Risk and Return in Equity and Options Markets.

While theory can tell us about the relationship between prices of risk in options and equity markets within the context of a specific model, what we observe in the data rarely fits any single option pricing model with perfect precision. There seems to be little consensus on a single option pricing model with superior performance above all others. The purpose of this thesis is to empirically investigate the risk-return relation in options markets directly, without resorting to the use of option pricing models based upon relative pricing of options in terms of their underlying. Options markets provide a rich cross-section of data with which to study how investors price assets because they vary across firms, strikes and maturity. As a result, options data provides additional and complimentary information beyond the information contained in stocks. Using these facts, in this thesis I empirically investigate the risk-return relationship across stock option, index option and equity markets. In Chapter I of the thesis I empirically show how to use options data to better estimate the cross-sectional price of market-wide volatility risk. I furthermore compare the price of volatility implicit in the cross-section of stock returns with the price implicit in the cross-section of option returns. In the same chapter I exploit the fact that options can be used to study the term structure properties of risk and return by examining the volatility risk and return tradeoff in options of different times to maturity. In Chapter II, based upon the paper "Pricing Kernel Monotonicity and Conditional Information," co-authored with Sophie Shive and Tyler Shumway, I use data on index options and the underlying index to extract estimates of stochastic discount factors. We propose a new method for non-parametrically estimating the stochastic discount factor. Our method improves upon existing methods by aligning information sets available to investors at each time in our sample and taking these into consideration in our estimation scheme. Empirical results suggest that this may be the solution to a well known anomaly in the literature whereby non-parametric estimates of the pricing kernel tend to be non-monotonic in market returns.PhDBusiness AdministrationUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/113552/1/linnm_1.pd

Analysis of baseline by treatment interactions in a drug prevention and health promotion program for high school male athletes B

Abstract This paper investigates baseline by treatment interactions (BTI) of a randomized anabolic steroid prevention program delivered to high school football players. Baseline by treatment interactions occur when a participant's score on an outcome variable is associated with both their pretreatment standing on the outcome variable and the treatment itself. The program was delivered to 31 high school football teams (Control=16, Treatment=15) in Oregon and Washington over the course of 3 years (Total N=3207). Although most interactions were nonsignificant, consistent baseline by treatment interactions were obtained for knowledge of the effects of steroid use and intentions to use steroids. Both of these interactions were beneficial in that they increased the effectiveness of the program for participants lower in knowledge and higher in intentions at baseline.

Highly Active Ice-Nucleating Particles at the Summer North Pole

The amount of ice versus supercooled water in clouds is important for their radiative properties and role in climate feedbacks. Hence, knowledge of the concentration of ice-nucleating particles (INPs) is needed. Generally, the concentrations of INPs are found to be very low in remote marine locations allowing cloud water to persist in a supercooled state. We had expected the concentrations of INPs at the North Pole to be very low given the distance from open ocean and terrestrial sources coupled with effective wet scavenging processes. Here we show that during summer 2018 (August and September) high concentrations of biological INPs (active at\ua0>−20\ub0C) were sporadically present at the North Pole. In fact, INP concentrations were sometimes as high as those recorded at mid-latitude locations strongly impacted by highly active biological INPs, in strong contrast to the Southern Ocean. Furthermore, using a balloon borne sampler we demonstrated that INP concentrations were often different at the surface versus higher in the boundary layer where clouds form. Back trajectory analysis suggests strong sources of INPs near the Russian coast, possibly associated with wind-driven sea spray production, whereas the pack ice, open leads, and the marginal ice zone were not sources of highly active INPs. These findings suggest that primary ice production, and therefore Arctic climate, is sensitive to transport from locations such as the Russian coast that are already experiencing marked climate change

Highly Active Ice‐Nucleating Particles at the Summer North Pole

The amount of ice versus supercooled water in clouds is important for their radiative properties and role in climate feedbacks. Hence, knowledge of the concentration of ice-nucleating particles (INPs) is needed. Generally, the concentrations of INPs are found to be very low in remote marine locations allowing cloud water to persist in a supercooled state. We had expected the concentrations of INPs at the North Pole to be very low given the distance from open ocean and terrestrial sources coupled with effective wet scavenging processes. Here we show that during summer 2018 (August and September) high concentrations of biological INPs (active at >−20°C) were sporadically present at the North Pole. In fact, INP concentrations were sometimes as high as those recorded at mid-latitude locations strongly impacted by highly active biological INPs, in strong contrast to the Southern Ocean. Furthermore, using a balloon borne sampler we demonstrated that INP concentrations were often different at the surface versus higher in the boundary layer where clouds form. Back trajectory analysis suggests strong sources of INPs near the Russian coast, possibly associated with wind-driven sea spray production, whereas the pack ice, open leads, and the marginal ice zone were not sources of highly active INPs. These findings suggest that primary ice production, and therefore Arctic climate, is sensitive to transport from locations such as the Russian coast that are already experiencing marked climate change

Study protocol for a type III hybrid effectiveness-implementation trial of strategies to implement firearm safety promotion as a universal suicide prevention strategy in pediatric primary care

