Modelling the conditional distribution of daily stock index returns: an alternative Bayesian semiparametric model

This paper introduces a new family of Bayesian semi-parametric models for the conditional distribution of daily stock index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility clustering, and the ‘leverage effect’. A Bayesian nonparametric prior is used to generate random density functions that are unimodal and asymmetric.Volatility is modelled parametrically. The new model is applied to the daily re- turns of the S&P 500, FTSE 100, and EUROSTOXX 50 indices and is compared to GARCH, Stochastic Volatility, and other Bayesian semi-parametric models

Multiple period resonances of long period gratings in photonic crystal fibre

A comprehensive eigenmode analysis is performed of the guided modes supported by typical photonic crystal fiber. These modes exhibit unusual phase matching conditions requiring multiple grating periods for resonant coupling. All the signature features of the experimentally observed transmission spectra are explained by multiple-period resonances

Association of Peripheral Membrane Proteins with Membranes: Free Energy of Binding of GRP1 PH Domain with Phosphatidylinositol Phosphate-Containing Model Bilayers

Understanding the energetics of peripheral protein-membrane interactions is important to many areas of biophysical chemistry and cell biology. Estimating free-energy landscapes by molecular dynamics (MD) simulation is challenging for such systems, especially when membrane recognition involves complex lipids, e.g., phosphatidylinositol phosphates (PIPs). We combined coarse-grained MD simulations with umbrella sampling to quantify the binding of the well-explored GRP1 pleckstrin homology (PH) domain to model membranes containing PIP molecules. The experimentally observed preference of GRP1-PH for PIP3 over PIP2 was reproduced. Mutation of a key residue (K273A) within the canonical PIP-binding site significantly reduced the free energy of PIP binding. The presence of a noncanonical PIP-interaction site, observed experimentally in other PH domains but not previously in GRP1-PH, was also revealed. These studies demonstrate how combining coarse-grained simulations and umbrella sampling can unmask the molecular basis of the energetics of interactions between peripheral membrane proteins and complex cellular membranes

Flexible modeling of dependence in volatility processes

This paper proposes a novel stochastic volatility model that draws from the exist- ing literature on autoregressive stochastic volatility models, aggregation of autoregres- sive processes, and Bayesian nonparametric modelling to create a stochastic volatility model that can capture long range dependence. The volatility process is assumed to be the aggregate of autoregressive processes where the distribution of the autoregressive coefficients is modelled using a flexible Bayesian approach. The model provides insight into the dynamic properties of the volatility. An efficient algorithm is defined which uses recently proposed adaptive Monte Carlo methods. The proposed model is applied to the daily returns of stocks

Characterization of polymer nanowires fabricated using the nanoimprint method

In this paper, an ormocomp polymer nanowire with possible use in integrated-optics sensing applications is presented. We discuss the structure design, the fabrication process and present results of the simulation and characterization of the optical field profile. Since the nanowires are designed and intended to be used as integrated optics devices, they are attached to tapered and feed waveguides at their ends. The fabrication process in this work is based mainly on the nanoimprint technique. The method assumes a silicon nanowire as an original pattern, and polydimethylsiloxane (PDMS) as thesoft mold. The PDMS mold is directly imprinted on the ormocomp layer and then cured by UV light to form the polymer based nanowire. The ormocomp nanowires are fabricated to have various dimensions of width and length at a fixed 500nm thickness. The length of the nanowires is varied from 250 μm to 2 mm, whereas the width of the structures is varied between 500nm and 1μm. The possible optical mode field profile that occurs in the proposed polymer nanowire design is studied using the H-field finite element method (FEM). In the characterization part, the optical field profile and the intensity at the device output are the main focus of this paper. The various lengths of the nanowires show different characteristics in term of output intensity. An image processing is used to process the image to obtain the intensity of the output signal. A comparison of the optical field and output intensity for each polymer nanowire is also discussed

Distinctive phosphoinositide- and Ca²⁺-binding properties of normal and cognitive performance–linked variant forms of KIBRA C2 domain

Kidney- and brain-expressed protein (KIBRA), a multifunctional scaffold protein with around 20 known binding partners, is involved in memory and cognition, organ size control via the Hippo pathway, cell polarity, and membrane trafficking. KIBRA includes tandem N-terminal WW domains, a C2 domain, and motifs for binding atypical PKC and PDZ domains. A naturally occurring human KIBRA variant involving residue changes at positions 734 (Met-to-Ile) and 735 (Ser-to-Ala) within the C2 domain affects cognitive performance. We have elucidated 3D structures and calcium- and phosphoinositide-binding properties of human KIBRA C2 domain. Both WT and variant C2 adopt a canonical type I topology C2 domain fold. Neither Ca²⁺ nor any other metal ion was bound to WT or variant KIBRA C2 in crystal structures, and Ca²⁺ titration produced no significant reproducible changes in NMR spectra. NMR and X-ray diffraction data indicate that KIBRA C2 binds phosphoinositides via an atypical site involving β-strands 5, 2, 1, and 8. Molecular dynamics simulations indicate that KIBRA C2 interacts with membranes via primary and secondary sites on the same domain face as the experimentally identified phosphoinositide-binding site. Our results indicate that KIBRA C2 domain association with membranes is calcium-independent and involves distinctive C2 domain–membrane relative orientations.

