HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

A cautionary tale of virus and disease

The recent identification of the gammaretrovirus XMRV and a second gammaretrovirus of a different subtype in chronic fatigue syndrome has aroused much interest, not least among sufferers. However, it remains highly controversial whether the detection of these viruses represents true infection or laboratory artifacts

No Evidence of Murine Leukemia Virus-Related Viruses in Live Attenuated Human Vaccines

The association of xenotropic murine leukemia virus (MLV)-related virus (XMRV) in prostate cancer and chronic fatigue syndrome reported in previous studies remains controversial as these results have been questioned by recent data. Nonetheless, concerns have been raised regarding contamination of human vaccines as a possible source of introduction of XMRV and MLV into human populations. To address this possibility, we tested eight live attenuated human vaccines using generic PCR for XMRV and MLV sequences. Viral metagenomics using deep sequencing was also done to identify the possibility of other adventitious agents.All eight live attenuated vaccines, including Japanese encephalitis virus (JEV) (SA-14-14-2), varicella (Varivax), measles, mumps, and rubella (MMR-II), measles (Attenuvax), rubella (Meruvax-II), rotavirus (Rotateq and Rotarix), and yellow fever virus were negative for XMRV and highly related MLV sequences. However, residual hamster DNA, but not RNA, containing novel endogenous gammaretrovirus sequences was detected in the JEV vaccine using PCR. Metagenomics analysis did not detect any adventitious viral sequences of public health concern. Intracisternal A particle sequences closest to those present in Syrian hamsters and not mice were also detected in the JEV SA-14-14-2 vaccine. Combined, these results are consistent with the production of the JEV vaccine in Syrian hamster cells.We found no evidence of XMRV and MLV in eight live attenuated human vaccines further supporting the safety of these vaccines. Our findings suggest that vaccines are an unlikely source of XMRV and MLV exposure in humans and are consistent with the mounting evidence on the absence of these viruses in humans

Detection of a gammaretrovirus, XMRV, in the human population: Open questions and implications for xenotransplantation

XMRV (xenotropic murine leukaemia virus-related virus) is a gammaretrovirus that has been detected in human patients with prostate carcinoma, chronic fatigue syndrome (CFS) and also in a small percentage of clinically healthy individuals. It is not yet clear whether the distribution of this virus is primarily limited to the USA or whether it is causally associated with human disease. If future investigations confirm a broad distribution of XMRV and its association with disease, this would have an impact on xenotransplantation of porcine tissues and organs. Xenotransplantation is currently being developed to compensate for the increasing shortage of human material for the treatment of tissue and organ failure but could result in the transmission of porcine pathogens. Maintenance of pathogen-free donor animals will dramatically reduce this risk, but some of the porcine endogenous retroviruses (PERVs) found in the genome of all pigs, can produce infectious virus and infect cultured human cells. PERVs are closely related to XMRV so it is critical to develop tests that discriminate between them. Since recombination can occur between viruses, and recombinants can exhibit synergism, recipients should be tested for XMRV before xenotransplantation

Serologic and PCR testing of persons with chronic fatigue syndrome in the United States shows no association with xenotropic or polytropic murine leukemia virus-related viruses

In 2009, a newly discovered human retrovirus, xenotropic murine leukemia virus (MuLV)-related virus (XMRV), was reported by Lombardi et al. in 67% of persons from the US with chronic fatigue syndrome (CFS) by PCR detection of gag sequences. Although six subsequent studies have been negative for XMRV, CFS was defined more broadly using only the CDC or Oxford criteria and samples from the US were limited in geographic diversity, both potentially reducing the chances of identifying XMRV positive CFS cases. A seventh study recently found polytropic MuLV sequences, but not XMRV, in a high proportion of persons with CFS. Here we tested blood specimens from 45 CFS cases and 42 persons without CFS from over 20 states in the United States for both XMRV and MuLV. The CFS patients all had a minimum of 6 months of post-exertional malaise and a high degree of disability, the same key symptoms described in the Lombardi et al. study. Using highly sensitive and generic DNA and RNA PCR tests, and a new Western blot assay employing purified whole XMRV as antigen, we found no evidence of XMRV or MuLV in all 45 CFS cases and in the 42 persons without CFS. Our findings, together with previous negative reports, do not suggest an association of XMRV or MuLV in the majority of CFS cases

Detection of Murine Leukemia Virus or Mouse DNA in Commercial RT-PCR Reagents and Human DNAs

The xenotropic murine leukemia virus (MLV)-related viruses (XMRV) have been reported in persons with prostate cancer, chronic fatigue syndrome, and less frequently in blood donors. Polytropic MLVs have also been described in persons with CFS and blood donors. However, many studies have failed to confirm these findings, raising the possibility of contamination as a source of the positive results. One PCR reagent, Platinum Taq polymerase (pol) has been reported to contain mouse DNA that produces false-positive MLV PCR results. We report here the finding of a large number of PCR reagents that have low levels of MLV sequences. We found that recombinant reverse-transcriptase (RT) enzymes from six companies derived from either MLV or avian myeloblastosis virus contained MLV pol DNA sequences but not gag or mouse DNA sequences. Sequence and phylogenetic analysis showed high relatedness to Moloney MLV, suggesting residual contamination with an RT-containing plasmid. In addition, we identified contamination with mouse DNA and a variety of MLV sequences in commercially available human DNAs from leukocytes, brain tissues, and cell lines. These results identify new sources of MLV contamination and highlight the importance of careful pre-screening of commercial specimens and diagnostic reagents to avoid false-positive MLV PCR results

Lack of Detection of XMRV in Seminal Plasma from HIV-1 Infected Men in The Netherlands

