Revisiting Shiller’s excess volatility hypothesis

One of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller’s excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is computed using a series of simple econometric models to forecast the present value. The results show that the excess volatility may not be exploited given the data available until time t. However, when learning is introduced empirically, the simple trading strategy may offer profits, but which are likely to disappear once transaction costs are considered.

A new look at the Heston characteristic function

A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function. This result is then applied to the volatility smile at extreme strikes and to the control of the moments of spot. We also give a factorization of the moment generating function as product of Bessel type factors, and an approximating sequence to the law of log-spot is deduced.

Computing Markov-Perfect Optimal Policies in Business-Cycle Models

Time-inconsistency is an essential feature of many policy problems (Kydland and Prescott, 1977). This paper presents and compares three methods for computing Markov-perfect optimal policies in stochastic nonlinear business cycle models. The methods considered include value function iteration, generalized Euler-equations, and parameterized shadow prices. In the context of a business cycle model in which a scal authority chooses government spending and income taxation optimally, while lacking the ability to commit, we show that the solutions obtained using value function iteration and generalized Euler equations are somewhat more accurate than that obtained using parameterized shadow prices. Among these three methods, we show that value function iteration can be applied easily, even to environments that include a risk-sensitive scal authority and/or inequality constraints on government spending. We show that the risk-sensitive scal authority lowers government spending and income-taxation, reducing the disincentive households face to accumulate wealth.

Revisiting Shiller’s excess volatility hypothesis

One of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller’s excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is computed using a series of simple econometric models to forecast the present value. The results show that the excess volatility may not be exploited given the data available until time t. However, when learning is introduced empirically, the simple trading strategy may offer profits, but which are likely to disappear once transaction costs are considered.

The role of fixed delays in neuronal rate models

Fixed delays in neuronal interactions arise through synaptic and dendritic processing. Previous work has shown that such delays, which play an important role in shaping the dynamics of networks of large numbers of spiking neurons with continuous synaptic kinetics, can be taken into account with a rate model through the addition of an explicit, fixed delay. Here we extend this work to account for arbitrary symmetric patterns of synaptic connectivity and generic nonlinear transfer functions. Specifically, we conduct a weakly nonlinear analysis of the dynamical states arising via primary instabilities of the stationary uniform state. In this way we determine analytically how the nature and stability of these states depend on the choice of transfer function and connectivity. While this dependence is, in general, nontrivial, we make use of the smallness of the ratio in the delay in neuronal interactions to the effective time constant of integration to arrive at two general observations of physiological relevance. These are: 1 - fast oscillations are always supercritical for realistic transfer functions. 2 - Traveling waves are preferred over standing waves given plausible patterns of local connectivity.

Complementary function and integrated wiring of the evolutionarily distinct Drosophila olfactory subsystems.

To sense myriad environmental odors, animals have evolved multiple, large families of divergent olfactory receptors. How and why distinct receptor repertoires and their associated circuits are functionally and anatomically integrated is essentially unknown. We have addressed these questions through comprehensive comparative analysis of the Drosophila olfactory subsystems that express the ionotropic receptors (IRs) and odorant receptors (ORs). We identify ligands for most IR neuron classes, revealing their specificity for select amines and acids, which complements the broader tuning of ORs for esters and alcohols. IR and OR sensory neurons exhibit glomerular convergence in segregated, although interconnected, zones of the primary olfactory center, but these circuits are extensively interdigitated in higher brain regions. Consistently, behavioral responses to odors arise from an interplay between IR- and OR-dependent pathways. We integrate knowledge on the different phylogenetic and developmental properties of these receptors and circuits to propose models for the functional contributions and evolution of these distinct olfactory subsystems.

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

State-dependent threshold STAR models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

EGFR signalling as a negative regulator of Notch1 gene transcription and function in proliferating keratinocytes and cancer.

The Notch1 gene has an important role in mammalian cell-fate decision and tumorigenesis. Upstream control mechanisms for transcription of this gene are still poorly understood. In a chemical genetics screen for small molecule activators of Notch signalling, we identified epidermal growth factor receptor (EGFR) as a key negative regulator of Notch1 gene expression in primary human keratinocytes, intact epidermis and skin squamous cell carcinomas (SCCs). The underlying mechanism for negative control of the Notch1 gene in human cells, as well as in a mouse model of EGFR-dependent skin carcinogenesis, involves transcriptional suppression of p53 by the EGFR effector c-Jun. Suppression of Notch signalling in cancer cells counteracts the differentiation-inducing effects of EGFR inhibitors while, at the same time, synergizing with these compounds in induction of apoptosis. Thus, our data reveal a key role of EGFR signalling in the negative regulation of Notch1 gene transcription, of potential relevance for combinatory approaches for cancer therapy.

