Modelling financial volatility in the presence of abrupt changes

The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive days, creating temporal clusters. The GARCH model, which treats volatility as a drift process, is commonly used to capture this behavior. However research suggests that volatility is often better described by a structural break model, where the volatility undergoes abrupt jumps in addition to drift. Most efforts to integrate these jumps into the GARCH methodology have resulted in models which are either very computationally demanding, or which make problematic assumptions about the distribution of the instruments, often assuming that they are Gaussian. We present a new approach which uses ideas from nonparametric statistics to identify structural break points without making such distributional assumptions, and then models drift separately within each identified regime. Using our method, we investigate the volatility of several major stock indexes, and find that our approach can potentially give an improved fit compared to more commonly used techniques

Minichromosome maintenance proteins 2 and 5 in non-benign epithelial ovarian tumours: relationship with cell cycle regulators and prognostic implications

Minichromosome maintenance proteins (MCM) have recently emerged as novel proliferation markers with prognostic implications in several tumour types. This is the first study investigating MCM-2 and MCM-5 immunohistochemical expression in a series of ovarian adenocarcinomas and low malignant potential (LMP) tumours aiming to determine possible associations with clinicopathological parameters, the conventional proliferation index Ki-67, cell cycle regulators (p53, p27Kip1, p21WAF1 and pRb) and patients' outcome. Immunohistochemistry was applied in a series of 43 cases of ovarian LMP tumours and 85 cases of adenocarcinomas. Survival analysis was restricted to adenocarcinomas. The median MCM-2 and MCM-5 labelling indices (LIs) were significantly higher in adenocarcinomas compared to LMP tumours (P<0.0001 for both associations). In adenocarcinomas, the levels of MCM-2 and MCM-5 increased significantly with advancing tumour stage (P=0.0052 and P=0.0180, respectively), whereas both MCM-2 and MCM-5 increased significantly with increasing tumour grade (P=0.0002 and P=0.0006, respectively) and the presence of bulky residual disease (P<0.0001 in both relationships). A strong positive correlation was established between MCM-2 or MCM-5 expression level and Ki-67 LI (P<0.0001) as well as p53 protein (P=0.0038 and P=0.0500, respectively). Moreover, MCM-2 LI was inversely correlated with p27Kip−1 LI (P=0.0068). Finally, both MCM-2 and MCM-5 were associated significantly with adverse patients' outcome in both univariate (⩾20 vs >20%, P=0.0011 and ⩾25 vs <25%, P=0.0100, respectively) and multivariate (P=0.0001 and 0.0090, respectively) analysis. An adequately powered independent group of 45 patients was used in order to validate our results in univariate survival analysis. In this group, MCM-2 and MCM-5 expression retained their prognostic significance (P<0.0001 in both relationships). In conclusion, MCM-2 and MCM-5 proteins appear to be promising as prognostic markers in patients with ovarian adenocarcinomas

A nurse facilitated mind-body interactive exercise (Chan-Chuang qigong) improves the health status of non-Hodgkin lymphoma patients receiving chemotherapy: Randomised controlled trial

[[abstract]]Background: Non-Hodgkin's lymphoma is a heterogeneous group of lymphoproliferative malignancies. Chemotherapy can improve patient survival rates, yet it is also associated with many adverse physical and psychosocial effects. It is suggested that qigong practices may be used to reduce patient distress and side effects. Objectives: To evaluate the effects of Chan-Chuang qigong on fatigue, complete blood cells, sleep quality, and quality of life for patients with non-Hodgkin lymphoma who had undergone the first course of chemotherapy. Design: A randomized controlled study. Settings: An oncology ward of medical centre in northern Taiwan. Participants: Fifty participants in each of the two groups. Methods: Participants were randomly assigned to either the qigong group (n=50) that received a 21-day Chan-Chuang qigong programme, or the control group (n=50). The primary outcome was fatigue measured by Brief Fatigue Inventory. The secondary outcomes were complete blood cell counts, sleep quality measured by Verran and Snyder-Halpern Sleep Scale, and quality of life measured by European Organization for Research and Treatment of Cancer Quality of Life Questionnaire. Results: After 21 days of intervention, the results obtained from ninety six participants were analysed. Participants in the qigong group exhibited decreased fatigue intensity and fatigue interference from 5.49 (SD=1.02) and 5.53 (SD=1.27) to 0.37 (SD=1.39) and 0.20 (SD=1.93), respectively. Generalized estimating equations analyses revealed that the qigong group, when compared to the control group, had significant improvement in fatigue intensity and fatigue interference over time (β=-1.04, 95% confidence interval [CI] from -1.59 to -0.48, p<0.001; and β=-1.22, 95% CI from -1.86 to -0.59, p<0.001, respectively). There was a significant between-group difference in the improvement in white blood cell counts (t=5.14, p<0.001), hemoglobin levels (t=3.17, p=0.002), and sleep quality (t=17.73, p<0.001), but not in platelet counts (p=0.05). With regard to quality of life, the scores of the qigong group improved in all subscales and all symptom items when compared to that of the control group. No adverse effects were observed in the qigong group. Conclusions: The findings of this study indicate that the 21-day Chan- Chuang qigong can reduce fatigue intensity and fatigue interference, and improved white blood cell counts, haemoglobin levels, sleep quality, and quality of life for patients with non-Hodgkin lymphoma who had undergone the first course of chemotherapy. Further studies involving a prolonged extended intervention period and follow-up are necessary for determining the long-term effect of qigong exercise

