Discrete sine transform for multi-scale realized volatility measures

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data

Night-time measurements of HO<inf>x</inf> during the RONOCO project and analysis of the sources of HO<inf>2</inf>

Abstract. Measurements of the radical species OH and HO2 were made using the fluorescence assay by gas expansion (FAGE) technique during a series of night-time and daytime flights over the UK in summer 2010 and winter 2011. OH was not detected above the instrument's 1σ limit of detection during any of the night-time flights or during the winter daytime flights, placing upper limits on [OH] of 1.8 × 106 molecule cm−3 and 6.4 × 105 molecule cm−3 for the summer and winter flights, respectively. HO2 reached a maximum concentration of 3.2 × 108 molecule cm−3 (13.6 pptv) during a night-time flight on 20 July 2010, when the highest concentrations of NO3 and O3 were also recorded. An analysis of the rates of reaction of OH, O3, and the NO3 radical with measured alkenes indicates that the summer night-time troposphere can be as important for the processing of volatile organic compounds (VOCs) as the winter daytime troposphere. An analysis of the instantaneous rate of production of HO2 from the reactions of O3 and NO3 with alkenes has shown that, on average, reactions of NO3 dominated the night-time production of HO2 during summer and reactions of O3 dominated the night-time HO2 production during winter. This work was funded by the UK Natural Environment Research Council (NE/F004664/1). The authors would like to thank ground staff, engineers, scientists, and pilots involved in RONOCO for making this project a success. Airborne data were obtained using the BAe 146-301 Atmospheric Research Aircraft (ARA) flown by Directflight Ltd. and managed by the Facility for Airborne Atmospheric Measurements (FAAM), which is a joint entity of the Natural Environment Research Council (NERC) and the Met Office.This is the final version of the article. It first appeared from Copernicus Publications via http://dx.doi.org/10.5194/acp-15-8179-201

The impact of emotional well-being on long-term recovery and survival in physical illness: a meta-analysis

This meta-analysis synthesized studies on emotional well-being as predictor of the prognosis of physical illness, while in addition evaluating the impact of putative moderators, namely constructs of well-being, health-related outcome, year of publication, follow-up time and methodological quality of the included studies. The search in reference lists and electronic databases (Medline and PsycInfo) identified 17 eligible studies examining the impact of general well-being, positive affect and life satisfaction on recovery and survival in physically ill patients. Meta-analytically combining these studies revealed a Likelihood Ratio of 1.14, indicating a small but significant effect. Higher levels of emotional well-being are beneficial for recovery and survival in physically ill patients. The findings show that emotional well-being predicts long-term prognosis of physical illness. This suggests that enhancement of emotional well-being may improve the prognosis of physical illness, which should be investigated by future research

An approach to analyse the specific impact of rapamycin on mRNA-ribosome association

<p>Abstract</p> <p>Background</p> <p>Recent work, using both cell culture model systems and tumour derived cell lines, suggests that the differential recruitment into polysomes of mRNA populations may be sufficient to initiate and maintain tumour formation. Consequently, a major effort is underway to use high density microarray profiles to establish molecular fingerprints for cells exposed to defined drug regimes. The aim of these pharmacogenomic approaches is to provide new information on how drugs can impact on the translational read-out within a defined cellular background.</p> <p>Methods</p> <p>We describe an approach that permits the analysis of de-novo mRNA-ribosome association in-vivo during short drug exposures. It combines hypertonic shock, polysome fractionation and high-throughput analysis to provide a molecular phenotype of translationally responsive transcripts. Compared to previous translational profiling studies, the procedure offers increased specificity due to the elimination of the drugs secondary effects (e.g. on the transcriptional read-out). For this pilot "proof-of-principle" assay we selected the drug rapamycin because of its extensively studied impact on translation initiation.</p> <p>Results</p> <p>High throughput analysis on both the light and heavy polysomal fractions has identified mRNAs whose re-recruitment onto free ribosomes responded to short exposure to the drug rapamycin. The results of the microarray have been confirmed using real-time RT-PCR. The selective down-regulation of TOP transcripts is also consistent with previous translational profiling studies using this drug.</p> <p>Conclusion</p> <p>The technical advance outlined in this manuscript offers the possibility of new insights into mRNA features that impact on translation initiation and provides a molecular fingerprint for transcript-ribosome association in any cell type and in the presence of a range of drugs of interest. Such molecular phenotypes defined pre-clinically may ultimately impact on the evaluation of a particular drug in a living cell.</p

