Spurious trend switching phenomena in financial markets

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction data

Quantifying the behavior of stock correlations under market stress

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios

On-line Hydraulic State Estimation in Urban Water Networks Using Reduced Models

A Predictor-Corrector (PC) approach for on-line forecasting of water usage in an urban water system is presented and demonstrated. The M5 Model-Trees algorithm is used to predict water demands and Genetic Algorithms (GAs) are used to correct (i.e., calibrate according to on-line pressure and flow rate measurements) these predicted values in real-time. The PC loop repeats itself at each subsequent time-step with the forecasting model inputs being the corrected outputs of previous iterations, thus improving the model performances over time. To meet the computational efficiency requirements of real-time hydraulic state estimation, the urban network model which is comprised of over ten thousand pipelines and nodes is reduced using a water system aggregation technique. The reduced model, which resembles the original system's hydraulic performances with high accuracy, simplifies the computation of the PC loop and facilitates the implementation of the on-line model. The developed methodology is tested against the real input data of an urban water distribution system comprised of approximately 12500 nodes and 15000 pipes.Singapore-MIT Alliance for Research and TechnologySingapore. National Research Foundatio

Reflectivity and Microwave Absorption in Crystals with Alternating Intrinsic Josephson Junctions

We compute the frequency and magnetic field dependencies of the reflectivity $R(\omega)$ in layered superconductors with two alternating intrinsic Josephson junctions with different critical current densities and quasiparticle conductivities for the electric field polarized along the c-axis. The parameter $\alpha$ describing the electronic compressibility of the layers and the charge coupling of neighboring junctions was extracted for the SmLa$_{1-x}$Sr$_{x}$CuO$_{4-\delta}$ superconductor from two independent optical measurements, the fit of the loss function $L(\omega)$ at zero magnetic field and the magnetic field dependence of the peak positions in $L(\omega)$. The experiments are consistent with a free electron value for $\alpha$ near the Josephson plasma frequencies.Comment: 4 pages, 4 postscript figures, misprints in table correcte

The psoriatic shift induced by interleukin 17 is promptly reverted by a specific anti-IL-17A agent in a three-dimensional organotypic model of normal human skin culture

Interleukin 17A (IL-17A), mainly produced by the T helper subclass Th17, plays a key role in the psoriatic plaque formation and progression. The clinical effectiveness of anti-IL-17A agents is documented, but the early and specific mechanisms of their protection are not identified yet. The challenge of the present study is to investigate the possible reversal exerted by a specific anti-IL-17A agent on the psoriatic events induced by IL-17A in a three-dimensional organotypic model of normal human skin. Bioptic skin fragments obtained after aesthetic surgery of healthy women (n=5) were incubated with i) IL-17A biological inhibitor (anti-IL-17A), ii) IL-17A, iii) a combination of IL-17A and its specific IL-17A biological inhibitor (COMBO). A Control group was in parallel cultured and incubation lasted for 24 and 48 h epidermal-side-up at the air-liquid interface. All subjects were represented in all experimental groups at all considered time-points. Keratinocyte proliferation and the presence of epidermal Langerhans cells were quantitatively estimated. In parallel with transmission electron microscopy analysis, immunofluorescence studies for the epidermal distribution of keratin (K)10, K14, K16, K17, filaggrin/occludin, Toll-like Receptor 4, and Nuclear Factor kB were performed. IL-17A inhibited cell proliferation and induced K17 expression, while samples incubated with the anti-IL-17A agent were comparable to controls. In the COMBO group the IL-17A-induced effects were almost completely reverted. Our study, for the first time, elucidates the most specific psoriatic cellular events that can be partially affected or completely reverted by a specific anti-IL-17A agent during the early phases of the plaque onset and progression. On the whole, this work contributes to expand the knowledge of the psoriatic tableau

Development of Quantum Dot (QD) Based Color Converters for Multicolor Display.

