Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Coordinated analysis of delayed sprites with high-speed images and remote electromagnetic fields

Simultaneous measurements of high-altitude optical emissions and magnetic fields produced by sprite-associated lightning discharges enable a close examination of the link between low-altitude lightning processes and high-altitude sprite processes. We report results of the coordinated analysis of high-speed sprite video and wideband magnetic field measurements recorded simultaneously at Yucca Ridge Field Station and Duke University. From June to August 2005, sprites were detected following 67 lightning strokes, all of which had positive polarity. Our data showed that 46% of the 83 discrete sprite events in these sequences initiated more than 10 ms after the lightning return stroke, and we focus on these delayed sprites in this work. All delayed sprites were preceded by continuing current moments that averaged at least 11 kA km between the return stroke and sprites. The total lightning charge moment change at sprite initiation varied from 600 to 18,600 C km, and the minimum value to initiate long-delayed sprites ranged from 600 for 15 ms delay to 2000 C km for more than 120 ms delay. We numerically simulated electric fields at altitudes above these lightning discharges and found that the maximum normalized electric fields are essentially the same as fields that produce short-delayed sprites. Both estimated and simulation-predicted sprite initiation altitudes indicate that long-delayed sprites generally initiate around 5 km lower than short-delayed sprites. The simulation results also reveal that slow (5-20 ms) intensifications in continuing current can play a major role in initiating delayed sprites. Copyright 2008 by the American Geophysical Union.

Strategy-proofness versus Efficiency in Matching with Indifferences: Redesigning the NYC High School Match

The design of the New York City (NYC) high school match involved trade-offs among efficiency, stability, and strategy-proofness that raise new theoretical questions. We analyze a model with indifferences-ties-in school preferences. Simulations with field data and the theory favor breaking indifferences the same way at every school-single tiebreaking-in a student-proposing deferred acceptance mechanism. Any inefficiency associated with a realized tiebreaking cannot be removed without harming student incentives. Finally, we empirically document the extent of potential efficiency loss associated with strategy-proofness and stability, and direct attention to some open questions. (JEL C78, D82, I21).

Thermodynamic analysis of ligand-induced changes in protein thermal unfolding applied to high-throughput determination of ligand affinities with extrinsic fluorescent dyes.

The quantification of protein-ligand interactions is essential for systems biology, drug discovery, and bioengineering. Ligand-induced changes in protein thermal stability provide a general, quantifiable signature of binding and may be monitored with dyes such as Sypro Orange (SO), which increase their fluorescence emission intensities upon interaction with the unfolded protein. This method is an experimentally straightforward, economical, and high-throughput approach for observing thermal melts using commonly available real-time polymerase chain reaction instrumentation. However, quantitative analysis requires careful consideration of the dye-mediated reporting mechanism and the underlying thermodynamic model. We determine affinity constants by analysis of ligand-mediated shifts in melting-temperature midpoint values. Ligand affinity is determined in a ligand titration series from shifts in free energies of stability at a common reference temperature. Thermodynamic parameters are obtained by fitting the inverse first derivative of the experimental signal reporting on thermal denaturation with equations that incorporate linear or nonlinear baseline models. We apply these methods to fit protein melts monitored with SO that exhibit prominent nonlinear post-transition baselines. SO can perturb the equilibria on which it is reporting. We analyze cases in which the ligand binds to both the native and denatured state or to the native state only and cases in which protein:ligand stoichiometry needs to treated explicitly.

Uncovering compounds by synergy of cluster expansion and high-throughput methods.

Predicting from first-principles calculations whether mixed metallic elements phase-separate or form ordered structures is a major challenge of current materials research. It can be partially addressed in cases where experiments suggest the underlying lattice is conserved, using cluster expansion (CE) and a variety of exhaustive evaluation or genetic search algorithms. Evolutionary algorithms have been recently introduced to search for stable off-lattice structures at fixed mixture compositions. The general off-lattice problem is still unsolved. We present an integrated approach of CE and high-throughput ab initio calculations (HT) applicable to the full range of compositions in binary systems where the constituent elements or the intermediate ordered structures have different lattice types. The HT method replaces the search algorithms by direct calculation of a moderate number of naturally occurring prototypes representing all crystal systems and guides CE calculations of derivative structures. This synergy achieves the precision of the CE and the guiding strengths of the HT. Its application to poorly characterized binary Hf systems, believed to be phase-separating, defines three classes of alloys where CE and HT complement each other to uncover new ordered structures.

Design and synthesis of hierarchical MnO2 nanospheres/carbon nanotubes/conducting polymer ternary composite for high performance electrochemical electrodes.