A Milp Formulation For Generalized Geometric Programming Using Piecewise-Linear Approximations

Generalized geometric programming (GGP) problems are converted to mixed-integer linear programming (MILP) problems using piecewise-linear approximations. Our approach is to approximate a multiple-term logsum function of the form log(x1 + x2 +⋯+xn) in terms of a set of linear equalities or inequalities of log x1, log x2, ..., and log xn, where x1, ..., xn are strictly positive. The advantage of this approach is its simplicity and readiness to implement and solve using commercial MILP solvers. While MILP problems in general are no easier than GGP problems, this approach is justified by the phenomenal progress of computing power of both personal computers and commercial MILP solvers. The limitation of this approach is discussed along with numerical tests

Starch biosynthesizing enzymes in developing grains of rice cultivar Tainung 67 and its sodium azide-induced rice mutant

The relationships between the rate of starch accumulation and the activities of enzymes involving starch biosynthesis in developing grains of field grown rice (Oryza sativa) cultivar Tainung 67 and its sodium azide-induced mutant SA419 were investigated and compared throughout the grain filling period. The results indicated that the activities of most of the grain enzymes involving sugar–starch conversion rose and reached their maximum between 7 and 14 days after anthesis (DAA), but declined rapidly after 21 DAA. The changes in the rate of starch accumulation correlated well with the changes in the activities of sucrose synthase (SUS), invertase, hexokinase, AGPglucose pyrophosphorylase, UDPglucose pyrophosphorylase, phosphoglucoisomerase, phosphoglucomutase, soluble starch synthase (SSS), granule bound starch synthase (GBSS), starch-branching enzyme (SBE) and starch debranching enzyme (SDBE), during the grain filling period. The rapid grain-fill and shorter period of grain filling in mutant SA419, as compared with Tainung 67, were associated with its higher activity of starch synthesizing at the early phase of grain growth. The lower amylose content of SA419 grains (8%) in comparison with Tainung 67 grains (20%) was possibly due to their inferiority to synthesize amylose through GBSS and SDBE

Influence of support structure on the permeation behavior of polyetherimide-derived carbon molecular sieve composite membrane

Polyetherimide (PEI) was used as polymeric precursor to prepare selective carbon molecular sieve (CMS) layer supported by a porous Al2O3 ceramic disk. The effects of the porous structure and surface roughness of the ceramic support on the interfacial adhesion and texture of the PEI/Al2O3-derived composite CMS membrane were investigated by modulating the sintering temperature and holding time. When the surface roughness of the ceramic support increased, the pore size and its distribution of the selective CMS layer were found to have shifted to the larger one and its roughness increased from the top to the bottom surface. This structure resulted in high permeability and low selectivity. Our results indicate that the porous structure of the ceramic support also played an important role in dominating the pore size and its distribution of the selective CMS layer, which influences the gas separation performance

The expression of the B‐cell marker mb‐1 (CD79a) in Hodgkin&apos;s disease

Recent evidence indicates that membrane‐bound immunoglobulin on B lymphocytes is associated with a molecule which comprises the products of the mb‐1 and B29 genes. This molecule is a highly specific marker for B‐cells, presumably because of its central functional role in antigen triggering, and has recently been clustered as CD79a at the 5th Leucocyte Workshop. Recently there has been controversy surrounding reports of B‐cell antigen expression by Reed–Sternberg and related cells, and we have therefore studied 108 cases of Hodgkin&apos;s disease immunohistochemically using a novel antibody which detects mb‐1 protein in paraffin sections. The results were compared with those achieved using antibody L26 to detect CD20. The mb‐1 protein was present in the neoplastic cells in all 14 cases of lymphocyte predominance Hodgkin&apos;s disease studied, and CD20 immunoreactivity was also found in seven of the eight cases of this subtype studied. Of the non‐lymphocyte predominance cases, 20% (19/94) expressed mb‐1 and 30% (20/67) CD20 in the Reed–Sternberg cells, but the cells positive for either of these two markers usually constituted only a very small proportion of the neoplastic population. However, in occasional cases (one of 94 for mb‐1 and five of 67 for CD20), more than 50% of the neoplastic cells expressed one or both B‐cell antigens. These results confirm the B‐cell origin of the neoplastic cells in lymphocyte predominance Hodgkin&apos;s disease, but they also indicate that, contrary to our previous study, mb‐1 expression may occasionally be found in what appears, on histological grounds, to be other types of Hodgkin&apos;s disease. Copyright © 1994, Wiley Blackwell. All rights reserve

Laser-induced fluorescence and reflectance spectroscopy for the discrimination of basal cell carcinoma from the surrounding normal skin tissue

The object of this study was to investigate whether laser-induced skin autofluorescence (LIF) and/or light reflectance spectra could provide a useful contrast between basal cell carcinoma (BCC) tissues and the surrounding healthy skin. Unstained human skin samples, excised from humans undergoing biopsy examination, were irradiated with a nitrogen laser (λ = 337 nm) for excitation of autofluorescence and a tungsten halogen lamp for the reflectance measurements. The ex vivo spectroscopic results were correlated with the histopathology images to distinguish the areas of BCC from those of the surrounding health skin. A simple spectral analysis technique was also applied for better skin diagnosis. In conclusion, it seems that LIF and reflectance spectra could be used to differentiate neoplastic from normal skin tissue using an appropriate classification model analysis. Copyright © 2009 S. Karger AG, Basel