Multifractal modeling of short-term interest rates

We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models, the level-MSM model captures the power-law scaling of the structure functions and the slowly decaying dependency in the absolute value of returns. We apply the model to the Norwegian Interbank Offered Rate with three months maturity (NIBORM3) and the U.S. Treasury Bill with three months maturity (TBM3). The performance of the model is compared to level-GARCH models, level-EGARCH models and jump-diffusions. For the TBM3 data the multifractal out-performs all the alternatives considered.Comment: 16 pages, 3 figures, 7 table

Approximated maximum likelihood estimation in multifractal random walks

We present an approximated maximum likelihood method for the multifractal random walk processes of [E. Bacry et al., Phys. Rev. E 64, 026103 (2001)]. The likelihood is computed using a Laplace approximation and a truncation in the dependency structure for the latent volatility. The procedure is implemented as a package in the R computer language. Its performance is tested on synthetic data and compared to an inference approach based on the generalized method of moments. The method is applied to estimate parameters for various financial stock indices.Comment: 8 pages, 3 figures, 2 table

Obesity prevalence and associated socio-demographic characteristics and health behaviors in Russia and Norway

Associations between obesity and socio-demographic and behavioral characteristics vary between populations. Exploring such differences should throw light on factors related to obesity. We examined associations between general obesity (GO, defined by body mass index) and abdominal obesity (AO, defined by waist-to-hip ratio) and sex, age, socio-economic characteristics (education, financial situation, marital status), smoking and alcohol consumption in women and men aged 40–69 years from the Know Your Heart study (KYH, Russia, N = 4121, 2015–2018) and the seventh Tromsø Study (Tromsø7, Norway, N = 17,646, 2015–2016). Age-standardized prevalence of GO and AO was higher in KYH compared to Tromsø7 women (36.7 vs. 22.0% and 44.2 vs. 18.4%, respectively) and similar among men (26.0 vs. 25.7% and 74.8 vs. 72.2%, respectively). The positive association of age with GO and AO was stronger in KYH vs. Tromsø7 women and for AO it was stronger in men in Tromsø7 vs. KYH. Associations between GO and socio-economic characteristics were similar in KYH and Tromsø7, except for a stronger association with living with spouse/partner in KYH men. Smoking had a positive association with AO in men in Tromsø7 and in women in both studies. Frequent drinking was negatively associated with GO and AO in Tromsø7 participants and positively associated with GO in KYH men. We found similar obesity prevalence in Russian and Norwegian men but higher obesity prevalence in Russian compared to Norwegian women. Other results suggest that the stronger association of obesity with age in Russian women is the major driver of the higher obesity prevalence among them compared to women in Norwa

Identification of a novel polymorphism associated with reduced clozapine concentration in schizophrenia patients—a genome-wide association study adjusting for smoking habits

Clozapine (CLZ) is the superior antipsychotic drug for treatment of schizophrenia, but exhibits an extensive interpatient pharmacokinetic variability. Here, we conducted a genome-wide association study (GWAS) of CLZ serum concentration adjusting for known smoking habits, which is a major nongenetic factor reducing CLZ levels. The study included 484 patients with 10,283 steady-state serum concentrations of CLZ and N-desmethylclozapine, prescribed dosing, co-medications and known smoking habits (n = 422; 9284 serum samples) from a therapeutic drug monitoring (TDM) service. The GWAS analyses were performed with and without smoking habits as covariate, where possible hits were assessed in relation to the target CLZ concentration range applied in the TDM service (300–2500 nmol/L). The smoking-independent analysis of N-desmethylclozapine serum concentration and the CLZ-to-N-desmethylclozapine ratio replicated the previously identified locus on chromosome 4. After adjusting for smoking habits in patients confirmed as ‘smokers’ (61%) or ‘nonsmokers’ (39%), a novel variant (rs28379954; minor T>C allele frequency 4.1%; 7.6% CT carriers in the population) within the gene encoding the nuclear factor 1 B-type (NFIB) was significantly associated with reduced CLZ serum concentration (p = 1.68 × 10−8, beta = −0.376; explained variance 7.63%). There was no significant association between rs28379954 and N-desmethylclozapine concentration in the GWAS analysis (p = 5.63 × 10−5). The fraction of CLZ TDM samples below 300 nmol/L was significantly higher in carriers vs. noncarriers of the rs28379954 minor C allele [12.0% (95% CI: 9.4–14.7) vs. 6.2% (95% CI: 5.7–6.8), p < 0.001]. We identified a novel variant in the NFIB gene associated with reduced CLZ levels and increased risk of subtherapeutic serum concentrations. This warrants testing of clinical relevance of screening for this gene variant, and also experimental studies to investigate the biological mechanisms of NFIB involvement in CLZ pharmacokinetics