Algorithmic trading and market quality: International evidence

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use exchange co-location service that increases AT as an exogenous instrument to draw causal inferences of AT on market quality. On average, AT improves liquidity and informational efficiency but increases short-term volatility. Importantly, AT also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across markets and thus across a wide range of AT environments. We further document that the beneficial effect of AT is stronger in large stocks than in small stocks

Short selling and the price discovery process

Runner up, RFS Best Paper Award 2014.</p

Patterns and Variation in the Sex Ratio at Birth in the Republic of Korea

In this paper, we examine sex ratio patterns at birth (SRB) among sub-areas of South Korea during the 1990s. We report higher than biologically normal SRBs at varying levels of geography, for three years in the 1990s. These high SRBs are mainly due to prenatal sex identification followed by female-specific induced abortion. This strategy has been implemented in the Republic of Korea following the country's dramatic reduction in fertility. Higher than biologically normal sex ratios at birth carry important implications for the society's males and females, particularly a few decades after their births, when young people begin to exercise marriage options. We estimate that approximately 25 years after 1990, around 2015, approximately 10 to 13 percent of marriage-age males in South Korea will be unsuccessful in their courtship pursuits. In 2015, there could be as many as 400,000 South Korean men of marriageable ages unable to find wives. We explore implications of this unbalanced marriage market for South Korea and its excess male population

MiOS, an integrated imaging and computational strategy to model gene folding with nucleosome resolution

The linear sequence of DNA provides invaluable information about genes and their regulatory elements along chromosomes. However, to fully understand gene function and regulation, we need to dissect how genes physically fold in the three-dimensional nuclear space. Here we describe immuno-OligoSTORM, an imaging strategy that reveals the distribution of nucleosomes within specific genes in super-resolution, through the simultaneous visualization of DNA and histones. We combine immuno-OligoSTORM with restraint-based and coarse-grained modeling approaches to integrate super-resolution imaging data with Hi-C contact frequencies and deconvoluted micrococcal nuclease-sequencing information. The resulting method, called Modeling immuno-OligoSTORM, allows quantitative modeling of genes with nucleosome resolution and provides information about chromatin accessibility for regulatory factors, such as RNA polymerase II. With Modeling immuno-OligoSTORM, we explore intercellular variability, transcriptional-dependent gene conformation, and folding of housekeeping and pluripotency-related genes in human pluripotent and differentiated cells, thereby obtaining the highest degree of data integration achieved so far to our knowledge

Sequencing of diverse mandarin, pummelo and orange genomes reveals complex history of admixture during citrus domestication

Cultivated citrus are selections from, or hybrids of, wild progenitor species whose identities and contributions to citrus domestication remain controversial. Here we sequence and compare citrus genomes-a high-quality reference haploid clementine genome and mandarin, pummelo, sweet-orange and sour-orange genomes-and show that cultivated types derive from two progenitor species. Although cultivated pummelos represent selections from one progenitor species, Citrus maxima, cultivated mandarins are introgressions of C. maxima into the ancestral mandarin species Citrus reticulata. The most widely cultivated citrus, sweet orange, is the offspring of previously admixed individuals, but sour orange is an F1 hybrid of pure C. maxima and C. reticulata parents, thus implying that wild mandarins were part of the early breeding germplasm. A Chinese wild 'mandarin' diverges substantially from C. reticulata, thus suggesting the possibility of other unrecognized wild citrus species. Understanding citrus phylogeny through genome analysis clarifies taxonomic relationships and facilitates sequence-directed genetic improvement

Association of genetic variants in complement factor H and factor H-related genes with systemic lupus erythematosus susceptibility

