Dois ensaios em finanças

In the first chapter, we test some stochastic volatility models using options on the S&P 500 index. First, we demonstrate the presence of a short time-scale, on the order of days, and a long time-scale, on the order of months, in the S&P 500 volatility process using the empirical structure function, or variogram. This result is consistent with findings of previous studies. The main contribution of our paper is to estimate the two time-scales in the volatility process simultaneously by using nonlinear weighted least-squares technique. To test the statistical significance of the rates of mean-reversion, we bootstrap pairs of residuals using the circular block bootstrap of Politis and Romano (1992). We choose the block-length according to the automatic procedure of Politis and White (2004). After that, we calculate a first-order correction to the Black-Scholes prices using three different first-order corrections: (i) a fast time scale correction; (ii) a slow time scale correction; and (iii) a multiscale (fast and slow) correction. To test the ability of our model to price options, we simulate options prices using five different specifications for the rates or mean-reversion. We did not find any evidence that these asymptotic models perform better, in terms of RMSE, than the Black-Scholes model. In the second chapter, we use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month.

Probing the S100 protein family through genomic and functional analysis

The EF-hand superfamily of calcium binding proteins includes the S100, calcium binding protein, and troponin subfamilies. This study represents a genome, structure, and expression analysis of the S100 protein family, in mouse, human, and rat. We confirm the high level of conservation between mammalian sequences but show that four members, including S100A12, are present only in the human genome. We describe three new members of the S100 family in the three species and their locations within the S100 genomic clusters and propose a revised nomenclature and phylogenetic relationship between members of the EF-hand superfamily. Two of the three new genes were induced in bone-marrow-derived macrophages activated with bacterial lipopolysaccharide, suggesting a role in inflammation. Normal human and murine tissue distribution profiles indicate that some members of the family are expressed in a specific manner, whereas others are more ubiquitous. Structure-function analysis of the chemotactic properties of murine S100A8 and human S100A12, particularly within the active hinge domain, suggests that the human protein is the functional homolog of the murine protein. Strong similarities between the promoter regions of human S100A12 and murine S100A8 support this possibility. This study provides insights into the possible processes of evolution of the EF-hand protein superfamily. Evolution of the S100 proteins appears to have occurred in a modular fashion, also seen in other protein families such as the C2H2-type zinc-finger family. (C) 2004 Elsevier Inc. All rights reserved.

Studies on DNA methylation and mechanisms of hypomethylation

The methylation of cytosinc residues in DNA is thought to play an important role in the regulation of gene expression, with active genes generally being hypomethylated. With this in mind peptides were synthcsised to mimic the cytosine-5 methylation activity carried out by DNA mcthylase, which however, showed no ability to carry out this function. The imidazotetrazinoncs are a novel group of antitumour agents which have demonstrated good activity against a range of murinc tumours and human tumour xenografts, and hypomethylation of DNA has been implicated in the mechanism of action. Studies have been conducted on the mechanism by which such agents cause hypomethylation, using DNA methylase partially purified from murine L1210 leukaemia cells. Unmodified calf thymus DNA does not inhibit the transfer of methyl groups from SAM to M.lysodeikticus DNA by partially purified DNA methylase. However, if the calf thymus DNA is modified by alkylating agents such as imida-zotetrazinones or nitrosoureas, the treated DNA becomes an inhibitor of the methylation reaction. This has been correlated with the induction of DNA damage, such as single strand breaks, since X-ray treated DNA and deoxyribonuclease treatment produces a similar effect. The mechanism of inhibition by the drug treated or damaged DNA is thought to occur by binding of the enzyme to an increased concentration of non-substrate DNA, presumably by the occurrence of single strand breaks, since neither sonication nor treatment with the restriction enzyme Mspl caused an inhibition. Attempts were made to elucidate the strict structure activity relationship for antitumour activity observed amongst the imidazotctrazinones. The transfection of a murine colon adcnocarcinoma cell line (MAC 13) with DNA extracted from GM892 or Raji cells previously treated with either the methyl (temozolomide) or ethyl (ethazolastone) imidazotetrazinone was performed. X-irradiated DNA did not cause any suppression of cell growth, suggesting that it was not due to physical damage. Transfection of MAC 13 cells with DNA extracted from GM892 cells, was more effective at inhibiting growth than DNA from Raji cells. Temozolomide treated cellular DNA was a more potent growth inhibitor than that from ethazolastone treated cells. For both agents the growth inhibitory effect was most marked with DNA extracted 6h after drug addition, and after 24h no growth suppression was observed. This suggested that the growth inhibitory effect is due to a repairable lesion. .The methylation of M.lysodeikticus DNA by DNA methylase is inhibited potently and specifically by both hereto and homoribo and dcoxyri-bopolynucleotides containing guanine residues. The inhibitory effect is unaffected by chain length or sugar residue, but is abolished when the O-6 residue of guanine is substituted as in poly d(OGG)2o. Potent inhibition is also shown by polyinosinic and polyxanthylic acids but not by polyadenylic acid or by heteropolymers containing adcnine and thymine. These results suggest that the 6 position of the purine nucleus is important in binding of the DNA methylase to particular regions of the DNA and that the hydrogen bonding properties of this group are important in enzyme recognition. This was confirmed using synthetic oligonucleotides as substrates for DNA methylase. Enzymatic methylation of cytosine is completely suppressed, when O6 methylguanine replaces guanine in CG sites.

