41 research outputs found

    Behavioural Finance, Options Markets and Financial Crises: Application to the UK Market 1998-2010

    Get PDF
    Behavioural Finance, Options Markets and Financial Crises: Application to the UK Market 1998-2010 By Ian Alan Whitfield Abstract This thesis examines the relationship between behavioural finance and options markets. Particular focus is on the analysis of option prices, implied volatility and trading activity which in turn provides insights into predictability, momentum and overreaction. The thesis is contextualised by a general to specific evaluation of the literature that forms the basis of the behavioural finance paradigm. The review is extended to analyse the extent to which support for the behavioural finance approach has been produced by research on options. Behavioural finance retains an element of controversy as it runs counter to a key pillar of neoclassical finance, the efficient markets hypothesis. Hence the onus is on researchers in this field to produce evidence that refutes the notion of market efficiency and to build models with testable implications that are better able to capture the mechanics of financial markets. This thesis is motivated by a desire to investigate, in detail, key aspects of human behaviour and to test whether they are particularly apparent in options markets. It is important to study the information which can be extracted from options data and to analyse whether this has any predictive power for spot prices. By extension, it is of further interest to examine whether movements in spot prices exert influence on option prices. In particular, aspects of options that capture human behaviour such as pricing of puts relative to calls, implied volatility, trading volume and open interest. The topical relevance of the work is highlighted by thorough application to the UK market during two recent periods of intense financial turbulence; the bursting of the dotcom bubble in 2001 and the liquidity/banking crisis of 2007/8. The empirical work examines the pricing of exchange-traded options relative to theoretical values, the forecasting performance of implied volatility indexes, the ability of trading volume and open interest to capture behavioural aspects of trading behaviour, and momentum and overreaction effects. Hence the work provides a unique and thorough investigation into behavioural finance and options markets in the UK. Results indicate an important role for investor sentiment although they do not necessarily indicate exploitable inefficiencies

    Genome-wide meta-analysis associates HLA-DQA1/DRB1 and LPA and lifestyle factors with human longevity

    Get PDF
    Genomic analysis of longevity offers the potential to illuminate the biology of human aging. Here, using genome-wide association meta-analysis of 606,059 parents' survival, we discover two regions associated with longevity (HLA-DQA1/DRB1 and LPA). We also validate previous suggestions that APOE, CHRNA3/5, CDKN2A/B, SH2B3 and FOXO3A influence longevity. Next we show that giving up smoking, educational attainment, openness to new experience and high-density lipoprotein (HDL) cholesterol levels are most positively genetically correlated with lifespan while susceptibility to coronary artery disease (CAD), cigarettes smoked per day, lung cancer, insulin resistance and body fat are most negatively correlated. We suggest that the effect of education on lifespan is principally mediated through smoking while the effect of obesity appears to act via CAD. Using instrumental variables, we suggest that an increase of one body mass index unit reduces lifespan by 7 months while 1 year of education adds 11 months to expected lifespan.Variability in human longevity is genetically influenced. Using genetic data of parental lifespan, the authors identify associations at HLA-DQA/DRB1 and LPA and find that genetic variants that increase educational attainment have a positive effect on lifespan whereas increasing BMI negatively affects lifespan

    Формирование эмоциональной культуры как компонента инновационной культуры студентов

