Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Variants in the promoter region of IKBL/NFKBIL1 gene may mark susceptibility to the development of chronic Chagas` cardiomyopathy among Trypanosoma cruzi-infected individuals

Chagas` disease, caused by Trypanosoma cruzi, is an inflammatory disorder leading to chronic Chagas cardiomyopathy (CCC). Only one third of T cruzi-infected individuals progress to CCC while the others are considered asymptomatic (ASY). The human inhibitory kappa B-like gene (KBLINFKBIL1), homologous to the I kappa B family of proteins that regulate the NF kappa B family of transcription factors, is suggested as a putative inhibitor of NFKB. We investigated two functional polymorphisms, -62A/T and -262A/G, in the promoter of IKBL by PCR-RFLP analysis in 169 patients with CCC and 76 ASY. Genotype distributions for both -62A/T and -262A/G differed between the CCC and ASY (X-2 = 7.3; P = 0.025 and X-2 = 6.8; P = 0.03, respectively). Subjects, homozygous for the -62A allele, had three-fold risk of developing CCC compared with those carrying the TT genotype (P = 0.0095; Odds Ratio [OR] = 2.9; [95% CI 1.2-7.3]). Similar trend was observed for the -262A homozygotes (P = 0.005; OR = 2.7 [95% CI 1.3-6.0]. The haplotype -262A -62A was prevalent in patients with CCC (40% versus 24%; OR 2.1 [95% C1 1.4-3.3j; Pc = 0.00 14). The I kappa BL locus itself or another critical gene in this region may confer susceptibility to the development of CCC. (C) 2007 Elsevier Ltd. All rights reserved.

Sociodemographic Correlates of Transitions from Alcohol Use to Disorders and Remission in the Sao Paulo Megacity Mental Health Survey, Brazil

Aims: To evaluate sociodemographic correlates associated with transitions from alcohol use to disorders and remission in a Brazilian population. Methods: Data are from a probabilistic, multi-stage clustered sample of adult household residents in the Sao Paulo Metropolitan Area. Alcohol use, regular use (at least 12 drinks/year), DSM-IV abuse and dependence and remission from alcohol use disorders (AUDs) were assessed with the World Mental Health version of the Composite International Diagnostic Interview. Age of onset (AOO) distributions of the cumulative lifetime probability of each alcohol use stage were prepared with data obtained from 5037 subjects. Correlates of transitions were obtained from a subsample of 2942 respondents, whose time-dependent sociodemographic data were available. Results: Lifetime prevalences were 85.8% for alcohol use, 56.2% for regular use, 10.6% for abuse and 3.6% for dependence; 73.4 and 58.8% of respondents with lifetime abuse and dependence, respectively, had remitted. The number of sociodemographic correlates decreased from alcohol use to disorders. All transitions across alcohol use stages up to abuse were consistently associated with male gender, younger cohorts and lower education. Importantly, low education was a correlate for developing AUD and not remitting from dependence. Early AOO of first alcohol use was associated with the transition of regular use to abuse. Conclusion: The present study demonstrates that specific correlates differently contribute throughout alcohol use trajectory in a Brazilian population. It also reinforces the need of preventive programs focused on early initiation of alcohol use and high-risk individuals, in order to minimize the progression to dependence and improve remission from AUD.

eNOS haplotypes affect the responsiveness to antihypertensive therapy in preeclampsia but not in gestational hypertension

Variations of the endothelial nitric oxide synthase (eNOS) gene have been associated with hypertensive disorders of pregnancy. We examined whether eNOS polymorphisms affect the therapeutic responses of women with gestational hypertension (GH) or preeclampsia (PE). We studied 304 hypertensive pregnant women (152 GH and 152 PE), who were stratified according to clinical and laboratorial parameters of therapeutic responsiveness. We compared the frequencies of three eNOS genetic polymorphisms (T-786C, Glu298Asp and b/a intron 4) in responsive and nonresponsive PE and GH patients. We found no significant differences in genotype or allele distributions when responsive and nonresponsive groups were compared (both PE or GH; all P > 0.05). However, the eNOS haplotype distribution differed in PE (but not in GH)-responsive and -nonresponsive groups (P = 0.0003). The `C-Glu-a` and `T-Asp-a` hapotypes were associated with responsiveness and nonresponsiveness to therapy, respectively (both P < 0.001), thus suggesting that eNOS haplotypes affect the responsiveness to antihypertensive therapy in PE. The Pharmacogenomics Journal (2010) 10, 40-45; doi: 10.1038/tpj.2009.38; published online 25 August 2009

