Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Ectodysplasin A1 promotes placodal cell fate during early morphogenesis of ectodermal appendages.

Organs developing as appendages of the ectoderm are initiated from epithelial thickenings called placodes. Their formation is regulated by interactions between the ectoderm and underlying mesenchyme, and several signalling molecules have been implicated as activators or inhibitors of placode formation. Ectodysplasin (Eda) is a unique signalling molecule in the tumour necrosis factor family that, together with its receptor Edar, is necessary for normal development of ectodermal organs both in humans and mice. We have shown previously that overexpression of the Eda-A1 isoform in transgenic mice stimulates the formation of several ectodermal organs. In the present study, we have analysed the formation and morphology of placodes using in vivo and in vitro models in which both the timing and amount of Eda-A1 applied could be varied. The hair and tooth placodes of K14-Eda-A1 transgenic embryos were enlarged, and extra placodes developed from the dental lamina and mammary line. Exposure of embryonic skin to Eda-A1 recombinant protein in vitro stimulated the growth and fusion of placodes. However, it did not accelerate the initiation of the first wave of hair follicles giving rise to the guard hairs. Hence, the function of Eda-A1 appears to be downstream of the primary inductive signal required for placode initiation during skin patterning. Analysis of BrdU incorporation indicated that the formation of the epithelial thickening in early placodes does not involve increased cell proliferation and also that the positive effect of Eda-A1 on placode expansion is not a result of increased cell proliferation. Taken together, our results suggest that Eda-A1 signalling promotes placodal cell fate during early development of ectodermal organs.

Ataxia telangiectasia mutated (ATM) inhibition transforms human mammary gland epithelial cells.

Carriers of mutations in the cell cycle checkpoint protein kinase ataxia telangiectasia mutated (ATM), which represent 1-2% of the general population, have an increased risk of breast cancer. However, experimental evidence that ATM deficiency contributes to human breast carcinogenesis is lacking. We report here that in MCF-10A and MCF-12A cells, which are well established normal human mammary gland epithelial cell models, partial or almost complete stable ATM silencing or pharmacological inhibition resulted in cellular transformation, genomic instability, and formation of dysplastic lesions in NOD/SCID mice. These effects did not require the activity of exogenous DNA-damaging agents and were preceded by an unsuspected and striking increase in cell proliferation also observed in primary human mammary gland epithelial cells. Increased proliferation correlated with a dramatic, transient, and proteasome-dependent reduction of p21(WAF1/CIP1) and p27(KIP1) protein levels, whereas little or no effect was observed on p21(WAF1/CIP1) or p27(KIP1) mRNAs. p21(WAF1/CIP1) silencing also increased MCF-10A cell proliferation, thus identifying p21(WAF1/CIP1) down-regulation as a mediator of the proliferative effect of ATM inhibition. Our findings provide the first experimental evidence that ATM is a human breast tumor suppressor. In addition, they mirror the sensitivity of ATM tumor suppressor function and unveil a new mechanism by which ATM might prevent human breast tumorigenesis, namely a direct inhibitory effect on the basal proliferation of normal mammary epithelial cells.

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic model.