    Get PDF
    Homozygosity has long been associated with rare, often devastating, Mendelian disorders1 and Darwin was one of the first to recognise that inbreeding reduces evolutionary fitness2. However, the effect of the more distant parental relatedness common in modern human populations is less well understood. Genomic data now allow us to investigate the effects of homozygosity on traits of public health importance by observing contiguous homozygous segments (runs of homozygosity, ROH), which are inferred to be homozygous along their complete length. Given the low levels of genome-wide homozygosity prevalent in most human populations, information is required on very large numbers of people to provide sufficient power3,4. Here we use ROH to study 16 health-related quantitative traits in 354,224 individuals from 102 cohorts and find statistically significant associations between summed runs of homozygosity (SROH) and four complex traits: height, forced expiratory lung volume in 1 second (FEV1), general cognitive ability (g) and educational attainment (nominal p<1 × 10−300, 2.1 × 10−6, 2.5 × 10−10, 1.8 × 10−10). In each case increased homozygosity was associated with decreased trait value, equivalent to the offspring of first cousins being 1.2 cm shorter and having 10 months less education. Similar effect sizes were found across four continental groups and populations with different degrees of genome-wide homozygosity, providing convincing evidence for the first time that homozygosity, rather than confounding, directly contributes to phenotypic variance. Contrary to earlier reports in substantially smaller samples5,6, no evidence was seen of an influence of genome-wide homozygosity on blood pressure and low density lipoprotein (LDL) cholesterol, or ten other cardio-metabolic traits. Since directional dominance is predicted for traits under directional evolutionary selection7, this study provides evidence that increased stature and cognitive function have been positively selected in human evolution, whereas many important risk factors for late-onset complex diseases may not have been

    Support and Assessment for Fall Emergency Referrals (SAFER 1): Cluster Randomised Trial of Computerised Clinical Decision Support for Paramedics

    Get PDF
    Objective: To evaluate effectiveness, safety and cost-effectiveness of Computerised Clinical Decision Support (CCDS) for paramedics attending older people who fall. Design: Cluster trial randomised by paramedic; modelling. Setting: 13 ambulance stations in two UK emergency ambulance services. Participants: 42 of 409 eligible paramedics, who attended 779 older patients for a reported fall. Interventions: Intervention paramedics received CCDS on Tablet computers to guide patient care. Control paramedics provided care as usual. One service had already installed electronic data capture. Main Outcome Measures: Effectiveness: patients referred to falls service, patient reported quality of life and satisfaction, processes of care. Safety: Further emergency contacts or death within one month. Cost-Effectiveness Costs and quality of life. We used findings from published Community Falls Prevention Trial to model cost-effectiveness. Results: 17 intervention paramedics used CCDS for 54 (12.4%) of 436 participants. They referred 42 (9.6%) to falls services, compared with 17 (5.0%) of 343 participants seen by 19 control paramedics [Odds ratio (OR) 2.04, 95% CI 1.12 to 3.72]. No adverse events were related to the intervention. Non-significant differences between groups included: subsequent emergency contacts (34.6% versus 29.1%; OR 1.27, 95% CI 0.93 to 1.72); quality of life (mean SF12 differences: MCS −0.74, 95% CI −2.83 to +1.28; PCS −0.13, 95% CI −1.65 to +1.39) and non-conveyance (42.0% versus 36.7%; OR 1.13, 95% CI 0.84 to 1.52). However ambulance job cycle time was 8.9 minutes longer for intervention patients (95% CI 2.3 to 15.3). Average net cost of implementing CCDS was £208 per patient with existing electronic data capture, and £308 without. Modelling estimated cost per quality-adjusted life-year at £15,000 with existing electronic data capture; and £22,200 without. Conclusions: Intervention paramedics referred twice as many participants to falls services with no difference in safety. CCDS is potentially cost-effective, especially with existing electronic data capture

    Genome-wide meta-analysis of 241,258 adults accounting for smoking behaviour identifies novel loci for obesity traits

    Get PDF
    Few genome-wide association studies (GWAS) account for environmental exposures, like smoking, potentially impacting the overall trait variance when investigating the genetic contribution to obesity-related traits. Here, we use GWAS data from 51,080 current smokers and 190,178 nonsmokers (87% European descent) to identify loci influencing BMI and central adiposity, measured as waist circumference and waist-to-hip ratio both adjusted for BMI. We identify 23 novel genetic loci, and 9 loci with convincing evidence of gene-smoking interaction (GxSMK) on obesity-related traits. We show consistent direction of effect for all identified loci and significance for 18 novel and for 5 interaction loci in an independent study sample. These loci highlight novel biological functions, including response to oxidative stress, addictive behaviour, and regulatory functions emphasizing the importance of accounting for environment in genetic analyses. Our results suggest that tobacco smoking may alter the genetic susceptibility to overall adiposity and body fat distribution.Peer reviewe

    New genetic loci link adipose and insulin biology to body fat distribution.