Toward the prediction of class I and II mouse major histocompatibility complex-peptide-binding affinity:in silico bioinformatic step-by-step guide using quantitative structure-activity relationships

Quantitative structure-activity relationship (QSAR) analysis is a cornerstone of modern informatics. Predictive computational models of peptide-major histocompatibility complex (MHC)-binding affinity based on QSAR technology have now become important components of modern computational immunovaccinology. Historically, such approaches have been built around semiqualitative, classification methods, but these are now giving way to quantitative regression methods. We review three methods--a 2D-QSAR additive-partial least squares (PLS) and a 3D-QSAR comparative molecular similarity index analysis (CoMSIA) method--which can identify the sequence dependence of peptide-binding specificity for various class I MHC alleles from the reported binding affinities (IC50) of peptide sets. The third method is an iterative self-consistent (ISC) PLS-based additive method, which is a recently developed extension to the additive method for the affinity prediction of class II peptides. The QSAR methods presented here have established themselves as immunoinformatic techniques complementary to existing methodology, useful in the quantitative prediction of binding affinity: current methods for the in silico identification of T-cell epitopes (which form the basis of many vaccines, diagnostics, and reagents) rely on the accurate computational prediction of peptide-MHC affinity. We have reviewed various human and mouse class I and class II allele models. Studied alleles comprise HLA-A*0101, HLA-A*0201, HLA-A*0202, HLA-A*0203, HLA-A*0206, HLA-A*0301, HLA-A*1101, HLA-A*3101, HLA-A*6801, HLA-A*6802, HLA-B*3501, H2-K(k), H2-K(b), H2-D(b) HLA-DRB1*0101, HLA-DRB1*0401, HLA-DRB1*0701, I-A(b), I-A(d), I-A(k), I-A(S), I-E(d), and I-E(k). In this chapter we show a step-by-step guide into predicting the reliability and the resulting models to represent an advance on existing methods. The peptides used in this study are available from the AntiJen database (http://www.jenner.ac.uk/AntiJen). The PLS method is available commercially in the SYBYL molecular modeling software package. The resulting models, which can be used for accurate T-cell epitope prediction, will be made are freely available online at the URL http://www.jenner.ac.uk/MHCPred.

Relación entre atrofia cortical difusa y desempeño cognitivo : estudio en población mayor de 60 años en un hospital universitario en la ciudad de Bogotá

El presente trabajo tuvo como objetivo evaluar la existencia de la relación entre la atrofia cortical difusa objetivada por neuroimagenes cerebrales y desempeños cognitivos determinados mediante la aplicación de pruebas neuropsicológicas que evalúan memoria de trabajo, razonamiento simbólico verbal y memoria anterógrada declarativa. Participaron 114 sujetos reclutados en el Hospital Universitario Mayor Méderi de la ciudad de Bogotá mediante muestreo de conveniencia. Los resultados arrojaron diferencias significativas entre los dos grupos (pacientes con diagnóstico de atrofia cortical difusa y pacientes con neuroimagenes interpretadas como dentro de los límites normales) en todas las pruebas neuropsicológicas aplicadas. Respecto a las variables demográficas se pudo observar que el grado de escolaridad contribuye como factor neuroprotector de un posible deterioro cognitivo. Tales hallazgos son importantes para determinar protocoles tempranos de detección de posible instalación de enfermedades neurodegenerativas primarias.

Synthesis And Antiproliferative Activity Of 8-hydroxyquinoline Derivatives Containing A 1,2,3-triazole Moiety.

Twelve novel 8-hydroxyquinoline derivatives were synthesized with good yields by performing copper-catalyzed Huisgen 1,3-dipolar cycloaddition (click reaction) between an 8-O-alkylated-quinoline containing a terminal alkyne and various aromatic or protected sugar azides. These compounds were evaluated in vitro for their antiproliferative activity on various cancer cell types. Protected sugar derivative 16 was the most active compound in the series, exhibiting potent antiproliferative activity and high selectivity toward ovarian cancer cells (OVCAR-03, GI50 < 0.25 μg mL(-1)); this derivative was more active than the reference drug doxorubicin (OVCAR-03, GI50 = 0.43 μg mL(-1)). In structure-activity relationship (SAR) studies, the physico-chemical parameters of the compounds were evaluated and docking calculations were performed for the α-glucosidase active site to predict the possible mechanism of action of this series of compounds.

