The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

In vitro fermentation characteristics of whole grain wheat flakes and the effect of toasting on prebiotic potential

Population studies have shown a positive correlation between diets rich in whole grains and a reduced risk of developing metabolic diseases, like diabetes, cardiovascular disease, and certain cancers. However, little is known about the mechanisms of action, particularly the impact different fermentable components of whole grains have on the human intestinal microbiota. The modulation of microbial populations by whole grain wheat flakes and the effects of toasting on digestion and subsequent fermentation profile were evaluated. Raw, partially toasted, and toasted wheat flakes were digested using simulated gastric and small intestinal conditions and then fermented using 24-hour, pH-controlled, anaerobic batch cultures inoculated with human feces. Major bacterial groups and production of short-chain fatty acids were compared with those for the prebiotic oligofructose and weakly fermented cellulose. Within treatments, a significant increase (P<.05) in bifidobacteria numbers was observed upon fermentation of all test carbohydrates, with the exception of cellulose. Toasting appeared to have an effect on growth of lactobacilli as only fermentation of raw wheat flakes resulted in a significant increase in levels of this group.

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

The effect of annealing on the local structure of glassy polycarbonate

Annealing of polycarbonate glasses at temperatures belowTg leads to an increase in yield stress and a drop in the impact strength. Although such behaviour may be related to the corresponding reduction in free volume upon annealing, variations in the wide-angle X-ray scattering curves indicate some modification to the local structure. The area of an intrachain peak at s ∼ 0.7 Å−1 is monitored with respect to annealing temperature and time. It is proposed that the variations may be described by an increasing level of interlocking or (nesting) between neighbouring chain segments, a process which is a natural consequence of the molecular shape of polycarbonate.

Effect of salt on the compression of polyelectrolyte brushes in a theta solvent

Classical strong-stretching theory (SST) predicts that, as opposing polyelectrolyte brushes are compressed together in a salt-free theta solvent, they contract so as to maintain a finite polymer-free gap, which offers a potential explanation for the ultra-low frictional forces observed in experiments even with the application of large normal forces. However, the SST ignores chain fluctuations, which would tend to close the gap resulting in physical contact and in turn significant friction. In a preceding study, we examined the effect of fluctuations using self-consistent field theory (SCFT) and illustrated that high normal forces can still be applied before the gap is destroyed. We now look at the effect of adding salt. It is found to reduce the long-range interaction between the brushes but has little effect on the short-range part, provided the concentration does not enter the salted-brush regime. Consequently, the maximum normal force between two planar brushes at the point of contact is remarkably unaffected by salt. For the crossed-cylinder geometry commonly used in experiments, however, there is a gradual reduction because in this case the long-range part of the interaction contributes to the maximum normal force.

Effect of architecture on the phase behavior of AB-type block copolymer melts

Equilibrium phase diagrams are calculated for a selection of two-component block copolymer architectures using self-consistent field theory (SCFT). The topology of the phase diagrams is relatively unaffected by differences in architecture, but the phase boundaries shift significantly in composition. The shifts are consistent with the decomposition of architectures into constituent units as proposed by Gido and coworkers, but there are significant quantitative deviations from this principle in the intermediate-segregation regime. Although the complex phase windows continue to be dominated by the gyroid (G) phase, the regions of the newly discovered Fddd (O^70) phase become appreciable for certain architectures and the perforated-lamellar (PL) phase becomes stable when the complex phase windows shift towards high compositional asymmetry.

Effect of prebiotics on the human gut microbiota of elderly persons

The colonic microbiota undergoes certain age related changes that may affect health. For example, above the age of 55–65 y, populations of bifidobacteria are known to decrease markedly. Bifidobacteria are known inhibitors of pathogenic microbes and a decrease in their activities may increase susceptibility to infections. There is therefore interest in trying to reverse their decline in aged persons. As the gut microbiota responds to dietary intervention, both probiotics and prebiotics have been tested in this regard. Probiotics are live microbes in the diet, whereas prebiotics are fermentable ingredients that specifically target components of the indigenous microbiota seen to be beneficial. We have published a recent paper demonstrating that prebiotic galactooligosaccharides can exert power effects upon bifidobacteria in the gut flora of elderly persons (both in vivo and in vitro). This addendum summarizes research that led up to this study and discusses the possible impact of prebiotics in impacting upon the gut health of aged persons.

