Returns, volatility and durations of high frequency financial data

This dissertation consists of three chapters investigating the modelling of financial tick-by-tick data. Financial research using high-frequency data have been very active during the last two decades. The financial mathematical modelling of the high frequency price dynamics is based on the proper interpretation of the characteristics of the tick-by-tick data. The first chapter provides an empirical investigation of the tick-by-tick returns. First, I provide a sampling method of returns different from the sampling from identical time interval. Second, I compare the returns from the two sampling methods using the Central Limit Theorem. The empirical results suggest that sampling returns from identical number of tick-by-tick transactions could recover the normality of intraday returns at lower costs due to its faster convergent rate. The second chapter proposes a multiplicative component intraday volatility model. The intraday conditional volatility is expressed as the product of intraday periodic component, intraday stochastic volatility component and daily conditional volatility component. I extend the multiplicative component intraday volatility model of Engle (2012) and Andersen and Bollerslev (1998) by incorporating the durations between consecutive transactions. The model can be applied to both regularly and irregularly spaced returns. I also provide a nonparametric estimation technique of the intraday volatility periodicity. The empirical results suggest the model can successfully capture the interdependency of intraday returns. The third chapter explores the duration dynamics modelling under the Autoregressive Conditional Durations (ACD) framework (Engle and Russell 1998). I test different distributions assumptions for the durations. The empirical results suggest unconditional durations approach the Gamma distributions. Moreover, compared with exponential distributions and Weibull distributions, the ACD model with Gamma distributed innovations provide the best fit of SPY durations. Key Words: tick-by-tick data, Intraday volatility, Intraday seasonality, marked point process, UHF-GARCH models, intraday returns, Autoregressive Conditional Duration models, realized volatilities

Metaphorical conceptualizations of generative artificial intelligence use by Chinese university EFL learners

The unveiling of ChatGPT 4o by OpenAI, a multimodal large language model powered by Generative Artificial Intelligence (GenAI), has injected interest and incited debate throughout the echelon of education institutions regarding its prospective benefits and drawbacks. Nonetheless, investigations into the learners’ perceptions of GenAI use in learning English as a Foreign Language (EFL) remain markedly insufficient. The study adopts an explorative stance and aims to explore the attitudes and perceptions of Chinese EFL learners toward GenAI use in language learning through the application of metaphor analysis. Data were collected from 281 EFL students of varying majors in four key universities across China by completing a sentence using metaphors to elicit their attitudes and perceptions toward GenAI use in language learning. Through qualitative analysis of metaphorical constructs, including HUMANS, TOOL/MACHINE, BRAIN, RESOURCES, FOOD/DRINK, and MEDICINE metaphors, the study unveils a spectrum of attitudes toward GenAI. While some language learners perceived GenAI as supportive, helpful, and intelligent, others expressed concerns about over-reliance and potential loss of critical thinking skills. The findings underscore the importance of considering learners’ diverse attitudes and beliefs toward GenAI use and application in language learning pedagogy. The implications of these findings for the future integration of GenAI in language education are discussed, complemented by recommendations for further research and pedagogical practice

Iberverin exhibits antineoplastic activities against human hepatocellular carcinoma via DNA damage-mediated cell cycle arrest and mitochondrial-related apoptosis

Hepatocellular carcinoma (HCC) is one of the malignant tumors with high incidence and mortality rates in the world. Isothiocyanates (ITCs), bioactive substances present primarily in the plant order Brassicales, have been proved to be promising candidates for novel anti-HCC drugs with chemopreventive and anticancer activities. Iberverin, a predominant ITC isolated from the seeds of oxheart cabbage, has been discovered with anticancer property in lung cancer cells. However, the roles of iberverin in HCC remain elusive. In the present study, the effect and potential mechanisms of iberverin against human HCC were dissected. We demonstrated that low concentrations of iberverin inhibited cell proliferation, suppressed migration and induced mitochondrial-related apoptosis in vitro, and hampered tumorigenicity in vivo, with no obvious toxicity. Furthermore, we found that iberverin treatment induced DNA damage and G2/M phase arrest. Iberverin treatment also caused increased intracellular reactive oxygen species formation and glutathione depletion. Taken together, these results suggest that iberverin promotes mitochondrial-mediated apoptosis and induces DNA damage and G2/M cell cycle arrest in HCC by enhancing oxidative stress. Our findings provide better understanding of the anti-HCC mechanisms of ITCs and the potential for the natural product iberverin as a promising new anti-HCC biotherapeutic

