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.

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.

Quantitative Analysis of Kilohertz-Frequency Neurostimulation

Mainstream electrical stimulation therapies, e.g., spinal cord stimulation (SCS) and deep brain stimulation, use pulse trains that are delivered at rates no higher than 200 Hz. In recent years, stimulation of nerve fibers using kilohertz-frequency (KHF) signals has received increased attention due to the potential to penetrate deeper in the tissue and to the ability to block conduction of action potentials. As well, there are a growing number of clinical applications that use KHF waveforms, including transcutaneous electrical stimulation (TES) for overactive bladder and SCS for chronic pain. However, there is a lack of fundamental understanding of the mechanisms of action of KHF stimulation. The goal of this research was to analyze quantitatively KHF neurostimulation.

We implemented a multilayer volume conductor model of TES including dispersion and capacitive effects, and we validated the model with in vitro measurements in a phantom constructed from dispersive materials. We quantified the effects of frequency on the distribution of potentials and fiber excitation. We also quantified the effects of a novel transdermal amplitude modulated signal (TAMS) consisting of a non-zero offset sinusoidal carrier modulated by a square-pulse train. The model revealed that high-frequency signals generated larger potentials at depth than did low frequencies, but this did not translate into lower stimulation thresholds. Both TAMS and conventional rectangular pulses activated more superficial fibers in addition to the deeper, target fibers, and at no frequency did we observe an inversion of the strength-distance relationship. In addition, we performed in vivo experiments and applied direct stimulation to the sciatic nerve of cats and rats. We measured electromyogram and compound action potential activity evoked by pulses, TAMS and modified versions of TAMS in which we varied the amplitude of the carrier. Nerve fiber activation using TAMS showed no difference with respect to activation with conventional pulse for carrier frequencies of 20 kHz and higher, regardless the size of the carrier. Therefore, TAMS with carrier frequencies >20 kHz does not offer any advantage over conventional pulses, even with larger amplitudes of the carrier, and this has implications for design of waveforms for efficient and effective TES.

We developed a double cable model of a dorsal column (DC) fiber to quantify the responses of DC fibers to a novel KHF-SCS signal. We validated the model using in vivo recordings of the strength-duration relationship and the recovery cycle of single DC fibers. We coupled the fiber model to a model of SCS in human and applied the KHF-SCS signal to quantify thresholds for activation and conduction block for different fiber diameters at different locations in the DCs. Activation and block thresholds increased sharply as the fibers were placed deeper in the DCs, and decreased for larger diameter fibers. Activation thresholds were > 5 mA in all cases and up to five times higher than for conventional (~ 50 Hz) SCS. For fibers exhibiting persistent activation, the degree of synchronization of the firing activity to the KHF-SCS signal, as quantified using the vector strength, was low for a broad amplitude range, and the dissimilarity between the activities in pairs of fibers, as quantified using the spike time distance, was high and decreased for more closely positioned fibers. Conduction block thresholds were higher than 30 mA for all fiber diameters at any depth and well above the amplitudes used clinically (0.5 – 5 mA). KHF-SCS appears to activate few, large, superficial fibers, and the activated fibers fire asynchronously to the stimulation signal and to other activated fibers.

The outcomes of this work contribute to the understanding of KHF neurostimulation by establishing the importance of the tissue filtering properties on the distribution of potentials, assessing quantitatively the impact of KHF stimulation on nerve fiber excitation, and developing and validating a detailed model of a DC fiber to characterize the effects of KHF stimulation on DC axons. The results have implications for design of waveforms for efficient and effective nerve fiber stimulation in the peripheral and central nervous system.

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Time-dependent transport through molecular junctions.

