Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

Genetic and Molecular Basis of Encapsulation and Capsule Diversity in Kingella kingae

Kingella kingae is a bacterial pathogen that is increasingly recognized as an etiology of septic arthritis, osteomyelitis, bacteremia, and endocarditis in young children. The pathogenesis of K. kingae disease starts with bacterial adherence to the respiratory epithelium of the posterior pharynx. Previous work has identified type IV pili and a trimeric autotransporter protein called Knh (Kingella NhhA homolog) as critical factors for adherence to human epithelial cells. Additional studies established that the presence of a polysaccharide capsule interferes with Knh-mediated adherence. Given the inhibitory role of capsule during adherence we sought to uncover the genes involved in capsule expression to understand how capsule is elaborated on the cell surface. Additionally, this work aimed to further characterize capsule diversity among K. kingae clinical isolates and to investigate the relationship between capsule type and site of isolation.

We first set out to identify the carbohydrates present in the K. kingae capsule present in the prototype strain 269-492. Glycosyl composition and NMR analysis of surface extractable polysaccharides demonstrated two distinct polysaccharides, one consisting of GalNAc and Kdo with the structure →3)-β-GalpNAc-(1→5)-β-Kdop-(2→ and the other containing galactose alone with the structure →5)-β-Galf-(1→.

To discern the two polysaccharides we disrupted the ctrA gene required for surface localization of the K. kingae polysaccharide capsule and observed a loss of GalNAc and Kdo but no effect on the presence of Gal in bacterial surface extracts. In contrast, deletion of the pamABCDE locus involved in production of a reported galactan exopolysaccharide eliminated Gal but had no effect on the presence of GalNAc and Kdo in surface extracts. These results established that K. kingae strain KK01 produces a polysaccharide capsule with the structure →3)-β-GalpNAc-(1→5)-β-Kdop-(2→ and a separate exopolysaccharide with the structure →5)-β-Galf-(1→.

Having established that K. kingae produces a capsule comprised of GalNAc and Kdo, we next set out to identify the genetic determinants of capsule through a transposon mutagenesis screen. In addition to the previously identified ctrABCD operon, lipA, lipB, and a putative glycosyltransferase termed csaA (capsule synthesis region A gene A) were found to be essential for the production of surface-localized capsule. The ctr operon, lipA, lipB, and csaA were found to be present at unlinked locations throughout the genome, which is atypical for gram-negative organisms that elaborate a capsule dependent on an ABC-type transporter for surface localization. Through examining capsule localization in the ctrA, lipA, lipB, and csaA mutant strains, we determined that the ctrABCD, lipA/lipB, and csaA gene products respectively function in capsule export, assembly, and synthesis, respectively. The GalNAc transferase and Kdo transferase domains found in CsaA further support its role in catalyzing the synthesis of the GalNAc-Kdo capsule in the K. kingae prototype strain.

To investigate the capsule diversity that exists in K. kingae we screened a panel of strains isolated from patients with invasive disease or healthy carriers for the csaA capsule synthesis locus. We discovered that Kingella kingae expresses one of 4 capsule synthesis loci (csa, csb, csc, or csd) associated with a capsule consisting of Kdo and GalNAc (type a), Kdo and GlcNAc (type b), Kdo and ribose (type c), and GlcNAc and galactose (type d), respectively. Cloning of the csa, csb, csc, or csd locus into the empty flanking gene region in a non-encapsulated mutant (creation of an isogenic capsule swap) was sufficient to produce either the type a, type b, or type c capsule, respectively, further supporting the role of these loci in expression of a specific polysaccharide linkage. Capsule type a and capsule type b accounted for 96% of invasive strains. Conversely, capsule type c and capsule type d were found disproportionately among carrier isolates, suggesting that capsule type is important in promoting invasion and dissemination.

In conclusion, we discovered that Kingella kingae expresses a polysaccharide capsule and an exopolysaccharide on its surface that require distinct genetic loci for surface localization. Further investigation into genetic determinants of encapsulation revealed the loci ctrABCD, lipA/lipB, and a putative glycosyltransferase are required for capsule expression, with the gene products having roles in capsule export, assembly, and synthesis, respectively. The putative glycosyltransferase CsaA was determined to be a bifunctional enzyme with both GalNAc-transferase and Kdo-transferase activity. Furthermore, we discovered a total of 4 capsule types expressed in clinical isolates of K. kingae, each with a distinct capsule synthesis locus. The variation in the proportion of capsule types found between invasive strains and carriage strains suggest that capsule type is important in promoting invasion and dissemination. Taken together, this work expands our knowledge of the capsule types expressed among K. kingae carrier and invasive isolates and provides insights into the common genetic determinants of capsule expression. These contributions may lead to selecting clinically relevant capsule types to develop into a capsule based vaccine to prevent K. kingae colonization.

Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.