Systemic lupus erythematosus (SLE), a complex polygenic autoimmune disease, is associated with increased complement activation. Variants of genes encoding complement regulator factor H (CFH) and five CFH-related proteins (CFHR1-CFHR5) within the chromosome 1q32 locus linked to SLE, have been associated with multiple human diseases and may contribute to dysregulated complement activation predisposing to SLE. We assessed 60 SNPs covering the CFH-CFHRs region for association with SLE in 15,864 case-control subjects derived from four ethnic groups. Significant allelic associations with SLE were detected in European Americans (EA) and African Americans (AA), which could be attributed to an intronic CFH SNP (rs6677604, in intron 11, Pmeta = 6.6×10-8, OR = 1.18) and an intergenic SNP between CFHR1 and CFHR4 (rs16840639, Pmeta = 2.9×10-7, OR = 1.17) rather than to previously identified disease-associated CFH exonic SNPs, including I62V, Y402H, A474A, and D936E. In addition, allelic association of rs6677604 with SLE was subsequently confirmed in Asians (AS). Haplotype analysis revealed that the underlying causal variant, tagged by rs6677604 and rs16840639, was localized to a ~146 kb block extending from intron 9 of CFH to downstream of CFHR1. Within this block, the deletion of CFHR3 and CFHR1 (CFHR3-1Δ), a likely causal variant measured using multiplex ligation-dependent probe amplification, was tagged by rs6677604 in EA and AS and rs16840639 in AA, respectively. Deduced from genotypic associations of tag SNPs in EA, AA, and AS, homozygous deletion of CFHR3-1Δ (Pmeta = 3.2×10-7, OR = 1.47) conferred a higher risk of SLE than heterozygous deletion (Pmeta = 3.5×10-4, OR = 1.14). These results suggested that the CFHR3-1Δ deletion within the SLE-associated block, but not the previously described exonic SNPs of CFH, might contribute to the development of SLE in EA, AA, and AS, providing new insights into the role of complement regulators in the pathogenesis of SLE

Identification of constrained sequence elements across 239 primate genomes

Noncoding DNA is central to our understanding of human gene regulation and complex diseases1,2, and measuring the evolutionary sequence constraint can establish the functional relevance of putative regulatory elements in the human genome3–9. Identifying the genomic elements that have become constrained specifically in primates has been hampered by the faster evolution of noncoding DNA compared to protein-coding DNA10, the relatively short timescales separating primate species11, and the previously limited availability of whole-genome sequences12. Here we construct a whole-genome alignment of 239 species, representing nearly half of all extant species in the primate order. Using this resource, we identified human regulatory elements that are under selective constraint across primates and other mammals at a 5% false discovery rate. We detected 111,318 DNase I hypersensitivity sites and 267,410 transcription factor binding sites that are constrained specifically in primates but not across other placental mammals and validate their cis-regulatory effects on gene expression. These regulatory elements are enriched for human genetic variants that affect gene expression and complex traits and diseases. Our results highlight the important role of recent evolution in regulatory sequence elements differentiating primates, including humans, from other placental mammals

Sequencing of diverse mandarin, pummelo and orange genomes reveals complex history of admixture during citrus domestication

Cultivated citrus are selections from, or hybrids of, wild progenitor species whose identities and contributions to citrus domestication remain controversial. Here we sequence and compare citrus genomes-a high-quality reference haploid clementine genome and mandarin, pummelo, sweet-orange and sour-orange genomes-and show that cultivated types derive from two progenitor species. Although cultivated pummelos represent selections from one progenitor species, Citrus maxima, cultivated mandarins are introgressions of C. maxima into the ancestral mandarin species Citrus reticulata. The most widely cultivated citrus, sweet orange, is the offspring of previously admixed individuals, but sour orange is an F1 hybrid of pure C. maxima and C. reticulata parents, thus implying that wild mandarins were part of the early breeding germplasm. A Chinese wild 'mandarin' diverges substantially from C. reticulata, thus suggesting the possibility of other unrecognized wild citrus species. Understanding citrus phylogeny through genome analysis clarifies taxonomic relationships and facilitates sequence-directed genetic improvement. (Résumé d'auteur