Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility and market return as quantified by Ordinary Least Square (OLS) regression is not uniform across the distribution of the volatility-price return pairs using quantile regressions. We examine the bivariate relationship of six volatility-return pairs, viz. CBOE-VIX and S&P-500, FTSE-100 Volatility and FTSE-100, NASDAQ-100 Volatility (VXN) and NASDAQ, DAX Volatility (VDAX) and DAX-30, CAC Volatility (VCAC) and CAC-40 and STOXX Volatility (VSTOXX) and STOXX. The assumption of a normal distribution in the return series is not appropriate when the distribution is skewed and hence OLS does not capture the complete picture of the relationship. Quantile regression on the other hand can be set up with various loss functions, both parametric and non-parametric (linear case) and can be evaluated with skewed marginal based copulas (for the non linear case). Which is helpful in evaluating the non-normal and non-linear nature of the relationship between price and volatility. In the empirical analysis we compare the results from linear quantile regression (LQR) and copula based non linear quantile regression known as copula quantile regression (CQR). The discussion of the properties of the volatility series and empirical findings in this paper have significance for portfolio optimization, hedging strategies, trading strategies and risk management in general

OPTIma:a tracking solution for proton computed tomography in high proton flux environments

Currently there is a large discrepancy between the currents that are used for treatments in proton beam therapy facilities and the ultra low beam currents required for many proton CT imaging systems. Here we provide details of the OPTIma silicon strip based tracking system, which has been designed for performing proton CT imaging in conditions closer to the high proton flux environments of modern spot scanning treatment facilities. Details on the physical design, sensor testing, modelling, and track reconstruction are provided along with Monte-Carlo simulation studies of the expected performance for proton beam currents of up to 50 pA at the nozzle when using a σ = ∼10 mm spot scanning cyclotron system. Using a detailed simulation of the proposed OPTIma system, a discrepancy of less than 1% on the Relative Stopping Power is found for various tissues when embedded within a 150 mm diameter Perspex sphere. It is found that by accepting up to 7 protons per bunch it is possible to operate at cyclotron beam currents up to 5 times higher than would be possible with a single proton based readout, significantly reducing the total beam time required to produce an image, while also reducing the discrepancy between the beam currents required for treatment and those used for proton CT

Tapping the nucleotide pool of the host: novel nucleotide carrier proteins of Protochlamydia amoebophila

Protochlamydia amoebophila UWE25 is related to the Chlamydiaceae comprising major pathogens of humans, but thrives as obligate intracellular symbiont in the protozoan host Acanthamoeba sp. The genome of P. amoebophila encodes five paralogous carrier proteins belonging to the nucleotide transporter (NTT) family. Here we report on three P. amoebophila NTT isoforms, PamNTT2, PamNTT3 and PamNTT5, which possess several conserved amino acid residues known to be critical for nucleotide transport. We demonstrated that these carrier proteins are able to transport nucleotides, although substrate specificities and mode of transport differ in an unexpected manner and are unique among known NTTs. PamNTT2 is a counter exchange transporter exhibiting submillimolar apparent affinities for all four RNA nucleotides, PamNTT3 catalyses an unidirectional proton-coupled transport confined to UTP, whereas PamNTT5 mediates a proton-energized GTP and ATP import. All NTT genes of P. amoebophila are transcribed during intracellular multiplication in acanthamoebae. The biochemical characterization of all five NTT proteins from P. amoebophila in this and previous studies uncovered that these metabolically impaired bacteria are intimately connected with their host cell’s metabolism in a surprisingly complex manner

Recent Developments in the General Atomic and Molecular Electronic Structure System

A discussion of many of the recently implemented features of GAMESS (General Atomic and Molecular Electronic Structure System) and LibCChem (the C++ CPU/GPU library associated with GAMESS) is presented. These features include fragmentation methods such as the fragment molecular orbital, effective fragment potential and effective fragment molecular orbital methods, hybrid MPI/OpenMP approaches to Hartree-Fock, and resolution of the identity second order perturbation theory. Many new coupled cluster theory methods have been implemented in GAMESS, as have multiple levels of density functional/tight binding theory. The role of accelerators, especially graphical processing units, is discussed in the context of the new features of LibCChem, as it is the associated problem of power consumption as the power of computers increases dramatically. The process by which a complex program suite such as GAMESS is maintained and developed is considered. Future developments are briefly summarized

Defective HNF4alpha-dependent gene expression as a driver of hepatocellular failure in alcoholic hepatitis

