Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

Adaptive diversity in heterogeneous environments for populations regulated by a mixture of soft and hard selection

The stable co-existence of two haploid genotypes or two species is studied in a spatially heterogeneous environment submitted to a mixture of soft selection (within-patch regulation) and hard selection (outside-patch regulation) and where two kinds of resource are available. This is analysed both at an ecological time-scale (short term) and at an evolutionary time-scale (long term). At an ecological scale, we show that co-existence is very unlikely if the two competitors are symmetrical specialists exploiting different resources. In this case, the most favourable conditions are met when the two resources are equally available, a situation that should favour generalists at an evolutionary scale. Alternatively, low within-patch density dependence (soft selection) enhances the co-existence between two slightly different specialists of the most available resource. This results from the opposing forces that are acting in hard and soft regulation modes. In the case of unbalanced accessibility to the two resources, hard selection favours the most specialized genotype, whereas soft selection strongly favours the less specialized one. Our results suggest that competition for different resources may be difficult to demonstrate in the wild even when it is a key factor in the maintenance of adaptive diversity. At an evolutionary scale, a monomorphic invasive evolutionarily stable strategy (ESS) always exists. When a linear trade-off exists between survival in one habitat versus that in another, this ESS lies between an absolute adjustment of survival to niche size (for mainly soft-regulated populations) and absolute survival (specialization) in a single niche (for mainly hard-regulated populations). This suggests that environments in agreement with the assumptions of such models should lead to an absence of adaptive variation in the long term.

The extreme core allocations of the assignment game

Although assignment games are hardly ever convex, in this paper a characterization of their set or extreme points of the core is provided, which is also valid for the class of convex games. For each ordering in the player set, a payoff vector is defined where each player receives his marginal contribution to a certain reduced game played by his predecessors. We prove that the whole set of reduced marginal worth vectors, which for convex games coincide with the usual marginal worth vectors, is the set of extreme points of the core of the assignment game

Extreme prematurity and intra uterine growth restriction effects in brain network topology at school age

Higher risk for long-term behavioral and emotional sequelae, with attentional problems (with or without hyperactivity) is now becoming one of the hallmarks of extreme premature (EP) birth and birth after pregancy conditions leading to poor intra uterine growth restriction (IUGR) [1,2]. However, little is know so far about the neurostructural basis of these complexe brain functional abnormalities that seem to have their origins in early critical periods of brain development. The development of cortical axonal pathways happens in a series of sequential events. The preterm phase (24-36 post conecptional weeks PCW) is known for being crucial for growth of the thalamocortical fiber bundles as well as for the development of long projectional, commisural and projectional fibers [3]. Is it logical to expect, thus, that being exposed to altered intrauterine environment (altered nutrition) or to extrauterine environment earlier that expected, lead to alterations in the structural organization and, consequently, alter the underlying white matter (WM) structure. Understanding rate and variability of normal brain development, and detect differences from typical development may offer insight into the neurodevelopmental anomalies that can be imaged at later stages. Due to its unique ability to non-invasively visualize and quantify in vivo white matter tracts in the brain, in this study we used diffusion MRI (dMRI) tractography to derive brain graphs [4,5,6]. This relatively simple way of modeling the brain enable us to use graph theory to study topological properties of brain graphs in order to study the effects of EP and IUGR on childrens brain connectivity at age 6 years old.

Energy expenditure of extreme competitive mountaineering skiing.

PURPOSE: Multi-hour ski mountaineering energy balance may be negative and intake below recommendations. METHODS: Athletes on the 'Patrouille des Glaciers' racecourses (17 on course Z, 27 km, +2,113 m; 11 on course A, 26 km, +1,881 m) volunteered. Pre-race measurements included body mass, stature, VO2max, and heart rate (HR) vs VO2 at simulated altitude; race measurements HR, altitude, incline, location, and food and drink intake (A). Energy expenditure (EE) was calculated from altitude corrected HR derived VO2. RESULTS: Race time was 5 h 7 min ± 44 min (mean ± SD, Z) and 5 h 51 min ± 53 min (A). Subjects spent 19.2 ± 3.2 MJ (Z), respectively, 22.6 ± 2.9 MJ (A) during the race. Energy deficit was -15.5 ± 3.9 MJ (A); intake covered 20 ± 7 % (A). Overall energy cost of locomotion (EC) was 9.9 ± 1.3 J m(-1) kg(-1) (Z), 8.0 ± 1.0 J m(-1) kg(-1) (A). Uphill EC was 11.7 ± 1 J m(-1) kg(-1) (Z, 13 % slope) and 15.7 ± 2.3 J m(-1) kg(-1) (A, 19 % slope). Race A subjects lost -1.5 ± 1.1 kg, indicating near euhydration. Age, body mass, gear mass, VO2max and EC were significantly correlated with performance; energy deficit was not. CONCLUSIONS: Energy expenditure and energy deficit of a multi-hour ski mountaineering race are very high and energy intake is below recommendations.