Serum IgE Reactivity Profiling in an Asthma Affected Cohort

BACKGROUND: Epidemiological evidence indicates that atopic asthma correlates with high serum IgE levels though the contribution of allergen specific IgE to the pathogenesis and the severity of the disease is still unclear. METHODS: We developed a microarray immunoassay containing 103 allergens to study the IgE reactivity profiles of 485 asthmatic and 342 non-asthmatic individuals belonging to families whose members have a documented history of asthma and atopy. We employed k-means clustering, to investigate whether a particular IgE reactivity profile correlated with asthma and other atopic conditions such as rhinitis, conjunctivitis and eczema. RESULTS: Both case-control and parent-to-siblings analyses demonstrated that while the presence of specific IgE against individual allergens correlated poorly with pathological conditions, particular reactivity profiles were significantly associated with asthma (p<10E-09). An artificial neural network (ANN)-based algorithm, calibrated with the profile reactivity data, correctly classified as asthmatic or non-asthmatic 78% of the individual examined. Multivariate statistical analysis demonstrated that the familiar relationships of the study population did not affect the observed correlations. CONCLUSIONS: These findings indicate that asthma is a higher-order phenomenon related to patterns of IgE reactivity rather than to single antibody reactions. This notion sheds new light on the pathogenesis of the disease and can be readily employed to distinguish asthmatic and non-asthmatic individuals on the basis of their serum reactivity profile

Reproductive Performance, Udder Health, and Antibiotic Resistance in Mastitis Bacteria isolated from Norwegian Red cows in Conventional and Organic Farming

<p>Abstract</p> <p>Background</p> <p>The objectives of this study were to investigate whether there were differences between Norwegian Red cows in conventional and organic farming with respect to reproductive performance, udder health, and antibiotic resistance in udder pathogens.</p> <p>Methods</p> <p>Twenty-five conventional and 24 organic herds from south-east and middle Norway participated in the study. Herds were matched such that geographical location, herd size, and barn types were similar across the cohorts. All organic herds were certified as organic between 1997 and 2003. All herds were members of the Norwegian Dairy Herd Recording System. The herds were visited once during the study. The relationship between the outcomes and explanatory variables were assessed using mixed linear models.</p> <p>Results</p> <p>There were less > 2nd parity cows in conventional farming. The conventional cows had higher milk yields and received more concentrates than organic cows. Although after adjustment for milk yield and parity, somatic cell count was lower in organic cows than conventional cows. There was a higher proportion of quarters that were dried off at the herd visit in organic herds. No differences in the interval to first AI, interval to last AI or calving interval was revealed between organic and conventional cows. There was no difference between conventional and organic cows in quarter samples positive for mastitis bacteria from the herd visit. Milk yield and parity were associated with the likelihood of at least one quarter positive for mastitis bacteria. There was few <it>S. aureus </it>isolates resistance to penicillin in both management systems. Penicillin resistance against Coagulase negative staphylococci isolated from subclinically infected quarters was 48.5% in conventional herds and 46.5% in organic herds.</p> <p>Conclusion</p> <p>There were no large differences between reproductive performance and udder health between conventional and organic farming for Norwegian Red cows.</p

