Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Real estate markets and the macroeconomy: a dynamic coherence framework

This paper analyzes the dynamic interactions between real estate markets, in the US and the UK and their macroeconomic environments. We apply a new approach based on a dynamic coherence function (DCF) to study these interactions bringing together different real estate markets (the securitized market, the commercial market and the residential market). The results suggest that there is a common trend that drives the different real estate markets in the UK and the US, particularly in the long run, since they have a similar shape of the DCF. We also find that, in the US, wealth and housing expenditure channels are very conductive during real estate crises. However, in the UK, only the wealth effect is significant as a transmission channel during real estate market downturns. In addition, real estate markets in the UK and the US react differently to institutional shocks. This brings some insights on the conduct of monetary policy in order to avoid disturbances in real estate markets.

Dual technological development in Botswana agriculture: A Stochastic input distance function approach

To improve the welfare of the rural poor and keep them in the countryside, the government of Botswana has been spending 40% of the value of agricultural GDP on agricultural support services. But can investment make smallholder agriculture prosperous in such adverse conditions? This paper derives an answer by applying a two-output six-input stochastic translog distance function, with inefficiency effects and biased technical change to panel data for the 18 districts and the commercial agricultural sector, from 1979 to 1996 This model demonstrates that herds are the most important input, followed by draft power. land and seeds. Multilateral indices for technical change, technical efficiency and total factor productivity (TFP) show that the technology level of the commercial agricultural sector is more than six times that of traditional agriculture and that the gap has been increasing, due to technological regression in traditional agriculture and modest progress in commercial agriculture. Since the levels of efficiency are similar, the same patient is repeated by the TFP indices. This result highlights the policy dilemma of the trade-off between efficiency and equity objectives.

A novel variant on chromosome 7q22.3 associated with mean platelet volume, counts, and function

Mean platelet volume (MPV) and platelet count (PLT) are highly heritable and tightly regulated traits. We performed a genome-wide association study for MPV and identified one SNP, rs342293, as having highly significant and reproducible association with MPV (per-G allele effect 0.016 +/- 0.001 log fL; P < 1.08 x 10(-24)) and PLT (per-G effect -4.55 +/- 0.80 10(9)/L; P < 7.19 x 10(-8)) in 8586 healthy subjects. Whole-genome expression analysis in the 1-MB region showed a significant association with platelet transcript levels for PIK3CG (n = 35; P = .047). The G allele at rs342293 was also associated with decreased binding of annexin V to platelets activated with collagen-related peptide (n = 84; P = .003). The region 7q22.3 identifies the first QTL influencing platelet volume, counts, and function in healthy subjects. Notably, the association signal maps to a chromosome region implicated in myeloid malignancies, indicating this site as an important regulatory site for hematopoiesis. The identification of loci regulating MPV by this and other studies will increase our insight in the processes of megakaryopoiesis and proplatelet formation, and it may aid the identification of genes that are somatically mutated in essential thrombocytosis. (Blood. 2009; 113: 3831-3837)

Overproduction, purification and preliminary X-ray diffraction analysis of YncE, an iron-regulated Sec-dependent periplasmic protein from Escherichia coli

The yncE gene of Escherichia coli encodes a predicted periplasmic protein of unknown function. The gene is de-repressed under iron restriction through the action of the global iron regulator Fur. This suggests a role in iron acquisition, which is supported by the presence of the adjacent yncD gene encoding a potential TonB-dependent outer-membrane transporter. Here, the preliminary crystallographic structure of YncE is reported, revealing that it consists of a seven-bladed beta-propeller which resembles the corresponding domain of the `surface-layer protein' of Methanosarcina mazei. A full structure determination is under way in order to provide insight into the function of this protein.

Mutational activation of niche-specific genes provides insight into regulatory networks and bacterial function in a complex environment

The genome of the plant-colonizing bacterium Pseudomonas fluorescens SBW25 harbors a subset of genes that are expressed specifically on plant surfaces. The function of these genes is central to the ecological success of SBW25, but their study poses significant challenges because no phenotype is discernable in vitro. Here, we describe a genetic strategy with general utility that combines suppressor analysis with IVET (SPyVET) and provides a means of identifying regulators of niche-specific genes. Central to this strategy are strains carrying operon fusions between plant environment-induced loci (EIL) and promoterless 'dapB. These strains are prototrophic in the plant environment but auxotrophic on laboratory minimal medium. Regulatory elements were identified by transposon mutagenesis and selection for prototrophs on minimal medium. Approximately 106 mutants were screened for each of 27 strains carrying 'dapB fusions to plant EIL and the insertion point for the transposon determined in approximately 2,000 putative regulator mutants. Regulators were functionally characterized and used to provide insight into EIL phenotypes. For one strain carrying a fusion to the cellulose-encoding wss operon, five different regulators were identified including a diguanylate cyclase, the flagella activator, FleQ, and alginate activator, AmrZ (AlgZ). Further rounds of suppressor analysis, possible by virtue of the SPyVET strategy, revealed an additional two regulators including the activator AlgR, and allowed the regulatory connections to be determined.

