Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density in which skewness and kurtosis appear directly in the functional form of this density. In this setting VaR can be described as a function of the time-varying higher moments by applying the Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered historical simulation and GARCH model. The adequacy of the VaR forecasts is evaluated under the unconditional, independence and conditional likelihood ratio tests as well as Basel II regulatory tests. The results presented have significant implications for risk management, trading and hedging activities as well as in the pricing of equity derivatives

GeneRegionScan: a Bioconductor package for probe-level analysis of specific, small regions of the genome

Summary: Whole-genome microarrays allow us to interrogate the entire transcriptome of a cell. Affymetrix microarrays are constructed using several probes that match to different regions of a gene and a summarization step reduces this complexity into a single value, representing the expression level of the gene or the expression level of an exon in the case of exon arrays. However, this simplification eliminates information that might be useful when focusing on specific genes of interest. To address these limitations, we present a software package for the R platform that allows detailed analysis of expression at the probe level. The package matches the probe sequences against a target gene sequence (either mRNA or DNA) and shows the expression levels of each probe along the gene. It also features functions to fit a linear regression based on several genetic models that enables study of the relationship between gene expression and genotype

A short update on the structure of drug binding sites on neurotransmitter transporters

<p>Abstract</p> <p>Background</p> <p>The dopamine (DAT), noradrenalin (NET) and serotonin (SERT) transporters are molecular targets for different classes of psychotropic drugs. Cocaine and the SSRI (<it>S</it>)-citalopram block neurotransmitter reuptake competitively, but while cocaine is a non-selective reuptake inhibitor, (<it>S</it>)-citalopram is a selective SERT inhibitor.</p> <p>Findings</p> <p>Here we present comparisons of the binding sites and the electrostatic potential surfaces (EPS) of DAT, NET and SERT homology models based on two different LeuT_Aatemplates; with a substrate (leucine) in an occluded conformation (PDB id <ext-link ext-link-id="2a65" ext-link-type="pdb">2a65</ext-link>), and with an inhibitor (tryptophan) in an open-to-out conformation (PDB id <ext-link ext-link-id="3f3a" ext-link-type="pdb">3f3a</ext-link>). In the occluded homology models, two conserved aromatic amino acids (tyrosine and phenylalanine) formed a gate between the putative binding pockets, and this contact was interrupted in the open to out conformation. The EPS of DAT and NET were generally negative in the vestibular area, whereas the EPS of the vestibular area of SERT was more neutral.</p> <p>Conclusions</p> <p>The findings presented here contribute as an update on the structure of the binding sites of DAT, NET and SERT. The updated models, which have larger ligand binding site areas than models based on other templates, may serve as improved tools for virtual ligand screening.</p

Cysteinyl leukotriene signaling aggravates myocardial hypoxia in experimental atherosclerotic heart disease

Cysteinyl-leukotrienes (cys-LT) are powerful spasmogenic and immune modulating lipid mediators involved in inflammatory diseases, in particular asthma. Here, we investigated whether cys-LT signaling, in the context of atherosclerotic heart disease, compromises the myocardial microcirculation and its response to hypoxic stress. To this end, we examined Apoe(-/-) mice fed a hypercholesterolemic diet and analysed the expression of key enzymes of the cys-LT pathway and their receptors (CysLT1/CysLT2) in normal and hypoxic myocardium as well as the potential contribution of cys-LT signaling to the acute myocardial response to hypoxia. METHODS AND PRINCIPAL FINDINGS: Myocardial biopsies from Apoe(-/-) mice demonstrated signs of chronic inflammation with fibrosis, increased apoptosis and expression of IL-6, as compared to biopsies from C57BL/6J control mice. In addition, we found increased leukotriene C(4) synthase (LTC(4)S) and CysLT1 expression in the myocardium of Apoe(-/-) mice. Acute bouts of hypoxia further induced LTC(4)S expression, increased LTC(4)S enzyme activity and CysLT1 expression, and were associated with increased extension of hypoxic areas within the myocardium. Inhibition of cys-LT signaling by treatment with montelukast, a selective CysLT1 receptor antagonist, during acute bouts of hypoxic stress reduced myocardial hypoxic areas in Apoe(-/-) mice to levels equal to those observed under normoxic conditions. In human heart biopsies from 14 patients with chronic coronary artery disease mRNA expression levels of LTC(4)S and CysLT1 were increased in chronic ischemic compared to non-ischemic myocardium, constituting a molecular basis for increased cys-LT signaling. CONCLUSION: Our results suggest that CysLT1 antagonists may have protective effects on the hypoxic heart, and improve the oxygen supply to areas of myocardial ischemia, for instance during episodes of sleep apnea

A comparative study of MEA and DEA for post-combustion CO2 capture with different process configurations