Regulation of the akt signalling in human skeletal muscle atrophy

Abstract : The term "muscle disuse" is often used to refer collectively to reductions in neuromuscular activity as observed with sedentary lifestyles, reduced weight bearing, cancer, chronic obstructive pulmonary disease, chronic heart failure, spinal cord injury, sarcopenia or exposure to microgravity (spaceflight). Muscle disuse atrophy, caused by accelerated proteolysis, is predominantly due to the activation of the ATP-dependent ubiquitin (Ub) proteasome pathway. The current advances in understanding the molecular factors contributing to the Ub-dependent proteolysis process have been made mostly in rodent models of human disease and denervation with few investigations performed directly in humans. Recently, in mice, the genes Atrogin-1 and MuRF1 have been designated as primary candidates in the control of muscle atrophy. Additionally, the decreased activity of the Akt/GSK-3ß and Akt/mTOR pathways has been associated with a reduction in protein synthesis and contributing to skeletal muscle atrophy. Therefore, it is now commonly accepted that skeletal muscle atrophy is the result of a decreased protein synthesis concomitant with an increase in protein degradation (Glass 2003). Atrogin-1 and MuRF1 are genes expressed exclusively in muscle. In mice, their expression has been shown to be directly correlated with the severity of atrophy. KO-mice experiments showed a major protection against atrophy when either of these genes were deleted. Skeletal muscle hypertrophy is an important function in normal postnatal development and in the adaptive response to exercise. It has been shown, in vitro, that the activation of phosphatidylinositol 3-kinase (PI-3K), by insulin growth factor 1 (IGF-1), stimulates myotubes hypertrophy by activating the downstream pathways, Akt/GSK-3ß and Akt/mTOR. It has also been demonstrated in mice, in vivo, that activation of these signalling pathways causes muscle hypertrophy. Moreover, the latter were recently proposed to also reduce muscle atrophy by inhibiting the FKHR mediated transcription of several muscle atrophy genes; Atrogin-1 and MuRF1. Therefore, these targets present new avenues for developing further the understanding of the molecular mechanisms involved in both skeletal muscle atrophy and hypertrophy. The present study proposed to investigate the regulation of the Akt/GSK-3ß and Akt/mTOR signalling pathways, as well as the expression levels of the "atrogenes", Atrogin-1 and MuRF1, in four human models of skeletal muscle atrophy. In the first study, we measured the regulation of the Akt signalling pathway after 8 weeks of both hypertrophy stimulating resistance training and atrophy stimulation de-training. As expected following resistance training, muscle hypertrophy and an increase in the phosphorylation status of the different members of the Akt pathway was observed. This was paralleled by a concomitant decrease in FOXO1 nuclear protein content. Surprisingly, exercise training also induced an increase in the, expression of the atrophy genes and proteins involved in the ATP-dependant ubiquitin-proteasome system. On the opposite, following the de-training period a muscle atrophy, relative to the post-training muscle size, was measured. At the same time, the phosphorylation levels of Akt and GSK-3ß were reduced while the amount of FOXO1 in the nucleus increased. After the atrophy phase, there was also a reduction in Atrogin-1 and MuRF1 contents. In this study, we demonstrate for the first time in healthy human skeletal muscle, that the regulation of Akt and its downstream targets GSK-3ß, mTOR and FOXO1 are associated with both thé skeletal muscle hypertrophy and atrophy processes. Amyotrophic lateral sclerosis (ALS) is a progressive neurodegenerative disease characterized by the loss of both upper and lower motor neurons, which leads to severe muscle weakness and atrophy. All measurements were performed in biopsies from 22 ALS patients and 16 healthy controls. ALS patients displayed an increase in Atrogin-1 mRNA and protein content which was associated with a decrease in Akt activity. However there was no difference in the mRNA and phospho-protein content of FOXO1, FOXO3a, p70S6K and GSK-3ß. The transcriptional regulation of human Atrogin-1 may be controlled by an Akt-mediated transcription factor other than FKHR or via an other signalling pathway. Chronic complete spinal cord injury (SCI) is associated with severe muscle atrophy which is linked to co-morbidity factors such as diabetes, obesity, lipid disorders and cardiovascular diseases. Molecular mechanisms associated with chronic complete SCI-related muscle atrophy are not well understood. The aim of the present study was to determine if there was an increase in catabolic signalling targets such as Atrogin-1, MuRF1, FOXO and myostatin, and decreases in anabolic signalling targets such as IGF, Akt, GSK-3ß, mTOR, 4E-BP1 and p-70S6K in chronic complete SCI patients. All measurements were performed in biopsies taken from 8 complete chronic SCI patients and 7 age matched healthy controls. In SCI patients when compared with controls, there was a significant reduction in mRNA levels of Atrogin1, MuRF1 and Myostatin. Protein levels for Atrogin-1, FOX01 and FOX03a were also reduced. IGF-1 and both phosphorylated GSK-3ß and 4E-BP1 were decreased; the latter two in an Akt and mTOR independent manner, respectively. Reductions in Atrogin-1, MuRF1, FOXO and myostatin suggest the existence of an internal mechanism aimed at reducing further loss of muscle proteins during chronic SCI. The downregulation of signalling proteins regulating anabolism such as IGF, GSK3ß and 4E-BP1 would reduce the ability to increase protein synthesis rates in this chronic state of muscle wasting. The molecular mechanisms controlling age-related skeletal muscle loss in humans are poorly understood. The present study aimed to investigate the regulation of several genes and proteins involved in the activation of key signalling pathways promoting muscle hypertrophy such as GH/STAT5/IGF, IGF/Akt/GSK-3ß/4E-BP1 and muscle atrophy such as TNFα/SOCS3 and Akt/FOXO/Atrogin-1 or MuRF1 in muscle biopsies from 13 young and 16 elderly men. In the older, as compared with the young subjects, TNFα and SOCS-3 were increased while growth hormone receptor protein (GHR) and IGF-1 mRNA were both decreased. Akt protein levels were increased however no change in phosphorylated Akt content was observed. GSK-3ß phosphorylation levels were increased while 4E-BP1 was not changed. Nuclear FKHR and FKHRL1 protein levels were decreased, with no changes in their atrophy target genes, Atrogin-1 and MuRF1. Myostatin mRNA and protein levels were significantly elevated. Human sarcopenia may be linked to a reduction in the activity or sensitivity of anabolic signalling proteins such as GHR, IGF and Akt. TNFα, SOCS-3 and myostatin are potential candidates influencing this anabolic perturbation. In conclusion our results support those obtained in rodent or ín vitro models, and demonstrate Akt plays a pivotal role in the control of muscle mass in humans. However, the Akt phosphorylation status was dependant upon the model of muscle atrophy as Akt phosphorylation was reduced in all atrophy models except for SCI. Additionally, the activity pattern of the downstream targets of Akt appears to be different upon the various human models. It seems that under particular conditions such as spinal cord injury or sarcopenia, .the regulation of GSK-3ß, 4eBP1 and p70S6K might be independent of Akt suggesting alternative signalling pathways in the control of these the anabolic response in human skeletal muscle. The regulation of Atrogin-1 and MuRF1 in some of our studies has been shown to be also independent of the well-described Akt/FOXO signalling pathway suggesting that other transcription factors may regulate human Atrogin-1 and MuRF1. These four different models of skeletal muscle atrophy and hypertrophy have brought a better understanding concerning the molecular mechanisms controlling skeletal muscle mass in humans.