Alcoholic hepatitis (AH) is a life-threatening condition characterized by profound hepatocellular dysfunction for which targeted treatments are urgently needed. Identification of molecular drivers is hampered by the lack of suitable animal models. By performing RNA sequencing in livers from patients with different phenotypes of alcohol-related liver disease (ALD), we show that development of AH is characterized by defective activity of liver-enriched transcription factors (LETFs). TGFβ1 is a key upstream transcriptome regulator in AH and induces the use of HNF4α P2 promoter in hepatocytes, which results in defective metabolic and synthetic functions. Gene polymorphisms in LETFs including HNF4α are not associated with the development of AH. In contrast, epigenetic studies show that AH livers have profound changes in DNA methylation state and chromatin remodeling, affecting HNF4α-dependent gene expression. We conclude that targeting TGFβ1 and epigenetic drivers that modulate HNF4α-dependent gene expression could be beneficial to improve hepatocellular function in patients with AH

Multiethnic meta-analysis identifies ancestry-specific and cross-ancestry loci for pulmonary function

Nearly 100 loci have been identified for pulmonary function, almost exclusively in studies of European ancestry populations. We extend previous research by meta-analyzing genome-wide association studies of 1000 Genomes imputed variants in relation to pulmonary function in a multiethnic population of 90,715 individuals of European (N = 60,552), African (N = 8429), Asian (N = 9959), and Hispanic/Latino (N = 11,775) ethnicities. We identify over 50 additional loci at genome-wide significance in ancestry-specific or multiethnic meta-analyses. Using recent fine-mapping methods incorporating functional annotation, gene expression, and differences in linkage disequilibrium between ethnicities, we further shed light on potential causal variants and genes at known and newly identified loci. Several of the novel genes encode proteins with predicted or established drug targets, including KCNK2 and CDK12. Our study highlights the utility of multiethnic and integrative genomics approaches to extend existing knowledge of the genetics of l

Fine-mapping of prostate cancer susceptibility loci in a large meta-analysis identifies candidate causal variants

Prostate cancer is a polygenic disease with a large heritable component. A number of common, low-penetrance prostate cancer risk loci have been identified through GWAS. Here we apply the Bayesian multivariate variable selection algorithm JAM to fine-map 84 prostate cancer susceptibility loci, using summary data from a large European ancestry meta-analysis. We observe evidence for multiple independent signals at 12 regions and 99 risk signals overall. Only 15 original GWAS tag SNPs remain among the catalogue of candidate variants identified; the remainder are replaced by more likely candidates. Biological annotation of our credible set of variants indicates significant enrichment within promoter and enhancer elements, and transcription factor-binding sites, including AR, ERG and FOXA1. In 40 regions at least one variant is colocalised with an eQTL in prostate cancer tissue. The refined set of candidate variants substantially increase the proportion of familial relative risk explained by these known susceptibility regions, which highlights the importance of fine-mapping studies and has implications for clinical risk profiling. © 2018 The Author(s).Prostate cancer is a polygenic disease with a large heritable component. A number of common, low-penetrance prostate cancer risk loci have been identified through GWAS. Here we apply the Bayesian multivariate variable selection algorithm JAM to fine-map 84 prostate cancer susceptibility loci, using summary data from a large European ancestry meta-analysis. We observe evidence for multiple independent signals at 12 regions and 99 risk signals overall. Only 15 original GWAS tag SNPs remain among the catalogue of candidate variants identified; the remainder are replaced by more likely candidates. Biological annotation of our credible set of variants indicates significant enrichment within promoter and enhancer elements, and transcription factor-binding sites, including AR, ERG and FOXA1. In 40 regions at least one variant is colocalised with an eQTL in prostate cancer tissue. The refined set of candidate variants substantially increase the proportion of familial relative risk explained by these known susceptibility regions, which highlights the importance of fine-mapping studies and has implications for clinical risk profiling. © 2018 The Author(s).Peer reviewe

A novel formulation of inhaled sodium cromoglicate (PA101) in idiopathic pulmonary fibrosis and chronic cough: a randomised, double-blind, proof-of-concept, phase 2 trial