Dietary fish oil is antihypertrophic but does not enhance postischemic myocardial function in female mice.

Clinically and experimentally, a case for omega-3 polyunsaturated fatty acid (PUFA) cardioprotection in females has not been clearly established. The goal of this study was to investigate whether dietary omega-3 PUFA supplementation could provide ischemic protection in female mice with an underlying genetic predisposition to cardiac hypertrophy. Mature female transgenic mice (TG) with cardiac-specific overexpression of angiotensinogen that develop normotensive cardiac hypertrophy and littermate wild-type (WT) mice were fed a fish oil-derived diet (FO) or PUFA-matched control diet (CTR) for 4 wk. Myocardial membrane lipids, ex vivo cardiac performance (intraventricular balloon) after global no-flow ischemia and reperfusion (15/30 min), and reperfusion arrhythmia incidence were assessed. FO diet suppressed cardiac growth by 5% and 10% in WT and TG, respectively (P < 0.001). The extent of mechanical recovery [rate-pressure product (RPP) = beats/min x mmHg] of FO-fed WT and TG hearts was similar (50 +/- 7% vs. 45 +/- 12%, 30 min reperfusion), and this was not significantly different from CTR-fed WT or TG. To evaluate whether systemic estrogen was masking a protective effect of the FO diet, the responses of ovariectomized (OVX) WT and TG mice to FO dietary intervention were assessed. The extent of mechanical recovery of FO-fed OVX WT and TG (RPP, 50 +/- 4% vs. 64 +/- 8%) was not enhanced compared with CTR-fed mice (RPP, 60 +/- 11% vs. 80 +/- 8%, P = 0.335). Dietary FO did not suppress the incidence of reperfusion arrhythmias in WT or TG hearts (ovary-intact mice or OVX). Our findings indicate a lack of cardioprotective effect of dietary FO in females, determined by assessment of mechanical and arrhythmic activity postischemia in a murine ex vivo heart model.

Association of CYP3A5 genotypes with blood pressure and renal function in African families.

OBJECTIVE: Renal cytochrome P450 3A5 (CYP3A5) activity has been associated with blood pressure and salt sensitivity in humans. We determined whether CYP3A5 polymorphisms are associated with ambulatory blood pressure (ABP) and with glomerular filtration rate (GFR) in African families. METHODS: Using a cross-sectional design, 375 individuals from 72 families, each with at least two hypertensive siblings, were recruited through a hypertension register in the Seychelles (Indian Ocean). We analyzed the association between the CYP3A5 alleles (*1, *3, *6 and *7) and ABP, GFR and renal sodium handling (fractional excretion of lithium), from pedigree data, allowing for other covariates and familial correlations. RESULTS: CYP3A5*1 carriers increased their daytime systolic and diastolic ABP with age (0.55 and 0.23 mmHg/year) more than non-carriers (0.21 and 0.04 mmHg/year). CYP3A5*1 had a significant main effect on daytime systolic/diastolic ABP [regression coefficient (SE): -29.6 (10.0)/-8.2 (4.1) mmHg, P = 0.003/0.045, respectively] and this effect was modified by age (CYP3A5*1 x age interactions, P = 0.017/0.018). For night-time ABP, the effect of CYP3A5*1 was modified by urinary sodium excretion, not by age. For renal function, CYP3A5*1 carriers had a 7.6(3.8) ml/min lower GFR (P = 0.045) than non-carriers. Proximal sodium reabsorption decreased with age in non-carriers, but not in CYP3A5*1 carriers (P for interaction = 0.02). CONCLUSIONS: These data demonstrate that CYP3A5 polymorphisms are associated with ambulatory BP, CYP3A5*1 carriers showing a higher age- and sodium- related increase in ABP than non-carriers. The age effect may be due, in part, to the action of CYP3A5 on renal sodium handling.

Thyroid function and prevalent and incident metabolic syndrome in older adults: the Health, Ageing and Body Composition Study.