Stochastic time-concentration activity models for cytotoxicity in 3D brain cell cultures.

BACKGROUND: In vitro aggregating brain cell cultures containing all types of brain cells have been shown to be useful for neurotoxicological investigations. The cultures are used for the detection of nervous system-specific effects of compounds by measuring multiple endpoints, including changes in enzyme activities. Concentration-dependent neurotoxicity is determined at several time points. METHODS: A Markov model was set up to describe the dynamics of brain cell populations exposed to potentially neurotoxic compounds. Brain cells were assumed to be either in a healthy or stressed state, with only stressed cells being susceptible to cell death. Cells may have switched between these states or died with concentration-dependent transition rates. Since cell numbers were not directly measurable, intracellular lactate dehydrogenase (LDH) activity was used as a surrogate. Assuming that changes in cell numbers are proportional to changes in intracellular LDH activity, stochastic enzyme activity models were derived. Maximum likelihood and least squares regression techniques were applied for estimation of the transition rates. Likelihood ratio tests were performed to test hypotheses about the transition rates. Simulation studies were used to investigate the performance of the transition rate estimators and to analyze the error rates of the likelihood ratio tests. The stochastic time-concentration activity model was applied to intracellular LDH activity measurements after 7 and 14 days of continuous exposure to propofol. The model describes transitions from healthy to stressed cells and from stressed cells to death. RESULTS: The model predicted that propofol would affect stressed cells more than healthy cells. Increasing propofol concentration from 10 to 100 μM reduced the mean waiting time for transition to the stressed state by 50%, from 14 to 7 days, whereas the mean duration to cellular death reduced more dramatically from 2.7 days to 6.5 hours. CONCLUSION: The proposed stochastic modeling approach can be used to discriminate between different biological hypotheses regarding the effect of a compound on the transition rates. The effects of different compounds on the transition rate estimates can be quantitatively compared. Data can be extrapolated at late measurement time points to investigate whether costs and time-consuming long-term experiments could possibly be eliminated.