BACKGROUND: Insights from behavioral economics, or how individuals\u27 decisions and behaviors are shaped by finite cognitive resources (e.g., time, attention) and mental heuristics, have been underutilized in efforts to increase the use of evidence-based practices in implementation science. Using the example of firearm safety promotion in pediatric primary care, which addresses an evidence-to-practice gap in universal suicide prevention, we aim to determine: is a less costly and more scalable behavioral economic-informed implementation strategy (i.e., Nudge ) powerful enough to change clinician behavior or is a more intensive and expensive facilitation strategy needed to overcome implementation barriers? METHODS: The Adolescent and child Suicide Prevention in Routine clinical Encounters (ASPIRE) hybrid type III effectiveness-implementation trial uses a longitudinal cluster randomized design. We will test the comparative effectiveness of two implementation strategies to support clinicians\u27 use of an evidence-based firearm safety practice, S.A.F.E. Firearm, in 32 pediatric practices across two health systems. All pediatric practices in the two health systems will receive S.A.F.E. Firearm materials, including training and cable locks. Half of the practices (k = 16) will be randomized to receive Nudge; the other half (k = 16) will be randomized to receive Nudge plus 1 year of facilitation to target additional practice and clinician implementation barriers (Nudge+). The primary implementation outcome is parent-reported clinician fidelity to the S.A.F.E Firearm program. Secondary implementation outcomes include reach and cost. To understand how the implementation strategies work, the primary mechanism to be tested is practice adaptive reserve, a self-report practice-level measure that includes relationship infrastructure, facilitative leadership, sense-making, teamwork, work environment, and culture of learning. DISCUSSION: The ASPIRE trial will integrate implementation science and behavioral economic approaches to advance our understanding of methods for implementing evidence-based firearm safety promotion practices in pediatric primary care. The study answers a question at the heart of many practice change efforts: which strategies are sufficient to support change, and why? Results of the trial will offer valuable insights into how best to implement evidence-based practices that address sensitive health matters in pediatric primary care. TRIAL REGISTRATION: ClinicalTrials.gov, NCT04844021 . Registered 14 April 2021

Ticks Associated with Macquarie Island Penguins Carry Arboviruses from Four Genera

Macquarie Island, a small subantarctic island, is home to rockhopper, royal and king penguins, which are often infested with the globally distributed seabird tick, Ixodes uriae. A flavivirus, an orbivirus, a phlebovirus, and a nairovirus were isolated from these ticks and partial sequences obtained. The flavivirus was nearly identical to Gadgets Gully virus, isolated some 30 year previously, illustrating the remarkable genetic stability of this virus. The nearest relative to the orbivirus (for which we propose the name Sandy Bay virus) was the Scottish Broadhaven virus, and provided only the second available sequences from the Great Island orbivirus serogroup. The phlebovirus (for which we propose the name Catch-me-cave virus) and the previously isolated Precarious Point virus were distinct but related, with both showing homology with the Finnish Uukuniemi virus. These penguin viruses provided the second and third available sequences for the Uukuniemi group of phleboviruses. The nairovirus (for which we propose the name Finch Creek virus) was shown to be related to the North American Tillamook virus, the Asian Hazara virus and Nairobi sheep disease virus. Macquarie Island penguins thus harbour arboviruses from at least four of the seven arbovirus-containing genera, with related viruses often found in the northern hemisphere

Integrating plant physiology into simulation of fire behavior and effects

Wildfires are a global crisis, but current fire models fail to capture vegetation response to changing climate. With drought and elevated temperature increasing the importance of vegetation dynamics to fire behavior, and the advent of next generation models capable of capturing increasingly complex physical processes, we provide a renewed focus on representation of woody vegetation in fire models. Currently, the most advanced representations of fire behavior and biophysical fire effects are found in distinct classes of fine-scale models and do not capture variation in live fuel (i.e. living plant) properties. We demonstrate that plant water and carbon dynamics, which influence combustion and heat transfer into the plant and often dictate plant survival, provide the mechanistic linkage between fire behavior and effects. Our conceptual framework linking remotely sensed estimates of plant water and carbon to fine-scale models of fire behavior and effects could be a critical first step toward improving the fidelity of the coarse scale models that are now relied upon for global fire forecasting. This process-based approach will be essential to capturing the influence of physiological responses to drought and warming on live fuel conditions, strengthening the science needed to guide fire managers in an uncertain future

The Boston criteria version 2.0 for cerebral amyloid angiopathy:a multicentre, retrospective, MRI–neuropathology diagnostic accuracy study

