Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a more suitable tool for the purpose as it leaves no room for controversy. It is used here to model the S&P-500 Index, sampled daily over the period 1950-2011. The main results are as follows: The S&P-500 Index is characterized by both short and long-term dependence. More explicitly, it is characterized by at least 12 distinct scaling pa-rameters that are, ex hypothesis, determined by investors’ approach to the market. When the market is dominated by “blue-chippers” or ‘long-termists’, or when bubbles are ongoing, the index is persistent; and when the market is dominated by “con-trarians”, the index jumps to anti-persistence that is a far-from-equilibrium state in which market crashes are likely to occur.Gaussian Processes; Mixed Fractional Brownian Motion; Hurst Exponent; Local Self-similarity, Persistence; Anti-persistence; Definiteness of covariance Functions; Dissipative dynamic systems

Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a more suitable tool for the purpose as it leaves no room for controversy. It is used here to model the S&P-500 Index, sampled daily over the period 1950-2011. The main results are as follows: The S&P-500 Index is characterized by both short and long-term dependence. More explicitly, it is characterized by at least 12 distinct scaling pa-rameters that are, ex hypothesis, determined by investors’ approach to the market. When the market is dominated by “blue-chippers” or ‘long-termists’, or when bubbles are ongoing, the index is persistent; and when the market is dominated by “con-trarians”, the index jumps to anti-persistence that is a far-from-equilibrium state in which market crashes are likely to occur

Mixed Fractional Brownian Motion, Short and Long-Term Dependence and Economic Conditions: The Case of the S&P-500 Index

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a more suitable tool for the purpose as it leaves no room for controversy. It is used here to model the S&P-500 Index, sampled daily over the period 1950- 2011. The main results are as follows: The S&P-500 Index is characterized by both short and long-term dependence. More explicitly, it is characterized by at least 12 distinct scaling parameters that are, ex hypothesis, determined by investors’ approach to the market. When the market is dominated by “blue-chippers” or ‘long-termists’, or when bubbles are ongoing, the index is persistent; and when the market is dominated by “contrarians”, the index jumps to anti-persistence that is a far-from-equilibrium state in which market crashes are likely to occur.Key words: Gaussian processes; Mixed fractional Brownian motion; Hurst exponent; Local self-similarity; Persistence; Anti-persistence; Definiteness of covariance functions; Dissipative dynamic system

Mixed Fractional Brownian Motion, Short and Long-Term Dependence and Economic Conditions: The Case of the S&P-500 Index

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a more suitable tool for the purpose as it leaves no room for controversy. It is used here to model the S&P-500 Index, sampled daily over the period 1950- 2011. The main results are as follows: The S&P-500 Index is characterized by both short and long-term dependence. More explicitly, it is characterized by at least 12 distinct scaling parameters that are, ex hypothesis, determined by investors’ approach to the market. When the market is dominated by “blue-chippers” or ‘long-termists’, or when bubbles are ongoing, the index is persistent; and when the market is dominated by “contrarians”, the index jumps to anti-persistence that is a far-from-equilibrium state in which market crashes are likely to occur.Key words: Gaussian processes; Mixed fractional Brownian motion; Hurst exponent; Local self-similarity; Persistence; Anti-persistence; Definiteness of covariance functions; Dissipative dynamic system

Contenido foliar de N, P y K en algodón fertirrigado con efluente de alcantarillado tratado

El objetivo de este trabajo fue evaluar los efectos del riego con efluente de alcantarillado tratado en el contenido foliar de nitrógeno, fósforo y potasio en el cultivo de algodón (Gossypium hirsutum L. cultivar 8H) en dos tipos de suelos. El experimento fue llevado a cabo en el Campus de la Universidad Federal del Semi-Árido en Mossoró, Brasil. El diseño experimental empleado fue el de bloques al azar con parcelas subdivididas. Los tratamientos consistieron en diluciones del efluente de alcantarillado en agua de abastecimiento [25, 50, 75, 100% de efluente y tratamiento agua de abastecimiento + fertilización mineral del suelo - control] en dos tipos de suelos con diferentes texturas (Latossolo Vermelho Amarelo y Cambissolo). Se concluye que el uso de aguas residuales suple las necesidades nutricionales del cultivo de algodón en lo referente al N y K, excepto para el P.The objective of this study was to evaluate the effects of irrigation with treated sewage effluent in the leaf content of nitrogen, phosphorus and potassium in cotton (Gossypium hirsutum L. cultivar 8H) growing in two soil types. The experiment was carried out on the campus of the Federal University of the Semi-Arid Mossoró, Brazil. The experimental design was a randomized block with split plots. Treatments consisted of dilutions of domestic sewage effluent with water-supply [25, 50, 75 e 100% effluent and, water-supply + mineral soil fertilization - control] in two different types of soils textures (Oxisol and inceptisol). We conclude that the use of treated sewage effluent supplies the nutritional needs of growing cotton in relation to N and K, except for P

Assessment of normal tricuspid valve anatomy in adults by real-time three-dimensional echocardiography