Conditioning of stochastic 3-D fracture networks to hydrological and geophysical data

The geometry and connectivity of fractures exert a strong influence on the flow and transport properties of fracture networks. We present a novel approach to stochastically generate three-dimensional discrete networks of connected fractures that are conditioned to hydrological and geophysical data. A hierarchical rejection sampling algorithm is used to draw realizations from the posterior probability density function at different conditioning levels. The method is applied to a well-studied granitic formation using data acquired within two boreholes located 6 m apart. The prior models include 27 fractures with their geometry (position and orientation) bounded by information derived from single-hole ground-penetrating radar (GPR) data acquired during saline tracer tests and optical televiewer logs. Eleven cross-hole hydraulic connections between fractures in neighboring boreholes and the order in which the tracer arrives at different fractures are used for conditioning. Furthermore, the networks are conditioned to the observed relative hydraulic importance of the different hydraulic connections by numerically simulating the flow response. Among the conditioning data considered, constraints on the relative flow contributions were the most effective in determining the variability among the network realizations. Nevertheless, we find that the posterior model space is strongly determined by the imposed prior bounds. Strong prior bounds were derived from GPR measurements and helped to make the approach computationally feasible. We analyze a set of 230 posterior realizations that reproduce all data given their uncertainties assuming the same uniform transmissivity in all fractures. The posterior models provide valuable statistics on length scales and density of connected fractures, as well as their connectivity. In an additional analysis, effective transmissivity estimates of the posterior realizations indicate a strong influence of the DFN structure, in that it induces large variations of equivalent transmissivities between realizations. The transmissivity estimates agree well with previous estimates at the site based on pumping, flowmeter and temperature data.

Notch signaling in the pigmented epithelium of the anterior eye segment promotes ciliary body development at the expense of iris formation.

The ciliary body and iris are pigmented epithelial structures in the anterior eye segment that function to maintain correct intra-ocular pressure and regulate exposure of the internal eye structures to light, respectively. The cellular and molecular factors that mediate the development of the ciliary body and iris from the ocular pigmented epithelium remain to be fully elucidated. Here, we have investigated the role of Notch signaling during the development of the anterior pigmented epithelium by using genetic loss- and gain-of-function approaches. Loss of canonical Notch signaling results in normal iris development but absence of the ciliary body. This causes progressive hypotony and over time leads to phthisis bulbi, a condition characterized by shrinkage of the eye and loss of structure/function. Conversely, Notch gain-of-function results in aniridia and profound ciliary body hyperplasia, which causes ocular hypertension and glaucoma-like disease. Collectively, these data indicate that Notch signaling promotes ciliary body development at the expense of iris formation and reveals novel animal models of human ocular pathologies.

Influence of the Paracoccidioides brasiliensis14-3-3 and gp43 proteins on the induction of apoptosis in A549 epithelial cells

The fungal strain Paracoccidioides brasiliensisremains viable inside of epithelial cells and can induce apoptosis in this population. However, until now, the molecules that participate in this process remained unknown. Thus, this study evaluated the contribution of two P. brasiliensismolecules, the 14-3-3 and glycoprotein of 43 kDa proteins, which had been previously described as extracellular matrix adhesins and apoptosis inductors in human pneumocytes. Accordingly, epithelial cells were treated with these molecules for different periods of time and the expression of the apoptosis regulating-proteins Bak, Bax, Bcl-2, p53 and caspases were evaluated by terminal deoxynucleotidyl transferase dUTP nick end labelling, flow cytometry and real-time polymerase chain reaction analysis. Our results demonstrated that treatment with these molecules induces apoptosis signalling in pulmonary epithelial cells, showing the same pattern of programmed cell-death as that observed during infection with P. brasiliensis. Thus, we could conclude that P. brasiliensisuses these molecules as virulence factors that participate not only in the fungal adhesion process to host cells, but also in other important cellular mechanisms such as apoptosis.

Gain-of-function haplotype in the epithelial calcium channel TRPV6 is a risk factor for renal calcium stone formation.

