Systemic Risk and Hedge Funds

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions---typically banks---that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has a symbiotic relationship with the banking sector, and many banks now operate proprietary trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a material impact on the banking sector, resulting in new sources of systemic risks. In this paper, we attempt to quantify the potential impact of hedge funds on systemic risk by developing a number of new risk measures for hedge funds and applying them to individual and aggregate hedge-fund returns data. These measures include: illiquidity risk exposure, nonlinear factor models for hedge-fund and banking-sector indexes, logistic regression analysis of hedge-fund liquidation probabilities, and aggregate measures of volatility and distress based on regime-switching models. Our preliminary findings suggest that the hedge-fund industry may be heading into a challenging period of lower expected returns, and that systemic risk is currently on the rise.

Capacity of and Coding for Multiple-Aperture, Wireless, Optical Communications

Thesis Supervisor: Jeffrey H. Shapiro Title: Julius A. Stratton Professor of Electrical EngineeringRefractive index turbulence causes random power fluctuations in optical communication systems, making communication through the atmosphere diffcult. This same phenomenon makes the stars twinkle at night, and pavement shimmer on a hot sum- mer day. True to the old adage, "don't put all your eggs in one basket," we examine laser communication systems that use multiple transmit and receive apertures. These apertures provide redundant replicas of the transmitted message to the receiver, each corrupted separately by the atmosphere. Reliable communication occurs when not all of these paths are deeply faded. We quantify the maximum rate of reliable communication, or capacity, and study space-time coding techniques for both direct- and coherent-detection receivers. We also experimentally verify the performance of some simple techniques for optically-preamplified, direct-detection receivers.Defense Advanced Research Projects Agenc

Capacity of and coding for multiple-aperture, wireless, optical communications

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003.Includes bibliographical references (p. 243-249).This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.Refractive index turbulence causes random power fluctuations in optical communication systems, making communication through the atmosphere difficult. This same phenomenon makes the stars twinkle at night, and pavement shimmer on a hot summer day. True to the old adage, "don't put all your eggs in one basket," we examine laser communication systems that use multiple transmit and receive apertures. These apertures provide redundant replicas of the transmitted message to the receiver, each corrupted separately by the atmosphere. Reliable communication occurs when not all of these paths are deeply faded. We quantify the maximum rate of reliable communication, or capacity, and study space-time coding techniques for both direct- and coherent-detection receivers. We also experimentally verify the performance of some simple techniques for optically-preamplified, direct-detection receivers.by Shane M. Haas.Ph.D

The influence of organizational culture and climate on entrepreneurial intentions among research scientists

Over the past decades, universities have increasingly become involved in entrepreneurial activities. Despite efforts to embrace their ‘third mission’, universities still demonstrate great heterogeneity in terms of their involvement in academic entrepreneurship. This papers adopts an institutional perspective to understand how organizational characteristics affect research scientists’ entrepreneurial intentions. Specifically, we study the impact of university culture and climate on entrepreneurial intentions, including intentions to spin off a company, to engage in patenting or licensing and to interact with industry through contract research or consulting. Using a sample of 437 research scientists from Swedish and German universities, our results reveal that the extent to which universities articulate entrepreneurship as a fundamental element of their mission fosters research scientists’ intentions to engage in spin-off creation and intellectual property rights, but not industry-science interaction. Furthermore, the presence of university role models positively affects research scientists’ propensity to engage in entrepreneurial activities, both directly and indirectly through entrepreneurial self-efficacy. Finally, research scientists working at universities which explicitly reward people for ‘third mission’ related output show higher levels of spin-off and patenting or licensing intentions. This study has implications for both academics and practitioners, including university managers and policy makers