Spontaneous Interblink Time Distributions in Patients with Graves` Orbitopathy and Normal Subjects

PURPOSE. To determine the shape of spontaneous interblink time interval distributions obtained in a long observation period in normal subjects and patients with Graves` orbitopathy. METHODS. The magnetic search coil technique was used to register the spontaneous blinking activity during 1 hour of video observation of two groups of 10 subjects each (normal controls aged 27-61 years, mean +/- SD = 46.0 +/- 13.6; patients with Graves` orbitopathy aged 33-61 years, mean +/- SD +/- 46.7 +/- 8.9). The spontaneous blink rate of each subject was calculated for the entire period of observation and for 56 five-minute bins. Histograms of the interblink time interval were plotted for each measurement of blink rate. RESULTS. Neither the overall mean blink rate (controls, 19.8 +/- 4.9; Graves`, 17.6 +/- 5.4) nor the interblink time (controls, 5.2 +/- 3.1, Graves`, 7.9 +/- 3.5) differed between the two groups. There was a large variation of both measurements when the 5-minute bins were considered. The interblink time distribution of all subjects was highly positively skewed when the 1-hour period was measured. A significant number of the 5-minute bin distributions deviated from the overall pattern and became symmetric. CONCLUSIONS. The normal blinking process is characterized by highly positively skewed interblink time distributions. This result means that most blinks have a short time interval, and occasionally a small number of blinks have long time intervals. The different patterns of distribution described in the early literature probably represent artifacts because of the small samples analyzed. (Invest Ophthalmol Vis Sci. 2011;52:3419-3424) DOI:10.1167/iovs.10-7060

Drosophila melanogaster lipins are tissue-regulated and developmentally regulated and present specific subcellular distributions

Lipins constitute a novel family of Mg2+-dependent phosphatidate phosphatases that catalyze the dephosphorylation of phosphatidic acid to yield diacylglycerol, an important intermediate in lipid metabolism and cell signaling. Whereas a single lipin is detected in less complex organisms, in mammals there are distinct lipin isoforms and paralogs that are differentially expressed among tissues. Compatible with organism tissue complexity, we show that the single Drosophila Lpin1 ortholog (CG8709, here named DmLpin) expresses at least three isoforms (DmLpinA, DmLpinK and DmLpinJ) in a temporal and spatially regulated manner. The highest levels of lipin in the fat body, where DmLpinA and DmLpinK are expressed, correlate with the highest levels of triacylglycerol (TAG) measured in this tissue. DmLpinK is the most abundant isoform in the central nervous system, where TAG levels are significantly lower than in the fat body. In the testis, where TAG levels are even lower, DmLpinJ is the predominant isoform. Together, these data suggest that DmLpinA might be the isoform that is mainly involved in TAG production, and that DmLpinK and DmLpinJ could perform other cellular functions. In addition, we demonstrate by immunofluorescence that lipins are most strongly labeled in the perinuclear region of the fat body and ventral ganglion cells. In visceral muscles of the larval midgut and adult testis, lipins present a sarcomeric distribution. In the ovary chamber, the lipin signal is concentrated in the internal rim of the ring canal. These specific subcellular localizations of the Drosophila lipins provide the basis for future investigations on putative novel cellular functions of this protein family.

