Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

International Union of Pharmacology. XXXV. The glucagon receptor family.

Peptide hormones within the secretin-glucagon family are expressed in endocrine cells of the pancreas and gastrointestinal epithelium and in specialized neurons in the brain, and subserve multiple biological functions, including regulation of growth, nutrient intake, and transit within the gut, and digestion, energy absorption, and energy assimilation. Glucagon, glucagon-like peptide-1, glucagon-like peptide-2, glucose-dependent insulinotropic peptide, growth hormone-releasing hormone and secretin are structurally related peptides that exert their actions through unique members of a structurally related G protein-coupled receptor class 2 family. This review discusses advances in our understanding of how these peptides exert their biological activities, with a focus on the biological actions and structural features of the cognate receptors. The receptors have been named after their parent and only physiologically relevant ligand, in line with the recommendations of the International Union of Pharmacology Committee on Receptor Nomenclature and Drug Classification (NC-IUPHAR).

Mutational analysis of class A and class B penicillin-binding proteins in Streptococcus gordonii.

High-molecular-weight (HMW) penicillin-binding proteins (PBPs) are divided into class A and class B PBPs, which are bifunctional transpeptidases/transglycosylases and monofunctional transpeptidases, respectively. We determined the sequences for the HMW PBP genes of Streptococcus gordonii, a gingivo-dental commensal related to Streptococcus pneumoniae. Five HMW PBPs were identified, including three class A (PBPs 1A, 1B, and 2A) and two class B (PBPs 2B and 2X) PBPs, by homology with those of S. pneumoniae and by radiolabeling with [3H]penicillin. Single and double deletions of each of them were achieved by allelic replacement. All could be deleted, except for PBP 2X, which was essential. Morphological alterations occurred after deletion of PBP 1A (lozenge shape), PBP 2A (separation defect and chaining), and PBP 2B (aberrant septation and premature lysis) but not PBP 1B. The muropeptide cross-link patterns remained similar in all strains, indicating that cross-linkage for one missing PBP could be replaced by others. However, PBP 1A mutants presented shorter glycan chains (by 30%) and a relative decrease (25%) in one monomer stem peptide. Growth rate and viability under aeration, hyperosmolarity, and penicillin exposure were affected primarily in PBP 2B-deleted mutants. In contrast, chain-forming PBP 2A-deleted mutants withstood better aeration, probably because they formed clusters that impaired oxygen diffusion. Double deletion could be generated with any PBP combination and resulted in more-altered mutants. Thus, single deletion of four of the five HMW genes had a detectable effect on the bacterial morphology and/or physiology, and only PBP 1B seemed redundant a priori.

Cis association of Ly49A with MHC class I restricts natural killer cell inhibition.

Natural killer (NK) cell function is negatively regulated by inhibitory receptors interacting with major histocompatibility complex class I molecules expressed on target cells. Here we show that the inhibitory Ly49A NK cell receptor not only binds to its H-2D(d) ligand expressed on potential target cells (in trans) but also is constitutively associated with H-2D(d) in cis (on the same cell). Cis association and trans interaction occur through the same binding site. Consequently, cis association restricts the number of Ly49A receptors available for binding of H-2D(d) on target cells and reduces NK cell inhibition through Ly49A. By lowering the threshold at which NK cell activation exceeds NK cell inhibition, cis interaction allows optimal discrimination of normal and abnormal host cells.

Intrinsically photosensitive retinal ganglion cells: classification, function and clinical implications.

PURPOSE OF REVIEW: The discovery of a new class of intrinsically photosensitive retinal ganglion cells (ipRGCs) revealed their superior role for various nonvisual biological functions, including the pupil light reflex, and circadian photoentrainment. RECENT FINDINGS: Recent works have identified and characterized several anatomically and functionally distinct ipRGC subtypes and have added strong new evidence for the accessory role of ipRGCs in the visual system in humans. SUMMARY: This review summarizes current concepts related to ipRGC morphology, central connections and behavioural functions and highlights recent studies having clinical relevance to ipRGCs. Clinical implications of the melanopsin system are widespread, particularly as related to chronobiology.

Differentiation of trophoblast giant cells and their metabolic functions are dependent on peroxisome proliferator-activated receptor beta/delta.

