Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

A simple analysis of thermodynamic properties for classical plasmas: I. theory

By eliminating the short range negative divergence of the Debye–Hückel pair distribution function, but retaining the exponential charge screening known to operate at large interparticle separation, the thermodynamic properties of one-component plasmas of point ions or charged hard spheres can be well represented even in the strong coupling regime. Predicted electrostatic free energies agree within 5% of simulation data for typical Coulomb interactions up to a factor of 10 times the average kinetic energy. Here, this idea is extended to the general case of a uniform ionic mixture, comprising an arbitrary number of components, embedded in a rigid neutralizing background. The new theory is implemented in two ways: (i) by an unambiguous iterative algorithm that requires numerical methods and breaks the symmetry of cross correlation functions; and (ii) by invoking generalized matrix inverses that maintain symmetry and yield completely analytic solutions, but which are not uniquely determined. The extreme computational simplicity of the theory is attractive when considering applications to complex inhomogeneous fluids of charged particles.

Limiting factors in the restoration of UK grassland beetle assemblages

Grasslands restoration is a key management tool contributing to the long-term maintenance of insect populations, providing functional connectivity and mitigating against extinction debt across landscapes. As knowledge of grassland insect communities is limited, the lag between the initiation of restoration and the ability of these new habitats to contribute to such processes is unclear. Using ten data sets, ranging from 3 to 14 years, we investigate the lag between restoration and the establishment of phytophagous beetle assemblages typical of species rich grasslands. We used traits and ecological characteristics to determine factors limiting beetle colonisation, and also considered how food-web structure changed during restoration. For sites where seed addition of host-plants occurred the success in replicating beetle assemblages increased over time following a negative exponential function. Extrapolation beyond the existing data set tentatively suggested that success would plateau after 20 years, representing a c. 60% increase in assemblage similarity to target grasslands. In the absence of seed addition, similarity to the target grasslands showed no increase over time. Where seed addition was used the connectance of plant-herbivore food webs decreased over time, approaching values typical of species rich grasslands after c. 7 years. This trend was, however, dependent on the inclusion of a single site containing data in excess of 6 years of restoration management. Beetles not capable of flight, those showing high degrees of host-plant specialisation and species feeding on nationally rare host plants take between 1 and 3 years longer to colonise. Successful grassland restoration is underpinned by the establishment of host-plants, although individual species traits compound the effects of poor host-plant establishment to slow colonisation. The use of pro-active grassland restoration to mitigate against future environmental change should account for lag periods in excess of 10 years if the value of these habitats is to be fully realised.

Long-distance dispersal and its influence on adaptation to host resistance in a heterogeneous landscape

Small propagules like pollen or fungal spores may be dispersed by the wind over distances of hundreds or thousands of kilometres,even though the median dispersal may be only a few metres. Such long-distance dispersal is a stochastic event which may be exceptionally important in shaping a population. It has been found repeatedly in field studies that subpopulations of wind-dispersed fungal pathogens virulent on cultivars with newly introduced, effective resistance genes are dominated by one or very few genotypes. The role of propagule dispersal distributions with distinct behaviour at long distances in generating this characteristic population structure was studied by computer simulation of dispersal of clonal organisms in a heterogeneous environment with fields of unselective and selective hosts. Power-law distributions generated founder events in which new, virulent genotypes rapidly colonized fields of resistant crop varieties and subsequently dominated the pathogen population on both selective and unselective varieties, in agreement with data on rust and powdery mildew fungi. An exponential dispersal function, with extremely rare dispersal over long distances, resulted in slower colonization of resistant varieties by virulent pathogens or even no colonization if the distance between susceptible source and resistant target fields was sufficiently large. The founder events resulting from long-distance dispersal were highly stochastic and exact quantitative prediction of genotype frequencies will therefore always be difficult.

Nonlinear set-membership estimation: a support vector machine approach

In this paper a support vector machine (SVM) approach for characterizing the feasible parameter set (FPS) in non-linear set-membership estimation problems is presented. It iteratively solves a regression problem from which an approximation of the boundary of the FPS can be determined. To guarantee convergence to the boundary the procedure includes a no-derivative line search and for an appropriate coverage of points on the FPS boundary it is suggested to start with a sequential box pavement procedure. The SVM approach is illustrated on a simple sine and exponential model with two parameters and an agro-forestry simulation model.

