A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Force-induced globule-coil transition in laminin binding protein and its role for viral-cell membrane fusion.

The specific interactions of the pairs laminin binding protein (LBP)-purified tick-borne encephalitis viral surface protein E and certain recombinant fragments of this protein, as well as West Nile viral surface protein E and certain recombinant fragments of that protein, are studied by combined methods of single-molecule dynamic force spectroscopy (SMDFS), enzyme immunoassay and optical surface waves-based biosensor measurements. The experiments were performed at neutral pH (7.4) and acid pH (5.3) conditions. The data obtained confirm the role of LBP as a cell receptor for two typical viral species of the Flavivirus genus. A comparison of these data with similar data obtained for another cell receptor of this family, namely human αVβ3 integrin, reveals that both these receptors are very important. Studying the specific interaction between the cell receptors in question and specially prepared monoclonal antibodies against them, we could show that both interaction sites involved in the process of virus-cell interaction remain intact at pH 5.3. At the same time, for these acid conditions characteristic for an endosome during flavivirus-cell membrane fusion, SMDFS data reveal the existence of a force-induced (effective already for forces as small as 30-70 pN) sharp globule-coil transition for LBP and LBP-fragments of protein E complexes. We argue that this conformational transformation, being an analog of abrupt first-order phase transition and having similarity with the famous Rayleigh hydrodynamic instability, might be indispensable for the flavivirus-cell membrane fusion process. Copyright © 2014 John Wiley & Sons, Ltd.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.

In vitro growth of human urinary tract smooth muscle cells on laminin and collagen type I-coated membranes under static and dynamic conditions.

This study investigates in vitro growth of human urinary tract smooth muscle cells under static conditions and mechanical stimulation. The cells were cultured on collagen type I- and laminin-coated silicon membranes. Using a Flexcell device for mechanical stimulation, a cyclic strain of 0-20% was applied in a strain-stress-time model (stretch, 104 min relaxation, 15 s), imitating physiological bladder filling and voiding. Cell proliferation and alpha-actin, calponin, and caldesmon phenotype marker expression were analyzed. Nonstretched cells showed significant better growth on laminin during the first 8 days, thereafter becoming comparable to cells grown on collagen type I. Cyclic strain significantly reduced cell growth on both surfaces; however, better growth was observed on laminin. Neither the type of surface nor mechanical stimulation influenced the expression pattern of phenotype markers; alpha-actin was predominantly expressed. Coating with the extracellular matrix protein laminin improved in vitro growth of human urinary tract smooth muscle cells.

Dynamic of population-dynamics in a medically important snail species Lymnaea (Radix) Luteola (Lamarck)

The life-cycle parameters of the snail Lymnaea (Radix) luteola and the factors influencing the same have been studied under laboratory conditions. Ins each month, from July 1990 to June 1991, a batch of 100 zero-day old individual were considered for studies. The snails of April batch survived for 19.42 days while those in December batch survived for 87.45 days. The May batch individual though survived for 65.67 days gained maximum shell size (15.84 mm in length) and body weight (419.87 mg). All individuals of April batch died prior to attainment of sexual maturity. In the remaining 11 batches the snails became sexually mature between 32 and 53 days. At this stage, they were with varying shell lengths, 9.3 mm to 13,11 mm in respect to batches. The reproduction period varied from 1-67 days. An individual laid, on an average, 0,25 (March batch) to 443.67 (May batch) eggs in its life-span. A batch of such snails would leave 24312, 22520, 720268, 80408, 76067, 418165, 214, 9202, 0, 0, 2459386 and 127894 individuals at the end of 352nd day. Since the environmental conditions were almost similar the 'dynamic' of population dynamics seems to be involved with the 'strain' of the snail individuals of the batches concerned.

