Strategic Insider Trading Equilibrium: A Filter Theory Approach

The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity trading, and by having weaker a priori assumptions on the model. This extension is made possible by the use of filtering theory. We derive the optimal trade for an insider and the corresponding price of the risky asset; the insider's trading intensity satisfies a deterministic integral equation, given perfect inside information.Insider trading; equilibrium; strategic trade; linear filter theory; innovation equation

Insider trading with partially informed traders

The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders is independent of the asset value, we assume that the noise traders are able to correlate their trade with the true price. This has several implications for the equilibrium, one being that the insider's expected profits decrease as the noise traders' ability to correlate positively improve. In the limit, the noise traders do not lose on average, and the insider makes zero expected profits. When the correlation is negative, we interpret this as manipulation. In this case the insider makes the highest expected profits, and the informativeness of prices is at its minimum.Insider trading; asymmetric information; strategic trade; correlated trade; partially informed noise traders

Stochastic Stackelberg equilibria with applications to time dependent newsvendor models

In this paper we prove a sufficient maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem a manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits under a random demand rate. Our demand rate is an Ito-Levy process, and to increase realism information is delayed, e.g., due to production time. We provide complete existence and uniqueness proofs for a series of special cases, including geometric Brownian motion and the Ornstein-Uhlenbeck process, both with time variable coefficients. Moreover, these results are operational because we are able to offer explicit solution formulas. An interesting finding is that more precise information may be a considerable disadvantage for the retailer.Stochastic differential games; newsvendor model; delayed information; Ito-Levy processes

Bilinear forms on Grothendieck groups of triangulated categories

We extend the theory of bilinear forms on the Green ring of a finite group developed by Benson and Parker to the context of the Grothendieck group of a triangulated category with Auslander-Reiten triangles, taking only relations given by direct sum decompositions. We examine the non-degeneracy of the bilinear form given by dimensions of homomorphisms, and show that the form may be modified to give a Hermitian form for which the standard basis given by indecomposable objects has a dual basis given by Auslander-Reiten triangles. An application is given to the homotopy category of perfect complexes over a symmetric algebra, with a consequence analogous to a result of Erdmann and Kerner.Comment: arXiv admin note: substantial text overlap with arXiv:1301.470

Urinary proteomics for prediction of mortality in patients with type 2 diabetes and microalbuminuria

Background: The urinary proteomic classifier CKD273 has shown promise for prediction of progressive diabetic nephropathy (DN). Whether it is also a determinant of mortality and cardiovascular disease in patients with microalbuminuria (MA) is unknown. Methods: Urine samples were obtained from 155 patients with type 2 diabetes and confirmed microalbuminuria. Proteomic analysis was undertaken using capillary electrophoresis coupled to mass spectrometry to determine the CKD273 classifier score. A previously defined CKD273 threshold of 0.343 for identification of DN was used to categorise the cohort in Kaplan–Meier and Cox regression models with all-cause mortality as the primary endpoint. Outcomes were traced through national health registers after 6 years. Results: CKD273 correlated with urine albumin excretion rate (UAER) (r = 0.481, p = <0.001), age (r = 0.238, p = 0.003), coronary artery calcium (CAC) score (r = 0.236, p = 0.003), N-terminal pro-brain natriuretic peptide (NT-proBNP) (r = 0.190, p = 0.018) and estimated glomerular filtration rate (eGFR) (r = 0.265, p = 0.001). On multivariate analysis only UAER (β = 0.402, p < 0.001) and eGFR (β = − 0.184, p = 0.039) were statistically significant determinants of CKD273. Twenty participants died during follow-up. CKD273 was a determinant of mortality (log rank [Mantel-Cox] p = 0.004), and retained significance (p = 0.048) after adjustment for age, sex, blood pressure, NT-proBNP and CAC score in a Cox regression model. Conclusion: A multidimensional biomarker can provide information on outcomes associated with its primary diagnostic purpose. Here we demonstrate that the urinary proteomic classifier CKD273 is associated with mortality in individuals with type 2 diabetes and MA even when adjusted for other established cardiovascular and renal biomarkers

Butterfly hysteresis loop at non-zero bias field in antiferromagnetic molecular rings: cooling by adiabatic magnetization

At low temperatures, the magnetization of the molecular ferric wheel NaFe$_6$ exhibits a step at a critical field $B_c$ due to a field-induced level-crossing. By means of high-field torque magnetometry we observed a hysteretic behavior at the level-crossing with a characteristic butterfly shape which is analyzed in terms of a dissipative two-level model. Several unusual features were found. The non-zero bias field of the level-crossing suggests the possibility of cooling by adiabatic magnetization.Comment: 4 pages, 5 figures, REVTEX4, to appear in PR

Urinary proteomics for prediction of mortality in patients with type 2 diabetes and microalbuminuria

