Optimal submission problem in a limit order book with VaR constraints

We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) constraint when arrivals of the buy and sell orders are governed by a Poisson process. The problem is formulated as a constrained utility maximization problem over a finite time horizon. Using a diffusion approximation to Poisson arrivals of market orders, the dynamic programming principle can be applied here. We propose an efficient procedure to solve this constrained utility maximization problem based on a successive approximation algorithm. Numerical examples with and without the VaR constraint are used to illustrate the effect of the risk constraint on the dealer's choices. We also conduct numerical experiments to analyze the impacts of the risk constraint on dealer's terminal profit. © 2012 IEEE.published_or_final_versionThe 5th International Joint Conference on Computational Sciences and Optimization (CSO 2012), Harbin, Heilongjiang Province, China, 23-26 June 2012. In Proceedings of the 5th CSO, 2012, p. 266-27

Asset allocation under regime-switching models

We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies. © 2012 IEEE.published_or_final_versio

A combination of left ventricular noncompaction and double orifice mitral valve

A 24-year-old woman admitted with mild chest distress associated with activity without chest complaint for twenty days. Two orifices were visible at the level of the mitral valve with a transthoracic short-axis view of the two-dimensional and three-dimensional echocardiography. The left ventricle was mildly dilatated and the left ventricular wall was thickened, especially at the apex and anterolateral wall, and appeared sponge-like. There were numerous, excessively prominent trabeculations associated with intertrabecular recesses. Although the coexistence of NVM and DOMV could be a coincidence, we believe that both defects were probably caused by a developmental arrest of the left ventricular myocardium in the present case

Contribution of the cyclic nucleotide gated channel subunit, CNG-3, to olfactory plasticity in Caenorhabditis elegans.

In Caenorhabditis elegans, the AWC neurons are thought to deploy a cGMP signaling cascade in the detection of and response to AWC sensed odors. Prolonged exposure to an AWC sensed odor in the absence of food leads to reversible decreases in the animal's attraction to that odor. This adaptation exhibits two stages referred to as short-term and long-term adaptation. Previously, the protein kinase G (PKG), EGL-4/PKG-1, was shown necessary for both stages of adaptation and phosphorylation of its target, the beta-type cyclic nucleotide gated (CNG) channel subunit, TAX-2, was implicated in the short term stage. Here we uncover a novel role for the CNG channel subunit, CNG-3, in short term adaptation. We demonstrate that CNG-3 is required in the AWC for adaptation to short (thirty minute) exposures of odor, and contains a candidate PKG phosphorylation site required to tune odor sensitivity. We also provide in vivo data suggesting that CNG-3 forms a complex with both TAX-2 and TAX-4 CNG channel subunits in AWC. Finally, we examine the physiology of different CNG channel subunit combinations

Protein interactions in Xenopus germ plasm RNP particles

Hermes is an RNA-binding protein that we have previously reported to be found in the ribonucleoprotein (RNP) particles of Xenopus germ plasm, where it is associated with various RNAs, including that encoding the germ line determinant Nanos1. To further define the composition of these RNPs, we performed a screen for Hermes-binding partners using the yeast two-hybrid system. We have identified and validated four proteins that interact with Hermes in germ plasm: two isoforms of Xvelo1 (a homologue of zebrafish Bucky ball) and Rbm24b and Rbm42b, both RNA-binding proteins containing the RRM motif. GFP-Xvelo fusion proteins and their endogenous counterparts, identified with antisera, were found to localize with Hermes in the germ plasm particles of large oocytes and eggs. Only the larger Xvelo isoform was naturally found in the Balbiani body of previtellogenic oocytes. Bimolecular fluorescence complementation (BiFC) experiments confirmed that Hermes and the Xvelo variants interact in germ plasm, as do Rbm24b and 42b. Depletion of the shorter Xvelo variant with antisense oligonucleotides caused a decrease in the size of germ plasm aggregates and loosening of associated mitochondria from these structures. This suggests that the short Xvelo variant, or less likely its RNA, has a role in organizing and maintaining the integrity of germ plasm in Xenopus oocytes. While GFP fusion proteins for Rbm24b and 42b did not localize into germ plasm as specifically as Hermes or Xvelo, BiFC analysis indicated that both interact with Hermes in germ plasm RNPs. They are very stable in the face of RNA depletion, but additive effects of combinations of antisense oligos suggest they may have a role in germ plasm structure and may influence the ability of Hermes protein to effectively enter RNP particles

Coalescent-based genome analyses resolve the early branches of the euarchontoglires