Background: The tricuspid valve (TV) is a complex structure. Unlike the aortic and mitral valve it is not possible to visualize all TV leaflets simultaneously in one cross-sectional view by standard two-dimensional echocardiography (2DE) either transthoracic or transesophageal due to the position of TV in the far field. Aim: Quantitative and qualitative assessment of the normal TV using real-time 3-dimensional echocardiography (RT3DE). Methods: RT3DE was performed for 100 normal adults (mean age 30 ± 9 years, 65% males). RT3DE visualization was evaluated by 4-point score (1: not visualized, 2: inadequate, 3: sufficient, and 4: excellent). Measurements included TV annulus diameters (TAD), TV area (TVA), and commissural width. Results: In 90% of patients with good 2DE image quality, it was possible to analyse TV anatomy by RT3DE. A detailed anatomical structure including unique description and measurement of tricuspid annulus shape and size, TV leaflets shape, and mobility, and TV commissural width were obtained in majority of patients. Identification of each TV leaflet as seen in the routine 2DE views was obtained. Conclusion: RT3DE of the TVis feasible in a large number of patients. RT3DE may add to functional 2DE data in description of TV anatomy and providing highly reproducible and actual reality (anatomical and functional) measurements

May Measurement Month 2018: a pragmatic global screening campaign to raise awareness of blood pressure by the International Society of Hypertension

Aims Raised blood pressure (BP) is the biggest contributor to mortality and disease burden worldwide and fewer than half of those with hypertension are aware of it. May Measurement Month (MMM) is a global campaign set up in 2017, to raise awareness of high BP and as a pragmatic solution to a lack of formal screening worldwide. The 2018 campaign was expanded, aiming to include more participants and countries. Methods and results Eighty-nine countries participated in MMM 2018. Volunteers (≥18 years) were recruited through opportunistic sampling at a variety of screening sites. Each participant had three BP measurements and completed a questionnaire on demographic, lifestyle, and environmental factors. Hypertension was defined as a systolic BP ≥140 mmHg or diastolic BP ≥90 mmHg, or taking antihypertensive medication. In total, 74.9% of screenees provided three BP readings. Multiple imputation using chained equations was used to impute missing readings. 1 504 963 individuals (mean age 45.3 years; 52.4% female) were screened. After multiple imputation, 502 079 (33.4%) individuals had hypertension, of whom 59.5% were aware of their diagnosis and 55.3% were taking antihypertensive medication. Of those on medication, 60.0% were controlled and of all hypertensives, 33.2% were controlled. We detected 224 285 individuals with untreated hypertension and 111 214 individuals with inadequately treated (systolic BP ≥ 140 mmHg or diastolic BP ≥ 90 mmHg) hypertension. Conclusion May Measurement Month expanded significantly compared with 2017, including more participants in more countries. The campaign identified over 335 000 adults with untreated or inadequately treated hypertension. In the absence of systematic screening programmes, MMM was effective at raising awareness at least among these individuals at risk

Mapping genomic loci implicates genes and synaptic biology in schizophrenia

Schizophrenia has a heritability of 60-80%1, much of which is attributable to common risk alleles. Here, in a two-stage genome-wide association study of up to 76,755 individuals with schizophrenia and 243,649 control individuals, we report common variant associations at 287 distinct genomic loci. Associations were concentrated in genes that are expressed in excitatory and inhibitory neurons of the central nervous system, but not in other tissues or cell types. Using fine-mapping and functional genomic data, we identify 120 genes (106 protein-coding) that are likely to underpin associations at some of these loci, including 16 genes with credible causal non-synonymous or untranslated region variation. We also implicate fundamental processes related to neuronal function, including synaptic organization, differentiation and transmission. Fine-mapped candidates were enriched for genes associated with rare disruptive coding variants in people with schizophrenia, including the glutamate receptor subunit GRIN2A and transcription factor SP4, and were also enriched for genes implicated by such variants in neurodevelopmental disorders. We identify biological processes relevant to schizophrenia pathophysiology; show convergence of common and rare variant associations in schizophrenia and neurodevelopmental disorders; and provide a resource of prioritized genes and variants to advance mechanistic studies

Dissecting the Shared Genetic Architecture of Suicide Attempt, Psychiatric Disorders, and Known Risk Factors

Background Suicide is a leading cause of death worldwide, and nonfatal suicide attempts, which occur far more frequently, are a major source of disability and social and economic burden. Both have substantial genetic etiology, which is partially shared and partially distinct from that of related psychiatric disorders. Methods We conducted a genome-wide association study (GWAS) of 29,782 suicide attempt (SA) cases and 519,961 controls in the International Suicide Genetics Consortium (ISGC). The GWAS of SA was conditioned on psychiatric disorders using GWAS summary statistics via multitrait-based conditional and joint analysis, to remove genetic effects on SA mediated by psychiatric disorders. We investigated the shared and divergent genetic architectures of SA, psychiatric disorders, and other known risk factors. Results Two loci reached genome-wide significance for SA: the major histocompatibility complex and an intergenic locus on chromosome 7, the latter of which remained associated with SA after conditioning on psychiatric disorders and replicated in an independent cohort from the Million Veteran Program. This locus has been implicated in risk-taking behavior, smoking, and insomnia. SA showed strong genetic correlation with psychiatric disorders, particularly major depression, and also with smoking, pain, risk-taking behavior, sleep disturbances, lower educational attainment, reproductive traits, lower socioeconomic status, and poorer general health. After conditioning on psychiatric disorders, the genetic correlations between SA and psychiatric disorders decreased, whereas those with nonpsychiatric traits remained largely unchanged. Conclusions Our results identify a risk locus that contributes more strongly to SA than other phenotypes and suggest a shared underlying biology between SA and known risk factors that is not mediated by psychiatric disorders.Peer reviewe