An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.

Cloning and functional characterisation of avian transcription factor E2A.

BACKGROUND: During B lymphocyte development the E2A gene is a critical regulator of cell proliferation and differentiation. With regards to the immunoglobulin genes the E2A proteins contribute to the regulation of gene rearrangement, expression and class switch recombination. We are now using the chicken cell line DT40 as a model system to further analyse the function of E2A. RESULTS: Here we report the cloning and functional analysis of the transcription factor E2A from chicken. Using RACE PCR on the chicken lymphoma cell line DT40 we have isolated full-length clones for the two E2A splice variants E12 and E47. Sequence conservation between the human and chicken proteins is extensive: the basic-helix-loop-helix DNA binding domain of human and chicken E47 and E12 are 93% and 92% identical, respectively. In addition high levels of conservation are seen in activation domain I, the potential NLS and the ubiquitin ligase interaction domain. E2A is expressed in a variety of tissues in chicken, with higher levels of expression in organs rich in immune cells. We demonstrate that chicken E12 and E47 proteins are strong transcriptional activators whose function depends on the presence of activation domain I. As in mammals, the dominant negative proteins Id1 and Id3 can inhibit the function of chicken E47. CONCLUSIONS: The potential for homologous recombination in DT40 allows the genetic dissection of biochemical pathways in somatic cells. With the cloning of avian E2A and the recent description of an in vitro somatic hypermutation assay in this cell line, it should now be possible to dissect the potential role of E2A in the regulation of somatic hypermutation and gene conversion.RIGHTS : This article is licensed under the BioMed Central licence at http://www.biomedcentral.com/about/license which is similar to the 'Creative Commons Attribution Licence'. In brief you may : copy, distribute, and display the work; make derivative works; or make commercial use of the work - under the following conditions: the original author must be given credit; for any reuse or distribution, it must be made clear to others what the license terms of this work are

Above the noise : the search for periodicities in the inner heliosphere

Remote sensing of coronal and heliospheric periodicities can provide vital insight into the local conditions and dynamics of the solar atmosphere. We seek to trace long (one hour or longer) periodic oscillatory signatures (previously identified above the limb in the corona by, e.g., Telloni et al., 2013, Astrophys. J., 767, 138) from their origin at the solar surface out into the heliosphere. To do this, we combine on-disk measurements taken by the Atmospheric Imaging Assembly (AIA) onboard the Solar Dynamics Observatory (SDO) and concurrent extreme ultra-violet (EUV) and coronagraph data from one of the Solar Terrestrial Relations Observatory (STEREO) spacecraft to study the evolution of two active regions in the vicinity of an equatorial coronal hole over several days in early 2011. Fourier and wavelet analysis of signals are performed. Applying white-noise-based confidence levels to the power spectra associated with detrended intensity time series yields detections of oscillatory signatures with periods from 6 − 13 hours in both AIA and STEREO data. As was found by Telloni et al. (2013), these signatures are aligned with local magnetic structures. However, typical spectral power densities all vary substantially as a function of period, indicating spectra dominated by red (rather than white) noise. Contrary to the white-noise-based results, applying global confidence levels based on a generic background noise model (allowing a combination of white noise, red noise, and transients following Auch`ere et al., 2016, Astrophys. J., 825, 110) without detrending the time series, uncovers only sporadic, spatially uncorrelated evidence of periodic signatures in either instrument. Automating this method to individual pixels in the STEREO/COR coronagraph field of view is non-trivial.Peer reviewe

Immune genes undergo more adaptive evolution than non-immune system genes in Daphnia pulex

<p>Abstract</p> <p>Background</p> <p>Understanding which parts of the genome have been most influenced by adaptive evolution remains an unsolved puzzle. Some evidence suggests that selection has the greatest impact on regions of the genome that interact with other evolving genomes, including loci that are involved in host-parasite co-evolutionary processes. In this study, we used a population genetic approach to test this hypothesis by comparing DNA sequences of 30 putative immune system genes in the crustacean <it>Daphnia pulex</it> with 24 non-immune system genes.</p> <p>Results</p> <p>In support of the hypothesis, results from a multilocus extension of the McDonald-Kreitman (MK) test indicate that immune system genes as a class have experienced more adaptive evolution than non-immune system genes. However, not all immune system genes show evidence of adaptive evolution. Additionally, we apply single locus MK tests and calculate population genetic parameters at all loci in order to characterize the mode of selection (directional versus balancing) in the genes that show the greatest deviation from neutral evolution.</p> <p>Conclusions</p> <p>Our data are consistent with the hypothesis that immune system genes undergo more adaptive evolution than non-immune system genes, possibly as a result of host-parasite arms races. The results of these analyses highlight several candidate loci undergoing adaptive evolution that could be targeted in future studies.</p

Equine or porcine synovial fluid as a novel ex vivo model for the study of bacterial free-floating biofilms that form in human joint infections

