2,232 research outputs found
Limit Laws in Trasnaction-Level Asset Price Models
We consider pure-jump transaction-level models for asset prices in
continuous time, driven by point processes. In a bivariate model that
admits cointegration, we allow for time deformations to account for such
effects as intraday seasonal patterns in volatility, and non-trading
periods that may be different for the two assets. We also allow for
asymmetries (leverage effects). We obtain the asymptotic distribution of
the log-price process. For the weak fractional cointegration case, we
obtain the asymptotic distribution of the ordinary least-squares
estimator of the cointegrating parameter based on data sampled from an
equally-spaced discretization of calendar time, and justify a feasible
method of hypothesis testing for the cointegrating parameter based on
the corresponding t-statistic. In the strong fractional cointegration
case, we obtain the limiting distribution of a continuously-averaged
tapered estimator as well as other estimators of the cointegrating
parameter, and find that the rate of convergence can be affected by
properties of intertrade durations. In particular, the persistence of
durations (hence of volatility) can affect the degree of cointegration.
We also obtain the rate of convergence of several estimators of the
cointegrating parameter in the standard cointegration case. Finally, we
consider the properties of the ordinary least squares estimator of the
regression parameter in a spurious regression, i.e., in the absence of cointegration.Department of Statistics, University of California, Davis; Department of
Mathematics, University of Utah; Stern School of Business, New York
University; Universit¶e Paris XStatistics Working Papers Serie
Extending Phenomenological Crystal-Field Methods to Point-Group Symmetry: Characterization of the Optically-Excited Hyperfine Structure of Er:YSiO
We show that crystal-field calculations for point-group symmetry are
possible, and that such calculations can be performed with sufficient accuracy
to have substantial utility for rare-earth based quantum information
applications. In particular, we perform crystal-field fitting for a
C-symmetry site in Er:YSiO. The calculation
simultaneously includes site-selective spectroscopic data up to 20,000
cm, rotational Zeeman data, and ground- and excited-state hyperfine
structure determined from high-resolution Raman-heterodyne spectroscopy on the
1.5 m telecom transition. We achieve an agreement of better than 50 MHz
for assigned hyperfine transitions. The success of this analysis opens the
possibility of systematically evaluating the coherence properties, as well as
transition energies and intensities, of any rare-earth ion doped into
YSiO .Comment: 6 pages, plus 5 pages in supplementary information, 4 figures tota
Mechanisms of cell entry by human papillomaviruses: an overview
As the primary etiological agents of cervical cancer, human papillomaviruses (HPVs) must deliver their genetic material into the nucleus of the target cell. The viral capsid has evolved to fulfil various roles that are critical to establish viral infection. The particle interacts with the cell surface via interaction of the major capsid protein, L1, with heparan sulfate proteoglycans. Moreover, accumulating evidence suggests the involvement of a secondary receptor and a possible role for the minor capsid protein, L2, in cell surface interactions
The fast milk acidifying phenotype of Streptococcus thermophilus can be acquired by natural transformation of the genomic island encoding the cell-envelope proteinase PrtS
In industrial fermentation processes, the rate of milk acidification by Streptococcus thermophilus is of major technological importance. The cell-envelope proteinase PrtS was previously shown to be a key determinant of the milk acidification activity in this species. The PrtS enzyme is tightly anchored to the cell wall via a mechanism involving the typical sortase A (SrtA) and initiates the breakdown of milk casein into small oligopeptides. The presence or absence of PrtS divides the S. thermophilus strains into two phenotypic groups i.e. the slow and the fast acidifying strains. The aim of this study was to improve the milk acidification rate of slow S. thermophilus strains, and hence optimise the fermentation process of dairy products
CRISPR provides acquired resistance against viruses in prokaryotes
Clustered regularly interspaced short palindromic repeats (CRISPR) are a distinctive feature of the genomes of most Bacteria and Archaea and are thought to be involved in resistance to bacteriophage. We found that following viral challenge, bacteria integrated new spacers derived from phage genomic sequences. Removal or addition of particular spacers modified the phage-resistance phenotype of the cell. Thus, CRISPR, together with associated cas genes, provided resistance against phages, whereby specificity is determined by spacer/phage sequence similarity
Limit Laws in Trasnaction-Level Asset Price Models
We consider pure-jump transaction-level models for asset prices in
continuous time, driven by point processes. In a bivariate model that
admits cointegration, we allow for time deformations to account for such
effects as intraday seasonal patterns in volatility, and non-trading
periods that may be different for the two assets. We also allow for
asymmetries (leverage effects). We obtain the asymptotic distribution of
the log-price process. For the weak fractional cointegration case, we
obtain the asymptotic distribution of the ordinary least-squares
estimator of the cointegrating parameter based on data sampled from an
equally-spaced discretization of calendar time, and justify a feasible
method of hypothesis testing for the cointegrating parameter based on
the corresponding t-statistic. In the strong fractional cointegration
case, we obtain the limiting distribution of a continuously-averaged
tapered estimator as well as other estimators of the cointegrating
parameter, and find that the rate of convergence can be affected by
properties of intertrade durations. In particular, the persistence of
durations (hence of volatility) can affect the degree of cointegration.
We also obtain the rate of convergence of several estimators of the
cointegrating parameter in the standard cointegration case. Finally, we
consider the properties of the ordinary least squares estimator of the
regression parameter in a spurious regression, i.e., in the absence of cointegration.Department of Statistics, University of California, Davis; Department of
Mathematics, University of Utah; Stern School of Business, New York
University; Universit¶e Paris XStatistics Working Papers Serie
In vitro reconstitution of Cascade-mediated CRISPR immunity in Streptococcus thermophilus
Clustered regularly interspaced short palindromic repeats (CRISPR)-encoded immunity in Type I systems relies on the Cascade (CRISPR-associated complex for antiviral defence) ribonucleoprotein complex, which triggers foreign DNA degradation by an accessory Cas3 protein. To establish the mechanism for adaptive immunity provided by the Streptococcus thermophilus CRISPR4-Cas (CRISPR-associated) system (St-CRISPR4-Cas), we isolated an effector complex (St-Cascade) containing 61-nucleotide CRISPR RNA (crRNA). We show that St-Cascade, guided by crRNA, binds in vitro to a matching proto-spacer if a proto-spacer adjacent motif (PAM) is present. Surprisingly, the PAM sequence determined from binding analysis is promiscuous and limited to a single nucleotide (A or T) immediately upstream (-1 position) of the proto-spacer. In the presence of a correct PAM, St-Cascade binding to the target DNA generates an R-loop that serves as a landing site for the Cas3 ATPase/nuclease. We show that Cas3 binding to the displaced strand in the R-loop triggers DNA cleavage, and if ATP is present, Cas3 further degrades DNA in a unidirectional manner. These findings establish a molecular basis for CRISPR immunity in St-CRISPR4-Cas and other Type I systems
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