Background: Xenotropic murine leukaemia virus-related virus (XMRV) is a recently discovered human gammaretrovirus with yet unknown prevalence and transmission route(s). Its presence in prostate stromal fibroblasts and prostatic secretions suggests that XMRV might be sexually transmitted. We chose to study a compartment closely connected to the prostate, a location where XMRV was detected in independent studies. Seminal plasma samples from HIV-1 infected men were examined as they have an increased probability of acquiring sexually transmitted pathogens. Methodology/Principal Findings: We studied the prevalence of XMRV in 93 seminal plasma samples of 54 HIV-1 infected men living in The Netherlands with a nested PCR amplification specifically targeting the XMRV gag gene. As a control for the presence and integrity of retrovirus particles, HIV-1 was amplified from the same samples with a PCR amplification targeting the env gene of the virus, or HIV-1 was quantified with a real-time PCR amplifying part of the pol gene. Conclusions/Significance: Although HIV-1 was amplified from 25 % of the seminal plasma samples, no XMRV was detected, suggesting that either the prevalence of XMRV is very low in The Netherlands, or that XMRV is not naturally present in th

No Evidence for XMRV in German CFS and MS Patients with Fatigue Despite the Ability of the Virus to Infect Human Blood Cells In Vitro

BACKGROUND: Xenotropic murine leukemia virus-related virus (XMRV), a novel human retrovirus originally identified in prostate cancer tissues, has recently been associated with chronic fatigue syndrome (CFS), a disabling disease of unknown etiology affecting millions of people worldwide. However, several subsequent studies failed to detect the virus in patients suffering from these illnesses or in healthy subjects. Here we report the results of efforts to detect antibody responses and viral sequences in samples from a cohort of German CFS and relapsing remitting multiple sclerosis (MS) patients with fatigue symptoms. METHODOLOGY: Blood samples were taken from a cohort of 39 patients fulfilling the Fukuda/CDC criteria (CFS), from 112 patients with an established MS diagnosis and from 40 healthy donors. Fatigue severity in MS patients was assessed using the Fatigue Severity Scale (FSS). Validated Gag- and Env-ELISA assays were used to screen sera for XMRV antibodies. PHA-activated PBMC were cultured for seven days in the presence of IL-2 and DNA isolated from these cultures as well as from co-cultures of PBMC and highly permissive LNCaP cells was analyzed by nested PCR for the presence of the XMRV gag gene. In addition, PBMC cultures were exposed to 22Rv1-derived XMRV to assess infectivity and virus production. CONCLUSION: None of the screened sera from CFS and MS patients or healthy blood donors tested positive for XMRV specific antibodies and all PBMC (and PBMC plus LNCaP) cultures remained negative for XMRV sequences by nested PCR. These results argue against an association between XMRV infection and CFS and MS in Germany. However, we could confirm that PBMC cultures from healthy donors and from CFS patients can be experimentally infected by XMRV, resulting in the release of low levels of transmittable virus

Apobec 3G Efficiently Reduces Infectivity of the Human Exogenous Gammaretrovirus XMRV

The human exogenous gammaretrovirus XMRV is thought to be implicated in prostate cancer and chronic fatigue syndrome. Besides pressing epidemiologic questions, the elucidation of the tissue and cell tropism of the virus, as well as its sensitivity to retroviral restriction factors is of fundamental importance. The Apobec3 (A3) proteins, a family of cytidine deaminases, are one important group of host proteins that control primary infection and efficient viral spread.Here we demonstrate that XMRV is resistant to human Apobec 3B, 3C and 3F, while being highly susceptible to the human A3G protein, a factor which is known to confer antiviral activity against most retroviruses. We show that XMRV as well as MoMLV virions package Apobec proteins independent of their specific restriction activity. hA3G was found to be a potent inhibitor of XMRV as well as of MoMLV infectivity. In contrast to MoMLV, XMRV infection can also be partially reduced by low concentrations of mA3. Interestingly, established prostate cancer cell lines, which are highly susceptible to XMRV infection, do not or only weakly express hA3G.Our findings confirm and extend recently published data that show restriction of XMRV infection by hA3G. The results will be of value to explore which cells are infected with XMRV and efficiently support viral spread in vivo. Furthermore, the observation that XMRV infection can be reduced by mA3 is of interest with regard to the current natural reservoir of XMRV infection

Susceptibility of Human Lymphoid Tissue Cultured ex vivo to Xenotropic Murine Leukemia Virus-Related Virus (XMRV) Infection

BACKGROUND: Xenotropic murine leukemia virus-related virus (XMRV) was generated after a recombination event between two endogenous murine leukemia viruses during the production of a prostate cancer cell line. Although the associations of the XMRV infection with human diseases appear unlikely, the XMRV is a retrovirus of undefined pathogenic potential, able to replicate in human cells in vitro. Since recent studies using animal models for infection have yielded conflicting results, we set out an ex vivo model for XMRV infection of human tonsillar tissue to determine whether XMRV produced by 22Rv1 cells is able to replicate in human lymphoid organs. Tonsil blocks were infected and infection kinetics and its pathogenic effects were monitored RESULTS: XMRV, though restricted by APOBEC, enters and integrates into the tissue cells. The infection did not result in changes of T or B-cells, immune activation, nor inflammatory chemokines. Infectious viruses could be recovered from supernatants of infected tonsils by reinfecting DERSE XMRV indicator cell line, although these supernatants could not establish a new infection in fresh tonsil culture, indicating that in our model, the viral replication is controlled by innate antiviral restriction factors. CONCLUSIONS: Overall, the replication-competent retrovirus XMRV, present in a high number of laboratories, is able to infect human lymphoid tissue and produce infectious viruses, even though they were unable to establish a new infection in fresh tonsillar tissue. Hereby, laboratories working with cell lines producing XMRV should have knowledge and understanding of the potential biological biohazardous risks of this virus