Carotenoids Are Effective Inhibitors Of In Vitro Hemolysis Of Human Erythrocytes, As Determined By A Practical And Optimized Cellular Antioxidant Assay.

β-Carotene, zeaxanthin, lutein, β-cryptoxanthin, and lycopene are liposoluble pigments widely distributed in vegetables and fruits and, after ingestion, these compounds are usually detected in human blood plasma. In this study, we evaluated their potential to inhibit hemolysis of human erythrocytes, as mediated by the toxicity of peroxyl radicals (ROO•). Thus, 2,2'-azobis (2-methylpropionamidine) dihydrochloride (AAPH) was used as ROO• generator and the hemolysis assay was carried out in experimental conditions optimized by response surface methodology, and successfully adapted to microplate assay. The optimized conditions were verified at 30 × 10(6) cells/mL, 17 mM of AAPH for 3 h, at which 48 ± 5% of hemolysis was achieved in freshly isolated erythrocytes. Among the tested carotenoids, lycopene (IC(50) = 0.24 ± 0.05 μM) was the most efficient to prevent the hemolysis, followed by β-carotene (0.32 ± 0.02 μM), lutein (0.38 ± 0.02 μM), and zeaxanthin (0.43 ± 0.02 μM). These carotenoids were at least 5 times more effective than quercetin, trolox, and ascorbic acid (positive controls). β-Cryptoxanthin did not present any erythroprotective effect, but rather induced a hemolytic effect at the highest tested concentration (3 μM). These results suggest that selected carotenoids may have potential to act as important erythroprotective agents by preventing ROO•-induced toxicity in human erythrocytes.

Solid Lipid Nanoparticles As Nucleic Acid Delivery System: Properties And Molecular Mechanisms.

Solid lipid nanoparticles (SLNs) have been proposed in the 1990s as appropriate drug delivery systems, and ever since they have been applied in a wide variety of cosmetic and pharmaceutical applications. In addition, SLNs are considered suitable alternatives as carriers in gene delivery. Although important advances have been made in this particular field, fundamental knowledge of the underlying mechanisms of SLN-mediated gene delivery is conspicuously lacking, an imperative requirement in efforts aimed at further improving their efficiency. Here, we address recent advances in the use of SLNs as platform for delivery of nucleic acids as therapeutic agents. In addition, we will discuss available technology for conveniently producing SLNs. In particular, we will focus on underlying molecular mechanisms by which SLNs and nucleic acids assemble into complexes and how the nucleic acid cargo may be released intracellularly. In discussing underlying mechanisms, we will, when appropriate, refer to analogous studies carried out with systems based on cationic lipids and polymers, that have proven useful in the assessment of structure-function relationships. Finally, we will give suggestions for improving SLN-based gene delivery systems, by pointing to alternative methods for SLNplex assembly, focusing on the realization of a sustained nucleic acid release.

Cheaper Faster Drug Development Validated By The Repositioning Of Drugs Against Neglected Tropical Diseases.

There is an urgent need to make drug discovery cheaper and faster. This will enable the development of treatments for diseases currently neglected for economic reasons, such as tropical and orphan diseases, and generally increase the supply of new drugs. Here, we report the Robot Scientist 'Eve' designed to make drug discovery more economical. A Robot Scientist is a laboratory automation system that uses artificial intelligence (AI) techniques to discover scientific knowledge through cycles of experimentation. Eve integrates and automates library-screening, hit-confirmation, and lead generation through cycles of quantitative structure activity relationship learning and testing. Using econometric modelling we demonstrate that the use of AI to select compounds economically outperforms standard drug screening. For further efficiency Eve uses a standardized form of assay to compute Boolean functions of compound properties. These assays can be quickly and cheaply engineered using synthetic biology, enabling more targets to be assayed for a given budget. Eve has repositioned several drugs against specific targets in parasites that cause tropical diseases. One validated discovery is that the anti-cancer compound TNP-470 is a potent inhibitor of dihydrofolate reductase from the malaria-causing parasite Plasmodium vivax.

Cromatografia de afinidade por íons metálicos imobilizados (IMAC) de biomoléculas: aspectos fundamentais e aplicações tecnológicas

Immobilized Metal Ion Affinity Cromatography - IMAC - is a group-specific based adsorption applied to the purification and structure-function studies of proteins and nucleic acids. The adsorption is based on coordination between a metal ion chelated on the surface of a solid matrix and electron donor groups at the surface of the biomolecule. IMAC is a highly selective, low cost, and easily scaled-up technique being used in research and commercial operations. A separation process can be designed for a specific molecule by just selecting an appropriate metal ion, chelating agent, and operational conditions such as pH, ionic strength, and buffer type.