Contribution of CYP2B6 alleles in explaining extreme (S)-methadone plasma levels: a CYP2B6 gene resequencing study.

BACKGROUND: (S)-Methadone, metabolized mainly by CYP2B6, shows a wide interindividual variability in its pharmacokinetics and pharmacodynamics. METHODS: Resequencing of the CYP2B6 gene was performed in 12 and 35 selected individuals with high (S)-methadone plasma exposure and low (S)-methadone plasma exposure, respectively, from a previously described cohort of 276 patients undergoing methadone maintenance treatment. Selected genetic polymorphisms were then analyzed in the complete cohort. RESULTS: The rs35303484 (*11; c136A>G; M46V) polymorphism was overrepresented in the high (S)-methadone level group, whereas the rs3745274 (*9; c516G>T; Q172H), rs2279344 (c822+183G>A), and rs8192719 (c1294+53C>T) polymorphisms were underrepresented in the low (S)-methadone level group, suggesting an association with decreased CYP2B6 activity. Conversely, the rs3211371 (*5; c1459C>T; R487C) polymorphism was overrepresented in the low-level group, indicating an increased CYP2B6 activity. A higher allele frequency was found in the high-level group compared with the low-level group for rs3745274 (*9; c516G>T; Q172H), rs2279343 (*4; c785A>G; K262R) (together representing CYP2B6*6), rs8192719 (c1294+53C>T), and rs2279344 (c822+183G>A), suggesting their involvement in decreased CYP2B6 activity. These results should be replicated in larger independent cohorts. CONCLUSION: Known genetic polymorphisms in CYP2B6 contribute toward explaining extreme (S)-methadone plasma levels observed in a cohort of patients following methadone maintenance treatment.

Final Report on the Portable Computerized Assessments of Sleepy Drivers in Operational Environments, June 29, 2011

Excessive daytime sleepiness underpins a large number of the reported motor vehicle crashes. Fair and accurate field measures are needed to identify at-risk drivers who have been identified as potentially driving in a sleep deprived state on the basis of erratic driving behavior. The purpose of this research study was to evaluate a set of cognitive tests that can assist Motor Vehicle Enforcement Officers on duty in identifying drivers who may be engaged in sleep impaired driving. Currently no gold standard test exists to judge sleepiness in the field. Previous research has shown that Psychomotor Vigilance Task (PVT) is sensitive to sleep deprivation. The first goal of the current study was to evaluate whether computerized tests of attention and memory, more brief than PVT, would be as sensitive to sleepiness effects. The second goal of the study was to evaluate whether objective and subjective indices of acute and cumulative sleepiness predicted cognitive performance. Findings showed that sleepiness effects were detected in three out of six tasks. Furthermore, PVT was the only task that showed a consistent slowing of both ‘best’, i.e. minimum, and ‘typical’ responses, median RT due to sleepiness. However, PVT failed to show significant associations with objective measures of sleep deprivation (number of hours awake). The findings indicate that sleepiness tests in the field have significant limitations. The findings clearly show that it will not be possible to set absolute performance thresholds to identify sleep-impaired drivers based on cognitive performance on any test. Cooperation with industry to adjust work and rest cycles, and incentives to comply with those regulations will be critical components of a broad policy to prevent sleepy truck drivers from getting on the road.

Changes in lung function during an extreme mountain ultramarathon.

This study aimed to assess the effects of an extreme mountain ultramarathon (MUM, 330 km, 24,000 D+) on lung function. Twenty-nine experienced male ultramarathon runners performed longitudinally [before (pre), during (mid), and immediately after (post) a MUM] a battery of pulmonary function tests. The tests included measurements of forced vital capacity, forced expiratory volume in 1 s, peak flow, inspiratory capacity, and maximum voluntary ventilation in 12 s (MVV12). A significant reduction in the running speed was observed (-43.0% between pre-mid and mid-post; P < 0.001). Expiratory function declined significantly at mid (P < 0.05) and at post (P < 0.05). A similar trend was observed for inspiratory function (P < 0.05). MVV12 declined at mid (P < 0.05) and further decreased at post (P < 0.05). Furthermore, there are significant negative correlations between performance time and MVV12 pre-race (R = -0.54, P = 0.02) as well as changes in MVV12 between pre- and post-race (R = -0.53, P = 0.009). It is concluded that during an extreme MUM, a continuous decline in pulmonary function was observed, likely attributable to the high levels of ventilation required during this MUM in a harsh mountainous environment.

Expression quantitative trait locus mapping across water availability environments reveals contrasting associations with genomic features in Arabidopsis.