Mutation of the nuclear receptor peroxisome proliferator-activated receptor beta/delta (PPARbeta/delta) severely affects placenta development, leading to embryonic death at embryonic day 9.5 (E9.5) to E10.5 of most, but not all, PPARbeta/delta-null mutant embryos. While very little is known at present about the pathway governed by PPARbeta/delta in the developing placenta, this paper demonstrates that the main alteration of the placenta of PPARbeta/delta-null embryos is found in the giant cell layer. PPARbeta/delta activity is in fact essential for the differentiation of the Rcho-1 cells in giant cells, as shown by the severe inhibition of differentiation once PPARbeta/delta is silenced. Conversely, exposure of Rcho-1 cells to a PPARbeta/delta agonist triggers a massive differentiation via increased expression of 3-phosphoinositide-dependent kinase 1 and integrin-linked kinase and subsequent phosphorylation of Akt. The links between PPARbeta/delta activity in giant cells and its role on Akt activity are further strengthened by the remarkable pattern of phospho-Akt expression in vivo at E9.5, specifically in the nucleus of the giant cells. In addition to this phosphatidylinositol 3-kinase/Akt main pathway, PPARbeta/delta also induced giant cell differentiation via increased expression of I-mfa, an inhibitor of Mash-2 activity. Finally, giant cell differentiation at E9.5 is accompanied by a PPARbeta/delta-dependent accumulation of lipid droplets and an increased expression of the adipose differentiation-related protein (also called adipophilin), which may participate to lipid metabolism and/or steroidogenesis. Altogether, this important role of PPARbeta/delta in placenta development and giant cell differentiation should be considered when contemplating the potency of PPARbeta/delta agonist as therapeutic agents of broad application.

Predicting stroke through genetic risk functions: the CHARGE Risk Score Project.

BACKGROUND AND PURPOSE: Beyond the Framingham Stroke Risk Score, prediction of future stroke may improve with a genetic risk score (GRS) based on single-nucleotide polymorphisms associated with stroke and its risk factors. METHODS: The study includes 4 population-based cohorts with 2047 first incident strokes from 22,720 initially stroke-free European origin participants aged ≥55 years, who were followed for up to 20 years. GRSs were constructed with 324 single-nucleotide polymorphisms implicated in stroke and 9 risk factors. The association of the GRS to first incident stroke was tested using Cox regression; the GRS predictive properties were assessed with area under the curve statistics comparing the GRS with age and sex, Framingham Stroke Risk Score models, and reclassification statistics. These analyses were performed per cohort and in a meta-analysis of pooled data. Replication was sought in a case-control study of ischemic stroke. RESULTS: In the meta-analysis, adding the GRS to the Framingham Stroke Risk Score, age and sex model resulted in a significant improvement in discrimination (all stroke: Δjoint area under the curve=0.016, P=2.3×10(-6); ischemic stroke: Δjoint area under the curve=0.021, P=3.7×10(-7)), although the overall area under the curve remained low. In all the studies, there was a highly significantly improved net reclassification index (P<10(-4)). CONCLUSIONS: The single-nucleotide polymorphisms associated with stroke and its risk factors result only in a small improvement in prediction of future stroke compared with the classical epidemiological risk factors for stroke.

The final N-terminal trimming of a subaminoterminal proline-containing HLA class I-restricted antigenic peptide in the cytosol is mediated by two peptidases.

The proteasome produces MHC class I-restricted antigenic peptides carrying N-terminal extensions, which are trimmed by other peptidases in the cytosol or within the endoplasmic reticulum. In this study, we show that the N-terminal editing of an antigenic peptide with a predicted low TAP affinity can occur in the cytosol. Using proteomics, we identified two cytosolic peptidases, tripeptidyl peptidase II and puromycin-sensitive aminopeptidase, that trimmed the N-terminal extensions of the precursors produced by the proteasome, and led to a transient enrichment of the final antigenic peptide. These peptidases acted either sequentially or redundantly, depending on the extension remaining at the N terminus of the peptides released from the proteasome. Inhibition of these peptidases abolished the CTL-mediated recognition of Ag-expressing cells. Although we observed some proteolytic activity in fractions enriched in endoplasmic reticulum, it could not compensate for the loss of tripeptidyl peptidase II/puromycin-sensitive aminopeptidase activities.

Major Histocompatibility Class II Pathway Is Not Required for the Development of Nonalcoholic Fatty Liver Disease in Mice.

Single-nucleotide polymorphisms within major histocompatibility class II (MHC II) genes have been associated with an increased risk of drug-induced liver injury. However, it has never been addressed whether the MHC II pathway plays an important role in the development of nonalcoholic fatty liver disease, the most common form of liver disease. We used a mouse model that has a complete knockdown of genes in the MHC II pathway (MHCII(Δ/Δ)). Firstly we studied the effect of high-fat diet-induced hepatic inflammation in these mice. Secondly we studied the development of carbon-tetra-chloride- (CCl4-) induced hepatic cirrhosis. After the high-fat diet, both groups developed obesity and hepatic steatosis with a similar degree of hepatic inflammation, suggesting no impact of the knockdown of MHC II on high-fat diet-induced inflammation in mice. In the second study, we confirmed that the CCl4 injection significantly upregulated the MHC II genes in wild-type mice. The CCl4 treatment significantly induced genes related to the fibrosis formation in wild-type mice, whereas this was lower in MHCII(Δ/Δ) mice. The liver histology, however, showed no detectable difference between groups, suggesting that the MHC II pathway is not required for the development of hepatic fibrosis induced by CCl4.