We investigate transport properties of molecular junctions under two types of bias--a short time pulse or an ac bias--by combining a solution for Green's functions in the time domain with electronic structure information coming from ab initio density functional calculations. We find that the short time response depends on lead structure, bias voltage, and barrier heights both at the molecule-lead contacts and within molecules. Under a low frequency ac bias, the electron flow either tracks or leads the bias signal (resistive or capacitive response) depending on whether the junction is perfectly conducting or not. For high frequency, the current lags the bias signal due to the kinetic inductance. The transition frequency is an intrinsic property of the junctions.

Modulating unimolecular charge transfer by exciting bridge vibrations.

Ultrafast UV-vibrational spectroscopy was used to investigate how vibrational excitation of the bridge changes photoinduced electron transfer between donor (dimethylaniline) and acceptor (anthracene) moieties bridged by a guanosine-cytidine base pair (GC). The charge-separated (CS) state yield is found to be lowered by high-frequency bridge mode excitation. The effect is linked to a dynamic modulation of the donor-acceptor coupling interaction by weakening of H-bonding and/or by disruption of the bridging base-pair planarity.

Standardizing clinical trials workflow representation in UML for international site comparison.

BACKGROUND: With the globalization of clinical trials, a growing emphasis has been placed on the standardization of the workflow in order to ensure the reproducibility and reliability of the overall trial. Despite the importance of workflow evaluation, to our knowledge no previous studies have attempted to adapt existing modeling languages to standardize the representation of clinical trials. Unified Modeling Language (UML) is a computational language that can be used to model operational workflow, and a UML profile can be developed to standardize UML models within a given domain. This paper's objective is to develop a UML profile to extend the UML Activity Diagram schema into the clinical trials domain, defining a standard representation for clinical trial workflow diagrams in UML. METHODS: Two Brazilian clinical trial sites in rheumatology and oncology were examined to model their workflow and collect time-motion data. UML modeling was conducted in Eclipse, and a UML profile was developed to incorporate information used in discrete event simulation software. RESULTS: Ethnographic observation revealed bottlenecks in workflow: these included tasks requiring full commitment of CRCs, transferring notes from paper to computers, deviations from standard operating procedures, and conflicts between different IT systems. Time-motion analysis revealed that nurses' activities took up the most time in the workflow and contained a high frequency of shorter duration activities. Administrative assistants performed more activities near the beginning and end of the workflow. Overall, clinical trial tasks had a greater frequency than clinic routines or other general activities. CONCLUSIONS: This paper describes a method for modeling clinical trial workflow in UML and standardizing these workflow diagrams through a UML profile. In the increasingly global environment of clinical trials, the standardization of workflow modeling is a necessary precursor to conducting a comparative analysis of international clinical trials workflows.

Use of 16S ribosomal RNA gene analyses to characterize the bacterial signature associated with poor oral health in West Virginia.

BACKGROUND: West Virginia has the worst oral health in the United States, but the reasons for this are unclear. This pilot study explored the etiology of this disparity using culture-independent analyses to identify bacterial species associated with oral disease. METHODS: Bacteria in subgingival plaque samples from twelve participants in two independent West Virginia dental-related studies were characterized using 16S rRNA gene sequencing and Human Oral Microbe Identification Microarray (HOMIM) analysis. Unifrac analysis was used to characterize phylogenetic differences between bacterial communities obtained from plaque of participants with low or high oral disease, which was further evaluated using clustering and Principal Coordinate Analysis. RESULTS: Statistically different bacterial signatures (P<0.001) were identified in subgingival plaque of individuals with low or high oral disease in West Virginia based on 16S rRNA gene sequencing. Low disease contained a high frequency of Veillonella and Streptococcus, with a moderate number of Capnocytophaga. High disease exhibited substantially increased bacterial diversity and included a large proportion of Clostridiales cluster bacteria (Selenomonas, Eubacterium, Dialister). Phylogenetic trees constructed using 16S rRNA gene sequencing revealed that Clostridiales were repeated colonizers in plaque associated with high oral disease, providing evidence that the oral environment is somehow influencing the bacterial signature linked to disease. CONCLUSIONS: Culture-independent analyses identified an atypical bacterial signature associated with high oral disease in West Virginians and provided evidence that the oral environment influenced this signature. Both findings provide insight into the etiology of the oral disparity in West Virginia.

