Computer generation and quantitative morphometric analysis of virtual neurons

An important goal in computational neuroanatomy is the complete and accurate simulation of neuronal morphology. We are developing computational tools to model three-dimensional dendritic structures based on sets of stochastic rules. This paper reports an extensive, quantitative anatomical characterization of simulated motoneurons and Purkinje cells. We used several local and global algorithms implemented in the L-Neuron and ArborVitae programs to generate sets of virtual neurons. Parameters statistics for all algorithms were measured from experimental data, thus providing a compact and consistent description of these morphological classes. We compared the emergent anatomical features of each group of virtual neurons with those of the experimental database in order to gain insights on the plausibility of the model assumptions, potential improvements to the algorithms, and non-trivial relations among morphological parameters. Algorithms mainly based on local constraints (e.g., branch diameter) were successful in reproducing many morphological properties of both motoneurons and Purkinje cells (e.g. total length, asymmetry, number of bifurcations). The addition of global constraints (e.g., trophic factors) improved the angle-dependent emergent characteristics (average Euclidean distance from the soma to the dendritic terminations, dendritic spread). Virtual neurons systematically displayed greater anatomical variability than real cells, suggesting the need for additional constraints in the models. For several emergent anatomical properties, a specific algorithm reproduced the experimental statistics better than the others did. However, relative performances were often reversed for different anatomical properties and/or morphological classes. Thus, combining the strengths of alternative generative models could lead to comprehensive algorithms for the complete and accurate simulation of dendritic morphology.

Post War land reform and the impact on planning in Japan

One feature of Japanese urban areas in the 21st century that is bound to strike any Western visitor is the extensive spread of its suburbs with their varied mixing of land-uses. It is almost impossible to pinpoint precisely where the city begins and where it ends. During the post-War period, this characteristic pattern of land-use sprawled over the countryside, seemingly unimpeded by planning restrictions. The number of studies that highlight the problems of Japanese planning outweighs the research that explores its underlying causes. This paper aims to partly redress this imbalance by describing a case study of the failed implementation of the green belt around Tokyo and to link this with the Allied Occupation’s postwar land reforms and drafting of a new constitution in the period 1946-1951. Overall, we aim to highlight how the ostensible benefits and aims of a land reform programme can entail substantial disbenefits or unforeseen outcomes in terms of land-use planning..

Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

Initial distribution spread: A density forecasting approach

Ensemble forecasting of nonlinear systems involves the use of a model to run forward a discrete ensemble (or set) of initial states. Data assimilation techniques tend to focus on estimating the true state of the system, even though model error limits the value of such efforts. This paper argues for choosing the initial ensemble in order to optimise forecasting performance rather than estimate the true state of the system. Density forecasting and choosing the initial ensemble are treated as one problem. Forecasting performance can be quantified by some scoring rule. In the case of the logarithmic scoring rule, theoretical arguments and empirical results are presented. It turns out that, if the underlying noise dominates model error, we can diagnose the noise spread.

The Farm-Retail Price Spread in an Imperfectly Competitive Food Industry

Gardner's popular model of perfect competition in the marketing sector is extended to a conjectural-variations oligopoly with endogenous entry. Revising Gardner's comparative statics on the "farm-retail price ratio," tests of hypotheses about food industry conduct are derived. Using data from a recent article by Wohlgenant, which employs Gardner's framework, tests are made of the validity of his maintained hypothesis-that the food industries are perfectly competitive. No evidence is found of departures from competition in the output markets of the food industries of eight commodity groups: (a) beef and veal, (b) pork, (c) poultry, (d) eggs, (e) dairy, (f) processed fruits and vegetables, (g) fresh fruit, and (h) fresh vegetables.

The (de)merits of minimum-variance hedging: application to the crack spread

We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric models for estimating hedge ratios of crude oil, gasoline and heating oil crack spreads. Given the great variability and large jumps in both spot and futures prices, considerable care is required when processing the relevant data and accounting for the costs of maintaining and re-balancing the hedge position. We find that the variance reduction produced by all models is statistically and economically indistinguishable from the one-for-one “naïve” hedge. However, minimum-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this strategy is the cheapest and easiest to implement. Our conclusion contradicts the majority of the existing literature, which favours the implementation of GARCH-based hedging strategies.

A complex system perspective on the emergence and spread of infectious diseases: integrating economic and ecological aspects

The emergence and spread of infectious diseases reflects the interaction of ecological and economic factors within an adaptive complex system. We review studies that address the role of economic factors in the emergence and spread of infectious diseases and identify three broad themes. First, the process of macro-economic growth leads to environmental encroaching, which is related to the emergence of infectious diseases. Second, there are a number of mutually reinforcing processes associated with the emergence/spread of infectious diseases. For example, the emergence and spread of infectious diseases can cause significant economic damages, which in turn may create the conditions for further disease spread. Also, the existence of a mutually reinforcing relationship between global trade and macroeconomic growth amplifies the emergence/spread of infectious diseases. Third, microeconomic approaches to infectious disease point to the adaptivity of human behavior, which simultaneously shapes the course of epidemics and responds to it. Most of the applied research has been focused on the first two aspects, and to a lesser extent on the third aspect. With respect to the latter, there is a lack of empirical research aimed at characterizing the behavioral component following a disease outbreak. Future research should seek to fill this gap and develop hierarchical econometric models capable of integrating both macro and micro-economic processes into disease ecology.

Sources and spread of thermophilic Campylobacter spp. during partial depopulation of broiler chicken flocks

The practice of partial depopulation or ‘thinning’, i.e. early removal of a proportion of birds from a commercial broiler flock, is a reported risk factor for Campylobacter colonization of residual birds because of the difficulty in maintaining biosecurity during the process. Therefore, the effect of this practice was studied in detail for 51 target flocks, each at a different growing farm belonging to one of seven major poultry companies throughout the United Kingdom. On 21 of these farms, the target flock was already colonized by Campylobacter and at slaughter all cecal samples examined were positive, with a mean of log10 8 cfu / g. A further 27 flocks became positive within 2 – 6 days of the start of thinning and had similarly high levels of cecal carriage at slaughter. Just prior to the thinning process, Campylobacter could be isolated frequently from the farm driveways, transport vehicles, equipment and personnel. Strains from seven such farms on which flocks became colonized after thinning were examined by PFGE typing. The study demonstrated an association between strains occurring at specific sampling sites and those isolated subsequently from the thinned flocks. There were also indications that particular strains had spread from one farm to another, when the farms were jointly company-owned and served by the same bird-catching teams and / or vehicles. The results highlighted the need for better hygiene control in relation to catching equipment and personnel, and more effective cleaning and disinfection of vehicles, and bird-transport crates.