Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Product autoregressive models for non-negative variables

When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution

Smoothness of scale functions for spectrally negative Lévy processes

Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are often require excursion theory rather than Itô calculus. The reason for the latter is that standard Itô calculus is only applicable to functions with a sufficient degree of smoothness and knowledge of the precise degree of smoothness of scale functions is seemingly incomplete. The aim of this article is to offer new results concerning properties of scale functions in relation to the smoothness of the underlying Lévy measure. We place particular emphasis on spectrally negative Lévy processes with a Gaussian component and processes of bounded variation. An additional motivation is the very intimate relation of scale functions to renewal functions of subordinators. The results obtained for scale functions have direct implications offering new results concerning the smoothness of such renewal functions for which there seems to be very little existing literature on this topic.

A New Class of Non Negative Distributions Generated by Symmetric Distributions

In this article, we study a new class of non negative distributions generated by the symmetric distributions around zero. For the special case of the distribution generated using the normal distribution, properties like moments generating function, stochastic representation, reliability connections, and inference aspects using methods of moments and maximum likelihood are studied. Moreover, a real data set is analyzed, illustrating the fact that good fits can result.

One step forward: contrasting the effects of Toe clipping and PIT tagging on frog survival and recapture probability

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

THE NEGATIVE EFFECTS OF ALCOHOL HANGOVER ON HIGH-ANXIETY PHENOTYPE RATS ARE INFLUENCED BY THE GLUTAMATE RECEPTORS OF THE DORSAL MIDBRAIN

Alcoholism is a chronic disorder characterized by the appearance of a withdrawal syndrome following the abrupt cessation of alcohol intake that includes symptoms of physical and emotional disturbances, anxiety being the most prevalent symptom. In humans, it was shown that anxiety may increase the probability of relapse. In laboratory animals, however, the use of anxiety to predict alcohol preference has remained difficult. Excitatory amino acids as glutamate have been implicated in alcohol hangover and may be responsible for the seizures and anxiety observed during withdrawal. The dorsal periaqueductal gray (DPAG) is a midbrain region critical for the modulation/expression of anxiety- and fear-related behaviors and the propagation of seizures induced by alcohol withdrawal, the glutamate neurotransmission being one of the most affected. The present study was designed to evaluate whether low- (LA) and high-anxiety rats (HA), tested during the alcohol hangover phase, in which anxiety is the most prevalent symptom, are more sensitive to the reinforcing effects of alcohol when tested in a voluntary alcohol drinking procedure. Additionally, we were interested in investigating the main effects of reducing the excitatory tonus of the dorsal midbrain, after the blockade of the ionotropic glutamate receptors into the DPAG, on the voluntary alcohol intake of HA and LA motivated rats that were made previously experienced with the free operant response of alcohol drinking. For this purpose, we used local infusions of the N-metil D-Aspartato (NMDA) and alpha-amino-3-hydroxy-5-methyl-4-isoxazolepropionic acid (AMPA)-kainate receptors antagonist DL-2-Amino-7-phosphonoheptanoic acid - DL-AP7 (10 nmol/0.2 mu l) and L-glutamic acid diethyl ester - GDEE (160 nmol/0.2 mu l) respectively. Alcohol intoxication was produced by 10 daily bolus intraperitonial (IP) injections of alcohol (2.0 g/kg). Peak-blood alcohol levels were determined by gas-chromatography analysis in order to assess blood-alcohol content. Unconditioned and conditioned anxiety-like behavior was assessed by the use of the fear-potentiated startle procedure (FPS). Data collected showed that anxiety and alcohol drinking in HA animals are positively correlated in animals that were made previously familiarized with the anxiolytic effects of alcohol. In addition, anxiety-like behavior induced during alcohol hangover seems to be an effect of changes in glutamatergic neurotransmission into DPAG possibly involving AMPA/kainate and NMDA receptors, among others. (C) 2012 IBRO. Published by Elsevier Ltd. All rights reserved.