A framework for human microbiome research

A variety of microbial communities and their genes (the microbiome) exist throughout the human body, with fundamental roles in human health and disease. The National Institutes of Health (NIH)-funded Human Microbiome Project Consortium has established a population-scale framework to develop metagenomic protocols, resulting in a broad range of quality-controlled resources and data including standardized methods for creating, processing and interpreting distinct types of high-throughput metagenomic data available to the scientific community. Here we present resources from a population of 242 healthy adults sampled at 15 or 18 body sites up to three times, which have generated 5,177 microbial taxonomic profiles from 16S ribosomal RNA genes and over 3.5 terabases of metagenomic sequence so far. In parallel, approximately 800 reference strains isolated from the human body have been sequenced. Collectively, these data represent the largest resource describing the abundance and variety of the human microbiome, while providing a framework for current and future studies

Structure, function and diversity of the healthy human microbiome

Author Posting. © The Authors, 2012. This article is posted here by permission of Nature Publishing Group. The definitive version was published in Nature 486 (2012): 207-214, doi:10.1038/nature11234.Studies of the human microbiome have revealed that even healthy individuals differ remarkably in the microbes that occupy habitats such as the gut, skin and vagina. Much of this diversity remains unexplained, although diet, environment, host genetics and early microbial exposure have all been implicated. Accordingly, to characterize the ecology of human-associated microbial communities, the Human Microbiome Project has analysed the largest cohort and set of distinct, clinically relevant body habitats so far. We found the diversity and abundance of each habitat’s signature microbes to vary widely even among healthy subjects, with strong niche specialization both within and among individuals. The project encountered an estimated 81–99% of the genera, enzyme families and community configurations occupied by the healthy Western microbiome. Metagenomic carriage of metabolic pathways was stable among individuals despite variation in community structure, and ethnic/racial background proved to be one of the strongest associations of both pathways and microbes with clinical metadata. These results thus delineate the range of structural and functional configurations normal in the microbial communities of a healthy population, enabling future characterization of the epidemiology, ecology and translational applications of the human microbiome.This research was supported in part by National Institutes of Health grants U54HG004969 to B.W.B.; U54HG003273 to R.A.G.; U54HG004973 to R.A.G., S.K.H. and J.F.P.; U54HG003067 to E.S.Lander; U54AI084844 to K.E.N.; N01AI30071 to R.L.Strausberg; U54HG004968 to G.M.W.; U01HG004866 to O.R.W.; U54HG003079 to R.K.W.; R01HG005969 to C.H.; R01HG004872 to R.K.; R01HG004885 to M.P.; R01HG005975 to P.D.S.; R01HG004908 to Y.Y.; R01HG004900 to M.K.Cho and P. Sankar; R01HG005171 to D.E.H.; R01HG004853 to A.L.M.; R01HG004856 to R.R.; R01HG004877 to R.R.S. and R.F.; R01HG005172 to P. Spicer.; R01HG004857 to M.P.; R01HG004906 to T.M.S.; R21HG005811 to E.A.V.; M.J.B. was supported by UH2AR057506; G.A.B. was supported by UH2AI083263 and UH3AI083263 (G.A.B., C. N. Cornelissen, L. K. Eaves and J. F. Strauss); S.M.H. was supported by UH3DK083993 (V. B. Young, E. B. Chang, F. Meyer, T. M. S., M. L. Sogin, J. M. Tiedje); K.P.R. was supported by UH2DK083990 (J. V.); J.A.S. and H.H.K. were supported by UH2AR057504 and UH3AR057504 (J.A.S.); DP2OD001500 to K.M.A.; N01HG62088 to the Coriell Institute for Medical Research; U01DE016937 to F.E.D.; S.K.H. was supported by RC1DE0202098 and R01DE021574 (S.K.H. and H. Li); J.I. was supported by R21CA139193 (J.I. and D. S. Michaud); K.P.L. was supported by P30DE020751 (D. J. Smith); Army Research Office grant W911NF-11-1-0473 to C.H.; National Science Foundation grants NSF DBI-1053486 to C.H. and NSF IIS-0812111 to M.P.; The Office of Science of the US Department of Energy under Contract No. DE-AC02-05CH11231 for P.S. C.; LANL Laboratory-Directed Research and Development grant 20100034DR and the US Defense Threat Reduction Agency grants B104153I and B084531I to P.S.C.; Research Foundation - Flanders (FWO) grant to K.F. and J.Raes; R.K. is an HHMI Early Career Scientist; Gordon&BettyMoore Foundation funding and institutional funding fromthe J. David Gladstone Institutes to K.S.P.; A.M.S. was supported by fellowships provided by the Rackham Graduate School and the NIH Molecular Mechanisms in Microbial Pathogenesis Training Grant T32AI007528; a Crohn’s and Colitis Foundation of Canada Grant in Aid of Research to E.A.V.; 2010 IBM Faculty Award to K.C.W.; analysis of the HMPdata was performed using National Energy Research Scientific Computing resources, the BluBioU Computational Resource at Rice University