    Get PDF
    Body fat distribution is a heritable trait and a well-established predictor of adverse metabolic outcomes, independent of overall adiposity. To increase our understanding of the genetic basis of body fat distribution and its molecular links to cardiometabolic traits, here we conduct genome-wide association meta-analyses of traits related to waist and hip circumferences in up to 224,459 individuals. We identify 49 loci (33 new) associated with waist-to-hip ratio adjusted for body mass index (BMI), and an additional 19 loci newly associated with related waist and hip circumference measures (P < 5 × 10(-8)). In total, 20 of the 49 waist-to-hip ratio adjusted for BMI loci show significant sexual dimorphism, 19 of which display a stronger effect in women. The identified loci were enriched for genes expressed in adipose tissue and for putative regulatory elements in adipocytes. Pathway analyses implicated adipogenesis, angiogenesis, transcriptional regulation and insulin resistance as processes affecting fat distribution, providing insight into potential pathophysiological mechanisms

    Fine mapping the CETP region reveals a common intronic insertion associated to HDL-C

    Get PDF
    Background: Individuals with exceptional longevity and their offspring have significantly larger high-density lipoprotein concentrations (HDL-C) particle sizes due to the increased homozygosity for the I405V variant in the cholesteryl ester transfer protein (CETP) gene. In this study, we investigate the association of CETP and HDL-C further to identify novel, independent CETP variants associated with HDL-C in humans. Methods: We performed a meta-analysis of HDL-C within the CETP region using 59,432 individuals imputed with 1000 Genomes data. We performed replication in an independent sample of 47,866 individuals and validation was done by Sanger sequencing. Results: The meta-analysis of HDL-C within the CETP region identified five independent variants, including an exonic variant and a common intronic insertion. We replicated these 5 variants significantly in an independent sample of 47,866 individuals. Sanger sequencing of the insertion within a single family confirmed segregation of this variant. The strongest reported association between HDL-C and CETP variants, was rs3764261; however, after conditioning on the five novel variants we identified the support for rs3764261 was highly reduced (βunadjusted=3.179 mg/dl (P value=5.25×10−509), βadjusted=0.859 mg/dl (P value=9.51×10−25)), and this finding suggests that these five novel variants may partly explain the association of CETP with HDL-C. Indeed, three of the five novel variants (rs34065661, rs5817082, rs7499892) are independent of rs3764261. Conclusions: The causal variants in CETP that account for the association with HDL-C remain unknown. We used studies imputed to the 1000 Genomes reference panel for fine mapping of the CETP region. We identified and validated five variants within this region that may partly account for the association of the known variant (rs3764261), as well as other sources of genetic contribution to HDL-C

    Genome-wide meta-analysis associates HLA-DQA1/DRB1 and LPA and lifestyle factors with human longevity

    Get PDF
    Genomic analysis of longevity offers the potential to illuminate the biology of human aging. Here, using genome-wide association meta-analysis of 606,059 parents' survival, we discover two regions associated with longevity (HLA-DQA1/DRB1 and LPA). We also validate previous suggestions that APOE, CHRNA3/5, CDKN2A/B, SH2B3 and FOXO3A influence longevity. Next we show that giving up smoking, educational attainment, openness to new experience and high-density lipoprotein (HDL) cholesterol levels are most positively genetically correlated with lifespan while susceptibility to coronary artery disease (CAD), cigarettes smoked per day, lung cancer, insulin resistance and body fat are most negatively correlated. We suggest that the effect of education on lifespan is principally mediated through smoking while the effect of obesity appears to act via CAD. Using instrumental variables, we suggest that an increase of one body mass index unit reduces lifespan by 7 months while 1 year of education adds 11 months to expected lifespan.Variability in human longevity is genetically influenced. Using genetic data of parental lifespan, the authors identify associations at HLA-DQA/DRB1 and LPA and find that genetic variants that increase educational attainment have a positive effect on lifespan whereas increasing BMI negatively affects lifespan

    The 2021 WHO catalogue of Mycobacterium tuberculosis complex mutations associated with drug resistance: a genotypic analysis.