Identification of components of the Sigma B Regulon in Listeria monocytogenes that contribute to acid and salt tolerance

Sigma B (σB) is an alternative sigma factor that controls the transcriptional response to stress in Listeria monocytogenes and is also known to play a role in the virulence of this human pathogen. In the present study we investigated the impact of a sigB deletion on the proteome of L. monocytogenes grown in a chemically defined medium both in the presence and in the absence of osmotic stress (0.5 M NaCl). Two new phenotypes associated with the sigB deletion were identified using this medium. (i) Unexpectedly, the strain with the ΔsigB deletion was found to grow faster than the parent strain in the growth medium, but only when 0.5 M NaCl was present. This phenomenon was independent of the carbon source provided in the medium. (ii) The ΔsigB mutant was found to have unusual Gram staining properties compared to the parent, suggesting that σB contributes to the maintenance of an intact cell wall. A proteomic analysis was performed by two-dimensional gel electrophoresis, using cells growing in the exponential and stationary phases. Overall, 11 proteins were found to be differentially expressed in the wild type and the ΔsigB mutant; 10 of these proteins were expressed at lower levels in the mutant, and 1 was overexpressed in the mutant. All 11 proteins were identified by tandem mass spectrometry, and putative functions were assigned based on homology to proteins from other bacteria. Five proteins had putative functions related to carbon utilization (Lmo0539, Lmo0783, Lmo0913, Lmo1830, and Lmo2696), while three proteins were similar to proteins whose functions are unknown but that are known to be stress inducible (Lmo0796, Lmo2391, and Lmo2748). To gain further insight into the role of σB in L. monocytogenes, we deleted the genes encoding four of the proteins, lmo0796, lmo0913, lmo2391, and lmo2748. Phenotypic characterization of the mutants revealed that Lmo2748 plays a role in osmotolerance, while Lmo0796, Lmo0913, and Lmo2391 were all implicated in acid stress tolerance to various degrees. Invasion assays performed with Caco-2 cells indicated that none of the four genes was required for mammalian cell invasion. Microscopic analysis suggested that loss of Lmo2748 might contribute to the cell wall defect observed in the ΔsigB mutant. Overall, this study highlighted two new phenotypes associated with the loss of σB. It also demonstrated clear roles for σB in both osmotic and low-pH stress tolerance and identified specific components of the σB regulon that contribute to the responses observed.

Estimating the volume of tephra deposits: a new simple strategy

Volume determination of tephra deposits is necessary for the assessment of the dynamics and hazards of explosive volcanoes. Several methods have been proposed during the past 40 years that include the analysis of crystal concentration of large pumices, integrations of various thinning relationships, and the inversion of field observations using analytical and computational models. Regardless of their strong dependence on tephra-deposit exposure and distribution of isomass/isopach contours, empirical integrations of deposit thinning trends still represent the most widely adopted strategy due to their practical and fast application. The most recent methods involve the best fitting of thinning data using various exponential seg- ments or a power-law curve on semilog plots of thickness (or mass/area) versus square root of isopach area. The exponential method is mainly sensitive to the number and the choice of straight segments, whereas the power-law method can better reproduce the natural thinning of tephra deposits but is strongly sensitive to the proximal or distal extreme of integration. We analyze a large data set of tephra deposits and propose a new empirical method for the deter- mination of tephra-deposit volumes that is based on the integration of the Weibull function. The new method shows a better agreement with observed data, reconciling the debate on the use of the exponential versus power-law method. In fact, the Weibull best fitting only depends on three free parameters, can well reproduce the gradual thinning of tephra deposits, and does not depend on the choice of arbitrary segments or of arbitrary extremes of integration.

Likelihood-free estimation of model evidence

Statistical methods of inference typically require the likelihood function to be computable in a reasonable amount of time. The class of “likelihood-free” methods termed Approximate Bayesian Computation (ABC) is able to eliminate this requirement, replacing the evaluation of the likelihood with simulation from it. Likelihood-free methods have gained in efficiency and popularity in the past few years, following their integration with Markov Chain Monte Carlo (MCMC) and Sequential Monte Carlo (SMC) in order to better explore the parameter space. They have been applied primarily to estimating the parameters of a given model, but can also be used to compare models. Here we present novel likelihood-free approaches to model comparison, based upon the independent estimation of the evidence of each model under study. Key advantages of these approaches over previous techniques are that they allow the exploitation of MCMC or SMC algorithms for exploring the parameter space, and that they do not require a sampler able to mix between models. We validate the proposed methods using a simple exponential family problem before providing a realistic problem from human population genetics: the comparison of different demographic models based upon genetic data from the Y chromosome.

