4,064 research outputs found

    Non-Parametric Extraction of Implied Asset Price Distributions

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    Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options' expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.Comment: Paper based on Application of Physics in Financial Analysis,APFA5, Conference Presentation, Torino, Italy. 11.5 Page

    Computational complexity of reconstruction and isomorphism testing for designs and line graphs

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    Graphs with high symmetry or regularity are the main source for experimentally hard instances of the notoriously difficult graph isomorphism problem. In this paper, we study the computational complexity of isomorphism testing for line graphs of tt-(v,k,λ)(v,k,\lambda) designs. For this class of highly regular graphs, we obtain a worst-case running time of O(vlog⁑v+O(1))O(v^{\log v + O(1)}) for bounded parameters t,k,λt,k,\lambda. In a first step, our approach makes use of the Babai--Luks algorithm to compute canonical forms of tt-designs. In a second step, we show that tt-designs can be reconstructed from their line graphs in polynomial-time. The first is algebraic in nature, the second purely combinatorial. For both, profound structural knowledge in design theory is required. Our results extend earlier complexity results about isomorphism testing of graphs generated from Steiner triple systems and block designs.Comment: 12 pages; to appear in: "Journal of Combinatorial Theory, Series A

    Primitive decompositions of Johnson graphs

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    A transitive decomposition of a graph is a partition of the edge set together with a group of automorphisms which transitively permutes the parts. In this paper we determine all transitive decompositions of the Johnson graphs such that the group preserving the partition is arc-transitive and acts primitively on the parts.Comment: 35 page

    Dynamical Mass Generation of Composite Dirac Fermions and Fractional Quantum Hall Effects near Charge Neutrality in Graphene

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    We develop a composite Dirac fermion theory for the fractional quantum Hall effects (QHE) near charge neutrality in graphene. We show that the interactions between the composite Dirac fermions lead to dynamical mass generation through exciton condensation. The four-fold spin-valley degeneracy is fully lifted due to the mass generation and the exchange effects such that the odd-denominator fractional QHE observed in the vicinity of charge neutrality can be understood in terms of the integer QHE of the composite Dirac fermions. At the filling factor Ξ½=1/2\nu=1/2, we show that the massive composite Dirac fermion liquid is unstable against chiral p-wave pairing for weak Coulomb interactions and the ground state is a paired nonabelian state described by the Moore-Read Pfaffian in the long wavelength limit.Comment: Extended, published version, 9 pages, 3 figure

    Investigating atmospheric predictability on Mars using breeding vectors in a general-circulation model

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    A breeding vectors approach is used to investigate the hypothesis that the Martian atmosphere is predictable at certain times of year, by identifying the fastest-growing modes of instability at different times in a Mars general-circulation model. Results indicate that the period from northern mid-spring until mid-autumn is remarkably predictable, with negative global growth rates for a range of conditions, in contrast to the situation on the earth. From northern late autumn to early spring growing modes do occur, peaking in northern high latitudes and near winter solstice. Reducing the size of the initial perturbations increases global growth rates in most cases, supporting the idea that instabilities which saturate nonlinearly at lower amplitudes have generally faster growth rates. In late autumn/early winter the fastest-growing modes ('bred vectors') are around the north pole, increase with dust loading, and probably grow via barotropic as well as baroclinic energy conversion. In northern late winter/early spring the bred vectors are around the north pole and are strongly baroclinic in nature. As dust loading (and with it the global circulation strength) is increased their growth rates first decrease, as the baroclinic mode is suppressed, then increase again as the fastest-growing instabilities switch to being those which dominated earlier in the year. If dust levels are very low during late northern autumn (late southern spring) then baroclinic modes are also found around the spring pole in the south, though for a slight increase in dust loading the dominant modes shift back to northern high latitudes. The bred vectors are also used as perturbations to the initial conditions for ensemble simulations. One possible application within the Mars model is as a means of identifying regions and times when dust-lifting activity (related to surface wind stress) might show significant interannual variability for a given model configuration, without the need to perform long, computationally expensive multi-year model runs with each new set-up. This is tested for a time of year when previous multi-year experiments showed significant variability in dust storm onset in the region north of Chryse. Despite the model having no feedbacks between dust lifting and atmospheric state (unlike the original multi-year run), the ensemble members still show maximum divergence in this region in terms of near-surface wind stress, suggesting both that this application deserves further testing, and that the intrinsic atmospheric variability alone may be important in producing interannual variability in this storm type

    A novel cyclic biased agonist of the apelin receptor, MM07, is disease modifying in the rat monocrotaline model of pulmonary arterial hypertension.