For efficient use of metal oxides, such as MnO(2) and RuO(2), in pseudocapacitors and other electrochemical applications, the poor conductivity of the metal oxide is a major problem. To tackle the problem, we have designed a ternary nanocomposite film composed of metal oxide (MnO(2)), carbon nanotube (CNT), and conducting polymer (CP). Each component in the MnO(2)/CNT/CP film provides unique and critical function to achieve optimized electrochemical properties. The electrochemical performance of the film is evaluated by cyclic voltammetry, and constant-current charge/discharge cycling techniques. Specific capacitance (SC) of the ternary composite electrode can reach 427 F/g. Even at high mass loading and high concentration of MnO(2) (60%), the film still showed SC value as high as 200 F/g. The electrode also exhibited excellent charge/discharge rate and good cycling stability, retaining over 99% of its initial charge after 1000 cycles. The results demonstrated that MnO(2) is effectively utilized with assistance of other components (fFWNTs and poly(3,4-ethylenedioxythiophene)-poly(styrenesulfonate) in the electrode. Such ternary composite is very promising for the next generation high performance electrochemical supercapacitors.

Nanofabrication at high throughput and low cost.

The task of nanofabrication can, in principle, be divided into two separate tracks: generation and replication of the patterned features. These two tracks are different in terms of characteristics, requirements, and aspects of emphasis. In general, generation of patterns is commonly achieved in a serial fashion using techniques that are typically slow, making this process only practical for making a small number of copies. Only when combined with a rapid duplication technique will fabrication at high-throughput and low-cost become feasible. Nanoskiving is unique in that it can be used for both generation and duplication of patterned nanostructures.

Morphing low-affinity ligands into high-avidity nanoparticles by thermally triggered self-assembly of a genetically encoded polymer.

Multivalency is the increase in avidity resulting from the simultaneous interaction of multiple ligands with multiple receptors. This phenomenon, seen in antibody-antigen and virus-cell membrane interactions, is useful in designing bioinspired materials for targeted delivery of drugs or imaging agents. While increased avidity offered by multivalent targeting is attractive, it can also promote nonspecific receptor interaction in nontarget tissues, reducing the effectiveness of multivalent targeting. Here, we present a thermal targeting strategy--dynamic affinity modulation (DAM)--using elastin-like polypeptide diblock copolymers (ELP(BC)s) that self-assemble from a low-affinity to high-avidity state by a tunable thermal "switch", thereby restricting activity to the desired site of action. We used an in vitro cell binding assay to investigate the effect of the thermally triggered self-assembly of these ELP(BC)s on their receptor-mediated binding and cellular uptake. The data presented herein show that (1) ligand presentation does not disrupt ELP(BC) self-assembly; (2) both multivalent ligand presentation and upregulated receptor expression are needed for receptor-mediated interaction; (3) increased size of the hydrophobic segment of the block copolymer promotes multivalent interaction with membrane receptors, potentially due to changes in the nanoscale architecture of the micelle; and (4) nanoscale presentation of the ligand is important, as presentation of the ligand by micrometer-sized aggregates of an ELP showed a low level of binding/uptake by receptor-positive cells compared to its presentation on the corona of a micelle. These data validate the concept of thermally triggered DAM and provide rational design parameters for future applications of this technology for targeted drug delivery.

High-Q hybrid 3D-2D slab-3D photonic crystal microcavity.

The radiation loss in the escaping light cone with a two-dimensional (2D) photonic crystal slab microcavity can be suppressed by means of cladding the low-Q slab microcavity by three-dimensional woodpile photonic crystals with the complete bandgap when the resonance frequency is located inside the complete bandgap. It is confirmed that the hybrid microcavity based on a low-Q, single-defect photonic crystal slab microcavity shows improvement of the Q factor without affecting the mode volume and modal frequency. Whereas 2D slab microcavities exhibit Q saturation with an increase in the number of layers, for the analyzed hybrid microcavities with a small gap between the slab and woodpiles, the Q factor does not saturate.

Three-dimensional dispersive metallic photonic crystals with a bandgap and a high cutoff frequency.

The goal of this work is to analyze three-dimensional dispersive metallic photonic crystals (PCs) and to find a structure that can provide a bandgap and a high cutoff frequency. The determination of the band structure of a PC with dispersive materials is an expensive nonlinear eigenvalue problem; in this work we propose a rational-polynomial method to convert such a nonlinear eigenvalue problem into a linear eigenvalue problem. The spectral element method is extended to rapidly calculate the band structure of three-dimensional PCs consisting of realistic dispersive materials modeled by Drude and Drude-Lorentz models. Exponential convergence is observed in the numerical experiments. Numerical results show that, at the low frequency limit, metallic materials are similar to a perfect electric conductor, where the simulation results tend to be the same as perfect electric conductor PCs. Band structures of the scaffold structure and semi-woodpile structure metallic PCs are investigated. It is found that band structures of semi-woodpile PCs have a very high cutoff frequency as well as a bandgap between the lowest two bands and the higher bands.

Preservation of beam emittance in the presence of ion motion in future high-energy plasma-wakefield-based colliders.