Models of shoot apical meristem function

In this review we describe how concepts of shoot apical meristem function have developed over time. The role of the scientist is emphasized, as proposer, receiver and evaluator of ideas about the shoot apical meristem. Models have become increasingly popular over the last 250 years, and we consider their role. They provide valuable grounding for the development of hypotheses, but in addition they have a strong human element and their uptake relies on various degrees of persuasion. The most influential models are probably those that most data support, consolidating them as an insight into reality; but they also work by altering how we see meristems, re-directing us to influence the data we collect and the questions we consider meaningful.

Mapping CD55 function: the structure of two pathogen-binding domains at 1.7 A

Decay-accelerating factor (CD55), a regulator of the alternative and classical pathways of complement activation, is expressed on all serum-exposed cells. It is used by pathogens, including many enteroviruses and uropathogenic Escherichia coli, as a receptor prior to infection. We describe the x-ray structure of a pathogen-binding fragment of human CD55 at 1.7 A resolution containing two of the three domains required for regulation of human complement. We have used mutagenesis to map biological functions onto the molecule; decay-accelerating activity maps to a single face of the molecule, whereas bacterial and viral pathogens recognize a variety of different sites on CD55.

A pressure-jump time-resolved x-ray diffraction study of cubic-cubic transition kinetics in monoolein

In the past two decades, the geometric pathways involved in the transformations between inverse bicontinuous cubic phases in amphiphilic systems have been extensively theoretically modeled. However, little experimental data exists on the cubic-cubic transformation in pure lipid systems. We have used pressure-jump time-resolved X-ray diffraction to investigate the transition between the gyroid Q(II)(G) and double-diamond Q(II)(D) phases in mixtures of 1-monoolein in 30 wt% water. We find for this system that the cubic-cubic transition occurs without any detectable intermediate structures. In addition, we have determined the kinetics of the transition, in both the forward and reverse directions, as a function of pressure-jump amplitude, temperature, and water content. A recently developed model allows (at least in principle) the calculation of the activation energy for lipid phase transitions from such data. The analysis is applicable only if kinetic reproducibility is achieved, at least within one sample, and achievement of such kinetic reproducibility is shown here, by carrying out prolonged pressure-cycling. The rate of transformation shows clear and consistent trends with pressure-jump amplitude, temperature, and water content, all of which are shown to be in agreement with the effect of the shift in the position of the cubic-cubic phase boundary following a change in the thermodynamic parameters.

Probability density function estimation using orthogonal forward regression

Using the classical Parzen window estimate as the target function, the kernel density estimation is formulated as a regression problem and the orthogonal forward regression technique is adopted to construct sparse kernel density estimates. The proposed algorithm incrementally minimises a leave-one-out test error score to select a sparse kernel model, and a local regularisation method is incorporated into the density construction process to further enforce sparsity. The kernel weights are finally updated using the multiplicative nonnegative quadratic programming algorithm, which has the ability to reduce the model size further. Except for the kernel width, the proposed algorithm has no other parameters that need tuning, and the user is not required to specify any additional criterion to terminate the density construction procedure. Two examples are used to demonstrate the ability of this regression-based approach to effectively construct a sparse kernel density estimate with comparable accuracy to that of the full-sample optimised Parzen window density estimate.

Fully complex-valued radial basis function networks for orthogonal least squares regression

We consider a fully complex-valued radial basis function (RBF) network for regression application. The locally regularised orthogonal least squares (LROLS) algorithm with the D-optimality experimental design, originally derived for constructing parsimonious real-valued RBF network models, is extended to the fully complex-valued RBF network. Like its real-valued counterpart, the proposed algorithm aims to achieve maximised model robustness and sparsity by combining two effective and complementary approaches. The LROLS algorithm alone is capable of producing a very parsimonious model with excellent generalisation performance while the D-optimality design criterion further enhances the model efficiency and robustness. By specifying an appropriate weighting for the D-optimality cost in the combined model selecting criterion, the entire model construction procedure becomes automatic. An example of identifying a complex-valued nonlinear channel is used to illustrate the regression application of the proposed fully complex-valued RBF network.

Grey-box radial basis function modelling: the art of incorporating prior knowledge

A basic principle in data modelling is to incorporate available a priori information regarding the underlying data generating mechanism into the modelling process. We adopt this principle and consider grey-box radial basis function (RBF) modelling capable of incorporating prior knowledge. Specifically, we show how to explicitly incorporate the two types of prior knowledge: the underlying data generating mechanism exhibits known symmetric property and the underlying process obeys a set of given boundary value constraints. The class of orthogonal least squares regression algorithms can readily be applied to construct parsimonious grey-box RBF models with enhanced generalisation capability.