Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the markets have rational risk-neutral investors, then one would not expect profits from such strategies. That is, according to uncovered interest rate parity (UIP), changes in the related exchange rates should offset the potential to profit from such interest rate differentials. However, it has been shown empirically, that investors can earn profits on average by borrowing in a country with a lower interest rate, exchanging for foreign currency, and investing in a foreign country with a higher interest rate, whilst allowing for any losses from exchanging back to their domestic currency at maturity. This paper explores the financial risk that trading strategies seeking to exploit a violation of the UIP condition are exposed to with respect to multivariate tail dependence present in both the funding and investment currency baskets. It will outline in what contexts these portfolio risk exposures will benefit accumulated portfolio returns and under what conditions such tail exposures will reduce portfolio returns.Comment: arXiv admin note: substantial text overlap with arXiv:1303.431

Local‐Regional Similarity in Drylands Increases During Multiyear Wet and Dry Periods and in Response to Extreme Events

Climate change is predicted to impact ecosystems through altered precipitation (PPT) regimes. In the Chihuahuan Desert, multiyear wet and dry periods and extreme PPT pulses are the most influential climatic events for vegetation. Vegetation responses are most frequently studied locally, and regional responses are often unclear. We present an approach to quantify correlation of PPT and vegetation responses (as Normalized Difference Vegetation Index [NDVI]) at the Jornada ARS‐LTER site (JRN; 550 km2 area) and the surrounding dryland region (from 0 to 500 km distance; 400,000 km2 study area) as a way to understand regional similarity to locally observed patterns. We focused on fluctuating wet and dry years, multiyear wet or dry periods of 3–4 yr, and multiyear wet periods that contained one or more extreme high PPT pulses or extreme low rainfall. In all but extreme high PPT years, JRN PPT was highly correlated... (See article for full abstract)

Regio- and Enantioselective Alkane Hydroxylation with Engineered Cytochromes P450 BM-3

Cytochrome P450 ΒΜ-3 from Bacillus megaterium was engineered using a combination of directed evolution and site-directed mutagenesis to hydroxylate linear alkanes regio- and enantioselectively using atmospheric dioxygen as an oxidant. BM-3 variant 9-10A-A328V hydroxylates octane at the 2-position to form S-2-octanol (40% ee). Another variant, 1-12G, also hydroxylates alkanes larger than hexane primarily at the 2-position but forms R-2-alcohols (40−55% ee). These biocatalysts are highly active (rates up to 400 min-1) and support thousands of product turnovers. The regio- and enantioselectivities are retained in whole-cell biotransformations with Escherichia coli, where the engineered P450s can be expressed at high levels and the cofactor is supplied endogenously

Theta-phase dependent neuronal coding during sequence learning in human single neurons

This work was supported by grants from the French Agence Nationale de la Recherche (ANR-12-JSH2-0004-01 and ANR AI-REPS–18-CE37-0007-01), the Fyssen foundation, and the Université Paul Sabatier, Toulouse, France (BQR, 2009 and Appel à Projets de Recherche Labellisés, 2013), to L.R., the European Research Council (ERC Consolidator Grant P-Cycles number 614244), the French Agence Nationale de la Recherche (ANR OSCI-DEEP ANR-19-NEUC-0004), and an ANITI (Artificial and Natural Intelligence Toulouse Institute) Research Chair (ANR-19-PI3A-0004) to R.V., the Studienstiftung des Deutschen Volkes (German Academic Scholarship Foundation) to B.Z., the European Union (ERC Grant Agreement n. 339490 “Cortic_al_gorithms” and grant agreements 720270 and 785907 “Human Brain Project SGA1 and SGA2’) and the Friends Foundation of the Netherlands Institute for Neuroscience to P.R.R.The ability to maintain a sequence of items in memory is a fundamental cognitive function. In the rodent hippocampus, the representation of sequentially organized spatial locations is reflected by the phase of action potentials relative to the theta oscillation (phase precession). We investigated whether the timing of neuronal activity relative to the theta brain oscillation also reflects sequence order in the medial temporal lobe of humans. We used a task in which human participants learned a fixed sequence of pictures and recorded single neuron and local field potential activity with implanted electrodes. We report that spikes for three consecutive items in the sequence (the preferred stimulus for each cell, as well as the stimuli immediately preceding and following it) were phase-locked at distinct phases of the theta oscillation. Consistent with phase precession, spikes were fired at progressively earlier phases as the sequence advanced. These findings generalize previous findings in the rodent hippocampus to the human temporal lobe and suggest that encoding stimulus information at distinct oscillatory phases may play a role in maintaining sequential order in memory.Publisher PDFPeer reviewe

