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.

Lectin receptors distribution in the surface membrane of Trypanosoma cruzi blood forms collected from mice submitted to specific treatment

The author investigated the distribution of lectin receptors on Trypanosoma cruzi blood forms collected from mice inoculated with, respectively, the drug-resistant and drug-sensitive strains VL-10 and CL, and treated with the two standard active nitroheterocyclic compounds nifurtimox and benznidazole used for treatment of human Chagas' disease. Blood trypomastigotes purified in Fycoll-Hypaque were incubated with fluorescein-labelled lectins Con A, WGA, EE, WFA, TPA and PNA and then microscopically examined. Neither qualitative or quantitative differences in the fluorescence intensity could be detected between parasites from VL-10 and CL strains submitted or not to treatment. The results suggest that both strains do not differ in their surface membrane carbohydrate moieties. Moreover, the rapid clearance of blood forms the drug-sensitive strain in animals treated with singlo doses of both compounds is not likely to depend on membrane alterations expressed by changes in the carbohydrate components. furthermore, resistance or sensitivity to drugs is not apparently related to carbohydrate distribution on T. cruzi blood forms.

Modeling AIDS vaccines: the cellular level

This paper discuses current strategies for the development of AIDS vaccines wich allow immunzation to disturb the natural course of HIV at different detailed stages of its life cycle. Mathematical models describing the main biological phenomena (i.e. virus and vaccine induced T4 cell growth; virus and vaccine induced activation latently infected T4 cells; incremental changes immune response as infection progress; antibody dependent enhancement and neutralization of infection) and allowing for different vaccination strategies serve as a backgroud for computer simulations. The mathematical models reproduce updated information on the behavior of immune cells, antibody concentrations and free viruses. The results point to some controversial outcomes of an AIDS vaccine such as an early increase in virus concentration among vaccinated when compared to nonvaccinated individuals.

Cell-based computational modeling of vascular morphogenesis using Tissue Simulation Toolkit.

Computational modeling has become a widely used tool for unraveling the mechanisms of higher level cooperative cell behavior during vascular morphogenesis. However, experimenting with published simulation models or adding new assumptions to those models can be daunting for novice and even for experienced computational scientists. Here, we present a step-by-step, practical tutorial for building cell-based simulations of vascular morphogenesis using the Tissue Simulation Toolkit (TST). The TST is a freely available, open-source C++ library for developing simulations with the two-dimensional cellular Potts model, a stochastic, agent-based framework to simulate collective cell behavior. We will show the basic use of the TST to simulate and experiment with published simulations of vascular network formation. Then, we will present step-by-step instructions and explanations for building a recent simulation model of tumor angiogenesis. Demonstrated mechanisms include cell-cell adhesion, chemotaxis, cell elongation, haptotaxis, and haptokinesis.

Expression of a functional single chain antibody on the surface of extracellular enveloped vaccinia virus as a step towards selective tumour cell targeting.

Recombinant vaccinia virus with tumour cell specificity may provide a versatile tool either for direct lysis of cancer cells or for the targeted transfer of genes encoding immunomodulatory molecules. We report the expression of a single chain antibody on the surface of extracellular enveloped vaccinia virus. The wild-type haemagglutinin, an envelope glycoprotein which is not required for viral infection and replication, was replaced by haemagglutinin fusion molecules carrying a single chain antibody directed against the tumour-associated antigen ErbB2. ErbB2 is an epidermal growth factor receptor-related tyrosine kinase overexpressed in a high percentage of human adenocarcinomas. Two fusion proteins carrying the single chain antibody at different NH2-terminal positions were expressed and exposed at the envelope of the corresponding recombinant viruses. The construct containing the antibody at the site of the immunoglobulin-like loop of the haemagglutinin was able to bind solubilized ErbB2. This is the first report of replacement of a vaccinia virus envelope protein by a specific recognition structure and represents a first step towards modifying the host cell tropism of the virus.

Report of Balanorchis anastrophus in Pará state with surface topography by scanning electron microscopy

Balanorchis anastrophus Fischoeder, 1901 from the reticulum from Bos taurus is reported for the first time in State of Pará, Brazil. The surface topography as revealed by scanning electron microscopy is presented.

Polypeptides reactive with antibodies eluted from the surface of Babesia bovis-infected erythrocytes

A technique was sought that would enable identification of surface-exposed parasite antigens on Babesia bovis-infected erythrocytes (BbIE) that are not detectable by surface-specific immunoprecipitations. Antibodies which bind to the surface of BbIE were recovered from intact cells using a low pH wash procedure. The eluted antibodies were then used in conventional immunoprecipitation assays to identify parasite-synthesized polypeptides carrying epitopes that are exposed on the surface or are cross reactive with shuch epitopes. The results of these experiments support our previous data, obtained using a surface-specific immunoprecipitation technique, in the identification of a repertoire of parasite-derived antigens on the surface of infected erythrocytes (Allred et al., 1991). In addition, two polypeptides of Mr 68,000 and 185,000 were identified wich react strongly with the eluted antibodies but wich are not detected by surface-immunoprecipitation. These data illustrate the potential of this approach for identification of parasite polypeptides wich carry epitopes exposed on, or cross-reactive with exposed epitopes of the infected erythrocyte surface.