Bayesian parameter estimation for latent Markov random fields and social networks

Undirected graphical models are widely used in statistics, physics and machine vision. However Bayesian parameter estimation for undirected models is extremely challenging, since evaluation of the posterior typically involves the calculation of an intractable normalising constant. This problem has received much attention, but very little of this has focussed on the important practical case where the data consists of noisy or incomplete observations of the underlying hidden structure. This paper specifically addresses this problem, comparing two alternative methodologies. In the first of these approaches particle Markov chain Monte Carlo (Andrieu et al., 2010) is used to efficiently explore the parameter space, combined with the exchange algorithm (Murray et al., 2006) for avoiding the calculation of the intractable normalising constant (a proof showing that this combination targets the correct distribution in found in a supplementary appendix online). This approach is compared with approximate Bayesian computation (Pritchard et al., 1999). Applications to estimating the parameters of Ising models and exponential random graphs from noisy data are presented. Each algorithm used in the paper targets an approximation to the true posterior due to the use of MCMC to simulate from the latent graphical model, in lieu of being able to do this exactly in general. The supplementary appendix also describes the nature of the resulting approximation.

Characterization of a Listeria monocytogenes Scott A isolate with high tolerance towards high hydrostatic pressure

An isolate of L. monocytogenes Scott A that is tolerant to high hydrostatic pressure (HHP), named AK01, was isolated upon a single pressurization treatment of 400 MPa for 20 min and was further characterized. The survival of exponential- and stationary-phase cells of AK01 in ACES [N-(2-acetamido)-2-aminoethanesulfonic acid] buffer was at least 2 log units higher than that of the wild type over a broad range of pressures (150 to 500 MPa), while both strains showed higher HHP tolerance (piezotolerance) in the stationary than in the exponential phase of growth. In semiskim milk, exponential-phase cells of both strains showed lower reductions upon pressurization than in buffer, but again, AK01 was more piezotolerant than the wild type. The piezotolerance of AK01 was retained for at least 40 generations in rich medium, suggesting a stable phenotype. Interestingly, cells of AK01 lacked flagella, were elongated, and showed slightly lower maximum specific growth rates than the wild type at 8, 22, and 30°C. Moreover, the piezotolerant strain AK01 showed increased resistance to heat, acid, and H2O2 compared with the wild type. The difference in HHP tolerance between the piezotolerant strain and the wild-type strain could not be attributed to differences in membrane fluidity, since strain AK01 and the wild type had identical in situ lipid melting curves as determined by Fourier transform infrared spectroscopy. The demonstrated occurrence of a piezotolerant isolate of L. monocytogenes underscores the need to further investigate the mechanisms underlying HHP resistance of food-borne microorganisms, which in turn will contribute to the appropriate design of safe, accurate, and feasible HHP treatments.

Combined action of S-carvone and mild heat treatment on Listeria monocytogenes Scott A

The combined action of the plant-derived volatile, S-carvone, and mild heat treatment on the food-borne pathogen, Listeria monocytogenes, was evaluated. The viability of exponential phase cultures grown at 8 °C could be reduced by 1·3 log units after exposure to S-carvone (5 mmol l−1) for 30 min at 45 °C, while individual treatment with S-carvone or exposure to 45 °C for 30 min did not result in a loss in viability. Other plant-derived volatiles, namely carvacrol, cinnamaldehyde, thymol and decanal, were also found to reduce the viability of L. monocytogenes in combination with the same mild heat treatment at concentrations of 1·75 mmol l−1, 2·5 mmol l−1, 1·5 mmol l−1 and 2 mmol l−1, respectively. These findings show that essential oil compounds can play an important role in minimally processed foods, and can be used in the concept of Hurdle Technology to reduce the intensity of heat treatment or other individual hurdles.

On the time-dependent analysis of Gamow decay

Gamow's explanation of the exponential decay law uses complex 'eigenvalues' and exponentially growing 'eigenfunctions'. This raises the question, how Gamow's description fits into the quantum mechanical description of nature, which is based on real eigenvalues and square integrable wavefunctions. Observing that the time evolution of any wavefunction is given by its expansion in generalized eigenfunctions, we shall answer this question in the most straightforward manner, which at the same time is accessible to graduate students and specialists. Moreover, the presentation can well be used in physics lectures to students.

