Fractional Order Stochastic Differential Equation with Application in European Option Pricing

Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets. In recent years, fractional order ordinary differential equation is used as an effective instrument for describing the memory effect in complex systems. In this paper, we establish a fractional order stochastic differential equation (FSDE) model to describe the effect of trend memory in financial pricing. We, then, derive a European option pricing formula based on the FSDE model and prove the existence of the trend memory (i.e., the mean value function) in the option pricing formula when the Hurst index is between 0.5 and 1. In addition, we make a comparison analysis between our proposed model, the classic Black-Scholes model, and the stochastic model with fractional Brownian motion. Numerical results suggest that our model leads to more accurate and lower standard deviation in the empirical study

Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

Many researchers have established various hedge models to get the optimal hedge ratio. However, most of the hedge models only discuss the discrete-time processes. In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation. At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio. In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test

Origin of mitochondrial DNA diversity of domestic yaks

BACKGROUND: The domestication of plants and animals was extremely important anthropologically. Previous studies have revealed a general tendency for populations of livestock species to include deeply divergent maternal lineages, indicating that they were domesticated in multiple, independent events from genetically discrete wild populations. However, in water buffalo, there are suggestions that a similar deep maternal bifurcation may have originated from a single population. These hypotheses have rarely been rigorously tested because of a lack of sufficient wild samples. To investigate the origin of the domestic yak (Poephagus grunnies), we analyzed 637 bp of maternal inherited mtDNA from 13 wild yaks (including eight wild yaks from a small population in west Qinghai) and 250 domesticated yaks from major herding regions. RESULTS: The domestic yak populations had two deeply divergent phylogenetic groups with a divergence time of > 100,000 yrs BP. We here show that haplotypes clustering with two deeply divergent maternal lineages in domesticated yaks occur in a single, small, wild population. This finding suggests that all domestic yaks are derived from a single wild gene pool. However, there is no clear correlation of the mtDNA phylogenetic clades and the 10 morphological types of sampled yaks indicating that the latter diversified recently. Relatively high diversity was found in Qinghai and Tibet around the current wild distribution, in accordance with previous suggestions that the earliest domestications occurred in this region. Conventional molecular clock estimation led to an unrealistic early dating of the start of the domestication. However, Bayesian estimation of the coalescence time allowing a relaxation of the mutation rate are better in agreement with a domestication during the Holocene as supported by archeological records. CONCLUSION: The information gathered here and the previous studies of other animals show that the demographic histories of domestication of livestock species were highly diverse despite the common general feature of deeply divergent maternal lineages. The results further suggest that domestication of local wild prey ungulate animals was a common occurrence during the development of human civilization following the postglacial colonization in different locations of the world, including the high, arid Qinghai-Tibetan Plateau

Salivary signatures of oral-brain communication in sleep bruxers

IntroductionMicrobiota and their interaction with hosts have been of great interest in brain research in recent years. However, the role of oral microbiota in mental illness and the underlying mechanism of oral-brain communication remains elusive. Sleep bruxism (SB) is an oral parafunctional activity related to the nervous system and is considered a risk factor for harmful clinical consequences and severe systemic conditions. Exploring the connection between oral microbiota and sleep bruxism may deepen our understanding of the complex relationship between oral-brain axis and provide insights for treatment.MethodsIn this study, salivary samples were collected from 22 individuals with SB and 21 healthy controls, and metagenomics with metabolomics was performed. Nonparametric Wilcoxon test were applied for the statistical analysis between the two groups. Microbial dysbiosis and altered oral metabolites were found in the SB individuals.ResultsThe characteristic metabolite N-acetylglucosamine (GlcNAc) (VIP=8.4823, P<0.05) was correlated to a statistically lower Streptococcus mitis level in SB individuals. Salivary IFN-g level and IFN-g/IL-4 ratio were detected with significant changes in a chip assay. Amino acid metabolism pathways were upregulated, and the pathway with the largest number of differentially expressed genes is related to amino-tRNA charging pathway, while the most significantly enriched pathway is related to arginine biosynthesis. Neurotransmitter-associated pathways with glutamatergic and GABAergic synapses and cardiovascular system-related pathways were enriched in the SB group.DiscussionThese results indicate a possible neuroimmune regulatory network of oral-brain communication in SB, which helps explain the mechanism of the oral microbiome with the host in sleep bruxers and provides a reference for early clinical and therapeutic intervention to improve the diagnosis and treatment of SB and similar diseases

Assessing Environmental Control of Sap Flux of Three Tree Species Plantations in Degraded Hilly Lands in South China

Prerequisite for selection of appropriate tree species in afforestation programs is to understand their water use strategy. Acacia mangium Willd., Schima wallichii Choisy, and Cunninghamia lanceolata (Lamb.) Hook are the three main vegetation restoration pioneer species in southern China, but no comparative research on the water use strategy of these three tree species have been reported. Our objective was to gain a detailed understanding of how photosynthetically active radiation (PAR), vapor pressure deficit (VPD), and soil water content (SWC) at different soil depths control the sap flux density (Js) in the dry and wet seasons. We measured the Js of these three tree species by using the thermal dissipation method in low subtropical China. We found that both S. wallichii and C. lanceolata differed clearly in their stomatal behavior from one season to another, while A. mangium did not. The canopy conductance per sapwood area of S. wallichii and C. lanceolata was very sensitive to VPD in the dry season, but not in the wet season. The Js of A. mangium was negatively correlated to SWC in all soil layers and during both seasons, while the other two species were not sensitive to SWC in the deeper layers and only positively correlated to SWC in dry season. Our results demonstrate that the three species have distinct water use strategies and may therefore respond differently to changing climate

Assessing Environmental Control of Sap Flux of Three Tree Species Plantations in Degraded Hilly Lands in South China

Prerequisite for selection of appropriate tree species in afforestation programs is to understand their water use strategy. Acacia mangium Willd., Schima wallichii Choisy, and Cunninghamia lanceolata (Lamb.) Hook are the three main vegetation restoration pioneer species in southern China, but no comparative research on the water use strategy of these three tree species have been reported. Our objective was to gain a detailed understanding of how photosynthetically active radiation (PAR), vapor pressure deficit (VPD), and soil water content (SWC) at different soil depths control the sap flux density (Js) in the dry and wet seasons. We measured the Js of these three tree species by using the thermal dissipation method in low subtropical China. We found that both S. wallichii and C. lanceolata differed clearly in their stomatal behavior from one season to another, while A. mangium did not. The canopy conductance per sapwood area of S. wallichii and C. lanceolata was very sensitive to VPD in the dry season, but not in the wet season. The Js of A. mangium was negatively correlated to SWC in all soil layers and during both seasons, while the other two species were not sensitive to SWC in the deeper layers and only positively correlated to SWC in dry season. Our results demonstrate that the three species have distinct water use strategies and may therefore respond differently to changing climate