Desenhos de estruturas químicas correlacionam-se com propriedades biológicas: MIA-QSAR

Descriptors in multivariate image analysis applied to quantitative structure-activity relationship (MIA-QSAR) are pixels of bidimensional images of chemical structures (drawings), which were used to model the trichomonicidal activities of a series of benzimidazole derivatives. The MIA-QSAR model showed good predictive ability, with r², q² and r val. ext.² of 0.853, 0.519 and 0.778, respectively, which are comparable to the best values obtained by CoMFA e CoMSIA for the same series. A MIA-based analysis was also performed by using images of alphabetic letters with the corresponding numeric ordering as dependent variables, but no correlation was found, supporting that MIA-QSAR is not arbitrary.

Hemoglobina extracelular gigante de Glossoscolex paulistus: um extraordinário sistema supramolecular hemoproteico

Giant extracellular hemoglobins are considered the summit of complexity in systems that carry oxygen, constituting an extraordinary model system to the study of hemoproteins. This class includes the hemoglobin of the annelid Glossoscolex paulistus that presents high cooperativity, great oligomeric and redox stabilities and ability of oligomeric reassociation. These properties have motivated evaluations about its utilization as prototype of artificial blood and biosensor. Kinetic studies involving autoxidation and detailed spectroscopic characterizations of its ferrous and ferric species have propitiated information about the structure-activity relationship of this macromolecule. The present review analyzes several biochemical issues, evaluating the state-of-art of this subject.

Heavy quark production in deep inelastic electron-nucleus scattering

Heavy quark production has been very well studied over the last years both theoretically and experimentally. Theory has been used to study heavy quark production in ep collisions at HERA, in pp collisions at Tevatron and RHIC, in pA and dA collisions at RHIC, and in AA collisions at CERN-SPS and RHIC. However, to the best of our knowledge, heavy quark production in eA has received almost no attention. With the possible construction of a high energy electron-ion collider, updated estimates of heavy quark production are needed. We address the subject from the perspective of saturation physics and compute the heavy quark production cross section with the dipole model. We isolate shadowing and nonlinear effects, showing their impact on the charm structure function and on the transverse momentum spectrum.

Multifractal regime transition in a modified minority game model

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual minority game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the structure function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (non-linear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the wavelet transform modulus maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes. (C) 2009 Elsevier Ltd. All rights reserved.

Improved Bioprocess with CHO-hTSH Cells on Higher Microcarrier Concentration Provides Higher Overall Biomass and Productivity for rhTSH

Since the recombinant thyroid-stimulating hormone (rhTSH) is secreted by stably transfected Chinese hamster ovary (CHO-hTSH) cells, a bioprocess consisting of immobilizing the cells on a substrate allowing their multiplication is very suitable for rhTSH recovering from supernatants at relative high degree of purity. In addition, such a system has also the advantage of easily allowing delicate manipulations of culture medium replacement. In the present study, we show the development of a laboratory scale bioprocess protocol of CHO-hTSH cell cultures on cytodex microcarriers (MCs) in a 1 L bioreactor, for the preparation of rhTSH batches in view of structure/function studies. CHO-hTSH cells were cultivated on a fetal bovine serum supplemented medium during cell growth phase. For rhTSH synthesis phase, 75% of supernatant was replaced by animal protein-free medium every 24 h. Cell cultures were monitored for agitation (rpm), temperature (A degrees C), dissolved oxygen (% DO), pH, cell concentration, MCs coverage, glucose consumption, lactate production, and rhTSH expression. The results indicate that the amount of MCs in the culture and the cell concentration at the beginning of rhTSH synthesis phase were crucial parameters for improving the final rhTSH production. By cultivating the CHO-hTSH cells with an initial cell seeding of four cells/MC on 4 g/L of MCs with a repeated fed batch mode of operation at 40 rpm, 37 A degrees C, 20% DO, and pH 7.2 and starting the rhTSH synthesis phase with 3 x 10(6) cells/mL, we were able to supply the cultures with enough glucose, to maintain low levels of lactate, and to provide high percent (similar to 80%) of fully covered MCs for a long period (5 days) and attain a high cell concentration (similar to 9 x 10(5) cells/mL). The novelty of the present study is represented by the establishment of cell culture conditions allowing us to produce similar to 1.6 mg/L of rhTSH in an already suitable degree of purity. Batches of produced rhTSH were purified and showed biological activity.