Dynamic linkages between stock markets : the effects of crises and globalization

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.info:eu-repo/semantics/publishedVersio

Portuguese and Brazilian stock market integration : a non-linear and detrended approach

Besides the historical heritage that Portugal and Brazil share, the last two decades have also shown an increase in some economic indicators, such as the percentage of imports/exports and foreign direct investment. In order to take advantage of all the benefits, the countries should increase economic integration, stock market integration being one of the possibilities. In this context, this paper analyses stock market integration between these two countries, using non-linear methodologies: detrended fluctuation analysis, detrended cross-correlation analysis and detrended moving-average cross-correlation analysis. Using the main stock indexes, and splitting the sample in six different periods, the main conclusion is that integration between these two countries increased over time. However, since 2013, the integration pattern has decreased, with the economic crisis both countries suffered being the main factor.info:eu-repo/semantics/publishedVersio

Financial market development, global financial crisis and economic growth : evidence from developing nations

Emerging and frontier markets in Africa have witnessed various economic and financial reforms aimed at integrating the domestic markets into the global financial market to attract investment. Whether these reforms promote high economic growth remains inconclusive. The paper applies the pooled mean group estimation technique to empirically re-investigate the link between financial market development, global financial crisis, and economic growth in selected African economies. The results strongly support our hypotheses that stock market and banking sector development promotes economic growth in the selected countries. Moreover, financial crisis reduce the positive effects of both the stock market and banking sector developments on economic growth. The study suggests that both the banking sector and stock market are important to deliver the long-run economic growth that the African region desired. Moreover, effort should be made to enact policy measures that would ensure development of the stock market which has received inadequate attention.info:eu-repo/semantics/publishedVersio

A statistical framework to evaluate virtual screening

<p>Abstract</p> <p>Background</p> <p>Receiver operating characteristic (ROC) curve is widely used to evaluate virtual screening (VS) studies. However, the method fails to address the "early recognition" problem specific to VS. Although many other metrics, such as RIE, BEDROC, and pROC that emphasize "early recognition" have been proposed, there are no rigorous statistical guidelines for determining the thresholds and performing significance tests. Also no comparisons have been made between these metrics under a statistical framework to better understand their performances.</p> <p>Results</p> <p>We have proposed a statistical framework to evaluate VS studies by which the threshold to determine whether a ranking method is better than random ranking can be derived by bootstrap simulations and 2 ranking methods can be compared by permutation test. We found that different metrics emphasize "early recognition" differently. BEDROC and RIE are 2 statistically equivalent metrics. Our newly proposed metric SLR is superior to pROC. Through extensive simulations, we observed a "seesaw effect" – overemphasizing early recognition reduces the statistical power of a metric to detect true early recognitions.</p> <p>Conclusion</p> <p>The statistical framework developed and tested by us is applicable to any other metric as well, even if their exact distribution is unknown. Under this framework, a threshold can be easily selected according to a pre-specified type I error rate and statistical comparisons between 2 ranking methods becomes possible. The theoretical null distribution of SLR metric is available so that the threshold of SLR can be exactly determined without resorting to bootstrap simulations, which makes it easy to use in practical virtual screening studies.</p

Automated Docking Screens: A Feasibility Study

Molecular docking is themost practical approach to leverage protein structure for ligand discovery, but the technique retains important liabilities that make it challenging to deploy on a large scale. We have therefore created an expert system, DOCKBlaster, to investigate the feasibility of full automation. The method requires a PDB code, sometimes with a ligand structure, and from that alone can launch a full screen of large libraries. A critical feature is self-assessment, which estimates the anticipated reliability of the automated screening results using pose fidelity and enrichment. Against common benchmarks, DOCKBlaster recapitulates the crystal ligand pose within 2 A ̊ rmsd 50-60 % of the time; inferior to an expert, but respectrable. Half the time the ligand also ranked among the top 5 % of 100 physically matched decoys chosen on the fly. Further tests were undertaken culminating in a study of 7755 eligible PDB structures. In 1398 cases, the redocked ligand ranked in the top 5 % of 100 property-matched decoys while also posing within 2 A ̊ rmsd, suggesting that unsupervised prospective docking is viable. DOCK Blaster is available a

Complementarity Between a Docking and a High-Throughput Screen in Discovering New Cruzain Inhibitors†

Virtual and high-throughput screens (HTS) should have complementary strengths and weaknesses, but studies that prospectively and comprehensively compare them are rare. We undertook a parallel docking and HTS screen of 197861 compounds against cruzain, a thiol protease target for Chagas disease, looking for reversible, competitive inhibitors. On workup, 99 % of the hits were eliminated as false positives, yielding 146 well-behaved, competitive ligands. These fell into five chemotypes: two were prioritized by scoring among the top 0.1 % of the docking-ranked library, two were prioritized by behavior in the HTS and by clustering, and one chemotype was prioritized by both approaches. Determination of an inhibitor/cruzain crystal structure and comparison of the high-scoring docking hits to experiment illuminated the origins of docking false-negatives and false-positives. Prioritizing molecules that are both predicted by docking and are HTS-active yields well-behaved molecules, relatively unobscured by the false-positives to which both techniques are individually prone