The Ontogeny of Mucosal and Systemic Antibody Responses to HIV-1 Infection

The humoral immune system plays a critical role in the clearance of numerous pathogens. In the setting of HIV-1 infection, the virus infects, integrates its genome into the host's cells, replicates, and establishes a reservoir of virus-infected cells. The initial antibody response to HIV-1 infection is targeted to non-neutralizing epitopes on HIV-1 Env gp41, and when a neutralizing response does develop months after transmission, it is specific for the autologous founder virus and the virus escapes rapidly. After continuous waves of antibody mediated neutralization and viral escape, a small subset of infected individuals eventually develop broad and potent heterologous neutralizing antibodies years after infection. In this dissertation, I have studied the ontogeny of mucosal and systemic antibody responses to HIV-1 infection by means of three distinct aims: 1. Determine the origin of the initial antibody response to HIV-1 infection. 2. Characterize the role of restricted VH and VL gene segment usage in shaping the antibody response to HIV-1 infection. 3. Determine the role of persistence of B cell clonal lineages in shaping the mutation frequencies of HIV-1 reactive antibodies.

After the introduction (Chapter 1) and methods (Chapter 2), Chapter 3 of this dissertation describes a study of the antibody response of terminal ileum B cells to HIV-1 envelope (Env) in early and chronic HIV-1 infection and provides evidence for the role of environmental antigens in shaping the repertoire of B cells that respond to HIV-1 infection. Previous work by Liao et al. demonstrated that the initial plasma cell response in the blood to acute HIV-1 infection is to gp41 and is derived from a polyreactive memory B cell pool. Many of these antibodies cross-reacted with commensal bacteria, Therefore, in Chapter 3, the relationship of intestinal B cell reactivity with commensal bacteria to HIV-1 infection-induced antibody response was probed using single B cell sorting, reverse transcription and nested polymerase chain reaction (RT- PCR) methods, and recombinant antibody technology. The dominant B cell response in the terminal ileum was to HIV-1 envelope (Env) gp41, and 82% of gp41- reactive antibodies cross-reacted with commensal bacteria whole cell lysates. Pyrosequencing of blood B cells revealed HIV-1 antibody clonal lineages shared between ileum and blood. Mutated IgG antibodies cross-reactive with both Env gp41 and commensal bacteria could also be isolated from the terminal ileum of HIV-1 uninfected individuals. Thus, the antibody response to HIV-1 can be shaped by intestinal B cells stimulated by commensal bacteria prior to HIV-1 infection to develop a pre-infection pool of memory B cells cross-reactive with HIV-1 gp41.

Chapter 4 details the study of restricted VH and VL gene segment usage for gp41 and gp120 antibody induction following acute HIV-1 infection; mutations in gp41 lead to virus enhanced neutralization sensitivity. The B cell repertoire of antibodies induced in a HIV-1 infected African individual, CAP206, who developed broadly neutralizing antibodies (bnAbs) directed to the HIV-1 envelope gp41 membrane proximal external region (MPER), is characterized. Understanding the selection of virus mutants by neutralizing antibodies is critical to understanding the role of antibodies in control of HIV-1 replication and prevention from HIV-1 infection. Previously, an MPER neutralizing antibody, CAP206-CH12, with the binding footprint identical to that of MPER broadly neutralizing antibody 4E10, that like 4E10 utilized the VH1-69 and VK3-20 variable gene segments was isolated from this individual (Morris et al., 2011). Using single B cell sorting, RT- PCR methods, and recombinant antibody technology, Chapter 4 describes the isolation of a VH1-69, Vk3-20 glycan-dependent clonal lineage from CAP206, targeted to gp120, that has the property of neutralizing a neutralization sensitive CAP206 transmitted/founder (T/F) and heterologous viruses with mutations at amino acids 680 or 681 in the MPER 4E10/CH12 binding site. These data demonstrate sites within the MPER bnAb epitope (aa 680-681) in which mutations can be selected that lead to viruses with enhanced sensitivity to autologous and heterologous neutralizing antibodies.