Despite numerous large-scale phylogenomic studies, certain parts of the mammalian tree are extraordinarily difficult to resolve. We used the coding regions from 19 completely sequenced genomes to study the relationships within the super-clade Euarchontoglires (Primates, Rodentia, Lagomorpha, Dermoptera and Scandentia) because the placement of Scandentia within this clade is controversial. The difficulty in resolving this issue is due to the short time spans between the early divergences of Euarchontoglires, which may cause incongruent gene trees. The conflict in the data can be depicted by network analyses and the contentious relationships are best reconstructed by coalescent-based analyses. This method is expected to be superior to analyses of concatenated data in reconstructing a species tree from numerous gene trees. The total concatenated dataset used to study the relationships in this group comprises 5,875 protein-coding genes (9,799,170 nucleotides) from all orders except Dermoptera (flying lemurs). Reconstruction of the species tree from 1,006 gene trees using coalescent models placed Scandentia as sister group to the primates, which is in agreement with maximum likelihood analyses of concatenated nucleotide sequence data. Additionally, both analytical approaches favoured the Tarsier to be sister taxon to Anthropoidea, thus belonging to the Haplorrhine clade. When divergence times are short such as in radiations over periods of a few million years, even genome scale analyses struggle to resolve phylogenetic relationships. On these short branches processes such as incomplete lineage sorting and possibly hybridization occur and make it preferable to base phylogenomic analyses on coalescent methods

Software project planning through comparison of Bio-inspired algorithms

Currently many organizations have adopted the development of software projects with agile methodologies, particularly Scrum, which has more than 20 years of development. In these methodologies, software is developed iteratively and delivered to the client in increments called releases. In the releases, the goal is to develop system functionality that quickly adds value to the client’s business. At the beginning of the project, one or more releases are planned. For solving the problem of replanning in the context of releases, a model is proposed considering the characteristics of agile development using Scrum. The results obtained show that the algorithm takes a little less than 7 min for solutions that propose replanning composed by 16 sprints, which is equivalent to 240 days of project. They show that applying a repair operator increases the hypervolume qualit

Echocardiography in the diagnosis left ventricular noncompaction

Echocardiography is the method of choice to establish a diagnosis and determine a treatment plan for patients with noncompaction of ventricular myocardium (NVM). The 2-dimentional echocardiography, 3-dimentional echocardiography, color Doppler echocardiography and contrast-enhanced echocardiography are of critical importance for diagnosis and family screening of NVM

Combining active learning and semi-supervised learning techniques to extract protein interaction sentences

Background: Protein-protein interaction (PPI) extraction has been a focal point of many biomedical research and database curation tools. Both Active Learning and Semi-supervised SVMs have recently been applied to extract PPI automatically. In this paper, we explore combining the AL with the SSL to improve the performance of the PPI task. Methods: We propose a novel PPI extraction technique called PPISpotter by combining Deterministic Annealing-based SSL and an AL technique to extract protein-protein interaction. In addition, we extract a comprehensive set of features from MEDLINE records by Natural Language Processing (NLP) techniques, which further improve the SVM classifiers. In our feature selection technique, syntactic, semantic, and lexical properties of text are incorporated into feature selection that boosts the system performance significantly. Results: By conducting experiments with three different PPI corpuses, we show that PPISpotter is superior to the other techniques incorporated into semi-supervised SVMs such as Random Sampling, Clustering, and Transductive SVMs by precision, recall, and F-measure. Conclusions: Our system is a novel, state-of-the-art technique for efficiently extracting protein-protein interaction pairs.X116sciescopu

Modulation of the <i>Neisseria gonorrhoeae </i>drug efflux conduit MtrE

We acknowledge funding through the Wellcome Trust Interdisciplinary Research Funds (grant WT097818MF), the Scottish Universities’ Physics Alliance (SUPA), Tenovus Tayside (grant T16/30) and the Tayside Charitable Trust. O.N.V. has been funded through a BBSRC CASE award (BB/J013072/1).Widespread antibiotic resistance, especially of Gram-negative bacteria, has become a severe concern for human health. Tripartite efflux pumps are one of the major contributors to resistance in Gram-negative pathogens, by efficiently expelling a broad spectrum of antibiotics from the organism. In Neisseria gonorrhoeae, one of the first bacteria for which pan-resistance has been reported, the most expressed efflux complex is MtrCDE. Here we present the electrophysiological characterisation of the outer membrane component MtrE and the membrane fusion protein MtrC, obtained by a combination of planar lipid bilayer recordings and in silico techniques. Our in vitro results show that MtrE can be regulated by periplasmic binding events and that the interaction between MtrE and MtrC is sufficient to stabilize this complex in an open state. In contrast to other efflux conduits, the open complex only displays a slight preference for cations. The maximum conductance we obtain in the in vitro recordings is comparable to that seen in our computational electrophysiology simulations conducted on the MtrE crystal structure, indicating that this state may reflect a physiologically relevant open conformation of MtrE. Our results suggest that the MtrC/E binding interface is an important modulator of MtrE function, which could potentially be targeted by new efflux inhibitors.Publisher PDFPeer reviewe