A malaria merozoite surface protein (MSP1)-structure, processing and function

Merozoite surface protein-1 (MSP-1, also referred to as P195, PMMSA or MSA 1) is one of the most studied of all malaria proteins. The proteins. The protein is found in all malaria species investigated and structural studies on the gene indicate that parts of the molecule are well-conserved. Studies on Plasmodium falciparum have shown that the protein is in a processed form on the merozoite surface, a result of proteolytic cleavage of the large percursor molecule. Recent studies have identified some of these cleavage sites. During invasion of the new red cell most of the MSP1 molecule is shed from the parasite surface except for a small C-terminal fragment which can be detected in ring stages. Analysis of the structure of this fragment suggests that it contains two growth factor-like domains that may have a functional role.

Human IgG responses against the N-terminal region of Merozoite Surface Protein 1 of Plasmodium vivax

The complete primary structure of the gene encoding the Merozoite Surface Protein 1 of Plasmodium vivax (PvMSP-1) revealed the existence of interspecies conserved regions among the analogous proteins of other Plasmodia species. Here, three DNA recombinant clones expressing 50, 200 and 500 amino acids from the N-terminal region of the PvMSP-1 protein were used on ELISA and protein immunoblotting assays to look at the IgG antibody responses of malaria patients from the Brasilian amazon region of Rondônia. The results showed the existance of P. vivax and P. falciparum IgG antibodies directed against PvMSP-1 antigenic determinants expressed in the clones containing the first 200 and the following 500 amino acids of the molecule, but not within the one expressing the most N-terminal 50 amino acids. Interestingly, there was no correlation between the levels of these IgG antibodies and the previous number of malaria infections.

Enhancing the vertical resolution of surface georadar data

There are far-reaching conceptual similarities between bi-static surface georadar and post-stack, "zero-offset" seismic reflection data, which is expressed in largely identical processing flows. One important difference is, however, that standard deconvolution algorithms routinely used to enhance the vertical resolution of seismic data are notoriously problematic or even detrimental to the overall signal quality when applied to surface georadar data. We have explored various options for alleviating this problem and have tested them on a geologically well-constrained surface georadar dataset. Standard stochastic and direct deterministic deconvolution approaches proved to be largely unsatisfactory. While least-squares-type deterministic deconvolution showed some promise, the inherent uncertainties involved in estimating the source wavelet introduced some artificial "ringiness". In contrast, we found spectral balancing approaches to be effective, practical and robust means for enhancing the vertical resolution of surface georadar data, particularly, but not exclusively, in the uppermost part of the georadar section, which is notoriously plagued by the interference of the direct air- and groundwaves. For the data considered in this study, it can be argued that band-limited spectral blueing may provide somewhat better results than standard band-limited spectral whitening, particularly in the uppermost part of the section affected by the interference of the air- and groundwaves. Interestingly, this finding is consistent with the fact that the amplitude spectrum resulting from least-squares-type deterministic deconvolution is characterized by a systematic enhancement of higher frequencies at the expense of lower frequencies and hence is blue rather than white. It is also consistent with increasing evidence that spectral "blueness" is a seemingly universal, albeit enigmatic, property of the distribution of reflection coefficients in the Earth. Our results therefore indicate that spectral balancing techniques in general and spectral blueing in particular represent simple, yet effective means of enhancing the vertical resolution of surface georadar data and, in many cases, could turn out to be a preferable alternative to standard deconvolution approaches.

Evaluating the influence of spatial uncertainty in locality points for species distributional modeling

1. Species distribution modelling is used increasingly in both applied and theoretical research to predict how species are distributed and to understand attributes of species' environmental requirements. In species distribution modelling, various statistical methods are used that combine species occurrence data with environmental spatial data layers to predict the suitability of any site for that species. While the number of data sharing initiatives involving species' occurrences in the scientific community has increased dramatically over the past few years, various data quality and methodological concerns related to using these data for species distribution modelling have not been addressed adequately. 2. We evaluated how uncertainty in georeferences and associated locational error in occurrences influence species distribution modelling using two treatments: (1) a control treatment where models were calibrated with original, accurate data and (2) an error treatment where data were first degraded spatially to simulate locational error. To incorporate error into the coordinates, we moved each coordinate with a random number drawn from the normal distribution with a mean of zero and a standard deviation of 5 km. We evaluated the influence of error on the performance of 10 commonly used distributional modelling techniques applied to 40 species in four distinct geographical regions. 3. Locational error in occurrences reduced model performance in three of these regions; relatively accurate predictions of species distributions were possible for most species, even with degraded occurrences. Two species distribution modelling techniques, boosted regression trees and maximum entropy, were the best performing models in the face of locational errors. The results obtained with boosted regression trees were only slightly degraded by errors in location, and the results obtained with the maximum entropy approach were not affected by such errors. 4. Synthesis and applications. To use the vast array of occurrence data that exists currently for research and management relating to the geographical ranges of species, modellers need to know the influence of locational error on model quality and whether some modelling techniques are particularly robust to error. We show that certain modelling techniques are particularly robust to a moderate level of locational error and that useful predictions of species distributions can be made even when occurrence data include some error.