Risk factors for thrombotic events in Philadelphia chromosome-negative myeloproliferative neoplasms: a retrospective analysis of 336 cases

Thrombotic events are one of the main factors affecting the survival of patients with Philadelphia chromosome-negative (Ph-) myeloproliferative neoplasms (MPNs). Therefore, a comprehensive understanding of the early relevant high-risk factors makes sense for early prevention and reducing mortality in these patients. In this study, we conducted a retrospective analysis of 336 patients with Ph- MPN and summarized the clinical characteristics, incidence of thrombotic events and influencing factors. Thrombotic events occurred in 27.7% (93/336) of patients. Among the thrombotic events, arterial thrombosis occurred in 86 cases (92.5%), the most common thrombotic event was cerebral infarction (69/93, 74.2%). Univariate analysis and logistic regression identified that diagnosis of Polycythemia Vera (PV)/Essential Thrombocythemia (ET), thrombotic events before diagnosis and D-dimer≥1mg/L were the independent risk factors for thrombotic events at initial diagnosis in MPN patients (P<0.05). Receiver operating characteristic (ROC) curve analysis revealed that the integrated predictive efficacy of the triple-variable combination was markedly superior to that of any single parameter alone, yielding a sensitivity of 72.04% (95% CI: 61.8%-80.9%), a specificity of 74.49% (95% CI: 68.5%-79.8%), and an area under the curve (AUC) of 0.771 (95% CI: 0.723 - 0.815). Additionally, univariate analysis further identified smoking history, elevated hemoglobin (Hb≥136g/L), hematocrit (HCT≥0.42), D-dimer-to-fibrinogen ratio (DFR≥0.243) and JAK2V617F mutation as potential risk factors for thrombosis (P<0.05), necessitating validation in future studies. These findings facilitate the early identification of Ph-MPN patients at heightened risk for thrombotic events, enabling the implementation of targeted prophylactic strategies to mitigate thrombotic risk

Associations of serum sLOX-1 levels with disease severity and 3-month function prognosis after spontaneous intracerebral hemorrhage: a prospective cohort study

BackgroundSoluble lectin-like oxidized low-density lipoprotein receptor-1 (sLOX-1) may be involved in the inflammatory response and aggravate secondary brain injury after spontaneous intracerebral hemorrhage (sICH). The aim of this study was to reveal the association of serum sLOX-1 levels with disease severity and the predictive power of 90-day neurological outcomes after sICH.MethodThis prospective cohort study included 118 sICH patients and 118 healthy controls, whose serum sLOX-1 levels were quantified. Glasgow Coma Scale (GCS) scores and hematoma volumes were used to assess disease severity. Glasgow Outcome Scale (GOS) scores were used to assess 3-month function prognosis after stroke. The relation of serum sLOX-1 levels to disease severity and prognosis (GOS scores 1–3) was discerned Receiver operating characteristic curve was built to evaluate the prognostic predictive capability.ResultSerum sLOX-1 levels were significantly increased in patients compared to healthy controls, and were independently correlated with GCS scores (ρ = −0.577, p < 0.001; t = −6.732, p < 0.001) and hematoma volumes (ρ = 0.540, p < 0.001; t = 7.136, p < 0.001). Patients with poor prognosis have higher serum sLOX-1 levels than in those with good prognosis (p < 0.001). Serum sLOX-1 levels >1539.75 pg/mL distinguished the risk of poor prognosis at 3 months after stroke, with a sensitivity of 83.72% and a specificity of 72.00% (area under curve, 0.813; 95% confidence interval (CI), 0.731–0.879, p < 0.001). Serum sLOX-1 levels were independently associated with poor 3-month prognosis with odds ratio of 1.002 (95% CI, 1.000–1.004).ConclusionSerum sLOX-1 levels are obviously increased after stroke and are significantly associated with disease severity and poor prognosis. Hence, sLOX-1 may serve as a useful potential prognostic biomarker for sICH

