Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange

Hyperinflation

Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

Beta cell function after weight loss: a clinical trial comparing gastric bypass surgery and intensive lifestyle intervention

The effects of various weight loss strategies on pancreatic beta cell function remain unclear. We aimed to compare the effect of intensive lifestyle intervention (ILI) and Roux-en-Y gastric bypass surgery (RYGB) on beta cell function. Design One year controlled clinical trial (ClinicalTrials.gov identifier NCT00273104). One hundred and nineteen morbidly obese participants without known diabetes from the MOBIL study (mean (s.d.) age 43.6 (10.8) years, body mass index (BMI) 45.5 (5.6) kg/m2, 84 women) were allocated to RYGB (n=64) or ILI (n=55). The patients underwent repeated oral glucose tolerance tests (OGTTs) and were categorised as having either normal (NGT) or abnormal glucose tolerance (AGT). Twenty-nine normal-weight subjects with NGT (age 42.6 (8.7) years, BMI 22.6 (1.5) kg/m2, 19 women) served as controls. OGTT-based indices of beta cell function were calculated. One year weight reduction was 30 % (8) after RYGB and 9 % (10) after ILI (P<0.001). Disposition index (DI) increased in all treatment groups (all P<0.05), although more in the surgery groups (both P<0.001). Stimulated proinsulin-to-insulin (PI/I) ratio decreased in both surgery groups (both P<0.001), but to a greater extent in the surgery group with AGT at baseline (P<0.001). Post surgery, patients with NGT at baseline had higher DI and lower stimulated PI/I ratio than controls (both P<0.027). Gastric bypass surgery improved beta cell function to a significantly greater extent than ILI. Supra-physiological insulin secretion and proinsulin processing may indicate excessive beta cell function after gastric bypass surgery

Parathyroid hormone, but not vitamin D, is associated with the metabolic syndrome in morbidly obese women and men: a cross-sectional study

<p>Abstract</p> <p>Background</p> <p>The prevalence of vitamin D insufficiency and secondary hyperparathyroidism is high among morbidly obese subjects. Further, low serum levels of 25-hydroxyvitamin D (25 [OH]D) and magnesium have been associated with increased risk of the metabolic syndrome (MS), and recently, a possible link between PTH and MS has been reported. Although it is well known that the synthesis and secretion of PTH is regulated by serum levels of calcium, phosphate, magnesium and 25(OH)D, less is known about the possible clustered affiliation of these parameters with MS. We aimed to explore whether MS is associated with abnormal serum levels of PTH, 25(OH)D and magnesium in a population of morbidly obese patients.</p> <p>Methods</p> <p>Fasting serum levels of 25(OH)D, PTH and magnesium were assessed in a cross-sectional cohort study of 1,017 consecutive morbidly obese patients (68% women). Multiple logistic regression analyses were used to assess the independent effect of PTH, 25(OH)D and magnesium on the odds for MS (National Cholesterol Education Program [NCEP]) after adjustment for confounding factors.</p> <p>Results</p> <p>Sixty-eight percent of the patients had MS. Patients with MS had lower mean serum magnesium (P < 0.001) and higher mean PTH (P = 0.067) than patients without MS, whereas mean 25(OH)D did not differ significantly. Patients with PTH levels in the second to fourth quartiles had higher odds of prevalent MS (odds ratio 1.47 [95% CI 0.92–2.35], 2.33 [95% CI 1.40–3.87] and 2.09 [95% CI 1.23–3.56], respectively), after adjustment for 25(OH)D, magnesium, calcium, phosphate, creatinine, age, gender, season of serum sampling, BMI, current smoking, albuminuria, CRP, insulin resistance and type 2 diabetes. Further, PTH was significantly correlated with systolic and diastolic pressure (both P < 0.001), but not with the other components of MS. The levels of 25(OH)D and magnesium were not associated with MS in the multivariate model.</p> <p>Conclusion</p> <p>The PTH level, but not the vitamin D level, is an independent predictor of MS in treatment seeking morbidly obese Caucasian women and men. Randomized controlled clinical trials, including different therapeutic strategies to lower PTH, e.g. calcium/vitamin D supplementation and weight reduction, are necessary to explore any cause-and-effect relationship.</p

On a generalised model for time-dependent variance with long-term memory

The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process captures the so-called "volatility clustering" and the asymptotic power-law probability density distribution of the random variable, it is not capable to reproduce further statistical properties of many of these time series such as: the strong persistence of the instantaneous variance characterised by large values of the Hurst exponent (H > 0.8), and asymptotic power-law decay of the absolute values self-correlation function. By means of considering an effective return obtained from a correlation of past returns that has a q-exponential form we are able to fix the limitations of the original model. Moreover, this improvement can be obtained through the correct choice of a sole additional parameter, $q_{m}$. The assessment of its validity and usefulness is made by mimicking daily fluctuations of SP500 financial index.Comment: 6 pages, 4 figure