In Chapter 5, I have completed a comparison of evolution of B cell clonal lineages in two HIV-1 infected individuals who have a predominant VH1-69 response to HIV-1 infection--one who produces broadly neutralizing MPER-reactive mAbs and one who does not. Autologous neutralization in the plasma takes ~12 weeks to develop (Gray et al., 2007; Tomaras et al., 2008b). Only a small subset of HIV-1 infected individuals develops high plasma levels of broad and potent heterologous neutralization, and when it does occur, it typically takes 3-4 years to develop (Euler et al., 2010; Gray et al., 2007; 2011; Tomaras et al., 2011). The HIV-1 bnAbs that have been isolated to date have a number of unusual characteristics including, autoreactivity and high levels of somatic hypermutations, which are typically tightly regulated by immune control mechanisms (Haynes et al., 2005; 2012b; Kwong and Mascola, 2012; Scheid et al., 2009a). The VH mutation frequencies of bnAbs average ~15% but have been shown to be as high as 32% (reviewed in Mascola and Haynes, 2013; Kwong and Mascola, 2012). The high frequency of somatic hypermutations suggests that the B cell clonal lineages that eventually produce bnAbs undergo high-levels of affinity maturation, implying prolonged germinal center (GC) reactions and high levels of T cell help. To study the duration of HIV-1- reactive B cell clonal persistence, HIV-1 reactive and non HIV-1- reactive B cell clonal lineages were isolated from an HIV-1 infected individual that produces bnAbs, CAP206, and an HIV-1 infected individual who does not produce bnAbs, 004-0. Single B cell sorting, RT-PCR and recombinant antibody technology was used to isolate and produce monoclonal antibodies from multiple time points from each individual. B cell sequences clonally related to mAbs isolated by single cell PCR were identified within pyrosequences of longitudinal samples of these two individuals. Both individuals produced long-lived B cell clones that persisted from 0-232 weeks in CAP206, and 0-238 weeks in 004-0. The average length of persistence of clones containing members isolated from two separate time points was 91.5 weeks both individuals. Examples of the continued evolution of clonal lineages were observed in both the bnAb and non-bnAb individual. These data indicated that the ability to generate persistent and evolving B cell clonal lineages occurs in both bnAb and non-bnAb individuals, suggesting that some alternative host or viral factor is critical for the generation of highly mutated broadly neutralizing antibodies.

Together the studies described in Chapter 3-5 show that multiple factors influence the antibody response to HIV-1 infection. The initial antibody response to HIV-1 Env gp41 can be shaped by a B cell response to intestinal commensal bacteria prior to HIV-1 infection. VH and VL gene segment restriction can impact the B cell response to multiple HIV-1 antigens, and virus escape mutations in the MPER can confer enhanced neutralization sensitivity to autologous and heterologous antibodies. Finally, the ability to generate long-lived HIV-1 clonal lineages in and of itself does not confer on the host the ability to produce bnAbs.

Mapping the semantic structure of cognitive neuroscience.

Cognitive neuroscience, as a discipline, links the biological systems studied by neuroscience to the processing constructs studied by psychology. By mapping these relations throughout the literature of cognitive neuroscience, we visualize the semantic structure of the discipline and point to directions for future research that will advance its integrative goal. For this purpose, network text analyses were applied to an exhaustive corpus of abstracts collected from five major journals over a 30-month period, including every study that used fMRI to investigate psychological processes. From this, we generate network maps that illustrate the relationships among psychological and anatomical terms, along with centrality statistics that guide inferences about network structure. Three terms--prefrontal cortex, amygdala, and anterior cingulate cortex--dominate the network structure with their high frequency in the literature and the density of their connections with other neuroanatomical terms. From network statistics, we identify terms that are understudied compared with their importance in the network (e.g., insula and thalamus), are underspecified in the language of the discipline (e.g., terms associated with executive function), or are imperfectly integrated with other concepts (e.g., subdisciplines like decision neuroscience that are disconnected from the main network). Taking these results as the basis for prescriptive recommendations, we conclude that semantic analyses provide useful guidance for cognitive neuroscience as a discipline, both by illustrating systematic biases in the conduct and presentation of research and by identifying directions that may be most productive for future research.