Generation of short-term murine natural killer cell clones to analyze Ly49 gene expression.

Natural killer (NK) cellsexpress receptors specific for class I major histocompatibility complex (MHC) molecules. In the mouse, the class I specific receptors identified to date belong to the polymorphic Ly49 receptor family. Engagement of Ly49 receptors with their respective MHC ligands results in negative regulation of NK cell effector functions, consistent with a critical role of these receptors in "missing self" recognition. The Ly49 receptors analyzed so far are clonally distributed such that multiple distinct Ly49 receptors can be expressed by individual NK cells (for review see refs. 1-3). The finding that most NK cells that express the Ly49A receptor do so from a single Ly49A allele (whereby expression can occur from the maternal or the paternal chromosome) may thus reflect a putative receptor distribution process that restricts the number of Ly49 receptors expressed in a single NK cell (3-5).

The stationary distribution of a continuously varying strategy in a class-structured population under mutation-selection-drift balance.

Many traits and/or strategies expressed by organisms are quantitative phenotypes. Because populations are of finite size and genomes are subject to mutations, these continuously varying phenotypes are under the joint pressure of mutation, natural selection and random genetic drift. This article derives the stationary distribution for such a phenotype under a mutation-selection-drift balance in a class-structured population allowing for demographically varying class sizes and/or changing environmental conditions. The salient feature of the stationary distribution is that it can be entirely characterized in terms of the average size of the gene pool and Hamilton's inclusive fitness effect. The exploration of the phenotypic space varies exponentially with the cumulative inclusive fitness effect over state space, which determines an adaptive landscape. The peaks of the landscapes are those phenotypes that are candidate evolutionary stable strategies and can be determined by standard phenotypic selection gradient methods (e.g. evolutionary game theory, kin selection theory, adaptive dynamics). The curvature of the stationary distribution provides a measure of the stability by convergence of candidate evolutionary stable strategies, and it is evaluated explicitly for two biological scenarios: first, a coordination game, which illustrates that, for a multipeaked adaptive landscape, stochastically stable strategies can be singled out by letting the size of the gene pool grow large; second, a sex-allocation game for diploids and haplo-diploids, which suggests that the equilibrium sex ratio follows a Beta distribution with parameters depending on the features of the genetic system.

Transgenic expression of Ly49A on T cells impairs a specific antitumor response.

Inhibitory MHC receptors determine the reactivity and specificity of NK cells. These receptors can also regulate T cells by modulating TCR-induced effector functions such as cytotoxicity, cytokine production, and proliferation. Here we have assessed the capacity of mouse T cells expressing the inhibitory MHC class I receptor Ly49A to respond to a well-defined tumor Ag in vivo using Ly49A transgenic mice. We find that the presence of Ly49A on the vast majority of lymphocytes prevents the development of a significant Ag-specific CD8+ T cell response and, consequently, the rejection of the tumor. Despite minor alterations in the TCR repertoire of CD8+ T cells in the transgenic lines, precursors of functional tumor-specific CD8+ T cells exist but could not be activated most likely due to a lack of appropriate CD4+ T cell help. Surprisingly, all of these effects are observed in the absence of a known ligand for the Ly49A receptor as defined by its ability to regulate NK cell function. Indeed, we found that the above effects on T cells may be based on a weak interaction of Ly49A with Kb or Db class I molecules. Thus, our data demonstrate that enforced expression of a Ly49A receptor on conventional T cells prevents a specific immune response in vivo and suggest that the functions of T and NK cells are differentially sensitive to the presence of inhibitory MHC class I receptors.

Isolation and characterization of major histocompatibility complex (MHC) class II B genes in the Barn owl (Aves: Tyto alba)

We isolated major histocompatibility complex class II B (MHCIIB) genes in the Barn owl (Tyto alba). A PCR-based approach combined with primer walking on genomic and complementary DNA as well as Southern blot analyses revealed the presence of two MHCIIB genes, both being expressed in spleen, liver, and blood. Characteristic structural features of MHCIIB genes as well as their expression and high non-synonymous substitution rates in the region involved in antigen binding suggest that both genes are functional. MHC organization in the Barn owl is simple compared to passerine species that show multiple duplications, and resembles the minimal essential MHC of chicken.