The regulation of gene expression is crucial for an organism's development and response to stress, and an understanding of the evolution of gene expression is of fundamental importance to basic and applied biology. To improve this understanding, we conducted expression quantitative trait locus (eQTL) mapping in the Tsu-1 (Tsushima, Japan) × Kas-1 (Kashmir, India) recombinant inbred line population of Arabidopsis thaliana across soil drying treatments. We then used genome resequencing data to evaluate whether genomic features (promoter polymorphism, recombination rate, gene length, and gene density) are associated with genes responding to the environment (E) or with genes with genetic variation (G) in gene expression in the form of eQTLs. We identified thousands of genes that responded to soil drying and hundreds of main-effect eQTLs. However, we identified very few statistically significant eQTLs that interacted with the soil drying treatment (GxE eQTL). Analysis of genome resequencing data revealed associations of several genomic features with G and E genes. In general, E genes had lower promoter diversity and local recombination rates. By contrast, genes with eQTLs (G) had significantly greater promoter diversity and were located in genomic regions with higher recombination. These results suggest that genomic architecture may play an important a role in the evolution of gene expression.

Challenges to the implementation of behavioural survellance for HIV/STI in Europe

Background: Well-conducted behavioural surveillance (BS) is essential for policy planning and evaluation. Data should be comparable across countries. In 2008, the European Centre for Disease Prevention and Control (ECDC) began a programme to support Member States in the implementation of BS for Second Generation Surveillance. Methods: Data from a mapping exercise on current BS activities in EU/EFTA countries led to recommendations for establishing national BS systems and international coordination, and the definition of a set of core and transversal (UNGASS-Dublin compatible) indicators for BS in the general and eight specific populations. A toolkit for establishing BS has been developed and a BS needs-assessment survey has been launched in 30 countries. Tools for BS self-assessment and planning are currently being tested during interactive workshops with country representatives. Results: The mapping exercise revealed extreme diversity between countries. Around half had established a BS system, but this did not always correspond to the epidemiological situation. Challenges to implementation and harmonisation at all levels emerged from survey findings and workshop feedback. These include: absence of synergy between biological and behavioural surveillance and of actors having an overall view of all system elements; lack of awareness of the relevance of BS and of coordination between agencies; insufficient use of available data; financial constraints; poor sustainability, data quality and access to certain key populations; unfavourable legislative environments. Conclusions: There is widespread need in the region not only for technical support but also for BS advocacy: BS remains the neglected partner of second generation surveillance and requires increased political support and capacity-building in order to become effective. Dissemination of validated tools for BS, developed in interaction with country experts, proves feasible and acceptable.

Resistance to extreme strategies, rather than prosocial preferences, can explain human cooperation in public goods games.

The results of numerous economic games suggest that humans behave more cooperatively than would be expected if they were maximizing selfish interests. It has been argued that this is because individuals gain satisfaction from the success of others, and that such prosocial preferences require a novel evolutionary explanation. However, in previous games, imperfect behavior would automatically lead to an increase in cooperation, making it impossible to decouple any form of mistake or error from prosocial cooperative decisions. Here we empirically test between these alternatives by decoupling imperfect behavior from prosocial preferences in modified versions of the public goods game, in which individuals would maximize their selfish gain by completely (100%) cooperating. We found that, although this led to higher levels of cooperation, it did not lead to full cooperation, and individuals still perceived their group mates as competitors. This is inconsistent with either selfish or prosocial preferences, suggesting that the most parsimonious explanation is imperfect behavior triggered by psychological drives that can prevent both complete defection and complete cooperation. More generally, our results illustrate the caution that must be exercised when interpreting the evolutionary implications of economic experiments, especially the absolute level of cooperation in a particular treatment.

Looking for Validity or Testing It? The Perils of Stepwise Regression, Extreme-Scores Analysis, Heteroscedasticity, and Measurement Error

When researchers introduce a new test they have to demonstrate that it is valid, using unbiased designs and suitable statistical procedures. In this article we use Monte Carlo analyses to highlight how incorrect statistical procedures (i.e., stepwise regression, extreme scores analyses) or ignoring regression assumptions (e.g., heteroscedasticity) contribute to wrong validity estimates. Beyond these demonstrations, and as an example, we re-examined the results reported by Warwick, Nettelbeck, and Ward (2010) concerning the validity of the Ability Emotional Intelligence Measure (AEIM). Warwick et al. used the wrong statistical procedures to conclude that the AEIM was incrementally valid beyond intelligence and personality traits in predicting various outcomes. In our re-analysis, we found that the reliability-corrected multiple correlation of their measures with personality and intelligence was up to .69. Using robust statistical procedures and appropriate controls, we also found that the AEIM did not predict incremental variance in GPA, stress, loneliness, or well-being, demonstrating the importance for testing validity instead of looking for it.