Maritime traffic externalities in the Gulf of Finland until 2030

Maritime traffic in the Gulf of Finland has grown remarkably during the 2000s. This increase has an impact on the environment and exposes it to risks. These problems should be controlled to guarantee sustainable development and the welfare of inhabitants in the area. A method for estimating the impact of ship-originated air emissions on the environment is to calculate their environmental externalities which are a part of the total marginal social costs of shipping. The internalization of externalities as a control method of transport would comply with the polluter pays principle and act as a fair traffic control method between transport modes. In this paper, we present the results of CO2, NOx, SOx and PM emissions originating from ships and their externalities in the Gulf of Finland up to 2015. The calculation algorithm developed for this study produces emission estimates per annum and converts them into externalities. We focus on passenger, tanker, general cargo, Ro-Ro, container and bulk vessel ship types representing almost 90% of the total NOx emissions of shipping in the area. Scenario modelling is a method for estimating the effects of forthcoming or planned regulations and helps with targeting emission abatement actions to maximize their profit. The results of the calculation algorithm show that externalities can be used as a consultative tool for transport-related decision-making. The costs are given at the price levels of the year 2000. The total external cost of ship-originated CO2, NOx, SOx and PM emissions in the Gulf of Finland was almost (sic)175 million in 2007. Due to increased traffic volumes, these costs will increase to nearly (sic)214 million in 2015. The majority of externalities are produced by CO2 emissions. If we deduct CO2 externalities from the results, we get total externalities of (sic)57 million in 2007. Following eight years (2015), externalities would be 28% or (sic)41 million lower. This would be as a result of regulation reducing the sulphur content of marine fuels. Regulating SOx and PM emissions will slow down the increasing trend of shipborne externalities in the Gulf of Finland; however, the externalities are still growing. In order to achieve a downward trend, the two major compounds resulting in externalities must be reduced, which requires strict actions to lower shipborne CO2 and NOx emissions

Effect of surfactants during drop formation in a microfluidic channel: a combined experimental and computational fluid dynamics approach

The effect of surfactants on the flow characteristics during rapid drop formation in a microchannel is investigated using high-speed imaging, micro-particle image velocimetry and numerical simulations; the latter are performed using a three- dimensional multiphase solver that accounts for the transport of soluble surfactants in the bulk and at the interface. Drops are generated in a flow-focusing microchannel, using silicone oil ( 4.6 mPa s) as the continuous phase and a 52 % w/w glycerol solution as the dispersed phase. A non-ionic surfactant (Triton X-100) is dissolved in the dispersed phase at concentrations below and above the critical micelle concentration. Good agreement is found between experimental and numerical data for the drop size, drop formation time and circulation patterns. The results reveal strong circulation patterns in the forming drop in the absence of surfactants, whose intensity decreases with increasing surfactant concentration. The surfactant concentration profiles in the bulk and at the interface are shown for all stages of drop formation. The surfactant interfacial concentration is large at the front and the back of the forming drop, while the neck region is almost surfactant free. Marangoni stresses develop away from the neck, contributing to changes in the velocity profile inside the drop

Multiscale Simulations Suggest a Mechanism for the Association of the Dok7 PH Domain with PIP-Containing Membranes

Dok7 is a peripheral membrane protein that is associated with the MuSK receptor tyrosine kinase. Formation of the Dok7/MuSK/membrane complex is required for the activation of MuSK. This is a key step in the complex exchange of signals between neuron and muscle, which lead to neuromuscular junction formation, dysfunction of which is associated with congenital myasthenic syndromes. The Dok7 structure consists of a Pleckstrin Homology (PH) domain and a Phosphotyrosine Binding (PTB) domain. The mechanism of the Dok7 association with the membrane remains largely unknown. Using multi-scale molecular dynamics simulations we have explored the formation of the Dok7 PH/membrane complex. Our simulations indicate that the PH domain of Dok7 associates with membranes containing phosphatidylinositol phosphates (PIPs) via interactions of the β1/β2, β3/β4, and β5/β6 loops, which together form a positively charged surface on the PH domain and interact with the negatively charged headgroups of PIP molecules. The initial encounter of the Dok7 PH domain is followed by formation of additional interactions with the lipid bilayer, and especially with PIP molecules, which stabilizes the Dok7 PH/membrane complex. We have quantified the binding of the PH domain to the model bilayers by calculating a density landscape for protein/membrane interactions. Detailed analysis of the PH/PIP interactions reveal both a canonical and an atypical site to be occupied by the anionic lipid. PH domain binding leads to local clustering of PIP molecules in the bilayer. Association of the Dok7 PH domain with PIP lipids is therefore seen as a key step in localization of Dok7 to the membrane and formation of a complex with MuSK