Quasi-stationarity in populations that are subject to large-scale mortality or emigration

We shall examine a model, first studied by Brockwell et al. [Adv Appl Probab 14 (1982) 709.], which can be used to describe the longterm behaviour of populations that are subject to catastrophic mortality or emigration events. Populations can suffer dramatic declines when disease, such as an introduced virus, affects the population, or when food shortages occur, due to overgrazing or fluctuations in rainfall. However, perhaps surprisingly, such populations can survive for long periods and, although they may eventually become extinct, they can exhibit an apparently stationary regime. It is useful to be able to model this behaviour. This is particularly true of the ecological examples that motivated the present study, since, in order to properly manage these populations, it is necessary to be able to predict persistence times and to estimate the conditional probability distribution of population size. We shall see that although our model predicts eventual extinction, the time till extinction can be long and the stationary exhibited by these populations over any reasonable time scale can be explained using a quasistationary distribution. (C) 2001 Elsevier Science Ltd. All rights reserved.

Microtensile vs Microshear Bond Strength of All-in-One Adhesives to Unground Enamel

Purpose To determine the bond strength to unground enamel of all in one adhesives in comparison with an etch and rinse system and to compare the reliability of microtensile and microshear methods in providing such measurements Materials and Methods The bonding procedure was performed on enamel of 64 extracted molars The tested all in one adhesives were Bond Force (Tokuyama), AdheSE One (Ivoclar Vivadent) and Xeno V (Dentsply) Prime&Bond NT (Dentsply) served as control Microtensile specimens were obtained from 4 teeth per group Twelve teeth per group were used for microshear testing Microtensile specimens that failed prior to testing were included in statistical calculations, they were assigned the lowest value measured in the respective group Failure modes were observed under light microscope and classified (cohesive within substrates, adhesive mixed) Statistically significant differences in bond strength were assessed among the adhesives within each testing method and between microshear and microtensile data for each adhesive Failure mode distributions were compared using the chi square test Results All in-one adhesives had similar microshear and microtensile bond strengths In both testing methods, the etch and rinse system achieved the strongest bond For all adhesives significantly higher bond strengths were measured with the microshear test In microtensile testing specimens bonded with the etch and rinse adhesive exhibited a significantly different distribution of failure modes The coefficients of variation were extremely high for microtensile bond strength data, particularly of all in one adhesives Conclusion The adhesive potential to intact enamel of recently introduced all in-one adhesives was inferior to that of an etch and rinse system When testing bond strength to enamel of all in one adhesives, microshear testing may be a more accurate method than microtensile

Models involving two inverse Weibull distributions

In this paper, we look at three models (mixture, competing risk and multiplicative) involving two inverse Weibull distributions. We study the shapes of the density and failure-rate functions and discuss graphical methods to determine if a given data set can be modelled by one of these models. (C) 2001 Elsevier Science Ltd. All rights reserved.

Estimating economic relationships subject to firm- and time-varying equality and inequality constraints

Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time- and firm-varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory, including observation-varying symmetry and concavity constraints. Results are presented in the form of characteristics of the estimated posterior distributions of functions of the parameters. Copyright (C) 2001 John Wiley Sons, Ltd.

A compartmental model of hepatic disposition kinetics: 1. Model development and application to linear kinetics

The conventional convection-dispersion model is widely used to interrelate hepatic availability (F) and clearance (Cl) with the morphology and physiology of the liver and to predict effects such as changes in liver blood flow on F and Cl. The extension of this model to include nonlinear kinetics and zonal heterogeneity of the liver is not straightforward and requires numerical solution of partial differential equation, which is not available in standard nonlinear regression analysis software. In this paper, we describe an alternative compartmental model representation of hepatic disposition (including elimination). The model allows the use of standard software for data analysis and accurately describes the outflow concentration-time profile for a vascular marker after bolus injection into the liver. In an evaluation of a number of different compartmental models, the most accurate model required eight vascular compartments, two of them with back mixing. In addition, the model includes two adjacent secondary vascular compartments to describe the tail section of the concentration-time profile for a reference marker. The model has the added flexibility of being easy to modify to model various enzyme distributions and nonlinear elimination. Model predictions of F, MTT, CV2, and concentration-time profile as well as parameter estimates for experimental data of an eliminated solute (palmitate) are comparable to those for the extended convection-dispersion model.