Active Ingredients of Epimedii Folium and Ligustri Lucidi Fructus Balanced GR/HSP90 to Improve the Sensitivity of Asthmatic Rats to Budesonide

This study aimed to investigate the possible molecular mechanisms of active ingredients of Epimedii Folium (EF) and Ligustri Lucidi Fructus (LLF) combined with Budesonide (Bun) in asthmatic rats. Rats were divided into 5 groups, including normal group, asthma model group, Bun group, group of active ingredients of EL and LLF (EL), and group of coadministration of Bun with EL (Bun&EL). The asthmatic model was prepared by ovalbumin sensitizing and challenging. Lymphocyte apoptosis, GR protein and binding, and the protein and mRNA of GRα, GRβ, and HSP90 were tested. The results showed that Bun&EL ① markedly increased lymphocyte apoptosis, GR and HSP90 protein, and GR binding in BALF and ② enhanced the expressions of GRα and HSP90 and the ratio of GRα to GRβ or to HSP90 both in protein and in mRNA levels in lung, ③ while decrease occurred in GRβ mRNA and the mRNA ratio of GRβ to HSP90 compared with asthma or Bun group. Moreover, there was a significant correlation between GRα and GRβ in protein level, or between GRα and HSP90 both in protein and in mRNA levels. EL may effectively enhance the sensitivity of asthmatic rats to Bun via balancing GR/HSP90. And these findings will be beneficial for the treatment of asthma in the future

Physiological Adaptive Strategies of Oil Seed Crop Ricinus communis Early Seedlings (Cotyledon vs. True Leaf) Under Salt and Alkali Stresses: From the Growth, Photosynthesis and Chlorophyll Fluorescence

Ricinus communis is an important energy crop and is considered as one of the most potential plants for salt-alkali soil improvement in Northeast China. Early seedling stage (such as the cotyledon expansion stage) is always a vulnerable stage but plays a vital role in plant establishment, especially under stress conditions. However, little information exists concerning the function of cotyledon and the relationship between cotyledon and true leaf in the adaptation to salt stress and alkali stress of this species. Here, Ricinus communis seedlings were treated with varying (40, 80 and 120 mM) salinity (NaCl) and alkalinity (NaHCO3), growth, photosynthesis, and chlorophyll fluorescence of cotyledons and true leaves were measured. The results showed that the biomass, photosynthetic parameters, and the qp value of both cotyledons and true leaves decreased with increasing salt-alkali stress, and the decrease in biomass, gs and Tr, of true leaves were much greater than that of cotyledons. Salt-alkali stress only reduced photosynthetic pigments and ΦPSII in cotyledons, but did not affect those in true leaves. Additionally, the Fv/Fm and NPQ between cotyledons and true leaves showed different trends in salinity and alkalinity. The results suggested that alkali stress could cause much more damage to the castor bean seedlings, and different physiological responses and adaptive strategies are found in cotyledons and true leaves under salt-alkali stress. This study will help us develop a better understanding of the adaptation mechanisms of cotyledon and true leaf during early seedling stage of castor bean plant, and also provide new insights into the function of cotyledon in Ricinus communis under salt-alkali stress conditions

In situ identification of crystal facet-mediated chemical reactions on tetrahexahedral gold nanocrystals using surface-enhanced Raman spectroscopy

National Basic Research Program of China [2010CB934700]; National Science Foundation of China [50725208, 20973019, 51002007, 21303006]Direct monitoring of a metal-catalyzed reaction by surface-enhanced Raman scattering (SERS) is always a challenging issue as it needs bifunctional metal structures that have plasmonic properties and also act as catalysts. Here we demonstrate that the tetrahexahedral (THH) gold nanocrystals (Au NCs) with exposed {520} facets give highly enhanced Raman signals from molecules at the interface, permitting in situ observation of chemical transformation from para-aminothiophenol (PATP) to 4,4'-dimercaptoazobenzene (DMAB). The origin of the intense SERS signals of DMAB is carefully investigated based on the comparison of the SERS spectra of PATP obtained with both the THH Au NCs and the Au nanospheres with the exposed {111} facets. It is elucidated that the high-index {520} facet rather than the localized surface plasmons of the THH Au NCs plays a key role in producing a high yield of the product DMAB which is accompanied by the selective enhancement of the characteristic Raman signals