Many displays involve the use of color conversion layers. QDs are attractive candidates as color converters because of their easy processability, tuneable optical properties, high photoluminescence quantum yield, and good stability. Here, we show that emissive QDs with narrow emission range can be made in-situ in a polymer matrix, with properties useful for color conversion. This was achieved by blending the blue-emitting pyridine based polymer with a cadmium selenide precursor and baking their films at different temperatures. To achieve efficient color conversion, blend ratio and baking temperature/time were varied. We found that thermal decomposition of the precursor leads to highly emissive QDs whose final size and emission can be controlled using baking temperature/time. The formation of the QDs inside the polymer matrix was confirmed through morphological studies using atomic force microscopy (AFM) and transmission electron microscopy (TEM). Hence, our approach provides a cost-effective route to making highly emissive color converters for multi-color displays

The Effects of Twitter Sentiment on Stock Price Returns

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-know micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known "event study" from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the "event study" methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1-2%), but the dependence is statistically significant for several days after the events

Morphological analysis of JAK1 intracellular pathway activation after pro-inflammatory psoriatic cytokines exposure: inside-out and outside-in the epidermis

For their normal growth, cells depend on a continuous flow of signals from the environment. The Janus kinases (JAK) 1 transducers signalling pathway is a pleiotropic cascade used to transduce a multitude of signals among cells. A variety of ligands including cytokines, hormones, growth factors, and their receptors stimulate the JAK1 pathway. Cytokines, a large and very heterogeneous family of small and generally soluble glycoproteins, both control multiple biological processes as haematopoiesis, inflammation, and immunity playing a central role in cell-cell communication. Their action is mediated by the binding to specific receptors on the cell surface, thus transducing biological information to target cells [1]. Pro-inflammatory cytokines play a pivotal role in several inflammatory illnesses including psoriasis. Among them, interleukin (IL)-17, IL-22, IL-23 and tumor necrosis factor (TNF)-alpha play a central role. In the formation and progression of the psoriatic lesion a typical marker is keratin (K) 17 which is correlated with psoriasis severity. The aims of this study were to evaluate the early, direct, and specific effects of pro-inflammatory psoriatic cytokines i) on the activation of the intracellular pathway JAK1 and ii) on the correlation with the induction of K17 expression in a three-dimensional model (3D) of human skin (n=7) by immunofluorescence. Biopsies were cultured overnight epidermal side-up in a Transwell system and exposed to 50 ng/ml IL-17, or 100 ng/ml IL-22, or 50 ng/ml IL-23 or 100 ng/ml TNF-alpha. Samples were harvested 24 (T24), 48 (T48), and 72 (T72) hours after cytokine incubation. In samples not exposed to cytokines, a JAK1 slight labelling was observed throughout the epidermis, decreasing at T72 in the lower layers. At T24, IL-17 and IL-22, but not IL-23 and TNF-alpha, induced an expression of JAK1 in the spinous layer. At T72, JAK1 immunostaining decreased in all samples, similarly to controls. K17 immunopositivity was induced and progressively increased with time in the suprabasal layers of epidermis in all experimental groups, with the exception of the TNF-alpha group. These results suggest that cytokines exert parallel effects on JAK1 pathway activation and K17 induction. In conclusion, 3D this model, reproducing some features of psoriatic microenvironment, represents a useful experimental approach to dissect the specific role of each cytokine in the different steps of psoriatic lesion formation

PageRank model of opinion formation on social networks

We propose the PageRank model of opinion formation and investigate its rich properties on real directed networks of Universities of Cambridge and Oxford, LiveJournal and Twitter. In this model the opinion formation of linked electors is weighted with their PageRank probability. We find that the society elite, corresponding to the top PageRank nodes, can impose its opinion to a significant fraction of the society. However, for a homogeneous distribution of two opinions there exists a bistability range of opinions which depends on a conformist parameter characterizing the opinion formation. We find that LiveJournal and Twitter networks have a stronger tendency to a totalitar opinion formation. We also analyze the Sznajd model generalized for scale-free networks with the weighted PageRank vote of electors.Comment: revtex 10 pages, 16 figs, research at http://www.quantware.ups-tlse.fr