Investigation of hospital discharge cases and SARS-CoV-2 introduction into Lothian care homes

Background The first epidemic wave of severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) in Scotland resulted in high case numbers and mortality in care homes. In Lothian, over one-third of care homes reported an outbreak, while there was limited testing of hospital patients discharged to care homes. Aim To investigate patients discharged from hospitals as a source of SARS-CoV-2 introduction into care homes during the first epidemic wave. Methods A clinical review was performed for all patients discharges from hospitals to care homes from 1st March 2020 to 31st May 2020. Episodes were ruled out based on coronavirus disease 2019 (COVID-19) test history, clinical assessment at discharge, whole-genome sequencing (WGS) data and an infectious period of 14 days. Clinical samples were processed for WGS, and consensus genomes generated were used for analysis using Cluster Investigation and Virus Epidemiological Tool software. Patient timelines were obtained using electronic hospital records. Findings In total, 787 patients discharged from hospitals to care homes were identified. Of these, 776 (99%) were ruled out for subsequent introduction of SARS-CoV-2 into care homes. However, for 10 episodes, the results were inconclusive as there was low genomic diversity in consensus genomes or no sequencing data were available. Only one discharge episode had a genomic, time and location link to positive cases during hospital admission, leading to 10 positive cases in their care home. Conclusion The majority of patients discharged from hospitals were ruled out for introduction of SARS-CoV-2 into care homes, highlighting the importance of screening all new admissions when faced with a novel emerging virus and no available vaccine

Genomic investigations of unexplained acute hepatitis in children

Since its first identification in Scotland, over 1,000 cases of unexplained paediatric hepatitis in children have been reported worldwide, including 278 cases in the UK1. Here we report an investigation of 38 cases, 66 age-matched immunocompetent controls and 21 immunocompromised comparator participants, using a combination of genomic, transcriptomic, proteomic and immunohistochemical methods. We detected high levels of adeno-associated virus 2 (AAV2) DNA in the liver, blood, plasma or stool from 27 of 28 cases. We found low levels of adenovirus (HAdV) and human herpesvirus 6B (HHV-6B) in 23 of 31 and 16 of 23, respectively, of the cases tested. By contrast, AAV2 was infrequently detected and at low titre in the blood or the liver from control children with HAdV, even when profoundly immunosuppressed. AAV2, HAdV and HHV-6 phylogeny excluded the emergence of novel strains in cases. Histological analyses of explanted livers showed enrichment for T cells and B lineage cells. Proteomic comparison of liver tissue from cases and healthy controls identified increased expression of HLA class 2, immunoglobulin variable regions and complement proteins. HAdV and AAV2 proteins were not detected in the livers. Instead, we identified AAV2 DNA complexes reflecting both HAdV-mediated and HHV-6B-mediated replication. We hypothesize that high levels of abnormal AAV2 replication products aided by HAdV and, in severe cases, HHV-6B may have triggered immune-mediated hepatic disease in genetically and immunologically predisposed children