Iowa Developments, August 2008, Volume 17, Number 5

Business Development news from the Iowa Department of Economic Development

Amyloid and non-amyloid forms of 5q31-linked corneal dystrophy resulting from kerato-epithelin mutations at Arg-124 are associated with abnormal turnover of the protein.

Mutations in kerato-epithelin are responsible for a group of hereditary cornea-specific deposition diseases, 5q31-linked corneal dystrophies. These conditions are characterized by progressive accumulation of protein deposits of different ultrastructure. Herein, we studied the corneas with mutations at kerato-epithelin residue Arg-124 resulting in amyloid (R124C), non-amyloid (R124L), and a mixed pattern of deposition (R124H). We found that aggregated kerato-epithelin comprised all types of pathological deposits. Each mutation was associated with characteristic changes of protein turnover in corneal tissue. Amyloidogenesis in R124C corneas was accompanied by the accumulation of N-terminal kerato-epithelin fragments, whereby species of 44 kDa were the major constituents of amyloid fibrils. R124H corneas with prevailing non-amyloid inclusions showed accumulation of a new 66-kDa species altogether with the full-size 68-kDa form. Finally, in R124L cornea with non amyloid deposits, we found only the accumulation of the 68-kDa form. Two-dimensional gels revealed mutation-specific changes in the processing of the full-size protein in all affected corneas. It appears that substitutions at the same residue (Arg-124) result in cornea-specific deposition of kerato-epithelin via distinct aggregation pathways each involving altered turnover of the protein in corneal tissue.

Iowa Developments, October 2008, Volume 17, Number 6

Business Development news from the Iowa Department of Economic Development

How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Hippocampal volume predicts fluid intelligence in musically trained people.

Recently, age-related hippocampal (HP) volume loss could be associated with a decrease in general fluid intelligence (gF). In the present study we investigated whether and how extensive musical training modulates human HP volume and gF performance. Previously, some studies demonstrated positive effects of musical training on higher cognitive functions such as learning and memory, associated with neural adaptations beyond the auditory domain. In order to detect possible associations between musical training and gF, we bilaterally segmented the HP formation and assessed the individual gF performance of people with different levels of musical expertise. Multiple regression analyses revealed that HP volume predicts gF in musicians but not in nonmusicians; in particular, bilaterally enhanced HP volume is associated with increased gF exclusively in musically trained people (amateurs and experts). This result suggests that musical training facilitates the recruitment of cognitive resources, which are essential for gF and linked to HP functioning. Musical training, even at a moderate level of intensity, can thus be considered as a potential strategy to decelerate age-related effects of cognitive decline. © 2013 Wiley Periodicals, Inc.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

Experiments on substratum roughness, grainsize and volume influence on the motion and spreading of rock avalanches

The main objective of the research is to link granular physics with the modelling of rock avalanches. Laboratory experiments consist to find a convenient granular material, i.e. grainsize and physical behaviour, and testing it on simple slope geometry. When the appropriate sliding material is selected, we attempted to model the debris avalanche and the spreading on a slope with different substratum to understand the relationship between the volume and the reach angle, i.e. angle of the line joining the top of the scar and the end of the deposit. For a better understanding of the mass spreading, the deposits are scanned with a laser scanner. Datasets are compared to see how the grain size and volume influence a debris avalanche. The relationship between the roughness and grainsize of the substratum shows that the spreading of the sliding mass is increased when the roughness of the substratum starts to be equivalent or greater than the grainsize of the flowing mass. The runout distance displays a more complex relationship, because a long runout distance implies that grains are less spread. This means that if the substratum is too rough the distance diminishes, as well if it is too smooth because the effect on the apparent friction decreases. Up to now our findings do not permit to validate any previous model (Melosh, 1987; Bagnold 1956).

Modeling complex wells with the multi-scale finite-volume method

In this paper, an extension of the multi-scale finite-volume (MSFV) method is devised, which allows to Simulate flow and transport in reservoirs with complex well configurations. The new framework fits nicely into the data Structure of the original MSFV method,and has the important property that large patches covering the whole well are not required. For each well. an additional degree of freedom is introduced. While the treatment of pressure-constraint wells is trivial (the well-bore reference pressure is explicitly specified), additional equations have to be solved to obtain the unknown well-bore pressure of rate-constraint wells. Numerical Simulations of test cases with multiple complex wells demonstrate the ability of the new algorithm to capture the interference between the various wells and the reservoir accurately. (c) 2008 Elsevier Inc. All rights reserved.

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

Small airways function declines after allogeneic haematopoietic stem cell transplantation.

Bronchiolitis obliterans (BO) following allogeneic haematopoietic stem cell transplantation (HSCT) affects peripheral airways. Detection of BO is presently delayed by the low sensitivity of spirometry. We examined the relationship between peripheral airway function and time since HSCT, and compared it with spirometry and clinical indices in 33 clinically stable allogeneic HSCT recipients. The following measurements were performed: lung function, exhaled nitric oxide, forced oscillatory respiratory system resistance and reactance, acinar (S(acin)) and conductive airways ventilation heterogeneity and lung clearance index (LCI) measured by multiple breath nitrogen washout. 22 patients underwent repeat visits from which short-term changes were examined. Median time post HSCT was 12 months. Eight patients were clinically diagnosed as having BO. In multivariate analysis, time since HSCT was predicted by S(acin) and forced expiratory volume in 1 s % predicted. 20 patients had abnormal S(acin) with normal spirometry, whereas none had airflow obstruction with normal S(acin). S(acin) and LCI were the only measures to change significantly between two visits, with both worsening. Change in S(acin) was the only parameter to correlate with change in chronic graft-versus-host disease grade. In conclusion, peripheral airways ventilation heterogeneity worsens with time after HSCT. S(acin) may be more sensitive than spirometry in detecting BO at an early stage, which needs confirmation in a prospective study.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.