Quantifying the behavior of stock correlations under market stress

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios

Numerical convergence of the block-maxima approach to the Generalized Extreme Value distribution

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme Value Theory. We pursue these investigations by giving analytical expressions of Extreme Value distribution parameters for maps that have an absolutely continuous invariant measure. We compare these analytical results with numerical experiments in which we study the convergence to limiting distributions using the so called block-maxima approach, pointing out in which cases we obtain robust estimation of parameters. In regular maps for which mixing properties do not hold, we show that the fitting procedure to the classical Extreme Value Distribution fails, as expected. However, we obtain an empirical distribution that can be explained starting from a different observable function for which Nicolis et al. [2006] have found analytical results.Comment: 34 pages, 7 figures; Journal of Statistical Physics 201

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

Cooking fish and drinking milk? Patterns in pottery use in the southeastern Baltic, 3300–2400 cal BC

yesA study of pottery vessel contents and use was undertaken in order to obtain information on food processed in Subneolithic and Neolithic vessels from Nida and Šventoji (3300–2400 cal BC). The aim is to assess pottery use during major changes in the coastal environment and in material culture. Bulk carbon and nitrogen isotope, lipid biomarker and compound specific carbon isotope analysis was undertaken on ‘foodcrusts’, charred deposits adhering to vessel surfaces, and absorbed residues from different vessel types. In addition, three archaeological seal bones were analysed for bulk collagen and compound specific carbon isotope analysis to establish collagen-lipid offsets to inform interpretation of the data. The results show that the majority of the vessels were used for processing aquatic products. At Nida the data suggest exploitation of freshwater resources and, in the later stages of occupation, dairying. Analysis of a small number of Subneolithic vessels from Šventoji produced results that are also consistent with processing of aquatic products. Other substances identified include Pinaceae sp. resin or tar and beeswax. These data demonstrate that identifying patterns in pottery use contributes to understanding Neolithisation processes

Integrating isotopes and documentary evidence : dietary patterns in a late medieval and early modern mining community, Sweden

We would like to thank the Archaeological Research Laboratory, Stockholm University, Sweden and the Tandem Laboratory (Ångström Laboratory), Uppsala University, Sweden, for undertaking the analyses of stable nitrogen and carbon isotopes in both human and animal collagen samples. Also, thanks to Elin Ahlin Sundman for providing the δ13C and δ15N values for animal references from Västerås. This research (Bäckström’s PhD employment at Lund University, Sweden) was supported by the Berit Wallenberg Foundation (BWS 2010.0176) and Jakob and Johan Söderberg’s foundation. The ‘Sala project’ (excavations and analyses) has been funded by Riksens Clenodium, Jernkontoret, Birgit and Gad Rausing’s Foundation, SAU’s Research Foundation, the Royal Physiographic Society of Lund, Berit Wallenbergs Foundation, Åke Wibergs Foundation, Lars Hiertas Memory, Helge Ax:son Johnson’s Foundation and The Royal Swedish Academy of Sciences.Peer reviewedPublisher PD

Comparative analysis of bones, mites, soil chemistry, nematodes and soil micro-Eukaryotes from a suspected homicide to estimate the post-mortem interval

Criminal investigations of suspected murder cases require estimating the post-mortem interval (PMI, or time after death) which is challenging for longer periods. Here we present the case of human remains found in a Swiss forest. We have used a multidisciplinary approach involving the analysis of bones, soil chemical characteristics, mites and nematodes (by microscopy) and micro-Eukaryotes (by Illumina high throughput sequencing). We analysed soil samples collected beneath the remains of the head, upper and lower body and “control” samples taken a few meters away. The PMI estimated on hair 14C-data via bomb peak radiocarbon dating gave a time range of 1 to 2 years before the finding of the remains on site. Cluster analyses for chemical constituents, nematodes, mites and micro- Eukaryotes revealed two clusters 1) head and upper body and 2) lower body and controls. From mite evidence, we conclude that the body was likely to have been brought to the site after death. However, chemical analyses, nematode community analyses and the analyses of micro-Eukaryotes indicate that decomposition took place at least partly on site. This study illustrates the usefulness of combining several lines of evidence for the study of homicide cases to better calibrate PMI inference tools