Heterogeneous surface expression of EspA translocon filaments by Escherichia coli O157:H7 is controlled at the posttranscriptional level

Type III secretion systems of enteric bacteria enable translocation of effector proteins into host cells. Secreted proteins of verotoxigenic Escherichia coli O157 strains include components of a translocation apparatus, EspA, -B, and -D, as well as "effectors" such as the translocated intimin receptor (Tir) and the mitochondrion-associated protein (Map). This research has investigated the regulation of LEE4 translocon proteins, in particular EspA. EspA filaments could not be detected on the bacterial cell surface when E. coli O157:H7 was cultured in M9 minimal medium but were expressed from only a proportion of the bacterial population when cultured in minimal essential medium modified with 25 mM HEPES. The highest proportions of EspA-filamented bacteria were detected in late exponential phase, after which filaments were lost rapidly from the bacterial cell surface. Our previous research had shown that human and bovine E. coli O157:H7 strains exhibit marked differences in EspD secretion levels. Here it is demonstrated that the proportion of the bacterial population expressing EspA filaments was associated with the level of EspD secretion. The ability of individual bacteria to express EspA filaments was not controlled at the level of LEE1-4 operon transcription, as demonstrated by using both beta-galactosidase and green fluorescent protein (GFP) promoter fusions. All bacteria, whether expressing EspA filaments or not, showed equivalent levels of GFP expression when LEEI-4 translational fusions were used. Despite this, the LEE4-espADB mRNA was more abundant from populations with a high proportion of nonsecreting bacteria (low secretors) than from populations with a high proportion of secreting and therefore filamented bacteria (high secretors). This research demonstrates that while specific environmental conditions are required to induce LEEI-4 expression, a further checkpoint exists before EspA filaments are produced on the bacterial surface and secretion of effector proteins occurs. This checkpoint in E. coli O157:H7 translocon expression is controlled by a posttranscriptional mechanism acting on LEE4-espADB mRNA. The heterogeneity in EspA filamentation could arise from phase-variable expression of regulators that control this posttranscriptional mechanism.

Environmental regulation and colonization attributes of the long polar fimbriae (LPF) of Escherichia coli O157:H7

The ability of Escherichia coli O157:H7 to colonize the intestinal epithelia is dependent on the expression of intimin and other adhesins. The chromosome of E. coli O157:H7 carries two loci encoding long polar fimbriae (LPF). These fimbriae mediate adherence to epithelial cells and are associated with colonization of the intestine. In order to increase our knowledge about the conditions controlling their expression and their role in colonization of an animal model, the environmental cues that promote expression of lpf genes and the role of E. coli O157:H7 LPF in intestinal colonization of lambs were investigated. We found that expression of lpf1 was regulated in response to growth phase, osmolarity, and pH; that lpf2 transcription was stimulated during late exponential growth and iron depletion; and that LPF impacts the ability of E. coli O157:H7 to persist in the intestine of infected 6-week-old lambs.

Experimental and modeled UV erthemal irradiance under overcast conditions: the role of cloud optical depth

This paper evaluates the relationship between the cloud modification factor (CMF) in the ultraviolet erythe- mal range and the cloud optical depth (COD) retrieved from the Aerosol Robotic Network (AERONET) "cloud mode" algorithm under overcast cloudy conditions (confirmed with sky images) at Granada, Spain, mainly for non-precipitating, overcast and relatively homogenous water clouds. Empirical CMF showed a clear exponential dependence on experimental COD values, decreasing approximately from 0.7 for COD=10 to 0.25 for COD=50. In addition, these COD measurements were used as input in the LibRadtran radia tive transfer code allowing the simulation of CMF values for the selected overcast cases. The modeled CMF exhibited a dependence on COD similar to the empirical CMF, but modeled values present a strong underestimation with respect to the empirical factors (mean bias of 22 %). To explain this high bias, an exhaustive comparison between modeled and experimental UV erythemal irradiance (UVER) data was performed. The comparison revealed that the radiative transfer simulations were 8 % higher than the observations for clear-sky conditions. The rest of the bias (~14 %) may be attributed to the substantial underestimation of modeled UVER with respect to experimental UVER under overcast conditions, although the correlation between both dataset was high (R2 ~ 0.93). A sensitive test showed that the main reason responsible for that underestimation is the experimental AERONET COD used as input in the simulations, which has been retrieved from zenith radiances in the visible range. In this sense, effective COD in the erythemal interval were derived from an iteration procedure based on searching the best match between modeled and experimental UVER values for each selected overcast case. These effective COD values were smaller than AERONET COD data in about 80 % of the overcast cases with a mean relative difference of 22 %.