Molecular modeling of peptide-MHC class I complexes : applications to peptide based immunotherapy

Summary The specific CD8+ T cell immune response against tumors relies on the recognition by the T cell receptor (TCR) on cytotoxic T lymphocytes (CTL) of antigenic peptides bound to the class I major histocompatibility complex (MHC) molecule. Such tumor associated antigenic peptides are the focus of tumor immunotherapy with peptide vaccines. The strategy for obtaining an improved immune response often involves the design of modified tumor associated antigenic peptides. Such modifications aim at creating higher affinity and/or degradation resistant peptides and require precise structures of the peptide-MHC class I complex. In addition, the modified peptide must be cross-recognized by CTLs specific for the parental peptide, i.e. preserve the structure of the epitope. Detailed structural information on the modified peptide in complex with MHC is necessary for such predictions. In this thesis, the main focus is the development of theoretical in silico methods for prediction of both structure and cross-reactivity of peptide-MHC class I complexes. Applications of these methods in the context of immunotherapy are also presented. First, a theoretical method for structure prediction of peptide-MHC class I complexes is developed and validated. The approach is based on a molecular dynamics protocol to sample the conformational space of the peptide in its MHC environment. The sampled conformers are evaluated using conformational free energy calculations. The method, which is evaluated for its ability to reproduce 41 X-ray crystallographic structures of different peptide-MHC class I complexes, shows an overall prediction success of 83%. Importantly, in the clinically highly relevant subset of peptide-HLAA*0201 complexes, the prediction success is 100%. Based on these structure predictions, a theoretical approach for prediction of cross-reactivity is developed and validated. This method involves the generation of quantitative structure-activity relationships using three-dimensional molecular descriptors and a genetic neural network. The generated relationships are highly predictive as proved by high cross-validated correlation coefficients (0.78-0.79). Together, the here developed theoretical methods open the door for efficient rational design of improved peptides to be used in immunotherapy. Résumé La réponse immunitaire spécifique contre des tumeurs dépend de la reconnaissance par les récepteurs des cellules T CD8+ de peptides antigéniques présentés par les complexes majeurs d'histocompatibilité (CMH) de classe I. Ces peptides sont utilisés comme cible dans l'immunothérapie par vaccins peptidiques. Afin d'augmenter la réponse immunitaire, les peptides sont modifiés de façon à améliorer l'affinité et/ou la résistance à la dégradation. Ceci nécessite de connaître la structure tridimensionnelle des complexes peptide-CMH. De plus, les peptides modifiés doivent être reconnus par des cellules T spécifiques du peptide natif. La structure de l'épitope doit donc être préservée et des structures détaillées des complexes peptide-CMH sont nécessaires. Dans cette thèse, le thème central est le développement des méthodes computationnelles de prédiction des structures des complexes peptide-CMH classe I et de la reconnaissance croisée. Des applications de ces méthodes de prédiction à l'immunothérapie sont également présentées. Premièrement, une méthode théorique de prédiction des structures des complexes peptide-CMH classe I est développée et validée. Cette méthode est basée sur un échantillonnage de l'espace conformationnel du peptide dans le contexte du récepteur CMH classe I par dynamique moléculaire. Les conformations sont évaluées par leurs énergies libres conformationnelles. La méthode est validée par sa capacité à reproduire 41 structures des complexes peptide-CMH classe I obtenues par cristallographie aux rayons X. Le succès prédictif général est de 83%. Pour le sous-groupe HLA-A*0201 de complexes de grande importance pour l'immunothérapie, ce succès est de 100%. Deuxièmement, à partir de ces structures prédites in silico, une méthode théorique de prédiction de la reconnaissance croisée est développée et validée. Celle-ci consiste à générer des relations structure-activité quantitatives en utilisant des descripteurs moléculaires tridimensionnels et un réseau de neurones couplé à un algorithme génétique. Les relations générées montrent une capacité de prédiction remarquable avec des valeurs de coefficients de corrélation de validation croisée élevées (0.78-0.79). Les méthodes théoriques développées dans le cadre de cette thèse ouvrent la voie du design de vaccins peptidiques améliorés.

A cnidarian homologue of an insect gustatory receptor functions in developmental body patterning.

Insect gustatory and odorant receptors (GRs and ORs) form a superfamily of novel transmembrane proteins, which are expressed in chemosensory neurons that detect environmental stimuli. Here we identify homologues of GRs (Gustatory receptor-like (Grl) genes) in genomes across Protostomia, Deuterostomia and non-Bilateria. Surprisingly, two Grls in the cnidarian Nematostella vectensis, NvecGrl1 and NvecGrl2, are expressed early in development, in the blastula and gastrula, but not at later stages when a putative chemosensory organ forms. NvecGrl1 transcripts are detected around the aboral pole, considered the equivalent to the head-forming region of Bilateria. Morpholino-mediated knockdown of NvecGrl1 causes developmental patterning defects of this region, leading to animals lacking the apical sensory organ. A deuterostome Grl from the sea urchin Strongylocentrotus purpuratus displays similar patterns of developmental expression. These results reveal an early evolutionary origin of the insect chemosensory receptor family and raise the possibility that their ancestral role was in embryonic development.