The rate-limiting step of dietary calcium absorption in the intestine requires the brush border calcium entry channel TRPV6. The TRPV6 gene was completely sequenced in 170 renal calcium stone patients. The frequency of an ancestral TRPV6 haplotype consisting of three non-synonymous polymorphisms (C157R, M378V, M681T) was significantly higher (P = 0.039) in calcium stone formers (8.4%; derived = 502, ancestral = 46) compared to non-stone-forming individuals (5.4%; derived = 645, ancestral = 37). Mineral metabolism was investigated on four different calcium regimens: (i) free-choice diet, (ii) low calcium diet, (iii) fasting and (iv) after a 1 g oral calcium load. When patients homozygous for the derived haplotype were compared with heterozygous patients, no differences were found with respect to the plasma concentrations of 1,25-vitamin D, PTH and calcium, and the urinary excretion of calcium. In one stone-forming patient, the ancestral haplotype was found to be homozygous. This patient had absorptive hypercalciuria. We therefore expressed the ancestral protein (157R+378V+681T) in Xenopus oocytes and found a significantly enhanced calcium permeability when tested by a (45)Ca(2+) uptake assay (7.11 +/- 1.93 versus 3.61 +/- 1.01 pmol/min/oocyte for ancestral versus derived haplotype, P < 0.01). These results suggest that the ancestral gain-of-function haplotype in TRPV6 plays a role in calcium stone formation in certain forms of absorptive hypercalciuria.

From SNPs to pathways: integration of functional effect of sequence variations on models of cell signalling pathways

Background: Single nucleotide polymorphisms (SNPs) are the most frequent type of sequence variation between individuals, and represent a promising tool for finding genetic determinants of complex diseases and understanding the differences in drug response. In this regard, it is of particular interest to study the effect of non-synonymous SNPs in the context of biological networks such as cell signalling pathways. UniProt provides curated information about the functional and phenotypic effects of sequence variation, including SNPs, as well as on mutations of protein sequences. However, no strategy has been developed to integrate this information with biological networks, with the ultimate goal of studying the impact of the functional effect of SNPs in the structure and dynamics of biological networks. Results: First, we identified the different challenges posed by the integration of the phenotypic effect of sequence variants and mutations with biological networks. Second, we developed a strategy for the combination of data extracted from public resources, such as UniProt, NCBI dbSNP, Reactome and BioModels. We generated attribute files containing phenotypic and genotypic annotations to the nodes of biological networks, which can be imported into network visualization tools such as Cytoscape. These resources allow the mapping and visualization of mutations and natural variations of human proteins and their phenotypic effect on biological networks (e.g. signalling pathways, protein-protein interaction networks, dynamic models). Finally, an example on the use of the sequence variation data in the dynamics of a network model is presented. Conclusion: In this paper we present a general strategy for the integration of pathway and sequence variation data for visualization, analysis and modelling purposes, including the study of the functional impact of protein sequence variations on the dynamics of signalling pathways. This is of particular interest when the SNP or mutation is known to be associated to disease. We expect that this approach will help in the study of the functional impact of disease-associated SNPs on the behaviour of cell signalling pathways, which ultimately will lead to a better understanding of the mechanisms underlying complex diseases.

Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

Analysis of secondary growth in the Arabidopsis shoot reveals a positive role of jasmonate signalling in cambium formation.

After primary growth, most dicotyledonous plants undergo secondary growth. Secondary growth involves an increase in the diameter of shoots and roots through formation of secondary vascular tissue. A hallmark of secondary growth initiation in shoots of dicotyledonous plants is the initiation of meristematic activity between primary vascular bundles, i.e. in the interfascicular regions. This results in establishment of a cylindrical meristem, namely the vascular cambium. Surprisingly, despite its major implications for plant growth and the accumulation of biomass, the molecular regulation of secondary growth is only poorly understood. Here, we combine histological, molecular and genetic approaches to characterize interfascicular cambium initiation in the Arabidopsis thaliana inflorescence shoot. Using genome-wide transcriptional profiling, we show that stress-related and touch-inducible genes are up-regulated in stem regions where secondary growth takes place. Furthermore, we show that the products of COI1, MYC2, JAZ7 and the touch-inducible gene JAZ10, which are components of the JA signalling pathway, are cambium regulators. The positive effect of JA application on cambium activity confirmed a stimulatory role of JA in secondary growth, and suggests that JA signalling triggers cell divisions in this particular context.

A general decomposition formula for derivative prices in stochastic volatility models

We see that the price of an european call option in a stochastic volatilityframework can be decomposed in the sum of four terms, which identifythe main features of the market that affect to option prices: the expectedfuture volatility, the correlation between the volatility and the noisedriving the stock prices, the market price of volatility risk and thedifference of the expected future volatility at different times. We alsostudy some applications of this decomposition.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.