A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)

We investigate asset pricing dynamics in an adaptive evolutionary asset pricing model with fundamentalists, trend followers and a market maker. Agents can choose between a fundamentalist strategy at positive information cost or choose a trend following strategy for free. Price adjustment is proportional to the excess demand in the asset market. Agents asynchronously update their strategy according to realized net profits in the recent past. As agents become more sensitive to differences in strategy performance, the fundamental steady state becomes unstable and multiple steady states may arise. As the traders' sensitivity to differences in fitness increases, a bifurcation route to chaos sets in due to homoclinic bifurcations of stable and unstable manifolds of the fundamental steady state.

Interest Rate Rules with Heterogeneous Expectations

Recent macroeconomic literature stressed the importance of expectations heterogeneity in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate the dynamical consequences of alternative interest rate rules when agents have heterogeneous expectations and update their beliefs over time along the lines of Brock and Hommes (1997). We find that the outcome of different monetary policies in terms of stability crucially depends on the ecology of forecasting rules and on the intensity of choice among different predictors. We also show that, when agents have heterogeneous expectations, an interest rate rule that obeys the Taylor principle does not always lead the system to converge to the rational expectations equilibrium but multiple equilibria may persist.

Individual Expectations and Aggregate Macro Behavior

The way in which individual expectations shape aggregate macroeconomic variables is crucial for the transmission and effectiveness of monetary policy. We study the individual expectations formation process and the interaction with monetary policy, within a standard New Keynesian model, by means of laboratory experiments with human subjects. We find that a more aggressive monetary policy that sets the interest rate more than point for point in response to inflation stabilizes inflation in our experimental economies. We use a simple model of individual learning, with a performance-based evolutionary selection among heterogeneous forecasting heuristics, to explain coordination of individual expectations and aggregate macro behavior observed in the laboratory experiments. Three aggregate outcomes are observed: convergence to some equilibrium level, persistent oscillatory behavior and oscillatory convergence. A simple heterogeneous expectations switching model fits individual learning as well as aggregate outcomes and outperforms homogeneous expectations benchmarks.

News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model

Starting from an exact relationship between news, threshold and price return distributions in the stationary state, I discuss the ability of the Ghoulmie-Cont-Nadal model of traders to produce fat-tailed price returns. Under normal conditions, this model is not able to transform Gaussian news into fat-tailed price returns. When the variance of the news so small that only the players with zero threshold can possibly react to news, this model produces Levy-distributed price returns with a -1 exponent. In the special case of super-linear price impact functions, fat-tailed returns are obtained from well-behaved news.Comment: 4 pages, 3 figures. This is quite possibly the final version. To appear in J. Phys

An economic and financial exploratory

This paper describes the vision of a European Exploratory for economics and finance using an interdisciplinary consortium of economists, natural scientists, computer scientists and engineers, who will combine their expertise to address the enormous challenges of the 21st century. This Academic Public facility is intended for economic modelling, investigating all aspects of risk and stability, improving financial technology, and evaluating proposed regulatory and taxation changes. The European Exploratory for economics and finance will be constituted as a network of infrastructure, observatories, data repositories, services and facilities and will foster the creation of a new cross-disciplinary research community of social scientists, complexity scientists and computing (ICT) scientists to collaborate in investigating major issues in economics and finance. It is also considered a cradle for training and collaboration with the private sector to spur spin-offs and job creations in Europe in the finance and economic sectors. The Exploratory will allow Social Scientists and Regulators as well as Policy Makers and the private sector to conduct realistic investigations with real economic, financial and social data. The Exploratory will (i) continuously monitor and evaluate the status of the economies of countries in their various components, (ii) use, extend and develop a large variety of methods including data mining, process mining, computational and artificial intelligence and every other computer and complex science techniques coupled with economic theory and econometric, and (iii) provide the framework and infrastructure to perform what-if analysis, scenario evaluations and computational, laboratory, field and web experiments to inform decision makers and help develop innovative policy, market and regulation designs. Graphical abstrac

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

A Meta-Analysis of Genome-Wide Association Scans Identifies IL18RAP, PTPN2, TAGAP, and PUS10 As Shared Risk Loci for Crohn's Disease and Celiac Disease

This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited

Safety aspects of infliximab in inflammatory bowel disease patients - A retrospective cohort study in 100 patients of a German University Hospital

Background: Infliximab, a chimeric anti-tumour necrosis factor monoclonal antibody with potent anti-inflammatory effects, represents an effective treatment option in patients with severe inflammatory bowel disease (IBD). Serious side-effects of such an immunomodulating therapy are speculated and therefore we reviewed our clinical experience in a retrospective safety study looking upon a single cohort of 100 IBD patients from a large German University Hospital. Methods: 100 patients with severe Crohn's disease (n = 92), ulcerative colitis (n = 7) or indeterminate colitis (n = 1) treated with infliximab (5 mg/kg) from January 2000 to December 2003 were retrospectively analysed for acute and subacute adverse events by chart review. Results: Overall, infliximab therapy was generally well tolerated. No fatal complications, malignancies, autoimmune diseases, neurologic or cardiovascular complications were observed in the cohort during the study period. Overall, adverse events were observed in 10 patients: 2 patients showed an acute infusion reaction, 1 patient a serum sickness-like reaction, in 4 patients a bacterial or viral infection occurred, in 1 patient pancytopenia and 2 patients developed surgical complications. Only 6 patients with adverse events required admission to hospital. A case of tuberculosis after infliximab was not found. The lack of adverse side-effects was associated with young median age and infrequent comorbidities of the cohort. Conclusion: Regarding its strong immunomodulating capacity, infliximab appears to be an efficient and relatively safe therapeutic option for patients with severe IBD. However, the use of infliximab requires careful screening and close patient monitoring to identify patients at risk and the infrequent, but sometimes serious complications of infliximab. Copyright (C) 2004 S. Karger AG, Basel

RGD constructs with physical anchor groups as polymer co-electrospinnable cell adhesives

The tissue integration of synthetic polymers can be promoted by displaying RGD peptides at the biointerface with the objective of enhancing colonization of the material by endogenous cells. A firm but flexible attachment of the peptide to the polymer matrix, still allowing interaction with receptors, is therefore of interest. Here, the covalent coupling of flexible physical anchor groups, allowing for temporary immobilization on polymeric surfaces via hydrophobic or dipole–dipole interactions, to a RGD peptide was investigated. For this purpose, a stearate or an oligo(ethylene glycol) (OEG) was attached to GRGDS in 51–69% yield. The obtained RGD linker constructs were characterized by NMR, IR and MALDI-ToF mass spectrometry, revealing that the commercially available OEG and stearate linkers are in fact mixtures of similar compounds. The RGD linker constructs were co-electrospun with poly(p-dioxanone) (PPDO). After electrospinning, nitrogen could be detected on the surface of the PPDO fibers by X-ray photoelectron spectroscopy. The nitrogen content exceeded the calculated value for the homogeneous material mixture suggesting a pronounced presentation of the peptide on the fiber surface. Increasing amounts of RGD linker constructs in the electrospinning solution did not lead to a detection of an increased amount of peptide on the scaffold surface, suggesting inhomogeneous distribution of the peptide on the PPDO fiber surface. Human adipose-derived stem cells cultured on the patches showed similar viability as when cultured on PPDO containing pristine RGD. The fully characterized RGD linker constructs could serve as valuable tools for the further development of tissue-integrating polymeric scaffolds