Background Cough can be a debilitating symptom of idiopathic pulmonary fibrosis (IPF) and is difficult to treat. PA101 is a novel formulation of sodium cromoglicate delivered via a high-efficiency eFlow nebuliser that achieves significantly higher drug deposition in the lung compared with the existing formulations. We aimed to test the efficacy and safety of inhaled PA101 in patients with IPF and chronic cough and, to explore the antitussive mechanism of PA101, patients with chronic idiopathic cough (CIC) were also studied. Methods This pilot, proof-of-concept study consisted of a randomised, double-blind, placebo-controlled trial in patients with IPF and chronic cough and a parallel study of similar design in patients with CIC. Participants with IPF and chronic cough recruited from seven centres in the UK and the Netherlands were randomly assigned (1:1, using a computer-generated randomisation schedule) by site staff to receive PA101 (40 mg) or matching placebo three times a day via oral inhalation for 2 weeks, followed by a 2 week washout, and then crossed over to the other arm. Study participants, investigators, study staff, and the sponsor were masked to group assignment until all participants had completed the study. The primary efficacy endpoint was change from baseline in objective daytime cough frequency (from 24 h acoustic recording, Leicester Cough Monitor). The primary efficacy analysis included all participants who received at least one dose of study drug and had at least one post-baseline efficacy measurement. Safety analysis included all those who took at least one dose of study drug. In the second cohort, participants with CIC were randomly assigned in a study across four centres with similar design and endpoints. The study was registered with ClinicalTrials.gov (NCT02412020) and the EU Clinical Trials Register (EudraCT Number 2014-004025-40) and both cohorts are closed to new participants. Findings Between Feb 13, 2015, and Feb 2, 2016, 24 participants with IPF were randomly assigned to treatment groups. 28 participants with CIC were enrolled during the same period and 27 received study treatment. In patients with IPF, PA101 reduced daytime cough frequency by 31·1% at day 14 compared with placebo; daytime cough frequency decreased from a mean 55 (SD 55) coughs per h at baseline to 39 (29) coughs per h at day 14 following treatment with PA101, versus 51 (37) coughs per h at baseline to 52 (40) cough per h following placebo treatment (ratio of least-squares [LS] means 0·67, 95% CI 0·48–0·94, p=0·0241). By contrast, no treatment benefit for PA101 was observed in the CIC cohort; mean reduction of daytime cough frequency at day 14 for PA101 adjusted for placebo was 6·2% (ratio of LS means 1·27, 0·78–2·06, p=0·31). PA101 was well tolerated in both cohorts. The incidence of adverse events was similar between PA101 and placebo treatments, most adverse events were mild in severity, and no severe adverse events or serious adverse events were reported. Interpretation This study suggests that the mechanism of cough in IPF might be disease specific. Inhaled PA101 could be a treatment option for chronic cough in patients with IPF and warrants further investigation

Genome-Wide Association Study in BRCA1 Mutation Carriers Identifies Novel Loci Associated with Breast and Ovarian Cancer Risk

BRCA1-associated breast and ovarian cancer risks can be modified by common genetic variants. To identify further cancer risk-modifying loci, we performed a multi-stage GWAS of 11,705 BRCA1 carriers (of whom 5,920 were diagnosed with breast and 1,839 were diagnosed with ovarian cancer), with a further replication in an additional sample of 2,646 BRCA1 carriers. We identified a novel breast cancer risk modifier locus at 1q32 for BRCA1 carriers (rs2290854, P = 2.7×10-8, HR = 1.14, 95% CI: 1.09-1.20). In addition, we identified two novel ovarian cancer risk modifier loci: 17q21.31 (rs17631303, P = 1.4×10-8, HR = 1.27, 95% CI: 1.17-1.38) and 4q32.3 (rs4691139, P = 3.4×10-8, HR = 1.20, 95% CI: 1.17-1.38). The 4q32.3 locus was not associated with ovarian cancer risk in the general population or BRCA2 carriers, suggesting a BRCA1-specific associat

Association of genetic variation with systolic and diastolic blood pressure among African Americans: the Candidate Gene Association Resource study

The prevalence of hypertension in African Americans (AAs) is higher than in other US groups; yet, few have performed genome-wide association studies (GWASs) in AA. Among people of European descent, GWASs have identified genetic variants at 13 loci that are associated with blood pressure. It is unknown if these variants confer susceptibility in people of African ancestry. Here, we examined genome-wide and candidate gene associations with systolic blood pressure (SBP) and diastolic blood pressure (DBP) using the Candidate Gene Association Resource (CARe) consortium consisting of 8591 AAs. Genotypes included genome-wide single-nucleotide polymorphism (SNP) data utilizing the Affymetrix 6.0 array with imputation to 2.5 million HapMap SNPs and candidate gene SNP data utilizing a 50K cardiovascular gene-centric array (ITMAT-Broad-CARe [IBC] array). For Affymetrix data, the strongest signal for DBP was rs10474346 (P= 3.6 × 10−8) located near GPR98 and ARRDC3. For SBP, the strongest signal was rs2258119 in C21orf91 (P= 4.7 × 10−8). The top IBC association for SBP was rs2012318 (P= 6.4 × 10−6) near SLC25A42 and for DBP was rs2523586 (P= 1.3 × 10−6) near HLA-B. None of the top variants replicated in additional AA (n = 11 882) or European-American (n = 69 899) cohorts. We replicated previously reported European-American blood pressure SNPs in our AA samples (SH2B3, P= 0.009; TBX3-TBX5, P= 0.03; and CSK-ULK3, P= 0.0004). These genetic loci represent the best evidence of genetic influences on SBP and DBP in AAs to date. More broadly, this work supports that notion that blood pressure among AAs is a trait with genetic underpinnings but also with significant complexit