INTERCELLULAR AND SYSTEM-LEVEL ASPECTS OF THE METABOLIC INTERACTIONS BETWEEN NEURONS AND GLIA

Quand on parle de l'acide lactique (aussi connu sous le nom de lactate) une des premières choses qui vient à l'esprit, c'est son implication en cas d'intense activité musculaire. Sa production pendant une activité physique prolongée est associée avec la sensation de fatigue. Il n'est donc pas étonnant que cette molécule ait été longtemps considérée comme un résidu du métabolisme, possiblement toxique et donc à éliminer. En fait, il a été découvert que le lactate joue un rôle prépondérant dans le métabolisme grâce à son fort potentiel énergétique. Le cerveau, en particulier les neurones qui le composent, est un organe très gourmand en énergie. Récemment, il a été démontré que les astrocytes, cellules du cerveau faisant partie de la famille des cellules gliales, utilisent le glucose pour produire du lactate comme source d'énergie et le distribue aux neurones de manière adaptée à leur activité. Cette découverte a renouvelé l'intérêt scientifique pour le lactate. Aujourd'hui, plusieurs études ont démontré l'implication du lactate dans d'autres fonctions de la physiologie cérébrale. Dans le cadre de notre étude, nous nous sommes intéressés au rapport entre neurones et astrocytes avec une attention particulière pour le rôle du lactate. Nous avons découvert que le lactate possède la capacité de modifier la communication entre les neurones. Nous avons aussi décrypté le mécanisme grâce auquel le lactate agit, qui est basé sur un récepteur présent à la surface des neurones. Cette étude montre une fonction jusque-là insoupçonnée du lactate qui a un fort impact sur la compréhension de la relation entre neurones et astrocytes. - Relatively to its volume, the brain uses a large amount of glucose as energy source. Furthermore, a tight link exists between the level of synaptic activity and the consumption of energy equivalents. Astrocytes have been shown to play a central role in the regulation of this so-called neurometabolic coupling. They are thought to deliver the metabolic substrate lactate to neurons in register to glutamatergic activity. The astrocytic uptake of glutamate, released in the synaptic cleft, is the trigger signal that activates an intracellular cascade of events that leads to the production and release of lactate from astrocytes. The main goal of this thesis work was to obtain detailed information on the metabolic and functional interplay between neurons and astrocytes, in particular on the influence of lactate besides its metabolic effects. To gain access to both spatial and temporal aspects of these dynamic interactions, we used optical microscopy associated with specific fluorescent indicators, as well as electrophysiology. In the first part of this thesis, we show that lactate decreases spontaneous neuronal, activity in a concentration-dependent manner and independently of its metabolism. We further identified a receptor-mediated pathway underlying this modulatory action of lactate. This finding constituted a novel mechanism for the modulation of neuronal transmission by lactate. In the second part, we have undergone a characterization of a new pharmacological tool, a high affinity glutamate transporter inhibitor. The finality of this study was to investigate the detailed pharmacological properties of the compound to optimize its use as a suppressor of glutamate signal from neuron to astrocytes. In conclusion, both studies have implications not only for the understanding of the metabolic cooperation between neurons and astrocytes, but also in the context of the glial modulation of neuronal activity. - Par rapport à son volume, le cerveau utilise une quantité massive de glucose comme source d'énergie. De plus, la consommation d'équivalents énergétiques est étroitement liée au niveau d'activité synaptique. Il a été montré que dans ce couplage neurométabolique, un rôle central est joué par les astrocytes. Ces cellules fournissent le lactate, un substrat métabolique, aux neurones de manière adaptée à leur activité glutamatergique. Plus précisément, le glutamate libéré dans la fente synaptique par les neurones, est récupéré par les astrocytes et déclenche ainsi une cascade d'événements intracellulaires qui conduit à la production et libération de lactate. Les travaux de cette thèse ont visé à étudier la relation métabolique et fonctionnelle entre neurones et astrocytes, avec une attention particulière pour des rôles que pourrait avoir le lactate au-delà de sa fonction métabolique. Pour étudier les aspects spatio-temporels de ces interactions dynamiques, nous avons utilisé à la fois la microscopie optique associée à des indicateurs fluorescents spécifiques, ainsi que l'électrophysiologie. Dans la première partie de cette thèse, nous montrons que le lactate diminue l'activité neuronale spontanée de façon concentration-dépendante et indépendamment de son métabolisme. Nous avons identifié l'implication d'un récepteur neuronal au lactate qui sous-tend ce mécanisme de régulation. La découverte de cette signalisation via le lactate constitue un mode d'interaction supplémentaire et nouveau entre neurones et astrocytes. Dans la deuxième partie, nous avons caractérisé un outil pharmacologique, un inhibiteur des transporteurs du glutamate à haute affinité. Le but de cette étude était d'obtenir un agent pharmacologique capable d'interrompre spécifiquement le signal médié par le glutamate entre neurones et astrocytes pouvant permettre de mieux comprendre leur relation. En conclusion, ces études ont une implication non seulement pour la compréhension de la coopération entre neurones et astrocytes mais aussi dans le contexte de la modulation de l'activité neuronale par les cellules gliales.

Dynamic calibration of our sense of time.

An accurate sense of time contributes to functions ranging from the perception and anticipation of sensory events to the production of coordinated movements. However, accumulating evidence demonstrates that time perception is subject to strong illusory distortion. In two experiments, we investigated whether the subjective speed of temporal perception is dependent on our visual environment. By presenting human observers with speed-altered movies of a crowded street scene, we modulated performance on subsequent production of "20s" elapsed intervals. Our results indicate that one's visual environment significantly contributes to calibrating our sense of time, independently of any modulation of arousal. This plasticity generates an assay for the integrity of our sense of time and its rehabilitation in clinical pathologies.

Encoding dysfunctions in a dynamic-static paradigm for visuospatial working memory in first-episode psychosis patients: a 2-year follow-up study.

Aim: To investigate static and dynamic visuospatial working memory (VSWM) processes in first-episode psychosis (FEP) patients and explore the validity of such measures as specific trait markers of schizophrenia. Methods: Twenty FEP patients and 20 age-, sex-, laterality- and education-matched controls carried out a dynamic and static VSWM paradigm. At 2-year follow up 13 patients met Diagnostic and Statistical Manual (of Mental Health Disorders) - Fourth Edition (DSM-IV) criteria for schizophrenia, 1 for bipolar disorder, 1 for brief psychotic episode and 5 for schizotypal personality disorder. Results: Compared with controls, the 20 FEP patients showed severe impairment in the dynamic VSWM condition but much less impairment in the static condition. No specific bias in stimulus selection was detected in the two tasks. Two-year follow-up evaluations suggested poorer baseline scores on the dynamic task clearly differentiated the 13 FEP patients who developed schizophrenia from the seven who did not. Conclusions: Results suggest deficits in VSWM in FEP patients. Specific exploratory analyses further suggest that deficit in monitoring-manipulation VSWM processes, especially involved in our dynamic VSWM task, can be a reliable marker of schizophrenia.