This paper presented a comparative study of monoethanolamine (MEA) and diethanolamine (DEA) for post-combustion CO2 capture (PCC) process with different process configurations to study the interaction effect between solvent and process. The steady state process model of the conventional MEA-based PCC process was developed in Pro/II® and was validated with the experimental data. Then ten different process configurations were simulated for both MEA and DEA. Their performances in energy consumption were compared in terms of reboiler duty and total equivalent work. The results show that DEA generally has better thermal performances than MEA for all these ten process configurations. Seven process configurations provide 0.38%–4.61% total energy saving compared with the conventional PCC process for MEA, and other two configurations are not favourable. For DEA, except one configuration, other process configurations have 0.27%–4.50% total energy saving. This work also analyzed the sensitivities of three key parameters (amine concentration, stripper pressure and lean solvent loading) in conventional process and five process modifications to show optimization strategy

Genome Fragmentation Is Not Confined to the Peridinin Plastid in Dinoflagellates

When plastids are transferred between eukaryote lineages through series of endosymbiosis, their environment changes dramatically. Comparison of dinoflagellate plastids that originated from different algal groups has revealed convergent evolution, suggesting that the host environment mainly influences the evolution of the newly acquired organelle. Recently the genome from the anomalously pigmented dinoflagellate Karlodinium veneficum plastid was uncovered as a conventional chromosome. To determine if this haptophyte-derived plastid contains additional chromosomal fragments that resemble the mini-circles of the peridin-containing plastids, we have investigated its genome by in-depth sequencing using 454 pyrosequencing technology, PCR and clone library analysis. Sequence analyses show several genes with significantly higher copy numbers than present in the chromosome. These genes are most likely extrachromosomal fragments, and the ones with highest copy numbers include genes encoding the chaperone DnaK(Hsp70), the rubisco large subunit (rbcL), and two tRNAs (trnE and trnM). In addition, some photosystem genes such as psaB, psaA, psbB and psbD are overrepresented. Most of the dnaK and rbcL sequences are found as shortened or fragmented gene sequences, typically missing the 3′-terminal portion. Both dnaK and rbcL are associated with a common sequence element consisting of about 120 bp of highly conserved AT-rich sequence followed by a trnE gene, possibly serving as a control region. Decatenation assays and Southern blot analysis indicate that the extrachromosomal plastid sequences do not have the same organization or lengths as the minicircles of the peridinin dinoflagellates. The fragmentation of the haptophyte-derived plastid genome K. veneficum suggests that it is likely a sign of a host-driven process shaping the plastid genomes of dinoflagellates

Connective Tissue Growth Factor Overexpression in Cardiomyocytes Promotes Cardiac Hypertrophy and Protection against Pressure Overload

Connective tissue growth factor (CTGF) is a secreted protein that is strongly induced in human and experimental heart failure. CTGF is said to be profibrotic; however, the precise function of CTGF is unclear. We generated transgenic mice and rats with cardiomyocyte-specific CTGF overexpression (CTGF-TG). To investigate CTGF as a fibrosis inducer, we performed morphological and gene expression analyses of CTGF-TG mice and rat hearts under basal conditions and after stimulation with angiotensin II (Ang II) or isoproterenol, respectively. Surprisingly, cardiac tissues of both models did not show increased fibrosis or enhanced gene expression of fibrotic markers. In contrast to controls, Ang II treated CTGF-TG mice displayed preserved cardiac function. However, CTGF-TG mice developed age-dependent cardiac dysfunction at the age of 7 months. CTGF related heart failure was associated with Akt and JNK activation, but not with the induction of natriuretic peptides. Furthermore, cardiomyocytes from CTGF-TG mice showed unaffected cellular contractility and an increased Ca2+ reuptake from sarcoplasmatic reticulum. In an ischemia/reperfusion model CTGF-TG hearts did not differ from controls

Large expert-curated database for benchmarking document similarity detection in biomedical literature search

Document recommendation systems for locating relevant literature have mostly relied on methods developed a decade ago. This is largely due to the lack of a large offline gold-standard benchmark of relevant documents that cover a variety of research fields such that newly developed literature search techniques can be compared, improved and translated into practice. To overcome this bottleneck, we have established the RElevant LIterature SearcH consortium consisting of more than 1500 scientists from 84 countries, who have collectively annotated the relevance of over 180 000 PubMed-listed articles with regard to their respective seed (input) article/s. The majority of annotations were contributed by highly experienced, original authors of the seed articles. The collected data cover 76% of all unique PubMed Medical Subject Headings descriptors. No systematic biases were observed across different experience levels, research fields or time spent on annotations. More importantly, annotations of the same document pairs contributed by different scientists were highly concordant. We further show that the three representative baseline methods used to generate recommended articles for evaluation (Okapi Best Matching 25, Term Frequency–Inverse Document Frequency and PubMed Related Articles) had similar overall performances. Additionally, we found that these methods each tend to produce distinct collections of recommended articles, suggesting that a hybrid method may be required to completely capture all relevant articles. The established database server located at https://relishdb.ict.griffith.edu.au is freely available for the downloading of annotation data and the blind testing of new methods. We expect that this benchmark will be useful for stimulating the development of new powerful techniques for title and title/abstract-based search engines for relevant articles in biomedical research