OBJECTIVE: Both subclinical hypothyroidism and the metabolic syndrome have been associated with increased risk of coronary heart disease events. It is unknown whether the prevalence and incidence of metabolic syndrome is higher as TSH levels increase, or in individuals with subclinical hypothyroidism. We sought to determine the association between thyroid function and the prevalence and incidence of the metabolic syndrome in a cohort of older adults. DESIGN: Data were analysed from the Health, Ageing and Body Composition Study, a prospective cohort of 3075 community-dwelling US adults. PARTICIPANTS: Two thousand one hundred and nineteen participants with measured TSH and data on metabolic syndrome components were included in the analysis. MEASUREMENTS: TSH was measured by immunoassay. Metabolic syndrome was defined per revised ATP III criteria. RESULTS: At baseline, 684 participants met criteria for metabolic syndrome. At 6-year follow-up, incident metabolic syndrome developed in 239 individuals. In fully adjusted models, each unit increase in TSH was associated with a 3% increase in the odds of prevalent metabolic syndrome (OR, 1.03; 95% CI, 1.01-1.06; P = 0.02), and the association was stronger for TSH within the normal range (OR, 1.16; 95% CI, 1.03-1.30; P = 0.02). Subclinical hypothyroidism with a TSH > 10 mIU/l was significantly associated with increased odds of prevalent metabolic syndrome (OR, 2.3; 95% CI, 1.0-5.0; P = 0.04); the odds of incident MetS was similar (OR 2.2), but the confidence interval was wide (0.6-7.5). CONCLUSIONS: Higher TSH levels and subclinical hypothyroidism with a TSH > 10 mIU/l are associated with increased odds of prevalent but not incident metabolic syndrome.

The MIGCLIM R package - seamless integration of dispersal constraints into projections of species distribution models

The MIGCLIM R package is a function library for the open source R software that enables the implementation of species-specific dispersal constraints into projections of species distribution models under environmental change and/or landscape fragmentation scenarios. The model is based on a cellular automaton and the basic modeling unit is a cell that is inhabited or not. Model parameters include dispersal distance and kernel, long distance dispersal, barriers to dispersal, propagule production potential and habitat invasibility. The MIGCLIM R package has been designed to be highly flexible in the parameter values it accepts, and to offer good compatibility with existing species distribution modeling software. Possible applications include the projection of future species distributions under environmental change conditions and modeling the spread of invasive species.

Beclin 1 mitigates motor and neuropathological deficits in genetic mouse models of Machado-Joseph disease.

Machado-Joseph disease or spinocerebellar ataxia type 3, the most common dominantly-inherited spinocerebellar ataxia, results from translation of the polyglutamine-expanded and aggregation prone ataxin 3 protein. Clinical manifestations include cerebellar ataxia and pyramidal signs and there is no therapy to delay disease progression. Beclin 1, an autophagy-related protein and essential gene for cell survival, is decreased in several neurodegenerative disorders. This study aimed at evaluating if lentiviral-mediated beclin 1 overexpression would rescue motor and neuropathological impairments when administered to pre- and post-symptomatic lentiviral-based and transgenic mouse models of Machado-Joseph disease. Beclin 1-mediated significant improvements in motor coordination, balance and gait with beclin 1-treated mice equilibrating longer periods in the Rotarod and presenting longer and narrower footprints. Furthermore, in agreement with the improvements observed in motor function beclin 1 overexpression prevented neuronal dysfunction and neurodegeneration, decreasing formation of polyglutamine-expanded aggregates, preserving Purkinje cell arborization and immunoreactivity for neuronal markers. These data show that overexpression of beclin 1 in the mouse cerebellum is able to rescue and hinder the progression of motor deficits when administered to pre- and post-symptomatic stages of the disease.

Targeting aquaporin function: potent inhibition of aquaglyceroporin-3 by a gold-based compound.

Aquaporins (AQPs) are membrane channels that conduct water and small solutes such as glycerol and are involved in many physiological functions. Aquaporin-based modulator drugs are predicted to be of broad potential utility in the treatment of several diseases. Until today few AQP inhibitors have been described as suitable candidates for clinical development. Here we report on the potent inhibition of AQP3 channels by gold(III) complexes screened on human red blood cells (hRBC) and AQP3-transfected PC12 cells by a stopped-flow method. Among the various metal compounds tested, Auphen is the most active on AQP3 (IC(50) = 0.8±0.08 µM in hRBC). Interestingly, the compound poorly affects the water permeability of AQP1. The mechanism of gold inhibition is related to the ability of Au(III) to interact with sulphydryls groups of proteins such as the thiolates of cysteine residues. Additional DFT and modeling studies on possible gold compound/AQP adducts provide a tentative description of the system at a molecular level. The mapping of the periplasmic surface of an homology model of human AQP3 evidenced the thiol group of Cys40 as a likely candidate for binding to gold(III) complexes. Moreover, the investigation of non-covalent binding of Au complexes by docking approaches revealed their preferential binding to AQP3 with respect to AQP1. The high selectivity and low concentration dependent inhibitory effect of Auphen (in the nanomolar range) together with its high water solubility makes the compound a suitable drug lead for future in vivo studies. These results may present novel metal-based scaffolds for AQP drug development.