Preventing carbon contamination of optical devices for X-rays: the effect of oxygen on photon-induced dissociation of CO on platinum

Platinum is one of the most common coatings used to optimize mirror reflectivity in soft X-ray beamlines. Normal operation results in optics contamination by carbon-based molecules present in the residual vacuum of the beamlines. The reflectivity reduction induced by a carbon layer at the mirror surface is a major problem in synchrotron radiation sources. A time-dependent photoelectron spectroscopy study of the chemical reactions which take place at the Pt(111) surface under operating conditions is presented. It is shown that the carbon contamination layer growth can be stopped and reversed by low partial pressures of oxygen for optics operated in intense photon beams at liquidnitrogen temperature. For mirrors operated at room temperature the carbon contamination observed for equivalent partial pressures of CO is reduced and the effects of oxygen are observed on a long time scale.

The effect of BREEAM on clients and construction professionals

The effects and influence of the Building Research Establishment’s Environmental Assessment Methods (BREEAM) on construction professionals are examined. Most discussions of building assessment methods focus on either the formal tool or the finished product. In contrast, BREEAM is analysed here as a social technology using Michel Foucault’s theory of governmentality. Interview data are used to explore the effect of BREEAM on visibilities, knowledge, techniques and professional identities. The analysis highlights a number of features of the BREEAM assessment process which generally go unremarked: professional and public understandings of the method, the deployment of different types of knowledge and their implication for the authority and legitimacy of the tool, and the effect of BREEAM on standard practice. The analysis finds that BREEAM’s primary effect is through its impact on standard practices. Other effects include the use of assessment methods to defend design decisions, its role in both operationalizing and obscuring the concept of green buildings, and the effect of tensions between project and method requirements for the authority of the tool. A reflection on assessment methods as neo-liberal tools and their adequacy for the promotion of sustainable construction suggests several limitations of lock-in that hinder variation and wider systemic change.

The effect of processing on chlorogenic acid content of commercially available coffee

Chlorogenic acids (CGA) are a class of polyphenols noted for their health benefits. These compounds were identified and quantified, using LC–MS and HPLC, in commercially available coffees which varied in pro- cessing conditions. Analysis of ground and instant coffees indicated the presence of caffeoylquinic acids (CQA), feruloylquinic acids (FQA) and dicaffeoylquinic acids (diCQA) in all 18 samples tested. 5-CQA was present at the highest levels, between 25 and 30% of total CGA; subsequent relative quantities were: 4- CQA > 3-CQA > 5-FQA > 4-FQA > diCQA (sum of 3,4, 3,5 and 4,5-diCQA). CGA content varied greatly (27.33–121.25 mg/200 ml coffee brew), driven primarily by the degree of coffee bean roasting (a high amount of roasting had a detrimental effect on CGA content). These results highlight the broad range of CGA quantity in commercial coffee and demonstrate that coffee choice is important in delivering opti-mum CGA intake to consumers.

The effect of pH on the self-assembly of a collagen derived peptide amphiphile

Transitions in nanostructure driven by pH are observed for a self-assembling peptide amphiphile (PA) with a cationic pentapeptide headgroup. At pH 3, the PA forms flat tape-like structures, while at pH 4 the PA assembles into twisted right handed structures. These twisted structures transform again to flat tape-like structures at pH 7. In complete contrast, spherical micelles are observed at pH 2. These changes in response to pH may be relevant to biological and pharmaceutical applications of this PA in skincare.

Effect of aluminium on migratory and invasive properties of MCF-7 human breast cancer cells in culture

Aluminium (Al) has been measured in human breast tissue, nipple aspirate fluid and breast cyst fluid, and recent studies have shown that at tissue concentrations, aluminium can induce DNA damage and suspension growth in human breast epithelial cells. This paper demonstrates for the first time that exposure to aluminium can also increase migratory and invasive properties of MCF-7 human breast cancer cells. Long-term (32 weeks) but not short-term (1 week) exposure of MCF-7 cells to 10-4M aluminium chloride or 10-4M aluminium chlorohydrate increased motility of the cells as measured by live cell imaging (cumulative length moved by individual cells), by a wound healing assay and by migration in real time through 8m pores of a membrane using xCELLigence technology. Long-term exposure (37weeks) to 10-4M aluminium chloride or 10-4M aluminium chlorohydrate also increased the ability of MCF-7 cells to invade through a matrigel layer as measured in real time using the xCELLigence system. Although molecular mechanisms remain to be characterized, the ability of aluminium salts to increase migratory and invasive properties of MCF-7 cells suggests that the presence of aluminium in the human breast could influence metastatic processes. This is important because mortality from breast cancer arises mainly from tumour spread rather than from the presence of a primary tumour in the breast.