Double Exponential Instability of Triangular Arbitrage Systems

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.Comment: 22 pages, 22 bibliography references, expanded Introduction and Conclusion, added bibliohraphy reference

Continuation-Passing C: compiling threads to events through continuations

In this paper, we introduce Continuation Passing C (CPC), a programming language for concurrent systems in which native and cooperative threads are unified and presented to the programmer as a single abstraction. The CPC compiler uses a compilation technique, based on the CPS transform, that yields efficient code and an extremely lightweight representation for contexts. We provide a proof of the correctness of our compilation scheme. We show in particular that lambda-lifting, a common compilation technique for functional languages, is also correct in an imperative language like C, under some conditions enforced by the CPC compiler. The current CPC compiler is mature enough to write substantial programs such as Hekate, a highly concurrent BitTorrent seeder. Our benchmark results show that CPC is as efficient, while using significantly less space, as the most efficient thread libraries available.Comment: Higher-Order and Symbolic Computation (2012). arXiv admin note: substantial text overlap with arXiv:1202.324

Impact of target site distribution for Type I restriction enzymes on the evolution of methicillin-resistant Staphylococcus aureus (MRSA) populations.

A limited number of Methicillin-resistant Staphylococcus aureus (MRSA) clones are responsible for MRSA infections worldwide, and those of different lineages carry unique Type I restriction-modification (RM) variants. We have identified the specific DNA sequence targets for the dominant MRSA lineages CC1, CC5, CC8 and ST239. We experimentally demonstrate that this RM system is sufficient to block horizontal gene transfer between clinically important MRSA, confirming the bioinformatic evidence that each lineage is evolving independently. Target sites are distributed randomly in S. aureus genomes, except in a set of large conjugative plasmids encoding resistance genes that show evidence of spreading between two successful MRSA lineages. This analysis of the identification and distribution of target sites explains evolutionary patterns in a pathogenic bacterium. We show that a lack of specific target sites enables plasmids to evade the Type I RM system thereby contributing to the evolution of increasingly resistant community and hospital MRSA

Differences in genotype and virulence among four multidrug-resistant <i>Streptococcus pneumoniae</i> isolates belonging to the PMEN1 clone

We report on the comparative genomics and characterization of the virulence phenotypes of four &lt;i&gt;S. pneumoniae&lt;/i&gt; strains that belong to the multidrug resistant clone PMEN1 (Spain&lt;sup&gt;23F&lt;/sup&gt; ST81). Strains SV35-T23 and SV36-T3 were recovered in 1996 from the nasopharynx of patients at an AIDS hospice in New York. Strain SV36-T3 expressed capsule type 3 which is unusual for this clone and represents the product of an in vivo capsular switch event. A third PMEN1 isolate - PN4595-T23 - was recovered in 1996 from the nasopharynx of a child attending day care in Portugal, and a fourth strain - ATCC700669 - was originally isolated from a patient with pneumococcal disease in Spain in 1984. We compared the genomes among four PMEN1 strains and 47 previously sequenced pneumococcal isolates for gene possession differences and allelic variations within core genes. In contrast to the 47 strains - representing a variety of clonal types - the four PMEN1 strains grouped closely together, demonstrating high genomic conservation within this lineage relative to the rest of the species. In the four PMEN1 strains allelic and gene possession differences were clustered into 18 genomic regions including the capsule, the blp bacteriocins, erythromycin resistance, the MM1-2008 prophage and multiple cell wall anchored proteins. In spite of their genomic similarity, the high resolution chinchilla model was able to detect variations in virulence properties of the PMEN1 strains highlighting how small genic or allelic variation can lead to significant changes in pathogenicity and making this set of strains ideal for the identification of novel virulence determinant

Affine term structure models : a time-changed approach with perfect fit to market curves

We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach is often not appropriate when positivity is required, which is a common constraint when dealing with credit spreads or default intensities. In this paper, we tackle this problem by adopting a time change approach. On the top of providing an elegant solution to the calibration problem under positivity constraint, our model features additional interesting properties in terms of implied volatilities. It is compared to the shift extension on various credit risk applications such as credit default swap, credit default swaption and credit valuation adjustment under wrong-way risk. The time change approach is able to generate much larger volatility and covariance effects under the positivity constraint. Our model offers an appealing alternative to the shift in such cases.Comment: 44 pages, figures and table

The Complete Genome Sequence of Mycoplasma bovis Strain Hubei-1

Infection by Mycoplasma bovis (M. bovis) can induce diseases, such as pneumonia and otitis media in young calves and mastitis and arthritis in older animals. Here, we report the finished and annotated genome sequence of M. bovis strain Hubei-1, a strain isolated in 2008 that caused calf pneumonia on a Chinese farm. The genome of M. bovis strain Hubei-1 contains a single circular chromosome of 953,114 bp with a 29.37% GC content. We identified 803 open reading frames (ORFs) that occupy 89.5% of the genome. While 34 ORFs were Hubei-1 specific, 662 ORFs had orthologs in the M. bovis type strain PG45 genome. Genome analysis validated lateral gene transfer between M. bovis and the Mycoplasma mycoides subspecies mycoides, while phylogenetic analysis found that the closest M. bovis neighbor is Mycoplasma agalactiae. Glycerol may be the main carbon and energy source of M. bovis, and most of the biosynthesis pathways were incomplete. We report that 47 lipoproteins, 12 extracellular proteins and 18 transmembrane proteins are phase-variable and may help M. bovis escape the immune response. Besides lipoproteins and phase-variable proteins, genomic analysis found two possible pathogenicity islands, which consist of four genes and 11 genes each, and several other virulence factors including hemolysin, lipoate protein ligase, dihydrolipoamide dehydrogenase, extracellular cysteine protease and 5′-nucleotidase