The negative binomial-beta Weibull regression model to predict the cure of prostate cancer

In this article, for the first time, we propose the negative binomial-beta Weibull (BW) regression model for studying the recurrence of prostate cancer and to predict the cure fraction for patients with clinically localized prostate cancer treated by open radical prostatectomy. The cure model considers that a fraction of the survivors are cured of the disease. The survival function for the population of patients can be modeled by a cure parametric model using the BW distribution. We derive an explicit expansion for the moments of the recurrence time distribution for the uncured individuals. The proposed distribution can be used to model survival data when the hazard rate function is increasing, decreasing, unimodal and bathtub shaped. Another advantage is that the proposed model includes as special sub-models some of the well-known cure rate models discussed in the literature. We derive the appropriate matrices for assessing local influence on the parameter estimates under different perturbation schemes. We analyze a real data set for localized prostate cancer patients after open radical prostatectomy.

MULTIPLE DISEASES IN CARRIER PROBABILITY ESTIMATION: ACCOUNTING FOR SURVIVING ALL CANCERS OTHER THAN BREAST AND OVARY IN BRCAPRO

Mendelian models can predict who carries an inherited deleterious mutation of known disease genes based on family history. For example, the BRCAPRO model is commonly used to identify families who carry mutations of BRCA1 and BRCA2, based on familial breast and ovarian cancers. These models incorporate the age of diagnosis of diseases in relatives and current age or age of death. We develop a rigorous foundation for handling multiple diseases with censoring. We prove that any disease unrelated to mutations can be excluded from the model, unless it is sufficiently common and dependent on a mutation-related disease time. Furthermore, if a family member has a disease with higher probability density among mutation carriers, but the model does not account for it, then the carrier probability is deflated. However, even if a family only has diseases the model accounts for, if the model excludes a mutation-related disease, then the carrier probability will be inflated. In light of these results, we extend BRCAPRO to account for surviving all non-breast/ovary cancers as a single outcome. The extension also enables BRCAPRO to extract more useful information from male relatives. Using 1500 familes from the Cancer Genetics Network, accounting for surviving other cancers improves BRCAPRO’s concordance index from 0.758 to 0.762 (p = 0.046), improves its positive predictive value from 35% to 39% (p < 10−6) without impacting its negative predictive value, and improves its overall calibration, although calibration slightly worsens for those with carrier probability < 10%. Copyright c 2000 John Wiley & Sons, Ltd.

White matter pathway organization of the reward system is related to positive and negative symptoms in schizophrenia

The reward systemin schizophrenia has been linked to the emergence of delusions on the one hand and to negative symptoms such as affective flattening on the other hand. Previous Diffusion Tensor Imaging (DTI) studies reported white matter microstructure alterations of regions related to the reward system. The present study aimed at extending these findings by specifically investigating connection pathways of the reward system in schizophrenia. Therefore, 24 patients with schizophrenia and 22 healthy controls matched for age and gender underwent DTI-scans. Using a probabilistic fiber tracking approachwe bilaterally extracted pathways connecting the ventral tegmental area (VTA) with the nucleus accumbens (NAcc), themedial and lateral orbitofrontal cortices (mOFC, lOFC), the dorsolateral prefrontal cortex (dlPFC) and the amygdala; as well as pathways connecting NAcc with mOFC, lOFC, dlPFC and amygdala resulting in a total of 18 connections. Probability indices forming part of a bundle of interest (PIBI) were compared between groups using independent t-tests. In 6 connection pathways PIBI-valueswere increased in schizophrenia. In 3 of these pathways the spatial extension of connection pathways was decreased. In schizophrenia patients, there was a negative correlation of PIBI-values and PANSS negative scores in the left VTA–amygdala and in the left NAcc–mOFC connection. A sum score of delusions and hallucinations correlated positively with PIBI-values of the left amygdala–NAcc connection. Structural organization of specific segments ofwhite matter pathways of the reward systemin schizophrenia may contribute to the emergence of delusions and negative symptoms in schizophrenia.

Temperate Mountain Forest Biodiversity under Climate Change: Compensating Negative Effects by Increasing Structural Complexity

