Are agent-based simulations robust? The wholesale electricity trading case

Agent-based computational economics is becoming widely used in practice. This paperexplores the consistency of some of its standard techniques. We focus in particular on prevailingwholesale electricity trading simulation methods. We include different supply and demandrepresentations and propose the Experience-Weighted Attractions method to include severalbehavioural algorithms. We compare the results across assumptions and to economic theorypredictions. The match is good under best-response and reinforcement learning but not underfictitious play. The simulations perform well under flat and upward-slopping supply bidding,and also for plausible demand elasticity assumptions. Learning is influenced by the number ofbids per plant and the initial conditions. The overall conclusion is that agent-based simulationassumptions are far from innocuous. We link their performance to underlying features, andidentify those that are better suited to model wholesale electricity markets.

The dog that did not bark: Insider trading and crashes

This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as patterns of insider trading driven by earnings announcement dates, or insiders timing their trades to evade prosecution. Finally we provide new evidence regarding crashes and the degree of information asymmetry.

Implications of dynamic trading for insurance markets

We study the interaction between insurance and capital markets within singlebut general framework.We show that capital markets greatly enhance the risksharing capacity of insurance markets and the scope of risks that areinsurable because efficiency does not depend on the number of agents atrisk, nor on risks being independent, nor on the preferences and endowmentsof agents at risk being the same. We show that agents share risks by buyingfull coverage for their individual risks and provide insurance capitalthrough stock markets.We show that aggregate risk enters private insuranceas positive loading on insurance prices and despite that agents will buyfull coverage. The loading is determined by the risk premium of investorsin the stock market and hence does not depend on the agent s willingnessto pay. Agents provide insurance capital by trading an equally weightedportfolio of insurance company shares and riskless asset. We are able toconstruct agents optimal trading strategies explicitly and for verygeneral preferences.

Abnormal balance between proliferation and apoptotic cell death in fibroblasts derived from keloid lesions.

A new culture model was developed to study the role of proliferation and apoptosis in the etiology of keloids. Fibroblasts were isolated from the superficial, central, and basal regions of six different keloid lesions by using Dulbecco's Modified Eagle Medium containing 10% fetal calf serum as a culture medium. The growth behavior of each fibroblast fraction was examined in short-term and long-term cultures, and the percentage of apoptotic cells was assessed by in situ end labeling of fragmented DNA. The fibroblasts obtained from the superficial and basal regions of keloid tissue showed population doubling times and saturation densities that were similar to those of age-matched normal fibroblasts. In contrast, the fibroblasts from the center of the keloid lesions showed significantly reduced doubling times (25.9 +/- 6.3 hours versus 43.5 +/- 6.3 hours for normal fibroblasts) and reached higher cell densities. In long-term culture, central keloid fibroblasts formed a stratified three-dimensional structure, contracted the self-produced extracellular matrix, and gave rise to nodular cell aggregates, mimicking the formation of keloid tissue. Apoptotic cells were detected in both normal and keloid-derived fibroblasts, but their numbers were twofold higher in normal cells compared with all keloid fibroblasts. To examine whether apoptosis mediates the therapeutic effect of ionizing radiation on keloids, the cells were exposed to gamma rays at a dose of 8 Gy. Under these conditions, a twofold increase in the population of apoptotic cells was detected. These results indicate that the balance between proliferation and apoptosis is impaired in keloid fibroblasts, which could be responsible for the formation of keloid tumors. The results also suggest that keloids contain at least two different fibroblast fractions that vary in growth behavior and extracellular matrix metabolism.

Amyloid and non-amyloid forms of 5q31-linked corneal dystrophy resulting from kerato-epithelin mutations at Arg-124 are associated with abnormal turnover of the protein.

Mutations in kerato-epithelin are responsible for a group of hereditary cornea-specific deposition diseases, 5q31-linked corneal dystrophies. These conditions are characterized by progressive accumulation of protein deposits of different ultrastructure. Herein, we studied the corneas with mutations at kerato-epithelin residue Arg-124 resulting in amyloid (R124C), non-amyloid (R124L), and a mixed pattern of deposition (R124H). We found that aggregated kerato-epithelin comprised all types of pathological deposits. Each mutation was associated with characteristic changes of protein turnover in corneal tissue. Amyloidogenesis in R124C corneas was accompanied by the accumulation of N-terminal kerato-epithelin fragments, whereby species of 44 kDa were the major constituents of amyloid fibrils. R124H corneas with prevailing non-amyloid inclusions showed accumulation of a new 66-kDa species altogether with the full-size 68-kDa form. Finally, in R124L cornea with non amyloid deposits, we found only the accumulation of the 68-kDa form. Two-dimensional gels revealed mutation-specific changes in the processing of the full-size protein in all affected corneas. It appears that substitutions at the same residue (Arg-124) result in cornea-specific deposition of kerato-epithelin via distinct aggregation pathways each involving altered turnover of the protein in corneal tissue.