    Get PDF
    Background: Molecular diagnostics are considered the most promising route to achievement of rapid, universal drug susceptibility testing for Mycobacterium tuberculosis complex (MTBC). We aimed to generate a WHO-endorsed catalogue of mutations to serve as a global standard for interpreting molecular information for drug resistance prediction. Methods: In this systematic analysis, we used a candidate gene approach to identify mutations associated with resistance or consistent with susceptibility for 13 WHO-endorsed antituberculosis drugs. We collected existing worldwide MTBC whole-genome sequencing data and phenotypic data from academic groups and consortia, reference laboratories, public health organisations, and published literature. We categorised phenotypes as follows: methods and critical concentrations currently endorsed by WHO (category 1); critical concentrations previously endorsed by WHO for those methods (category 2); methods or critical concentrations not currently endorsed by WHO (category 3). For each mutation, we used a contingency table of binary phenotypes and presence or absence of the mutation to compute positive predictive value, and we used Fisher's exact tests to generate odds ratios and Benjamini-Hochberg corrected p values. Mutations were graded as associated with resistance if present in at least five isolates, if the odds ratio was more than 1 with a statistically significant corrected p value, and if the lower bound of the 95% CI on the positive predictive value for phenotypic resistance was greater than 25%. A series of expert rules were applied for final confidence grading of each mutation. Findings: We analysed 41 137 MTBC isolates with phenotypic and whole-genome sequencing data from 45 countries. 38 215 MTBC isolates passed quality control steps and were included in the final analysis. 15 667 associations were computed for 13 211 unique mutations linked to one or more drugs. 1149 (7·3%) of 15 667 mutations were classified as associated with phenotypic resistance and 107 (0·7%) were deemed consistent with susceptibility. For rifampicin, isoniazid, ethambutol, fluoroquinolones, and streptomycin, the mutations' pooled sensitivity was more than 80%. Specificity was over 95% for all drugs except ethionamide (91·4%), moxifloxacin (91·6%) and ethambutol (93·3%). Only two resistance mutations were identified for bedaquiline, delamanid, clofazimine, and linezolid as prevalence of phenotypic resistance was low for these drugs. Interpretation: We present the first WHO-endorsed catalogue of molecular targets for MTBC drug susceptibility testing, which is intended to provide a global standard for resistance interpretation. The existence of this catalogue should encourage the implementation of molecular diagnostics by national tuberculosis programmes. Funding: Unitaid, Wellcome Trust, UK Medical Research Council, and Bill and Melinda Gates Foundation

    Genetic associations at 53 loci highlight cell types and biological pathways relevant for kidney function.

    Get PDF
    Reduced glomerular filtration rate defines chronic kidney disease and is associated with cardiovascular and all-cause mortality. We conducted a meta-analysis of genome-wide association studies for estimated glomerular filtration rate (eGFR), combining data across 133,413 individuals with replication in up to 42,166 individuals. We identify 24 new and confirm 29 previously identified loci. Of these 53 loci, 19 associate with eGFR among individuals with diabetes. Using bioinformatics, we show that identified genes at eGFR loci are enriched for expression in kidney tissues and in pathways relevant for kidney development and transmembrane transporter activity, kidney structure, and regulation of glucose metabolism. Chromatin state mapping and DNase I hypersensitivity analyses across adult tissues demonstrate preferential mapping of associated variants to regulatory regions in kidney but not extra-renal tissues. These findings suggest that genetic determinants of eGFR are mediated largely through direct effects within the kidney and highlight important cell types and biological pathways
    corecore