Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

A half-site multimeric enzyme achieves its cooperativity without conformational changes

Cooperativity is a feature many multimeric proteins use to control activity. Here we show that the bacterial heptose isomerase GmhA displays homotropic positive and negative cooperativity among its four protomers. Most similar proteins achieve this through conformational changes: GmhA instead employs a delicate network of hydrogen bonds, and couples pairs of active sites controlled by a unique water channel. This network apparently raises the Lewis acidity of the catalytic zinc, thus increasing the activity at one active site at the cost of preventing substrate from adopting a reactive conformation at the paired negatively cooperative site – a “half-site” behavior. Our study establishes the principle that multimeric enzymes can exploit this cooperativity without conformational changes to maximize their catalytic power and control. More broadly, this subtlety by which enzymes regulate functions could be used to explore new inhibitor design strategies

Primary carbonatite melt from deeply subducted oceanic crust

Partial melting in the Earth's mantle plays an important part in generating the geochemical and isotopic diversity observed in volcanic rocks at the surface. Identifying the composition of these primary melts in the mantle is crucial for establishing links between mantle geochemical 'reservoirs' and fundamental geodynamic processes. Mineral inclusions in natural diamonds have provided a unique window into such deep mantle processes. Here we provide experimental and geochemical evidence that silicate mineral inclusions in diamonds from Juina, Brazil, crystallized from primary and evolved carbonatite melts in the mantle transition zone and deep upper mantle. The incompatible trace element abundances calculated for a melt coexisting with a calcium-titanium-silicate perovskite inclusion indicate deep melting of carbonated oceanic crust, probably at transition-zone depths. Further to perovskite, calcic-majorite garnet inclusions record crystallization in the deep upper mantle from an evolved melt that closely resembles estimates of primitive carbonatite on the basis of volcanic rocks. Small-degree melts of subducted crust can be viewed as agents of chemical mass-transfer in the upper mantle and transition zone, leaving a chemical imprint of ocean crust that can possibly endure for billions of years.4 page(s

What Is Stochastic Resonance? Definitions, Misconceptions, Debates, and Its Relevance to Biology

Stochastic resonance is said to be observed when increases in levels of unpredictable fluctuations—e.g., random noise—cause an increase in a metric of the quality of signal transmission or detection performance, rather than a decrease. This counterintuitive effect relies on system nonlinearities and on some parameter ranges being “suboptimal”. Stochastic resonance has been observed, quantified, and described in a plethora of physical and biological systems, including neurons. Being a topic of widespread multidisciplinary interest, the definition of stochastic resonance has evolved significantly over the last decade or so, leading to a number of debates, misunderstandings, and controversies. Perhaps the most important debate is whether the brain has evolved to utilize random noise in vivo, as part of the “neural code”. Surprisingly, this debate has been for the most part ignored by neuroscientists, despite much indirect evidence of a positive role for noise in the brain. We explore some of the reasons for this and argue why it would be more surprising if the brain did not exploit randomness provided by noise—via stochastic resonance or otherwise—than if it did. We also challenge neuroscientists and biologists, both computational and experimental, to embrace a very broad definition of stochastic resonance in terms of signal-processing “noise benefits”, and to devise experiments aimed at verifying that random variability can play a functional role in the brain, nervous system, or other areas of biology

Functional analysis of Casein Kinase 1 in a minimal circadian system

The Earth's rotation has driven the evolution of cellular circadian clocks to facilitate anticipation of the solar cycle. Some evidence for timekeeping mechanism conserved from early unicellular life through to modern organisms was recently identified, but the components of this oscillator are currently unknown. Although very few clock components appear to be shared across higher species, Casein Kinase 1 (CK1) is known to affect timekeeping across metazoans and fungi, but has not previously been implicated in the circadian clock in the plant kingdom. We now show that modulation of CK1 function lengthens circadian rhythms in Ostreococcustauri, a unicellular marine algal species at the base of the green lineage, separated from humans by ~1.5 billion years of evolution. CK1 contributes to timekeeping in a phase-dependent manner, indicating clock-mediated gating of CK1 activity. Label-free proteomic analyses upon overexpression as well as inhibition revealed CK1-responsive phosphorylation events on a set of target proteins, including highly conserved potentially clock-relevant cellular regulator proteins. These results have major implications for our understanding of cellular timekeeping and can inform future studies in any circadian organism