Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the ``stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.Comment: 17 pages, 7 figure

Synthesis of chiral zinc porphyrin and its thermodynamic study of coordination reactions with substituted imidazoles

2000-2001 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

High Acute Myeloid Leukemia derived VEGFA levels are associated with a specific vascular morphology in the leukemic bone marrow

Acute Myeloid Leukemia (AML) bone marrow biopsies at diagnosis display enhanced angiogenesis and increased VEGFA expression. In a xenograft mouse model it was described that availability of free VEGFA versus bound VEGFA is related to different vascular morphology. In this study we investigate the relationship between vascular morphology within AML bone marrow biopsies and AML derived VEGFA levels. Vessel count and surface area (Chalkley count) were calculated in AML bone marrow biopsies at diagnosis (n = 32), at remission (n = 8) and Normal Bone Marrow (n = 32) using immunohistochemical staining for FVIII, CD31, CTIV, SMA and VEGFA. VEGFA protein levels were measured. High vessel count was associated with an immature vessel status. Combining vessel count and Chalkley count different vessel morphology patterns were quantified within AML bone marrow biopsies. Three different subgroups could be distinguished. The subgroup (37.5% of the samples) exhibiting a high vessel count and vessels with predominantly large lumen (normal Chalkley count) was associated with high secreted VEGFA protein levels. Different vasculature patterns are seen in AML bone marrow biopsies, defined by combining number and size of vessel. These quantified morphology patterns, combined with VEGFA levels, might be of value in the success of VEGF/VEGFR-signaling interference approaches

A micro-accelerometer MDO benchmark problem

Many optimization and coordination methods for multidisciplinary design optimization (MDO) have been proposed in the last three decades. Suitable MDO benchmark problems for testing and comparing these methods are few however. This article presents a new MDO benchmark problem based on the design optimization of an ADXL150 type lateral capacitive micro-accelerometer. The behavioral models describe structural and dynamic effects, as well as electrostatic and amplification circuit contributions. Models for important performance indicators such as sensitivity, range, noise, and footprint area are presented. Geometric and functional constraints are included in these models to enforce proper functioning of the device. The developed models are analytical, and therefore highly suitable for benchmark and educational purposes. Four different problem decompositions are suggested for four design cases, each of which can be used for testing MDO coordination algorithms. As a reference, results for an all-in-one implementation, and a number of augmented Lagrangian coordination algorithms are given. © 2009 The Author(s)

The Myosin Va Head Domain Binds to the Neurofilament-L Rod and Modulates Endoplasmic Reticulum (ER) Content and Distribution within Axons

The neurofilament light subunit (NF-L) binds to myosin Va (Myo Va) in neurons but the sites of interaction and functional significance are not clear. We show by deletion analysis that motor domain of Myo Va binds to the NF-L rod domain that forms the NF backbone. Loss of NF-L and Myo Va binding from axons significantly reduces the axonal content of ER, and redistributes ER to the periphery of axon. Our data are consistent with a novel function for NFs as a scaffold in axons for maintaining the content and proper distribution of vesicular organelles, mediated in part by Myo Va. Based on observations that the Myo Va motor domain binds to intermediate filament (IF) proteins of several classes, Myo Va interactions with IFs may serve similar roles in organizing organelle topography in different cell types

Academic Performance and Behavioral Patterns

Identifying the factors that influence academic performance is an essential part of educational research. Previous studies have documented the importance of personality traits, class attendance, and social network structure. Because most of these analyses were based on a single behavioral aspect and/or small sample sizes, there is currently no quantification of the interplay of these factors. Here, we study the academic performance among a cohort of 538 undergraduate students forming a single, densely connected social network. Our work is based on data collected using smartphones, which the students used as their primary phones for two years. The availability of multi-channel data from a single population allows us to directly compare the explanatory power of individual and social characteristics. We find that the most informative indicators of performance are based on social ties and that network indicators result in better model performance than individual characteristics (including both personality and class attendance). We confirm earlier findings that class attendance is the most important predictor among individual characteristics. Finally, our results suggest the presence of strong homophily and/or peer effects among university students

Genome sequencing of the extinct Eurasian wild aurochs, Bos primigenius, illuminates the phylogeography and evolution of cattle

Background Domestication of the now-extinct wild aurochs, Bos primigenius, gave rise to the two major domestic extant cattle taxa, B. taurus and B. indicus. While previous genetic studies have shed some light on the evolutionary relationships between European aurochs and modern cattle, important questions remain unanswered, including the phylogenetic status of aurochs, whether gene flow from aurochs into early domestic populations occurred, and which genomic regions were subject to selection processes during and after domestication. Here, we address these questions using whole-genome sequencing data generated from an approximately 6,750-year-old British aurochs bone and genome sequence data from 81 additional cattle plus genome-wide single nucleotide polymorphism data from a diverse panel of 1,225 modern animals. Results Phylogenomic analyses place the aurochs as a distinct outgroup to the domestic B. taurus lineage, supporting the predominant Near Eastern origin of European cattle. Conversely, traditional British and Irish breeds share more genetic variants with this aurochs specimen than other European populations, supporting localized gene flow from aurochs into the ancestors of modern British and Irish cattle, perhaps through purposeful restocking by early herders in Britain. Finally, the functions of genes showing evidence for positive selection in B. taurus are enriched for neurobiology, growth, metabolism and immunobiology, suggesting that these biological processes have been important in the domestication of cattle. Conclusions This work provides important new information regarding the origins and functional evolution of modern cattle, revealing that the interface between early European domestic populations and wild aurochs was significantly more complex than previously thought