Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis

We analyze a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to more robust estimates than the traditional methodologies proposed so far. In the first part of the paper, we evaluate the performance of the Fourier algorithm to reconstruct the time volatility of simulated univariate and bivariate models; in the second part, the Fourier method is used to investigate the volatility and correlation dynamics of futures markets over the Asian crisis period, with the purpose of detecting possible interdependencies and volatility transmissions across countries amid a period of financial turmoil

Non parametric Estimation of high-frequency Volatility and Correlation Dynamics

This thesis addresses the problem of quantitatively evaluating the temporal dynamics that characterized financial time series. In particular, we perform an accurate analysis of the Fourier estimator, a newly proposed nonparametric methodology to measure ex-post volatility and cross-volatilities as functions of time, when financial assets are observed at different highfrequency levels over the day. The estimator has the peculiar feature to employ the observed data in their original form, therefore exploiting all the available information in the sample. We first show how to considerably improve the numerical performance of the Fourier method making possible the analysis of large sets of data, as it is usually the case with high-frequency series. Secondly, we use Monte Carlo simulation methods to study the behavior of three driving parameters in the estimation procedure, when the effects of both irregular sampling and microstructure noise are taken into account. The estimator is showed to be particularly sensitive to one of these quantities, which is in turn used to control the contribution of the above effects. Integrated financial correlation is also analyzed within two distinct comparative studies that involve other multivariate measures. The analysis is then extended to consider the entire evolution of the underlying correlation process. Finally, we propose a new class of nonparametric spot volatility estimators, which is showed to include the Fourier method as a particular case. The full limit theory under infill asymptotics in the pure diffusive settings of the class is derived. Empirical evidence in support of our conclusions is also provided

Anacardic acid and thyroid hormone enhance cardiomyocytes production from undifferentiated mouse ES cells along functionally distinct pathways

The epigenetics of early commitment to embryonal cardiomyocyte is poorly understood. In this work, we compared the effect of thyroid hormone and that of anacardic acid, a naturally occurring histone acetylase inhibitor, or both in combination, on mouse embryonic stem cells (mES) differentiating into embryonal cardiomyocyte by embryoid bodies (EBs) formation. Although the results indicated that anacardic acid (AA) and thyroid hormone were both efficient in promoting cardiomyocyte differentiation, we noticed that a transient exposure of mES to AA alone was sufficient to enlarge the beating areas of EBs compared to those of untreated controls. This effect was associated with changes in the chromatin structure at the promoters of specific cardiomyogenic genes. Among them, a rapid induction of the transcription factor Castor 1 (CASZ1), important for cardiomyocytes differentiation and maturation during embryonic development, was observed in the presence of AA. In contrast, thyroid hormone (T3) was more effective in stimulating spontaneous firing, thus suggesting a role in the production of a population of cardiomyocyte with pacemaker properties. In conclusion, AA and thyroid hormone both enhanced cardiomyocyte formation along in apparently distinct pathways

Reformulating and optimizing the Mumford–Shah functional on a graph—A faster, lower energy solution

Abstract. Active contour formulations predominate current minimization of the Mumford-Shah functional (MSF) for image segmentation and filtering. Unfortunately, these formulations necessitate optimization of the contour by evolving via gradient descent, which is known for its sensitivity to initialization and the tendency to produce undesirable local minima. In order to reduce these problems, we reformulate the corresponding MSF on an arbitrary graph and apply combinatorial optimization to produce a fast, low-energy solution. The solution provided by this graph formulation is compared with the solution computed via traditional narrow-band level set methods. This comparison demonstrates that our graph formulation and optimization produces lower energy solutions than gradient descent based contour evolution methods in significantly less time. Finally, by avoiding evolution of the contour via gradient descent, we demonstrate that our optimization of the MSF is capable of evolving the contour with non-local movement.

Anacardic acid and thyroid hormone enhance cardiomyocytes production from undifferentiated mouse ES cells along functionally distinct pathways

The epigenetics of early commitment to embryonal cardiomyocyte is poorly understood. In this work, we compared the effect of thyroid hormone and that of anacardic acid, a naturally occurring histone acetylase inhibitor, or both in combination, on mouse embryonic stem cells (mES) differentiating into embryonal cardiomyocyte by embryoid bodies (EBs) formation. Although the results indicated that anacardic acid (AA) and thyroid hormone were both efficient in promoting cardiomyocyte differentiation, we noticed that a transient exposure of mES to AA alone was sufficient to enlarge the beating areas of EBs compared to those of untreated controls. This effect was associated with changes in the chromatin structure at the promoters of specific cardiomyogenic genes. Among them, a rapid induction of the transcription factor Castor 1 (CASZ1), important for cardiomyocytes differentiation and maturation during embryonic development, was observed in the presence of AA. In contrast, thyroid hormone (T 3) was more effective in stimulating spontaneous firing, thus suggesting a role in the production of a population of cardiomyocyte with pacemaker properties. In conclusion, AA and thyroid hormone both enhanced cardiomyocyte formation along in apparently distinct pathways