Calculation of resonances and product state distributions for the unimolecular dissociation of H2S

Resonance phenomena associated with the unimolecular dissociation of H2S --> SH + H have been investigated quantum mechanically by the Lanczos homogeneous filter diagonalization method using a newly developed potential energy surface (J. Chem. Phys. 2001, 114, 320). Resonance energies, widths (rates), and product state distributions have been obtained. Both dissociation rates and product state distributions of SH show, strong fluctuations, indicating that the dissociation of H2S is essentially irregular. Statistical analysis of neighboring level spacing and width distributions also confirms this behavior. The dissociation rates and product state distributions are compared to the predictions of quantum phase space theory.

Chebyshev real wave packet propagation: H+O-2 (J=0) state-to-state reactive scattering calculations

In this paper we explore the relative performance of two recently developed wave packet methodologies for reactive scattering, namely the real wave packet Chebyshev domain propagation of Gray and Balint-Kurti [J. Chem. Phys. 108, 950 (1998)] and the Lanczos subspace wave packet approach of Smith [J. Chem. Phys. 116, 2354 (2002); Chem. Phys. Lett. 336, 149 (2001)]. In the former method, a modified Schrodinger equation is employed to propagate the real part of the wave packet via the well-known Chebyshev iteration. While the time-dependent wave packet from the modified Schrodinger equation is different from that obtained using the standard Schrodinger equation, time-to-energy Fourier transformation yields wave functions which differ only trivially by normalization. In the Lanczos subspace approach the linear system of equations defining the action of the Green operator may be solved via either time-dependent or time-independent methods, both of which are extremely efficient due to the simple tridiagonal structure of the Hamiltonian in the Lanczos representation. The two different wave packet methods are applied to three dimensional reactive scattering of H+O-2 (total J=0). State-to-state reaction probabilities, product state distributions, as well as initial-state-resolved cumulative reaction probabilities are examined. (C) 2002 American Institute of Physics.

Applying discrete element modelling to vertical and horizontal shaft impact crushers

The PFC3D (particle flow code) that models the movement and interaction of particles by the DEM techniques was employed to simulate the particle movement and to calculate the velocity and energy distribution of collision in two types of impact crusher: the Canica vertical shaft crusher and the BJD horizontal shaft swing hammer mill. The distribution of collision energies was then converted into a product size distribution for a particular ore type using JKMRC impact breakage test data. Experimental data of the Canica VSI crusher treating quarry and the BJD hammer mill treating coal were used to verify the DEM simulation results. Upon the DEM procedures being validated, a detailed simulation study was conducted to investigate the effects of the machine design and operational conditions on velocity and energy distributions of collision inside the milling chamber and on the particle breakage behaviour. (C) 2003 Elsevier Ltd. All rights reserved.

Epitope-blocking enzyme-linked immunosorbent assays for the detection of serum antibodies to West Nile virus in multiple avian species

We report the development of epitope-blocking enzyme-linked immunosorbent assays (ELISAs) for the rapid detection of serum antibodies to West Nile virus (WNV) in taxonomically diverse North American avian species. A panel of flavivirus-specific monoclonal antibodies (MAbs) was tested in blocking assays with serum samples from WNV-infected chickens and crows. Selected MAbs were further tested against serum samples from birds that represented 16 species and 10 families. Serum samples were collected from birds infected with WW or Saint Louis encephalitis virus (SLEV) and from noninfected control birds. Serum samples from SLEV-infected birds were included in these experiments because WNV and SLEV are closely related antigenically, are maintained in similar transmission cycles, and have overlapping geographic distributions. The ELISA that utilized MAb 3.11126 potentially discriminated between WW and SLEV infections, as all serum samples from WNV-infected birds and none from SLEV-infected birds were positive in this assay. Assays with MAbs 2132 and 6B6C-1 readily detected serum antibodies in all birds infected with WNV and SLEV, respectively, and in most birds infected with the other virus. Two other MAbs partially discriminated between infections with these two viruses. Serum samples from most WNV-infected birds but no SLEV-infected birds were positive with MAb 3.676, while almost all serum samples from SLEV-infected birds but few from WNV-infected birds were positive with MAb 6B5A-5. The blocking assays reported here provide a rapid, reliable, and inexpensive diagnostic and surveillance technique to monitor WNV activity in multiple avian species.