The Oldest Case of Decapitation in the New World (Lapa do Santo, East-Central Brazil)

We present here evidence for an early Holocene case of decapitation in the New World (Burial 26), found in the rock shelter of Lapa do Santo in 2007. Lapa do Santo is an archaeological site located in the Lagoa Santa karst in east-central Brazil with evidence of human occupation dating as far back as 11.7-12.7 cal kyBP (95.4% interval). An ultra-filtered AMS age determination on a fragment of the sphenoid provided an age range of 9.1-9.4 cal kyBP (95.4% interval) for Burial 26. The interment was composed of an articulated cranium, mandible and first six cervical vertebrae. Cut marks with a v-shaped profile were observed in the mandible and sixth cervical vertebra. The right hand was amputated and laid over the left side of the face with distal phalanges pointing to the chin and the left hand was amputated and laid over the right side of the face with distal phalanges pointing to the forehead. Strontium analysis comparing Burial 26's isotopic signature to other specimens from Lapa do Santo suggests this was a local member of the group. Therefore, we suggest a ritualized decapitation instead of trophy-taking, testifying for the sophistication of mortuary rituals among hunter-gatherers in the Americas during the early Archaic period. In the apparent absence of wealth goods or elaborated architecture, Lapa do Santo's inhabitants seemed to use the human body to express their cosmological principles regarding death

Estimation of quantitative genetic and stability parameters in maize under high and low N levels

AB It is important to breed maize (Zea mays L) cultivars with high performance under variable N levels. We studied the effect of N levels and estimated quantitative genetic parameters for grain yield, quality, and other traits, and examined stability of performance for grain yield in diverse Chinese maize germplasm. From 2006 to 2008, each year 20 and in total 30 maize hybrids, including commercial hybrids currently grown in this region and other ex¬perimental hybrids as well as high-oil hybrids, were tested using nine environments (location-year combinations) in North China Plain. In each environment, two replicated trials were grown: one under high N application rate (HN, 225 kg N ha-1) and the other under low N application rate (LN, no N fertilization). Compared to HN, grain yield was significantly reduced (35.6%) under LN level, as well as kernel number per ear, 1000-kernel weight, plant and ear heights, and protein concentration. In the analysis over environments under each N level, genotypic variance was significant and heritability was high for all traits. In the analyses across N levels and environments, genotypic variance was significant for all traits and larger than the genotype × N and/or environment interaction variance components except for protein concentration. In stability analyses across N levels, hybrids differed for their linear response to environments, and some showed dissimilar response under HN and LN levels. Our results indicated that breeding maize adapted to variable N levels is feasible with the Chinese germplasm available in the summer breeding programs in North China Plain. Multi-environment tests are required to identify hybrids with high grain yield under variable N conditions, and examining yield stability separately under HN and LN would be useful

Targeted Disruption of the PME-1 Gene Causes Loss of Demethylated PP2A and Perinatal Lethality in Mice

Phosphoprotein phosphatase 2A (PP2A), a major serine-threonine protein phosphatase in eukaryotes, is an oligomeric protein comprised of structural (A) and catalytic (C) subunits to which a variable regulatory subunit (B) can associate. The C subunit contains a methyl ester post-translational modification on its C-terminal leucine residue, which is removed by a specific methylesterase (PME-1). Methylesterification is thought to control the binding of different B subunits to AC dimers, but little is known about its physiological significance in vivo.Here, we show that targeted disruption of the PME-1 gene causes perinatal lethality in mice, a phenotype that correlates with a virtually complete loss of the demethylated form of PP2A in the nervous system and peripheral tissues. Interestingly, PP2A catalytic activity over a peptide substrate was dramatically reduced in PME-1(-/-) tissues, which also displayed alterations in phosphoproteome content.These findings suggest a role for the demethylated form of PP2A in maintenance of enzyme function and phosphorylation networks in vivo