Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive

We study a business cycle model in which a benevolent fiscal authority must determine the optimal provision of government services, while lacking credibility, lump-sum taxes, and the ability to bond finance deficits. Households and the fiscal authority have risk sensitive preferences. We find that outcomes are affected importantly by the household's risk sensitivity, but not by the fiscal authority's. Further, while household risk-sensitivity induces a strong precautionary saving motive, which raises capital and lowers the return on assets, its effects on fluctuations and the business cycle are generally small, although more pronounced for negative shocks. Holding the stochastic steady state constant, increases in household risk-sensitivity lower the risk-free rate and raise the return on equity, increasing the equity premium. Finally, although risk-sensitivity has little effect on the provision of government services, it does cause the fiscal authority to lower the income tax rate. An additional contribution of this paper is to present a method for computing Markov-perfect equilibria in models where private agents and the government are risk-sensitive decisionmakers.

Complexity and Bounded Rationality in Individual Decision Problemsing.

I develop a model of endogenous bounded rationality due to search costs, arising implicitly from the problems complexity. The decision maker is not required to know the entire structure of the problem when making choices but can think ahead, through costly search, to reveal more of it. However, the costs of search are not assumed exogenously; they are inferred from revealed preferences through her choices. Thus, bounded rationality and its extent emerge endogenously: as problems become simpler or as the benefits of deeper search become larger relative to its costs, the choices more closely resemble those of a rational agent. For a fixed decision problem, the costs of search will vary across agents. For a given decision maker, they will vary across problems. The model explains, therefore, why the disparity, between observed choices and those prescribed under rationality, varies across agents and problems. It also suggests, under reasonable assumptions, an identifying prediction: a relation between the benefits of deeper search and the depth of the search. As long as calibration of the search costs is possible, this can be tested on any agent-problem pair. My approach provides a common framework for depicting the underlying limitations that force departures from rationality in different and unrelated decision-making situations. Specifically, I show that it is consistent with violations of timing independence in temporal framing problems, dynamic inconsistency and diversification bias in sequential versus simultaneous choice problems, and with plausible but contrasting risk attitudes across small- and large-stakes gambles.

The twist, writhe and overall shape of supercoiled DNA change during counterion-induced transition from a loosely to a tightly interwound superhelix. Possible implications for DNA structure in vivo.

A cryo-electron microscopy study of supercoiled DNA molecules freely suspended in cryo-vitrified buffer was combined with Monte Carlo simulations and gel electrophoretic analysis to investigate the role of intersegmental electrostatic repulsion in determining the shape of supercoiled DNA molecules. It is demonstrated here that a decrease of DNA-DNA repulsion by increasing concentrations of counterions causes a higher fraction of the linking number deficit to be partitioned into writhe. When counterions reach concentrations likely to be present under in vivo conditions, naturally supercoiled plasmids adopt a tightly interwound conformation. In these tightly supercoiled DNA molecules the opposing segments of interwound superhelix seem to directly contact each other. This form of supercoiling, where two DNA helices interact laterally, may represent an important functional state of DNA. In the particular case of supercoiled minicircles (178 bp) the delta Lk = -2 topoisomers undergo a sharp structural transition from almost planar circles in low salt buffers to strongly writhed "figure-eight" conformations in buffers containing neutralizing concentrations of counterions. Possible implications of this observed structural transition in DNA are discussed.

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.

Information Design

There are two ways of creating incentives for interacting agents to behave in a desired way. One is by providing appropriate payoff incentives, which is the subject of mechanism design. The other is by choosing the information that agents observe, which we refer to as information design. We consider a model of symmetric information where a designer chooses and announces the information structure about a payoff relevant state. The interacting agents observe the signal realizations and take actions which affect the welfare of both the designer and the agents. We characterize the general finite approach to deriving the optimal information structure for the designer - the one that maximizes the designer's ex ante expected utility subject to agents playing a Bayes Nash equilibrium. We then apply the general approach to a symmetric two state, two agent, and two actions environment in a parameterized underlying game and fully characterize the optimal information structure: it is never strictly optimal for the designer to use conditionally independent private signals; the optimal information structure may be a public signal or may consist of correlated private signals. Finally, we examine how changes in the underlying game affect the designer's maximum payoff. This exercise provides a joint mechanism/information design perspective.

Structure of a multisubunit complex that promotes DNA branch migration.

The RuvA and RuvB proteins of Escherichia coli, which are induced in response to DNA damage, are important in the formation of heteroduplex DNA during genetic recombination and related recombinational repair processes. In vitro studies show that RuvA binds Holiday junctions and acts as a specificity factor that targets the RuvB ATPase, a hexameric ring protein, to the junction. Together, RuvA and RuvB promote branch migration, an ATP-dependent reaction that increases the length of the heteroduplex DNA. Electron microscopic visualization of RuvAB now provides a new insight into the mechanism of this process. We observe the formation of a tripartite protein complex in which RuvA binds the crossover and is sandwiched between two hexameric rings of RuvB. The Holliday junction within this complex adopts a square-planar structure. We propose a molecular model for branch migration, a unique feature of which is the role played by the two oppositely oriented RuvB ring motors.