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    BACKGROUND AND PURPOSE: Apelin is an endogenous vasodilatory and inotropic peptide that is down-regulated in human pulmonary arterial hypertension, although the density of the apelin receptor is not significantly attenuated. We hypothesised that a G protein-biased apelin analogue MM07, which is more stable than the endogenous apelin peptide, may be beneficial in this condition with the advantage of reduced Ξ²-arrestin-mediated receptor internalisation with chronic use. EXPERIMENTAL APPROACH: Male Sprague-Dawley rats received either monocrotaline to induce pulmonary arterial hypertension or saline and then daily i.p. injections of either MM07 or saline for 21Β days. The extent of disease was assessed by right ventricular catheterisation, cardiac MRI, and histological analysis of the pulmonary vasculature. The effect of MM07 on signalling, proliferation, and apoptosis of human pulmonary artery endothelial cells was investigated. KEY RESULTS: MM07 significantly reduced the elevation of right ventricular systolic pressure and hypertrophy induced by monocrotaline. Monocrotaline-induced changes in cardiac structure and function, including right ventricular end-systolic and end-diastolic volumes, ejection fraction, and left ventricular end-diastolic volume, were attenuated by MM07. MM07 also significantly reduced monocrotaline-induced muscularisation of small pulmonary blood vessels. MM07 stimulated endothelial NOS phosphorylation and expression, promoted proliferation, and attenuated apoptosis of human pulmonary arterial endothelial cells in vitro. CONCLUSION AND IMPLICATIONS: Our findings suggest that chronic treatment with MM07 is beneficial in this animal model of pulmonary arterial hypertension by addressing disease aetiology. These data support the development of G protein-biased apelin receptor agonists with improved pharmacokinetic profiles for use in human disease.the Medical Research Council MC_PC_14116 [to APD] Wellcome Trust [107715/Z/15/Z to APD], Programme in Metabolic and Cardiovascular Disease [096822/Z/11/Z to PY; 203814/Z/16/A to TLW], Parke Davis Fellowship [to PY], British Heart Foundation [FS/14/59/31282 to CR] and in part by the National Institute for Health Research Cambridge Biomedical Research Centre

    Nanotechnology and Nanotoxicology in Retinopathy

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    Nanoparticles are nanometer-scaled particles, and can be utilized in the form of nanocapsules, nanoconjugates, or nanoparticles themselves for the treatment of retinopathy, including angiogensis-related blindness, retinal degeneration, and uveitis. They are thought to improve the bioavailability in the retina and the permeability of therapeutic molecules across the barriers of the eye, such as the cornea, conjunctiva, and especially, blood-retinal barriers (BRBs). However, consisting of multiple neuronal cells, the retina can be the target of neuronal toxicity of nanoparticles, in common with the central and peripheral nervous system. Furthermore, the ability of nanoparticles to pass through the BRBs might increase the possibility of toxicity, simultaneously promoting distribution in the retinal layers. In this regard, we discussed nanotechnology and nanotoxicology in the treatment of retinopathy

    The role of forest trees and their mycorrhizal fungi in carbonate rock weathering and its significance for global carbon cycling

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    On million-year timescales, carbonate rock weathering exerts no net effect on atmospheric CO2 concentration. However, on timescales of decades-to-centuries, it can contribute to sequestration of anthropogenic CO2 and increase land–ocean alkalinity flux, counteracting ocean acidification. Historical evidence indicates this flux is sensitive to land use change, and recent experimental evidence suggests that trees and their associated soil microbial communities are major drivers of continental mineral weathering. Here, we review key physical and chemical mechanisms by which the symbiotic mycorrhizal fungi of forest tree roots potentially enhance carbonate rock weathering. Evidence from our ongoing field study at the UK's national pinetum confirms increased weathering of carbonate rocks by a wide range of gymnosperm and angiosperm tree species that form arbuscular (AM) or ectomycorrhizal (EM) fungal partnerships. We demonstrate that calcite-containing rock grains under EM tree species weather significantly faster than those under AM trees, an effect linked to greater soil acidification by EM trees. Weathering and corresponding alkalinity export are likely to increase with rising atmospheric CO2 and associated climate change. Our analyses suggest that strategic planting of fast-growing EM angiosperm taxa on calcite- and dolomite-rich terrain might accelerate the transient sink for atmospheric CO2 and slow rates of ocean acidification

    The G Protein Biased Small Molecule Apelin Agonist CMF-019 is Disease Modifying in Endothelial Cell Apoptosis In Vitro and Induces Vasodilatation Without Desensitisation In Vivo

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    Signaling through the apelin receptor is beneficial for a number of diseases including pulmonary arterial hypertension. The endogenous small peptides, apelin and elabela/toddler, are downregulated in pulmonary arterial hypertension but are not suitable for exogenous administration owing to a lack of bioavailability, proteolytic instability and susceptibility to renal clearance. CMF-019, a small molecule apelin agonist that displays strong bias towards G protein signaling over β-arrestin (∼400 fold), may be more suitable. This study demonstrates that in addition to being a positive inotrope, CMF-019 caused dose-dependent vasodilatation in vivo (50 nmol 4.16 ± 1.18 mmHg, **p < 0.01; 500 nmol 6.62 ± 1.85 mmHg, **p < 0.01), without receptor desensitization. Furthermore, CMF-019 rescues human pulmonary artery endothelial cells from apoptosis induced by tumor necrosis factor α and cycloheximide (5.66 ± 0.97%, **p < 0.01) by approximately 50% of that observable with rhVEGF (11.59 ± 1.85%, **p < 0.01), suggesting it has disease-modifying potential in vitro. CMF-019 displays remarkable bias at the apelin receptor for a small molecule and importantly recapitulates all aspects of the cardiovascular responses to the endogenous ligand, [Pyr1]apelin-13, in vivo. Additionally, it is able to protect human pulmonary artery endothelial cells from apoptosis, suggesting that the beneficial effects observed with apelin agonists extend beyond hemodynamic alleviation and address disease etiology itself. These findings support CMF-019 as a G protein biased small molecule apelin agonist in vitro and in vivo that could form the basis for the design of novel therapeutic agents in chronic diseases, such as, pulmonary arterial hypertension
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