Uncovering predictability in the evolution of the WTI oil futures curve

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil futures. Our approach boasts a number of theoretical and practical advantages including effectively exploiting underlying process dynamics missed by classical discrete approaches. We evaluate the finite-sample performance against established benchmarks using a model confidence set test. A realistic out-of-sample exercise provides strong support for the adoption of our approach with it residing in the superior set of models in all considered instances.Comment: 28 pages, 4 figures, to appear in European Financial Managemen

Removal of Nonconstant Daily Variation by Means of Wavelet and Functional Data Analysis

We propose a novel approach based on wavelet and functional principal component analysis to produce a cleaner index of the intensity of the symmetric ring current. We use functional canonical correlations to show that the new approach more effectively extracts symmetric global features. The main result of our work is the construction of a new index, which is an improved version of the existing wavelet-based index (WISA) and the old Dst index, in which a constant daily variation is removed. Here, we address the fact that the daily component varies from day to day and construct a “cleaner” index by removing nonconstant daily variations

AR and MA representation of partial autocorrelation functions, with applications

We prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coefficients, of a stationary process in terms of the AR and MA coefficients. We apply it to show the asymptotic behaviour of the PACF. We also propose a new definition of short and long memory in terms of the PACF.Comment: Published in Probability Theory and Related Field

A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis

We apply a functional data analysis approach to decompose the cross-sectional Fama–French three-factor model residuals in the Chinese stock market. Our results indicate that other than Fama–French three factors, there are two orthonormal asset pricing factors describing the behavioral biases in their historical performances: between winner and loser stocks, and extreme and mediocre-performing stocks, respectively. We explain these two factors through investors’ overreaction, overconfidence and the lead-lag effect. These findings empirically show the existence of momentum and disposition effects in the Chinese stock market. A buy-and-hold mean-variance optimized portfolio incorporating these two market anomalies boosts the Sharpe ratio to 1.27

Alterations in voltage-sensing of the mitochondrial permeability transition pore in ANT1-deficient cells

The probability of mitochondrial permeability transition (mPT) pore opening is inversely related to the magnitude of the proton electrochemical gradient. The module conferring sensitivity of the pore to this gradient has not been identified. We investigated mPT's voltage-sensing properties elicited by calcimycin or H2O2 in human fibroblasts exhibiting partial or complete lack of ANT1 and in C2C12 myotubes with knocked-down ANT1 expression. mPT onset was assessed by measuring in situ mitochondrial volume using the 'thinness ratio' and the 'cobalt-calcein' technique. De-energization hastened calcimycin-induced swelling in control and partially-expressing ANT1 fibroblasts, but not in cells lacking ANT1, despite greater losses of mitochondrial membrane potential. Matrix Ca(2+) levels measured by X-rhod-1 or mitochondrially-targeted ratiometric biosensor 4mtD3cpv, or ADP-ATP exchange rates did not differ among cell types. ANT1-null fibroblasts were also resistant to H2O2-induced mitochondrial swelling. Permeabilized C2C12 myotubes with knocked-down ANT1 exhibited higher calcium uptake capacity and voltage-thresholds of mPT opening inferred from cytochrome c release, but intact cells showed no differences in calcimycin-induced onset of mPT, irrespective of energization and ANT1 expression, albeit the number of cells undergoing mPT increased less significantly upon chemically-induced hypoxia than control cells. We conclude that ANT1 confers sensitivity of the pore to the electrochemical gradient

Alterations in voltage-sensing of the mitochondrial permeability transition pore in ANT1-deficient cells

The probability of mitochondrial permeability transition (mPT) pore opening is inversely related to the magnitude of the proton electrochemical gradient. The module conferring sensitivity of the pore to this gradient has not been identified. We investigated mPT's voltage-sensing properties elicited by calcimycin or H2O2 in human fibroblasts exhibiting partial or complete lack of ANT1 and in C2C12 myotubes with knocked-down ANT1 expression. mPT onset was assessed by measuring in situ mitochondrial volume using the 'thinness ratio' and the 'cobalt-calcein' technique. De-energization hastened calcimycin-induced swelling in control and partially-expressing ANT1 fibroblasts, but not in cells lacking ANT1, despite greater losses of mitochondrial membrane potential. Matrix Ca(2+) levels measured by X-rhod-1 or mitochondrially-targeted ratiometric biosensor 4mtD3cpv, or ADP-ATP exchange rates did not differ among cell types. ANT1-null fibroblasts were also resistant to H2O2-induced mitochondrial swelling. Permeabilized C2C12 myotubes with knocked-down ANT1 exhibited higher calcium uptake capacity and voltage-thresholds of mPT opening inferred from cytochrome c release, but intact cells showed no differences in calcimycin-induced onset of mPT, irrespective of energization and ANT1 expression, albeit the number of cells undergoing mPT increased less significantly upon chemically-induced hypoxia than control cells. We conclude that ANT1 confers sensitivity of the pore to the electrochemical gradient

