Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

Roles of norepinephrine and ATP in sympathetically evoked vasoconstriction in rat tail and hindlimb in vivo.

In anesthetized rats, we characterized the contributions of norepinephrine (NE) and ATP to changes in tail and hindlimb (femoral) vascular resistances (TVR and FVR, respectively) evoked by three patterns of sympathetic stimulation: 1) couplets (2 impulses at 20 Hz), 2) short trains (20 impulses at 20 Hz), and 3) a natural irregular pattern previously recorded from a sympathetic fiber innervating the rat tail artery. All stimuli evoked greater changes in TVR than FVR. Judging from the effects of the -adrenoceptor antagonist phentolamine, the purinergic receptor antagonist suramin, or ,-methylene ATP (which desensitizes P2X receptors), we propose that NE has a major role in the constriction evoked by the couplet, as well as by the short train and by the low- and high-frequency components of the natural pattern, but that considerable synergy occurred between the actions of ATP and NE. This contrasts with previous in vitro studies that indicated that ATP dominates vascular responses evoked by sympathetic stimulation with a few impulses at low frequency and that NE dominates responses to longer trains or at high frequencies.

Effect of a COL1A1 Sp1 Binding Site Polymorphism on Arterial Pulse Wave Velocity: An Index of Compliance.

Reduced arterial compliance precedes changes in blood pressure, which may be mediated through alterations in vessel wall matrix composition. We investigated the effect of the collagen type I-1 gene (COL1A1) +2046G>T polymorphism on arterial compliance in healthy individuals. We recruited 489 subjects (251 men and 238 women; mean age, 22.6±1.6 years). COL1A1 genotypes were determined using polymerase chain reaction and digestion by restriction enzyme Bal1. Arterial pulse wave velocities were measured in 3 segments, aortoiliac (PWVA), aortoradial (PWVB), and aorto-dorsalis-pedis (PWVF), as an index of compliance using a noninvasive optical method. Data were available for 455 subjects. The sample was in Hardy-Weinberg equilibrium with genotype distributions and allele frequencies that were not significantly different from those reported previously. The T allele frequency was 0.22 (95% confidence interval, 0.19 to 0.24). Two hundred eighty-three (62.2%) subjects were genotype GG, 148 (35.5%) subjects were genotype GT, and 24 (5.3%) subjects were genotype TT. A comparison of GG homozygotes with GT and TT individuals demonstrated a statistically significant association with arterial compliance: PWVF 4.92±0.03 versus 5.06±0.05 m/s (ANOVA, P=0.009), PWVB 4.20±0.03 versus 4.32±0.04 m/s (ANOVA, P=0.036), and PWVA 3.07±0.03 versus 3.15±0.03 m/s (ANOVA, P=0.045). The effects of genotype were independent of age, gender, smoking, mean arterial pressure, body mass index, family history of hypertension, and activity scores. We report an association between the COL1A1 gene polymorphism and arterial compliance. Alterations in arterial collagen type 1A deposition may play a role in the regulation of arterial compliance