Bacterial invasion of synovial joints, as in infectious or septic arthritis, can be difficult to treat in both veterinary and human clinical practice. Biofilms, in the form of free-floating clumps or aggregates, are involved with the pathogenesis of infectious arthritis and periprosthetic joint infection (PJI). Infection of a joint containing an orthopedic implant can additionally complicate these infections due to the presence of adherent biofilms. Because of these biofilm phenotypes, bacteria within these infected joints show increased antimicrobial tolerance even at high antibiotic concentrations. To date, animal models of PJI or infectious arthritis have been limited to small animals such as rodents or rabbits. Small animal models, however, yield limited quantities of synovial fluid making them impractical for in vitro research. Herein, we describe the use of ex vivo equine and porcine models for the study of synovial fluid induced biofilm aggregate formation and antimicrobial tolerance. We observed Staphylococcus aureus and other bacterial pathogens adapt the same biofilm aggregate phenotype with significant antimicrobial tolerance in both equine and porcine synovial fluid, analogous to human synovial fluid. We also demonstrate that enzymatic dispersal of synovial fluid aggregates restores the activity of antimicrobials. Future studies investigating the interaction of bacterial cell surface proteins with host synovial fluid proteins can be readily carried out in equine or porcine ex vivo models to identify novel drug targets for treatment of prevention of these difficult to treat infectious diseases

Aspects of Axion Phenomenology in a slice of AdS_5

Motivated by multi-throat considerations, we study the phenomenological implications of a bulk axion in a slice of AdS_5 with a large extra dimension: k~0.01 eV, kR > 1. In particular, we compare axion physics with a warped geometry to axions in flat compactifications. As in flat compactification scenarios, we find that the mass of the axion can become independent from the underlying Peccei-Quinn scale. Surprisingly, we find that in warped extra dimensions the axion's invisibility, cosmological viability, and basic phenomenology remain essentially unaltered in comparison to axions in flat compactifications.Comment: 25 pages, 9 figure

GUTs in Type IIB Orientifold Compactifications

We systematically analyse globally consistent SU(5) GUT models on intersecting D7-branes in genuine Calabi-Yau orientifolds with O3- and O7-planes. Beyond the well-known tadpole and K-theory cancellation conditions there exist a number of additional subtle but quite restrictive constraints. For the realisation of SU(5) GUTs with gauge symmetry breaking via U(1)_Y flux we present two classes of suitable Calabi-Yau manifolds defined via del Pezzo transitions of the elliptically fibred hypersurface P_{1,1,1,6,9}[18] and of the Quintic P_{1,1,1,1,1}[5], respectively. To define an orientifold projection we classify all involutions on del Pezzo surfaces. We work out the model building prospects of these geometries and present five globally consistent string GUT models in detail, including a 3-generation SU(5) model with no exotics whatsoever. We also realise other phenomenological features such as the 10 10 5 Yukawa coupling and comment on the possibility of moduli stabilisation, where we find an entire new set of so-called swiss-cheese type Calabi-Yau manifolds. It is expected that both the general constrained structure and the concrete models lift to F-theory vacua on compact Calabi-Yau fourfolds.Comment: 138 pages, 9 figures; v2, v3: typos corrected, one reference adde

Comprehensive Investigation of the Caveolin 2 Gene: Resequencing and Association for Kidney Transplant Outcomes

Caveolae are plasma membrane structures formed from a complex of the proteins caveolin-1 and caveolin-2. Caveolae interact with pro-inflammatory cytokines and are dysregulated in fibrotic disease. Although caveolae are present infrequently in healthy kidneys, they are abundant during kidney injury. An association has been identified between a CAV1 gene variant and long term kidney transplant survival. Chronic, gradual decline in transplant function is a persistent problem in kidney transplantation. The aetiology of this is diverse but fibrosis within the transplanted organ is the common end point. This study is the first to investigate the association of CAV2 gene variants with kidney transplant outcomes. Genomic DNA from donors and recipients of 575 kidney transplants performed in Belfast was investigated for common variation in CAV2 using a tag SNP approach. The CAV2 SNP rs13221869 was nominally significant for kidney transplant failure. Validation was sought in an independent group of kidney transplant donors and recipients from Dublin, Ireland using a second genotyping technology. Due to the unexpected absence of rs13221869 from this cohort, the CAV2 gene was resequenced. One novel SNP and a novel insertion/deletion in CAV2 were identified; rs13221869 is located in a repetitive region and was not a true variant in resequenced populations. CAV2 is a plausible candidate gene for association with kidney transplant outcomes given its proximity to CAV1 and its role in attenuating fibrosis. This study does not support an association between CAV2 variation and kidney transplant survival. Further analysis of CAV2 should be undertaken with an awareness of the sequence complexities and genetic variants highlighted by this study

Axions In String Theory

In the context of string theory, axions appear to provide the most plausible solution of the strong CP problem. However, as has been known for a long time, in many string-based models, the axion coupling parameter F_a is several orders of magnitude higher than the standard cosmological bounds. We re-examine this problem in a variety of models, showing that F_a is close to the GUT scale or above in many models that have GUT-like phenomenology, as well as some that do not. On the other hand, in some models with Standard Model gauge fields supported on vanishing cycles, it is possible for F_a to be well below the GUT scale.Comment: 62 pages, v2; references, acknowledgements and minor corrections adde