Species adapted to cold-climatic mountain environments are expected to face a high risk of range contractions, if not local extinctions under climate change. Yet, the populations of many endothermic species may not be primarily affected by physiological constraints, but indirectly by climate-induced changes of habitat characteristics. In mountain forests, where vertebrate species largely depend on vegetation composition and structure, deteriorating habitat suitability may thus be mitigated or even compensated by habitat management aiming at compositional and structural enhancement. We tested this possibility using four cold-adapted bird species with complementary habitat requirements as model organisms. Based on species data and environmental information collected in 300 1-km2 grid cells distributed across four mountain ranges in central Europe, we investigated (1) how species’ occurrence is explained by climate, landscape, and vegetation, (2) to what extent climate change and climate-induced vegetation changes will affect habitat suitability, and (3) whether these changes could be compensated by adaptive habitat management. Species presence was modelled as a function of climate, landscape and vegetation variables under current climate; moreover, vegetation-climate relationships were assessed. The models were extrapolated to the climatic conditions of 2050, assuming the moderate IPCC-scenario A1B, and changes in species’ occurrence probability were quantified. Finally, we assessed the maximum increase in occurrence probability that could be achieved by modifying one or multiple vegetation variables under altered climate conditions. Climate variables contributed significantly to explaining species occurrence, and expected climatic changes, as well as climate-induced vegetation trends, decreased the occurrence probability of all four species, particularly at the low-altitudinal margins of their distribution. These effects could be partly compensated by modifying single vegetation factors, but full compensation would only be achieved if several factors were changed in concert. The results illustrate the possibilities and limitations of adaptive species conservation management under climate change.

Improving precision and reducing bias in biological surveys: estimating false-negative error rates

The use of presence/absence data in wildlife management and biological surveys is widespread. There is a growing interest in quantifying the sources of error associated with these data. We show that false-negative errors (failure to record a species when in fact it is present) can have a significant impact on statistical estimation of habitat models using simulated data. Then we introduce an extension of logistic modeling, the zero-inflated binomial (ZIB) model that permits the estimation of the rate of false-negative errors and the correction of estimates of the probability of occurrence for false-negative errors by using repeated. visits to the same site. Our simulations show that even relatively low rates of false negatives bias statistical estimates of habitat effects. The method with three repeated visits eliminates the bias, but estimates are relatively imprecise. Six repeated visits improve precision of estimates to levels comparable to that achieved with conventional statistics in the absence of false-negative errors In general, when error rates are less than or equal to50% greater efficiency is gained by adding more sites, whereas when error rates are >50% it is better to increase the number of repeated visits. We highlight the flexibility of the method with three case studies, clearly demonstrating the effect of false-negative errors for a range of commonly used survey methods.

Mixed Negative Binomial Distribution by Weighted Gamma Mixing Distribution

Павел Т. Стойнов - В тази работа се разглежда отрицателно биномното разпределение, известно още като разпределение на Пойа. Предполагаме, че смесващото разпределение е претеглено гама разпределение. Изведени са вероятностите в някои частни случаи. Дадени са рекурентните формули на Панжер.

Identification, distribution, and probability of infection in sympatric gastropods by digenean parasites at Pa-hay-okee, Everglades National Park using molecules and morphology

In this study, I determined the identity, taxonomic placement, and distribution of digenetic trematodes parasitizing the snails Pomacea paludosa and Planorbella duryi at Pa-hay-okee, Everglades National Park. I also characterized temporal and geographic variation in the probability of parasite infection for these snails based on two years of sampling. Although studies indicate that digenean parasites may have important effects both on individual species and the structure of communities, there have been no studies of digenean parasitism on snails within the Everglades ecosystem. For example, the endangered Everglade Snail Kite, a specialist that feeds almost exclusively on Pomacea paludosa, and is known to be a definitive host of digenean parasites, may suffer direct and indirect effects from consumption of parasitized apple snails. Therefore, information on the diversity and abundance of parasites harbored in snail populations in the Everglades should be of considerable interest for management and conservation of wildlife. Juvenile digeneans (cercariae) representing 20 species were isolated from these two snails, representing a quadrupling of the number of species known. Species were characterized based on morphological, morphometric, and sequence data (18S rDNA, COI, and ITS). Species richness of shed cercariae from P. duryi was greater than P. paludosa, with 13 and 7 species respectively. These species represented 14 families. P. paludosa and P. duryi had no digenean species in common. Probability of digenean infection was higher for P. duryi than P. paludosa and adults showed a greater risk of infection than juveniles for both of these snails. Planorbella duryi showed variation in probability of infection between sampling sites and hydrological seasons. The number of unique combinations of multi-species infections was greatest among P. duryi individuals, while the overall percentage of multi-species infections was greatest in P. paludosa. Analyses of six frequently-observed multiple infections from P. duryi suggest the presence of negative interactions, positive interactions, and neutral associations between larval digeneans. These results should contribute to an understanding of the factors controlling the abundance and distribution of key species in the Everglades ecosystem and may in particular help in the management and recovery planning for the Everglade Snail Kite.