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

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.

Recent advances in pharmacologic study of natural anticancer agents in China

In this paper a number of anticancer agents of natural origin will be presented. Hydroxycamtothecin (HCPT) was found to produce a strong inhibitory action on a variety of animal tumors. It is also effective for treatment of patients with gastric carcinoma, liver carcinoma, tumor of head and neck or leukemia. Pharmacologic studies showed that it could depress S phase of tumor cells significantly and cause formation of cellular chromatid breaks. By means of alkaline elution and nick translation methods it has been proved that HCPT induced DNA singlo strand breaks remarkably. Homoharringyonine (hhrt) was shown to be effective against acute leukemia. Recent experiments in tumor-bearing mice inidcated that (HHRT) could diminish tumor metastasis. Using molecular hybridization technique it was demonstrated that (HHRT) decreased the content of c-myc RNA in the cytoplasm but not in the nuclei. Lycobetaine (LBT) poddrddrf dytnh inhibitory effects on a number of ascites tumors. In clinical trials it was against ovarian and gastric carcinomas. It is able to intercalate into DNA. Oxalysine (OXL) is a new antibiotic and shown to be effective against tumor metastatis. When used in combination with 5-FU, its anticancer action could be enhanced. Other natural compounds such as indirubin, ß-elemene, irisquinone, oridonine, norcantharidin and PSP have been also found to possess antitumor action.

Amino acid coevolution reveals three-dimensional structure and functional domains of insect odorant receptors.

Insect odorant receptors (ORs) comprise an enormous protein family that translates environmental chemical signals into neuronal electrical activity. These heptahelical receptors are proposed to function as ligand-gated ion channels and/or to act metabotropically as G protein-coupled receptors (GPCRs). Resolving their signalling mechanism has been hampered by the lack of tertiary structural information and primary sequence similarity to other proteins. We use amino acid evolutionary covariation across these ORs to define restraints on structural proximity of residue pairs, which permit de novo generation of three-dimensional models. The validity of our analysis is supported by the location of functionally important residues in highly constrained regions of the protein. Importantly, insect OR models exhibit a distinct transmembrane domain packing arrangement to that of canonical GPCRs, establishing the structural unrelatedness of these receptor families. The evolutionary couplings and models predict odour binding and ion conduction domains, and provide a template for rationale structure-activity dissection.

The research on radioprotective agents in Chinese materia medica

A series of studies has been carried out in the field of traditional medicine for searching radio-protective agents. According to the theory of traditional Chinese medicine, may prescriptions were tested with experimental animals. Some of them could raise the survival rate of dogs irradiated with lethal dose of Pi-rays by 30-40%. Some symptoms of radiation sickness could be improved. More than one thousand kinds of Chinese herbs were screened. Some of them have pronounced radioprotectice activities. A series of bioactive components wee isolated from these herbs. The mechanism of radiation protection were studied. Having the capability of hemopoietic system and immune system may be the characteristics of these Chinese herbs.

Chemical and pharmacological investigation of Solanum species of Brazil: a search for solasodine and other potentially useful therapeutic agents

A systematic search for solasodine, an important staring material for the partial synthesis of steroidal hormones as well as other potentially bioactive constituents of various Solanum species of Brazil has been undertaken. Thus, the fruits of S. paludosum, S. asperum, S. sessiliforum and Solanum sp. were found to contain significant amounts of solasodine. The root bark of S. paludosum which showe durare like activity yelded tomatidenol and another yet unidentified alkaloid responsible for the biological activity. The fruits of S. asperum yelded a new spirosolane alkaloid, solaparnaine. The stem bark of S. pseudo-quina showed convulsive and exitatory activity from which (25S)-isosolafloridine was identified as the active principle. In addition, the latter alkaloid was also found to show antimicrobial activity.

Agents mòbils en situacions d'emergència: gestió dinàmica de serveis

Aquest projecte consisteix en el disseny i desenvolupament d'una arquitectura de serveis sota el paradigma dels agents inteligents. El propòsit d'ADASMI (Architecture for Dynamic Agent Service Management and Interaction) és permetre la gestió i utilització de serveis per altres agents. L'arquitectura s'ha implementat utilitzant la plataforma d'agents de JADE i es pot utilitzar amb qualsevol altra plataforma que compleixi els estàndards d'IEEE FIPA. A més, és prou flexible com per adaptar-se en entorns dinàmics, com per exemple les xarxes ad-hoc en situacions d'emergència.