Planning system for the optimization of electric field delivery using implanted electrodes for brain tumor control

BACKGROUND: The use of non-ionizing electric fields from low-intensity voltage sources (\u3c 10 V) to control malignant tumor growth is showing increasing potential as a cancer treatment modality. A method of applying these low-intensity electric fields using multiple implanted electrodes within or adjacent to tumor volumes has been termed as intratumoral modulation therapy (IMT). PURPOSE: This study explores advancements in the previously established IMT optimization algorithm, and the development of a custom treatment planning system for patient-specific IMT. The practicality of the treatment planning system is demonstrated by implementing the full optimization pipeline on a brain phantom with robotic electrode implantation, postoperative imaging, and treatment stimulation. METHODS: The integrated planning pipeline in 3D Slicer begins with importing and segmenting patient magnetic resonance images (MRI) or computed tomography (CT) images. The segmentation process is manual, followed by a semi-automatic smoothing step that allows the segmented brain and tumor mesh volumes to be smoothed and simplified by applying selected filters. Electrode trajectories are planned manually on the patient MRI or CT by selecting insertion and tip coordinates for a chosen number of electrodes. The electrode tip positions and stimulation parameters (phase shift and voltage) can then be optimized with the custom semi-automatic IMT optimization algorithm where users can select the prescription electric field, voltage amplitude limit, tissue electrical properties, nearby organs at risk, optimization parameters (electrode tip location, individual contact phase shift and voltage), desired field coverage percent, and field conformity optimization. Tables of optimization results are displayed, and the resulting electric field is visualized as a field-map superimposed on the MR or CT image, with 3D renderings of the brain, tumor, and electrodes. Optimized electrode coordinates are transferred to robotic electrode implantation software to enable planning and subsequent implantation of the electrodes at the desired trajectories. RESULTS: An IMT treatment planning system was developed that incorporates patient-specific MRI or CT, segmentation, volume smoothing, electrode trajectory planning, electrode tip location and stimulation parameter optimization, and results visualization. All previous manual pipeline steps operating on diverse software platforms were coalesced into a single semi-automated 3D Slicer-based user interface. Brain phantom validation of the full system implementation was successful in preoperative planning, robotic electrode implantation, and postoperative treatment planning to adjust stimulation parameters based on actual implant locations. Voltage measurements were obtained in the brain phantom to determine the electrical parameters of the phantom and validate the simulated electric field distribution. CONCLUSIONS: A custom treatment planning and implantation system for IMT has been developed in this study and validated on a phantom brain model, providing an essential step in advancing IMT technology toward future clinical safety and efficacy investigations

Using AVIRIS In The NASA BAA Project To Evaluate The Impact Of Natural Acid Drainage On Colorado Watersheds

The Colorado Geological Survey and the co-authors of this paper were awarded one of 15 NASA Broad Agency Announcement (BAA) grants in 2001. The project focuses on the use of hyperspectral remote sensing to map acid-generating minerals that affect water quality within a watershed, and to identify the relative contributions of natural and anthropogenic sources to that drainage. A further objective is to define the most cost-effective remote sensing instrument configuration for this application