Nonlinear Basis Pursuit

In compressive sensing, the basis pursuit algorithm aims to find the sparsest solution to an underdetermined linear equation system. In this paper, we generalize basis pursuit to finding the sparsest solution to higher order nonlinear systems of equations, called nonlinear basis pursuit. In contrast to the existing nonlinear compressive sensing methods, the new algorithm that solves the nonlinear basis pursuit problem is convex and not greedy. The novel algorithm enables the compressive sensing approach to be used for a broader range of applications where there are nonlinear relationships between the measurements and the unknowns

Forecasting with an adaptive control algorithm

We construct a parsimonious model of the U.S. macro economy using a state space representation and recursive estimation. At the core of the estimation procedure is a prediction/correction algorithm based on a recursive least squares estimation with exponential forgetting. The algorithm is a Kalman filter-type update method which minimizes the sum of discounted squared errors. This method reduces the contribution of past errors in the estimate of the current period coefficients and thereby adapts to potential time variation of parameters. The root mean square errors of out-of-sample forecast of the model show improvement over OLS forecasts. One period ahead in-sample forecasts showed better tracking than OLS in-sample forecasts.Forecasting

Returns, Volatility and Liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders

This paper investigates the information content of the two types of limit orders on the Australian Stock Exchange ASX: undisclosed orders (ULOs) and limit orders. Given the large order quantity contained in ULOs, we attempt to examine the impact of ULO submissions, cancellations and executions on price changes and volatility over differing intervals within a day. Motivation is generated by the ASX decision to abolish the use of ULOs in favour of iceberg orders. Intraday analysis shows that the impact of both ULO and disclosed order submissions are no longer than one day. ULO buying/selling order submissions at the best bid/ask price increase/decrease returns and price volatility significantly more than disclosed orders. The cancellations of ULOs cause significantly larger price volatility than disclosed limit order cancellations. Compared with disclosed limit order submissions, there is an increase in liquidity from the significantly reduced spread upon DLO submissions.Intraday effects, Return volatility, Undisclosed limit orders

A dedicated haem lyase is required for the maturation of a novel bacterial cytochrome c with unconventional covalent haem binding

In bacterial c-type cytochromes, the haem cofactor is covalently attached via two cysteine residues organized in a haem c-binding motif. Here, a novel octa-haem c protein, MccA, is described that contains only seven conventional haem c-binding motifs (CXXCH), in addition to several single cysteine residues and a conserved CH signature. Mass spectrometric analysis of purified MccA from Wolinella succinogenes suggests that two of the single cysteine residues are actually part of an unprecedented CX15CH sequence involved in haem c binding. Spectroscopic characterization of MccA identified an unusual high-potential haem c with a red-shifted absorption maximum, not unlike that of certain eukaryotic cytochromes c that exceptionally bind haem via only one thioether bridge. A haem lyase gene was found to be specifically required for the maturation of MccA in W. succinogenes. Equivalent haem lyase-encoding genes belonging to either the bacterial cytochrome c biogenesis system I or II are present in the vicinity of every known mccA gene suggesting a dedicated cytochrome c maturation pathway. The results necessitate reconsideration of computer-based prediction of putative haem c-binding motifs in bacterial proteomes