BACKGROUND: Cerebral amyloid angiopathy (CAA) is an age-related small vessel disease, characterised pathologically by progressive deposition of amyloid β in the cerebrovascular wall. The Boston criteria are used worldwide for the in-vivo diagnosis of CAA but have not been updated since 2010, before the emergence of additional MRI markers. We report an international collaborative study aiming to update and externally validate the Boston diagnostic criteria across the full spectrum of clinical CAA presentations. METHODS: In this multicentre, hospital-based, retrospective, MRI and neuropathology diagnostic accuracy study, we did a retrospective analysis of clinical, radiological, and histopathological data available to sites participating in the International CAA Association to formulate updated Boston criteria and establish their diagnostic accuracy across different populations and clinical presentations. Ten North American and European academic medical centres identified patients aged 50 years and older with potential CAA-related clinical presentations (ie, spontaneous intracerebral haemorrhage, cognitive impairment, or transient focal neurological episodes), available brain MRI, and histopathological assessment for CAA diagnosis. MRI scans were centrally rated at Massachusetts General Hospital (Boston, MA, USA) for haemorrhagic and non-haemorrhagic CAA markers, and brain tissue samples were rated by neuropathologists at the contributing sites. We derived the Boston criteria version 2.0 (v2.0) by selecting MRI features to optimise diagnostic specificity and sensitivity in a prespecified derivation cohort (Boston cases 1994-2012, n=159), then externally validated the criteria in a prespecified temporal validation cohort (Boston cases 2012-18, n=59) and a geographical validation cohort (non-Boston cases 2004-18; n=123), comparing accuracy of the new criteria to the currently used modified Boston criteria with histopathological assessment of CAA as the diagnostic standard. We also assessed performance of the v2.0 criteria in patients across all cohorts who had the diagnostic gold standard of brain autopsy. FINDINGS: The study protocol was finalised on Jan 15, 2017, patient identification was completed on Dec 31, 2018, and imaging analyses were completed on Sept 30, 2019. Of 401 potentially eligible patients presenting to Massachusetts General Hospital, 218 were eligible to be included in the analysis; of 160 patient datasets from other centres, 123 were included. Using the derivation cohort, we derived provisional criteria for probable CAA requiring the presence of at least two strictly lobar haemorrhagic lesions (ie, intracerebral haemorrhages, cerebral microbleeds, or foci of cortical superficial siderosis) or at least one strictly lobar haemorrhagic lesion and at least one white matter characteristic (ie, severe visible perivascular spaces in centrum semiovale or white matter hyperintensities in a multispot pattern). The sensitivity and specificity of these criteria were 74·8% (95% CI 65·4-82·7) and 84·6% (71·9-93·1) in the derivation cohort, 92·5% (79·6-98·4) and 89·5% (66·9-98·7) in the temporal validation cohort, 80·2% (70·8-87·6) and 81·5% (61·9-93·7) in the geographical validation cohort, and 74·5% (65·4-82·4) and 95·0% (83·1-99·4) in all patients who had autopsy as the diagnostic standard. The area under the receiver operating characteristic curve (AUC) was 0·797 (0·732-0·861) in the derivation cohort, 0·910 (0·828-0·992) in the temporal validation cohort, 0·808 (0·724-0·893) in the geographical validation cohort, and 0·848 (0·794-0·901) in patients who had autopsy as the diagnostic standard. The v2.0 Boston criteria for probable CAA had superior accuracy to the current Boston criteria (sensitivity 64·5% [54·9-73·4]; specificity 95·0% [83·1-99·4]; AUC 0·798 [0·741-0854]; p=0·0005 for comparison of AUC) across all individuals who had autopsy as the diagnostic standard. INTERPRETATION: The Boston criteria v2.0 incorporate emerging MRI markers of CAA to enhance sensitivity without compromising their specificity in our cohorts of patients aged 50 years and older presenting with spontaneous intracerebral haemorrhage, cognitive impairment, or transient focal neurological episodes. Future studies will be needed to determine generalisability of the v.2.0 criteria across the full range of patients and clinical presentations. FUNDING: US National Institutes of Health (R01 AG26484)

A large genome-wide association study of age-related macular degeneration highlights contributions of rare and common variants.

This is the author accepted manuscript. The final version is available from Nature Publishing Group via http://dx.doi.org/10.1038/ng.3448Advanced age-related macular degeneration (AMD) is the leading cause of blindness in the elderly, with limited therapeutic options. Here we report on a study of >12 million variants, including 163,714 directly genotyped, mostly rare, protein-altering variants. Analyzing 16,144 patients and 17,832 controls, we identify 52 independently associated common and rare variants (P < 5 × 10(-8)) distributed across 34 loci. Although wet and dry AMD subtypes exhibit predominantly shared genetics, we identify the first genetic association signal specific to wet AMD, near MMP9 (difference P value = 4.1 × 10(-10)). Very rare coding variants (frequency <0.1%) in CFH, CFI and TIMP3 suggest causal roles for these genes, as does a splice variant in SLC16A8. Our results support the hypothesis that rare coding variants can pinpoint causal genes within known genetic loci and illustrate that applying the approach systematically to detect new loci requires extremely large sample sizes.We thank all participants of all the studies included for enabling this research by their participation in these studies. Computer resources for this project have been provided by the high-performance computing centers of the University of Michigan and the University of Regensburg. Group-specific acknowledgments can be found in the Supplementary Note. The Center for Inherited Diseases Research (CIDR) Program contract number is HHSN268201200008I. This and the main consortium work were predominantly funded by 1X01HG006934-01 to G.R.A. and R01 EY022310 to J.L.H