Abnormal Lung Function and Risk for Heart Failure in the Elderly: The Health, Aging, and Body Composition Study

Background: Chronic obstructive pulmonary disease (COPD) has been associated with increased risk for heart failure (HF). The impact of subclinical abnormal spirometric findings on HF risk among older adults without history of COPD is not well elucidated. Methods: We evaluated 2125 participants (age 73.6±2.9 years; 50.5% men; 62.3% white; 45.6/9.4% past/current smokers; body mass index [BMI] 27.2±4.6 kg/m2) without prevalent COPD or HF who underwent baseline spirometry in the Health ABC Study. Abnormal lung function was defined either as forced vital capacity (FVC) below lower limit of normal (LLN) or forced expiratory volume in 1st sec (FEV1) to FVC ratio below LLN. Results: On follow-up (median, 9.4 years), 68 of 350 (19.4%) participants with abnormal lung function developed HF, as compared to 172 of 1775 (9.7%) participants with normal lung function (hazard ratio [HR], 2.31; 95% confidence interval [CI], 1.74 -3.06; P<.001). This increased risk persisted after adjusting for all other independent predictors of HF in the Health ABC Study, BMI, incident coronary events, and several inflammatory markers (HR, 1.82; 95% CI, 1.30 -2.54; P<.001), and remained constant over time. Baseline FVC and FEV1 had a linear association with HF risk (Figure). In adjusted models, HF risk increased by 21% (95% CI, 10 -36%) per 10% decrease in FVC and 18% (95% CI, 10 -28%) per 10% decrease in FEV1 (both P<.001); this association persisted among participants with normal lung function at baseline. Findings were consistent across sex, race, and smoking status. Conclusions: Subclinical abnormal spirometric findings are prevalent among older adults and are independently associated with risk for incident HF.

How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

Genetic vulnerability factor for schizophrenia: association with glutamate cysteine ligase modifier gene and abnormal enzyme activity

Background: We previously reported in schizophrenia patients a decreased level of glutathione ([GSH]), the principal non-protein antioxidant and redox regulator, both in cerebrospinal-fluid and prefrontal cortex. To identify possible genetic causation, we studied genes involved in GSH metabolism. Methods: Genotyping: mass spectrometry analysis of polymerase chain reaction (PCR) amplified DNA fragments purified from peripheral blood. Gene expression: real-time PCR of total RNA isolated from fibroblast cultures derived from skin of patients (DSM-IV) and healthy controls (DIGS). Results: Case-control association study of single nucleotide polymorphisms (SNP) from the GSH key synthesizing enzyme glutamate-cysteine-ligase (GCL) modifier subunit (GCLM) was performed in two populations: Swiss (patients/controls: 40/31) and Danish (349/348). We found a strong association of SNP rs2301022 in GCLM gene (Danish: c2=3.2; P=0.001 after correction for multiple testing). Evidence for GCLM as a risk factor was confirmed in linkage study of NIMH families. Moreover, we observed a decrease in GCLM mRNA levels in patient fibroblasts, consistently with the association study. Interestingly, Dalton and collaborators reported in GCLM knock-out mice an increased feedback inhibition of GCL activity, resulting in 60% decrease of brain [GSH], a situation analogous to patients. These mice also exhibited an increased sensitivity to oxidative stress. Similarly, under oxidative stress conditions, GCL enzymatic activity was also decreased in patient fibroblasts. Conclusions: These results at the genetic and functional levels, combined with observations that GSH deficient models reveal morphological, electrophysiological, and behavioral anomalies analogous to those observed in patients, suggest that GCLM allelic variant is a vulnerability factor for schizophrenia.

Deficit in memory consolidation (abnormal forgetting rate) in childhood temporal lobe epilepsy. Pre and postoperative long-term observation.

Deficits in memory consolidation have been reported in adult patients with epilepsy but, not to our knowledge, in children. We report the long-term follow-up (9 y. o. to 18 y. o.) of a boy who suffered from temporal lobe epilepsy and underwent a left temporal lobectomy with amygdalo-hippocampal resection at the age of 10. He showed an abnormal forgetting rate when trying to encode new information and a significant deficit for retrieving remote episodic memories (when compared with his twin brother), both consistent with a consolidation disorder. His memory condition slightly improved after cessation of the epilepsy, nevertheless did not normalize. No standard memory assessment could pinpoint his memory problem, hence an adapted methodology was needed. We discuss the nature of the memory deficit, its possible causes and its clinical implications.