Background: The urinary proteomic classifier CKD273 has shown promise for prediction of progressive diabetic nephropathy (DN). Whether it is also a determinant of mortality and cardiovascular disease in patients with microalbuminuria (MA) is unknown. Methods: Urine samples were obtained from 155 patients with type 2 diabetes and confirmed microalbuminuria. Proteomic analysis was undertaken using capillary electrophoresis coupled to mass spectrometry to determine the CKD273 classifier score. A previously defined CKD273 threshold of 0.343 for identification of DN was used to categorise the cohort in Kaplan–Meier and Cox regression models with all-cause mortality as the primary endpoint. Outcomes were traced through national health registers after 6 years. Results: CKD273 correlated with urine albumin excretion rate (UAER) (r = 0.481, p = <0.001), age (r = 0.238, p = 0.003), coronary artery calcium (CAC) score (r = 0.236, p = 0.003), N-terminal pro-brain natriuretic peptide (NT-proBNP) (r = 0.190, p = 0.018) and estimated glomerular filtration rate (eGFR) (r = 0.265, p = 0.001). On multivariate analysis only UAER (β = 0.402, p < 0.001) and eGFR (β = − 0.184, p = 0.039) were statistically significant determinants of CKD273. Twenty participants died during follow-up. CKD273 was a determinant of mortality (log rank [Mantel-Cox] p = 0.004), and retained significance (p = 0.048) after adjustment for age, sex, blood pressure, NT-proBNP and CAC score in a Cox regression model. Conclusion: A multidimensional biomarker can provide information on outcomes associated with its primary diagnostic purpose. Here we demonstrate that the urinary proteomic classifier CKD273 is associated with mortality in individuals with type 2 diabetes and MA even when adjusted for other established cardiovascular and renal biomarkers

Nanosecond laser photolysis studies of chlorosomes and artificial aggregates containing bacteriochlorophyll e: Evidence for the proximity of carotenoids and bacteriochlorophyll a in chlorosomes from Chlorobium phaeobacteroides strain CL1401

Time-resolved, laser-induced changes in absorbance, ΔA(λ; t), have been recorded with a view to probing pigment–pigment interactions in chlorosomes (control as well as carotenoid-depleted) and artificial aggregates of bacteriochlorophyll e (BChle). Control chlorosomes were isolated from Chlorobium phaeobacteroides strain CL1401, whose chromophores comprise BChle, bacteriochlorophyll a (BChla) and several carotenoid (Car) pigments; Car-depleted chlorosomes, from cells grown in cultures containing 2-hydroxybiphenyl. Artificial aggregates were prepared by dispersing BChle in aqueous phase in the presence of monogalactosyl diglyceride. In chlorosomes ΔA(λ; t) shows, besides a signal attributable to triplet Car (with a half-life of about 4 μs), signals in the Qy regions of both BChl. The BChla signal decays at the same rate as the Car signal, which is explained by postulating that some Car are in intimate contact with some baseplate BChla pigments, and that when a ground-state Car changes into a triplet Car, the absorption spectrum of its BChla neighbors undergoes a concomitant change (termed transient environment-induced perturbation). The signal in the Qy-region of BChle behaves differently: its amplitude falls, under reducing conditions, by more than a factor of two during the first 0.5 μs (a period during which the Car signal suffers negligible diminution), and is much smaller under nonreducing conditions. The BChle signal is also attributed to transient environment-induced perturbation, but in this case the perturber is a BChle photoproduct (probably a triplet or a radical ion). The absence of long-lived BChle triplets in all three systems, and of long-lived BChla triplets in chlorosomes, indicates that BChle in densely packed assemblies is less vulnerable to photodamage than monomeric BChle and that, in chlorosome, BChla rather than BChle needs, and receives, photoprotection from an adjacent Car.Research Council of Norway. EU (contract FMRX-CT96-0081)Peer reviewe

Broad-band spectrophotometry of the hot Jupiter HAT-P-12b from the near-UV to the near-IR

The detection of trends or gradients in the transmission spectrum of extrasolar planets is possible with observations at very low spectral resolution. Transit measurements of sufficient accuracy using selected broad-band filters allow for an initial characterization of the atmosphere of the planet. We obtained time series photometry of 20 transit events and analyzed them homogeneously, along with eight light curves obtained from the literature. In total, the light curves span a range from 0.35 to 1.25 microns. During two observing seasons over four months each, we monitored the host star to constrain the potential influence of starspots on the derived transit parameters. We rule out the presence of a Rayleigh slope extending over the entire optical wavelength range, a flat spectrum is favored for HAT-P-12b with respect to a cloud-free atmosphere model spectrum. A potential cause of such gray absorption is the presence of a cloud layer at the probed latitudes. Furthermore, in this work we refine the transit parameters, the ephemeris and perform a TTV analysis in which we found no indication for an unseen companion. The host star showed a mild non-periodic variability of up to 1%. However, no stellar rotation period could be detected to high confidence.Comment: 13 pages, 6 figures, Accepted for publication in A&