs are intrinsically primed to produce more ECM Fn, which when deposited into the ECM, is capable of driving remodeling and inflammation. The increased airway Fn may be one of the key driving factors in the persistence of asthma and represents a novel, therapeutic target

Embedding human heuristics in machine-learning-enabled probe microscopy

Scanning probe microscopists generally do not rely on complete images to assess the quality of data acquired during a scan. Instead, assessments of the state of the tip apex, which not only determines the resolution in any scanning probe technique, but can also generate a wide array of frustrating artefacts, are carried out in real time on the basis of a few lines of an image (and, typically, their associated line profiles.) The very small number of machine learning approaches to probe microscopy published to date, however, involve classifications based on full images. Given that data acquisition is the most time-consuming task during routine tip conditioning, automated methods are thus currently extremely slow in comparison to the tried-and-trusted strategies and heuristics used routinely by probe microscopists. Here, we explore various strategies by which different STM image classes (arising from changes in the tip state) can be correctly identified from partial scans. By employing a secondary temporal network and a rolling window of a small group of individual scanlines, we find that tip assessment is possible with a small fraction of a complete image. We achieve this with little-to-no performance penalty—or, indeed, markedly improved performance in some cases—and introduce a protocol to detect the state of the tip apex in real time

Differential Regulation of Extracellular Matrix and Soluble Fibulin-1 Levels by TGF-β<inf>1</inf> in Airway Smooth Muscle Cells

Fibulin-1 (FBLN-1) is a secreted glycoprotein that is associated with extracellular matrix (ECM) formation and rebuilding. Abnormal and exaggerated deposition of ECM proteins is a hallmark of many fibrotic diseases, such as chronic obstructive pulmonary disease (COPD) where small airway fibrosis occurs. The aim of this study was to investigate the regulation of FBLN-1 by transforming growth factor beta 1 (TGF-β1) (a pro-fibrotic stimulus) in primary human airway smooth muscle (ASM) cells from volunteers with and without COPD. Human ASM cells were seeded at a density of 1×104 cells/cm2, and stimulated with or without TGF-β1 (10 ng/ml) for 72 hours before FBLN-1 deposition and soluble FBLN-1 were measured. Fold change in FBLN-1 mRNA was measured at 4, 8, 24, 48, 72 hours. In some experiments, cycloheximide (0.5 μg/ml) was used to assess the regulation of FBLN-1 production. TGF-β1 decreased the amount of soluble FBLN-1 both from COPD and non-COPD ASM cells. In contrast, the deposition of FBLN-1 into the ECM was increased in ASM cells obtained from both groups. TGF-β1 did not increase FBLN-1 gene expression at any of the time points. There were no differences in the TGF-β1 induced FBLN-1 levels between cells from people with or without COPD. Cycloheximide treatment, which inhibits protein synthesis, decreased both the constitutive release of soluble FBLN-1, and TGF-β1 induced ECM FBLN-1 deposition. Furthermore, in cycloheximide treated cells addition of soluble FBLN-1 resulted in incorporation of FBLN-1 into the ECM. Therefore the increased deposition of FBLN-1 by ASM cells into the ECM following treatment with TGF-β1 is likely due to incorporation of soluble FBLN-1 rather than de-novo synthesis. © 2013 Chen et al

Improved archiving and search strategies for multi agent collaborative search

This paper presents a new archiving strategy and some modified search heuristics for the Multi Agent Collaborative Search algorithm (MACS). MACS is a memetic scheme for multi-objective optimisation that combines the local exploration of the neighbourhood of some virtual agents with social actions to advance towards the Pareto front. The new archiving strategy is based on the physical concept of minimising the potential energy of a cloud of points each of which repels the others. Social actions have been modified to better exploit the information in the archive and local actions dynamically adapt the maximum number of coordinates explored in the pattern search heuristic. The impact of these modifications is tested on a standard benchmark and the results are compared against MOEA/D and a previous version of MACS. Finally, a real space related problem is tackled

Response of airway epithelial cells to double-stranded RNA in an allergic environment.

BACKGROUND: Respiratory viral infections are the most common trigger of acute exacerbations in patients with allergic asthma. The anti-viral response of airway epithelial cells (AEC) may be impaired in asthmatics, while cytokines produced by AEC may drive the inflammatory response. We investigated whether AEC cultured in the presence of Th2 cytokines associated with an allergic environment exhibited altered responses to double-stranded RNA, a virus-like stimulus. METHODS: We undertook preliminary studies using the MLE-12 cell line derived from mouse distal respiratory epithelial cells, then confirmed and extended our findings using low-passage human AEC. Cells were cultured in the absence or presence of the Th2 cytokines IL-4 and IL-13 for 48 hours, then stimulated with poly I:C for 4 hours. Expression of relevant anti-viral response and cytokine genes was assessed by quantitative real-time PCR. Secretion of cytokine proteins was assessed by immunoassay. RESULTS: Following stimulation with poly I:C, MLE-12 cells pre-treated with Th2 cytokines exhibited significantly higher levels of expression of mRNA for the cytokine genes Cxcl10 and Cxcl11, as well as a trend towards increased expression of Cxcl9 and Il6. Expression of anti-viral response genes was mostly unchanged, although Stat1, Ifit1 and Ifitm3 were significantly increased in Th2 cytokine pre-treated cells. Human AEC pre-treated with IL-4 and IL-13, then stimulated with poly I:C, similarly exhibited significantly higher expression of IL8, CXCL9, CXCL10, CXCL11 and CCL5 genes. In parallel, there was significantly increased secretion of CXCL8 and CCL5, as well as a trend towards increased secretion of CXCL10 and IL-6. Again, expression of anti-viral response genes was not decreased. Rather, there was significantly enhanced expression of mRNA for type III interferons, RNA helicases and other interferon-stimulated genes. CONCLUSION: The Th2 cytokine environment appears to promote increased production of pro-inflammatory chemokines by AEC in response to double-stranded RNA, which could help explain the exaggerated inflammatory response to respiratory viral infection in allergic asthmatics. However, any impairment of anti-viral host defences in asthmatics appears unlikely to be a consequence of Th2 cytokine-induced downregulation of the expression of viral response genes by AEC