Dramatic variability of the carbonate system at a temperate coastal ocean site (Beaufort, North Carolina, USA) is regulated by physical and biogeochemical processes on multiple timescales.

Increasing atmospheric carbon dioxide (CO2) from anthropogenic sources is acidifying marine environments resulting in potentially dramatic consequences for the physical, chemical and biological functioning of these ecosystems. If current trends continue, mean ocean pH is expected to decrease by ~0.2 units over the next ~50 years. Yet, there is also substantial temporal variability in pH and other carbon system parameters in the ocean resulting in regions that already experience change that exceeds long-term projected trends in pH. This points to short-term dynamics as an important layer of complexity on top of long-term trends. Thus, in order to predict future climate change impacts, there is a critical need to characterize the natural range and dynamics of the marine carbonate system and the mechanisms responsible for observed variability. Here, we present pH and dissolved inorganic carbon (DIC) at time intervals spanning 1 hour to >1 year from a dynamic, coastal, temperate marine system (Beaufort Inlet, Beaufort NC USA) to characterize the carbonate system at multiple time scales. Daily and seasonal variation of the carbonate system is largely driven by temperature, alkalinity and the balance between primary production and respiration, but high frequency change (hours to days) is further influenced by water mass movement (e.g. tides) and stochastic events (e.g. storms). Both annual (~0.3 units) and diurnal (~0.1 units) variability in coastal ocean acidity are similar in magnitude to 50 year projections of ocean acidity associated with increasing atmospheric CO2. The environmental variables driving these changes highlight the importance of characterizing the complete carbonate system rather than just pH. Short-term dynamics of ocean carbon parameters may already exert significant pressure on some coastal marine ecosystems with implications for ecology, biogeochemistry and evolution and this shorter term variability layers additive effects and complexity, including extreme values, on top of long-term trends in ocean acidification.

The island-scale internal wave climate of Moorea, French Polynesia

Analysis of five-year records of temperatures and currents collected at Moorea reveal strong internal wave activity at predominantly semi-diurnal frequencies impacting reef slopes at depths 30m around the entire island. Temperature changes of 1.5C to 3C are accompanied by surges of upward and onshore flow and vertical shear in onshore currents. Superimposed on annual temperature changes of approximately 3C, internal wave activity is high from Oct-May and markedly lower from Jun-Sep. The offshore pycnocline is broadly distributed with continuous stratification to at least 500m depth, and a subsurface fluorescence maximum above the strong nutricline at approximately 200m. Minimum buoyancy periods range from 4.8 to 6min, with the maximum density gradient occurring at 50 to 60m depth in summer and deepening to approximately 150 to 200m in winter. The bottom slope angle around all of Moorea is super-critical relative to the vertical stratification angle suggesting that energy propagating into shallow water is only a portion of total incident internal wave energy. Vertical gradient Richardson numbers indicate dominance by density stability relative to current shear with relatively limited diapycnal mixing. Coherence and lagged cross-correlation of semi-diurnal temperature variation indicate complex patterns of inter-site arrival of internal waves and no clear coherence or lagged correlation relationships among island sides. Semi-diurnal and high frequency internal wave packets likely arrive on Moorea from a combination of local and distant sources and may have important impacts for nutrient and particle fluxes in deep reef environments. © 2012 American Geophysical Union. All Rights Reserved.