Active Whey Protein Edible Films and Coatings Incorporating Lactobacillus buchneri for Penicillium nordicum Control in Cheese

Fungal contamination of food is responsible for health issues and food waste. In this work, the incorporation of a lactic acid bacteria (LAB) with antifungal properties (Lactobacillus buchneri UTAD104) into whey protein-based films and coatings was tested for the control of an ochratoxigenic fungi (Penicillium nordicum) in a cheese matrix. The incorporation of L. buchneri cells resulted in thicker films with less luminosity than control films and colour alteration. Nevertheless, cells inclusion did not alter moisture content, water vapour permeability, mechanical properties, hydrophobicity and chemical structure of the films. Whey protein films were able to maintain the viability of L. buchneri UTAD104 cells in 105 CFU/mL after 30 days of storage at 25 \textdegreeC. When applied in cheese, films and coatings containing L. buchneri cells prevented fungal contamination for at least 30 days, while control cheeses with films and coatings either without LAB or with Lactobacillus casei UM3 (a strain without antifungal ability) showed fungal contamination during that period. Ochratoxin A was not found in cheeses treated with films and coatings containing L. buchneri UTAD104. Results showed that the inclusion of a LAB with antifungal properties in edible films and coatings can help to reduce or eliminate P. nordicum contamination in cheeses.This study was supported by the Portuguese Foundation for Science and Technology (FCT) under the scope of the strategic funding of UIDB/04469/2020 unit and BioTecNorte operation (NORTE-01-0145-FEDER-000004) funded by the European Regional Development Fund under the scope of Norte2020 - Programa Operacional Regional do Norte. Ana Guimarães received support through grant SFRH/BD/103245/2014 from the Portuguese FCT.info:eu-repo/semantics/publishedVersio

Degradation, Bioactivity, and Osteogenic Potential of Composites Made of PLGA and Two Different Sol–Gel Bioactive Glasses

We have developed poly(l-lactide-co-glycolide) (PLGA) based composites using sol–gel derived bioactive glasses (S-BG), previously described by our group, as composite components. Two different composite types were manufactured that contained either S2—high content silica S-BG, or A2—high content lime S-BG. The composites were evaluated in the form of sheets and 3D scaffolds. Sheets containing 12, 21, and 33 vol.% of each bioactive glass were characterized for mechanical properties, wettability, hydrolytic degradation, and surface bioactivity. Sheets containing A2 S-BG rapidly formed a hydroxyapatite surface layer after incubation in simulated body fluid. The incorporation of either S-BG increased the tensile strength and Young’s modulus of the composites and tailored their degradation rates compared to starting compounds. Sheets and 3D scaffolds were evaluated for their ability to support growth of human bone marrow cells (BMC) and MG-63 cells, respectively. Cells were grown in non-differentiating, osteogenic or osteoclast-inducing conditions. Osteogenesis was induced with either recombinant human BMP-2 or dexamethasone, and osteoclast formation with M-CSF. BMC viability was lower at higher S-BG content, though specific ALP/cell was significantly higher on PLGA/A2-33 composites. Composites containing S2 S-BG enhanced calcification of extracellular matrix by BMC, whereas incorporation of A2 S-BG in the composites promoted osteoclast formation from BMC. MG-63 osteoblast-like cells seeded in porous scaffolds containing S2 maintained viability and secreted collagen and calcium throughout the scaffolds. Overall, the presented data show functional versatility of the composites studied and indicate their potential to design a wide variety of implant materials differing in physico-chemical properties and biological applications. We propose these sol–gel derived bioactive glass–PLGA composites may prove excellent potential orthopedic and dental biomaterials supporting bone formation and remodeling