Correlates of Cooperation in a One-Shot High-Stakes Televised Prisoners' Dilemma

Explaining cooperation between non-relatives is a puzzle for both evolutionary biology and the social sciences. In humans, cooperation is often studied in a laboratory setting using economic games such as the prisoners' dilemma. However, such experiments are sometimes criticized for being played for low stakes and by misrepresentative student samples. Golden balls is a televised game show that uses the prisoners' dilemma, with a diverse range of participants, often playing for very large stakes. We use this non-experimental dataset to investigate the factors that influence cooperation when “playing” for considerably larger stakes than found in economic experiments. The game show has earlier stages that allow for an analysis of lying and voting decisions. We found that contestants were sensitive to the stakes involved, cooperating less when the stakes were larger in both absolute and relative terms. We also found that older contestants were more likely to cooperate, that liars received less cooperative behavior, but only if they told a certain type of lie, and that physical contact was associated with reduced cooperation, whereas laughter and promises were reliable signals or cues of cooperation, but were not necessarily detected

A Simplified Method to Distinguish Farmed (Salmo salar) from Wild Salmon: Fatty Acid Ratios Versus Astaxanthin Chiral Isomers

Mislabeling of farmed and wild salmon sold in markets has been reported. Since the fatty acid content of fish may influence human health and thus consumer behavior, a simplified method to identify wild and farmed salmon is necessary. Several studies have demonstrated differences in lipid profiles between farmed and wild salmon but no data exists validating these differences with government-approved methods to accurately identify the origin of these fish. Current methods are both expensive and complicated, using highly specialized equipment not commonly available. Therefore, we developed a testing protocol using gas chromatography (GC), to determine the origin of salmon using fatty acid profiles. We also compared the GC method with the currently approved FDA (United States Food and Drug Administration) technique that uses analysis of carotenoid optical isomers and found 100% agreement. Statistical validation (n = 30) was obtained showing elevated 18:2n-6 (z = 4.56; P = 0.0001) and decreased 20:1n-9 (z = 1.79; P = 0.07) in farmed samples. The method is suitable for wide adaptation because fatty acid methyl ester analysis is a well-established procedure in labs that conduct analysis of lipid composition and food constituents. GC analysis for determining the origin of North American salmon compared favorably with the astaxanthin isomer technique used by the FDA and showed that the fatty acid 18:2n-6 was the key indicator associated with the origin of these salmon

Utilisation of an operative difficulty grading scale for laparoscopic cholecystectomy

Background A reliable system for grading operative difficulty of laparoscopic cholecystectomy would standardise description of findings and reporting of outcomes. The aim of this study was to validate a difficulty grading system (Nassar scale), testing its applicability and consistency in two large prospective datasets. Methods Patient and disease-related variables and 30-day outcomes were identified in two prospective cholecystectomy databases: the multi-centre prospective cohort of 8820 patients from the recent CholeS Study and the single-surgeon series containing 4089 patients. Operative data and patient outcomes were correlated with Nassar operative difficultly scale, using Kendall’s tau for dichotomous variables, or Jonckheere–Terpstra tests for continuous variables. A ROC curve analysis was performed, to quantify the predictive accuracy of the scale for each outcome, with continuous outcomes dichotomised, prior to analysis. Results A higher operative difficulty grade was consistently associated with worse outcomes for the patients in both the reference and CholeS cohorts. The median length of stay increased from 0 to 4 days, and the 30-day complication rate from 7.6 to 24.4% as the difficulty grade increased from 1 to 4/5 (both p < 0.001). In the CholeS cohort, a higher difficulty grade was found to be most strongly associated with conversion to open and 30-day mortality (AUROC = 0.903, 0.822, respectively). On multivariable analysis, the Nassar operative difficultly scale was found to be a significant independent predictor of operative duration, conversion to open surgery, 30-day complications and 30-day reintervention (all p < 0.001). Conclusion We have shown that an operative difficulty scale can standardise the description of operative findings by multiple grades of surgeons to facilitate audit, training assessment and research. It provides a tool for reporting operative findings, disease severity and technical difficulty and can be utilised in future research to reliably compare outcomes according to case mix and intra-operative difficulty