The preservation of beam quality in a plasma wakefield accelerator driven by ultrahigh intensity and ultralow emittance beams, characteristic of future particle colliders, is a challenge. The electric field of these beams leads to plasma ions motion, resulting in a nonlinear focusing force and emittance growth of the beam. We propose to use an adiabatic matching section consisting of a short plasma section with a decreasing ion mass to allow for the beam to remain matched to the focusing force. We use analytical models and numerical simulations to show that the emittance growth can be significantly reduced.

Rationale and design of the Exercise Intensity Trial (EXCITE): A randomized trial comparing the effects of moderate versus moderate to high-intensity aerobic training in women with operable breast cancer.

BACKGROUND: The Exercise Intensity Trial (EXcITe) is a randomized trial to compare the efficacy of supervised moderate-intensity aerobic training to moderate to high-intensity aerobic training, relative to attention control, on aerobic capacity, physiologic mechanisms, patient-reported outcomes, and biomarkers in women with operable breast cancer following the completion of definitive adjuvant therapy. METHODS/DESIGN: Using a single-center, randomized design, 174 postmenopausal women (58 patients/study arm) with histologically confirmed, operable breast cancer presenting to Duke University Medical Center (DUMC) will be enrolled in this trial following completion of primary therapy (including surgery, radiation therapy, and chemotherapy). After baseline assessments, eligible participants will be randomized to one of two supervised aerobic training interventions (moderate-intensity or moderate/high-intensity aerobic training) or an attention-control group (progressive stretching). The aerobic training interventions will include 150 mins.wk⁻¹ of supervised treadmill walking per week at an intensity of 60%-70% (moderate-intensity) or 60% to 100% (moderate to high-intensity) of the individually determined peak oxygen consumption (VO₂peak) between 20-45 minutes/session for 16 weeks. The progressive stretching program will be consistent with the exercise interventions in terms of program length (16 weeks), social interaction (participants will receive one-on-one instruction), and duration (20-45 mins/session). The primary study endpoint is VO₂peak, as measured by an incremental cardiopulmonary exercise test. Secondary endpoints include physiologic determinants that govern VO₂peak, patient-reported outcomes, and biomarkers associated with breast cancer recurrence/mortality. All endpoints will be assessed at baseline and after the intervention (16 weeks). DISCUSSION: EXCITE is designed to investigate the intensity of aerobic training required to induce optimal improvements in VO₂peak and other pertinent outcomes in women who have completed definitive adjuvant therapy for operable breast cancer. Overall, this trial will inform and refine exercise guidelines to optimize recovery in breast and other cancer survivors following the completion of primary cytotoxic therapy. TRIAL REGISTRATION: NCT01186367.

Boosting high-intensity focused ultrasound-induced anti-tumor immunity using a sparse-scan strategy that can more effectively promote dendritic cell maturation.

BACKGROUND: The conventional treatment protocol in high-intensity focused ultrasound (HIFU) therapy utilizes a dense-scan strategy to produce closely packed thermal lesions aiming at eradicating as much tumor mass as possible. However, this strategy is not most effective in terms of inducing a systemic anti-tumor immunity so that it cannot provide efficient micro-metastatic control and long-term tumor resistance. We have previously provided evidence that HIFU may enhance systemic anti-tumor immunity by in situ activation of dendritic cells (DCs) inside HIFU-treated tumor tissue. The present study was conducted to test the feasibility of a sparse-scan strategy to boost HIFU-induced anti-tumor immune response by more effectively promoting DC maturation. METHODS: An experimental HIFU system was set up to perform tumor ablation experiments in subcutaneous implanted MC-38 and B16 tumor with dense- or sparse-scan strategy to produce closely-packed or separated thermal lesions. DCs infiltration into HIFU-treated tumor tissues was detected by immunohistochemistry and flow cytometry. DCs maturation was evaluated by IL-12/IL-10 production and CD80/CD86 expression after co-culture with tumor cells treated with different HIFU. HIFU-induced anti-tumor immune response was evaluated by detecting growth-retarding effects on distant re-challenged tumor and tumor-specific IFN-gamma-secreting cells in HIFU-treated mice. RESULTS: HIFU exposure raised temperature up to 80 degrees centigrade at beam focus within 4 s in experimental tumors and led to formation of a well-defined thermal lesion. The infiltrated DCs were recruited to the periphery of lesion, where the peak temperature was only 55 degrees centigrade during HIFU exposure. Tumor cells heated to 55 degrees centigrade in 4-s HIFU exposure were more effective to stimulate co-cultured DCs to mature. Sparse-scan HIFU, which can reserve 55 degrees-heated tumor cells surrounding the separated lesions, elicited an enhanced anti-tumor immune response than dense-scan HIFU, while their suppressive effects on the treated primary tumor were maintained at the same level. Flow cytometry analysis showed that sparse-scan HIFU was more effective than dense-scan HIFU in enhancing DC infiltration into tumor tissues and promoting their maturation in situ. CONCLUSION: Optimizing scan strategy is a feasible way to boost HIFU-induced anti-tumor immunity by more effectively promoting DC maturation.