Foreign exchange option and returns based correlation forecasts: evaluation and two applications

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2s, explaining up to 42 per cent of the realised correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro effective exchange rate index, and to analyse the impact on cross-currency co-movement of interventions on the JPY/USD exchange rate. JEL Classification: F31, F37, G15Correlation forecasts, currency options data, effective exchange rate

The informational content of over-the-counter currency options

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility than previously found using market-traded options. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified. JEL Classification: G13, G14, C22, C53Density, forecasting, FX, Interval, Volatility

Performance, Bias, and Efficiency of Foreign Exchange Correlation Forecasts

This paper evaluates the performance, bias, and the efficiency of option-implied and return-based correlation measures using 12 years of daily data on foreign exchange and over-the-counter (OTC) currency option. The sample includes five years of rates for the Polish zloty and the Czech koruna with respect to the euro and the U.S. dollar. The results show that implied correlation is a good predictor of realized correlation and is, generally, unbiased and efficient

On the Discrepancy between Theoretical and X-Ray Concentration-Mass Relations for Galaxy Clusters

[Abridged] In the past 15 years, the concentration-mass relation has been investigated diffusely in theoretical studies. On the other hand, only recently has this relation been derived from X-ray observations. When that happened, the results caused a certain level of concern: the X-ray normalizations and slopes were found significantly dissimilar from those predicted by theory. We analyzed 52 objects, simulated each time with different physical recipes for the baryonic component, as well as 60 synthetic X-ray images, to determine if these discrepancies are real or artificial. In particular, we investigate how the simulated concentration-mass relation depends (1) on the radial range used to derive the concentration, (2) on the presence of baryons in the simulations, and on the prescription used to reproduce the gas. Finally, we evaluate (3) how the results differ when adopting an X-ray approach for the analysis and (4) how the selection functions based on X-ray luminosity can impact the results. All effects studied go in the direction of alleviating the discrepancy between observations and simulations, although with different significance: while the fitting radial range and the baryonic component play only a minor role, the X-ray approach and selection function have profound repercussion on the resulting concentration-mass relation.Comment: 15 pages, 11 figures, 3 tables, ApJ in press. Significant extension of the study of the selection-function influence and more attentive treatment of errors (results unchanged

Phenobarbital for neonatal seizures:response rate and predictors of refractoriness

Background : Phenobarbital is the first-line choice for neonatal seizures treatment, despite a response rate of approximately 45%. Failure to respond to acute anticonvulsants is associated with poor neurodevelopmental outcome, but knowledge on predictors of refractoriness is limited. Objective : To quantify response rate to phenobarbital and to establish variables predictive of its lack of efficacy. Methods : We retrospectively evaluated newborns with electrographically confirmed neonatal seizures admitted between January 1999 and December 2012 to the neonatal intensive care unit of Parma University Hospital (Italy), excluding neonates with status epilepticus. Response was categorized as complete (cessation of clinical and electrographic seizures after phenobarbital administration), partial (reduction but not cessation of electrographic seizures with the first bolus, response to the second bolus), or absent (no response after the second bolus). Multivariate analysis was used to identify independent predictors of refractoriness. Results : Out of 91 newborns receiving phenobarbital, 57 (62.6%) responded completely, 15 (16.5%) partially, and 19 (20.9%) did not respond. Seizure type (p = 0.02), background electroencephalogram (EEG; p ≤ 0.005), and neurologic examination (p ≤ 0.005) correlated with response to phenobarbital. However, EEG (p ≤ 0.02) and seizure type (p ≤ 0.001) were the only independent predictors. Conclusion : Our results suggest a prominent role of neurophysiological variables (background EEG and electrographic-only seizure type) in predicting the absence of response to phenobarbital in high-risk newborns

Temperature Structure of the Intra-Cluster Medium from SPH and AMR simulations

Analyses of cosmological hydrodynamic simulations of galaxy clusters suggest that X-ray masses can be underestimated by 10% to 30%. The largest bias originates by both violation of hydrostatic equilibrium and an additional temperature bias caused by inhomogeneities in the X-ray emitting intra-cluster medium (ICM). To elucidate on this large dispersion among theoretical predictions, we evaluate the degree of temperature structures in cluster sets simulated either with smoothed-particle-hydrodynamics (SPH) and adaptive-mesh-refinement (AMR) codes. We find that the SPH simulations produce larger temperature variations connected to the persistence of both substructures and their stripped cold gas. This difference is more evident in no-radiative simulations, while it is reduced in the presence of radiative cooling. We also find that the temperature variation in radiative cluster simulations is generally in agreement with the observed one in the central regions of clusters. Around R_500 the temperature inhomogeneities of the SPH simulations can generate twice the typical hydrostatic-equilibrium mass bias of the AMR sample. We emphasize that a detailed understanding of the physical processes responsible for the complex thermal structure in ICM requires improved resolution and high sensitivity observations in order to extend the analysis to higher temperature systems and larger cluster-centric radii.Comment: 13 pages, 12 figures, 4 table

Vapor‐Phase Synthesis of Molecularly Imprinted Polymers on Nanostructured Materials at Room‐Temperature

Molecularly imprinted polymers (MIPs) have recently emerged as robust and versatile artificial receptors. MIP synthesis is carried out in liquid phase and optimized on planar surfaces. Application of MIPs to nanostructured materials is challenging due to diffusion-limited transport of monomers within the nanomaterial recesses, especially when the aspect ratio is >10. Here, the room temperature vapor-phase synthesis of MIPs in nanostructured materials is reported. The vapor phase synthesis leverages a >1000-fold increase in the diffusion coefficient of monomers in vapor phase, compared to liquid phase, to relax diffusion-limited transport and enable the controlled synthesis of MIPs also in nanostructures with high aspect ratio. As proof-of-concept application, pyrrole is used as the functional monomer thanks to its large exploitation in MIP preparation; nanostructured porous silicon oxide (PSiO2) is chosen to assess the vapor-phase deposition of PPy-based MIP in nanostructures with aspect ratio >100; human hemoglobin (HHb) is selected as the target molecule for the preparation of a MIP-based PSiO2 optical sensor. High sensitivity and selectivity, low detection limit, high stability and reusability are achieved in label-free optical detection of HHb, also in human plasma and artificial serum. The proposed vapor-phase synthesis of MIPs is immediately transferable to other nanomaterials, transducers, and proteins

Calmodulin Enhances Cryptochrome Binding to INAD in Drosophila Photoreceptors

Light is the main environmental stimulus that synchronizes the endogenous timekeeping systems in most terrestrial organisms. Drosophila cryptochrome (dCRY) is a light-responsive flavoprotein that detects changes in light intensity and wavelength around dawn and dusk. We have previously shown that dCRY acts through Inactivation No Afterpotential D (INAD) in a light-dependent manner on the Signalplex, a multiprotein complex that includes visual-signaling molecules, suggesting a role for dCRY in fly vision. Here, we predict and demonstrate a novel Ca2+-dependent interaction between dCRY and calmodulin (CaM). Through yeast two hybrid, coimmunoprecipitation (Co-IP), nuclear magnetic resonance (NMR) and calorimetric analyses we were able to identify and characterize a CaM binding motif in the dCRY C-terminus. Similarly, we also detailed the CaM binding site of the scaffold protein INAD and demonstrated that CaM bridges dCRY and INAD to form a ternary complex in vivo. Our results suggest a process whereby a rapid dCRY light response stimulates an interaction with INAD, which can be further consolidated by a novel mechanism regulated by CaM