A Comparison of the Forecasting Ability of Immediate Price Impact Models

As a consequence of recent technological advances and the proliferation of algorithmic and high‐frequency trading, the cost of trading in financial markets has irrevocably changed. One important change, known as price impact, relates to how trading affects prices. Price impact represents the largest cost associated with trading. Forecasting price impact is very important as it can provide estimates of trading profits after costs and also suggest optimal execution strategies. Although several models have recently been developed which may forecast the immediate price impact of individual trades, limited work has been done to compare their relative performance. We provide a comprehensive performance evaluation of these models and test for statistically significant outperformance amongst candidate models using out‐of‐sample forecasts. We find that normalizing price impact by its average value significantly enhances the performance of traditional non‐normalized models as the normalization factor captures some of the dynamics of price impact. Copyright © 2016 John Wiley & Sons, Ltd.     

模糊缺省推理的理论和方法研究

在一种含有补余律的模糊抽象代数系统（即ＦｕｚｚｙＢｏｏｌｅ代数）上，利用模糊逻辑公式与布尔函数的相互转换性，构造了具有模糊非单调推理能力的推理机制；从可应用性出发对模糊缺省规则进行了深入的讨论。该推理机制不仅增加了在量的描述方面的知识表达能力，而且在一定程度上解决了扩张存在性问题，提高了推理的效率。     

去除和添加凋落物对马尾松×红锥混交林土壤呼吸的影响

为探讨凋落物输入量改变对马尾松×红锥混交林碳排放的影响,以马尾松×红锥异龄混交林为研究对象,通过添加和去除凋落物人为地改变碳输入,研究凋落物处理方式对土壤呼吸的影响。结果表明:(1)去除凋落物可降低土壤湿度、提高土壤温度,而添加凋落物则提高土壤湿度、降低土壤温度。去除凋落物使土壤年均呼吸速率显著降低27.88%,而添加凋落物则使土壤年均呼吸速率显著增加34.02%。(2)去除凋落物能降低四季的土壤呼吸累积排放量,而添加凋落物则提高四季的土壤呼吸累积排放量。对照、去除和添加凋落物的土壤呼吸的年累积排放量(以C计)分别为(9.51±0.12) t·hm~(-2)、(6.88±0.21) t·hm~(-2)和(12.70±0.53) t·hm~(-2),可见去除凋落物使土壤呼吸年累积排放量降低27.66%,而添加凋落物使土壤呼吸年累积排放量提高33.54%。(3)不同凋落物处理方式下土壤呼吸速率与土壤温度均呈显著相关,土壤温度解释了土壤呼吸速率变异程度的74.26%～94.28%。去除凋落物增加了土壤呼吸温度敏感性系数Q10值,而添加凋落物则降低Q10值。凋落物处理方式对马尾松×红锥异龄混交林土壤呼吸产生了显著影响,证明凋落物对于改变森林生态系统土壤呼吸和碳循环具有重要作用。     

An electrochemical and microstructural characterization of steel-mortar admixed with corrosion inhibitors

The present research brings new insights on the role of admixed corrosion inhibitors in the processes of cement hydration and rebar corrosion.The admixing of NaCl and the corrosion inhibitors in fresh mortar was found to alter the morphology and microstructure of the hardened mortar at the steel-mortar interfacial region.The admixing of the inhibitors increased the risk of carbonation of cement hydrates at the steel-mortar interfacial region,but partially displaced chloride ions. Chloride and the admixed in...     

ABCB6 is dispensable for erythropoiesis and specifies the new blood group system Langereis

The human ATP-binding cassette (ABC) transporter ABCB6 has been described as a mitochondrial porphyrin transporter essential for heme biosynthesis, but it is also suspected to contribute to anticancer drug resistance, as do other ABC transporters located at the plasma membrane. We identified ABCB6 as the genetic basis of the Lan blood group antigen expressed on red blood cells but also at the plasma membrane of hepatocellular carcinoma (HCC) cells, and we established that ABCB6 encodes a new blood group system (Langereis, Lan). Targeted sequencing of ABCB6 in 12 unrelated individuals of the Lan(-) blood type identified 10 different ABCB6 null mutations. This is the first report of deficient alleles of this human ABC transporter gene. Of note, Lan(-) (ABCB6(-/-)) individuals do not suffer any clinical consequences, although their deficiency in ABCB6 may place them at risk when determining drug dosage.     

Novel Criteria for Exponential Stability of Linear Non-Autonomous Functional Differential Equations

General linear non-autonomous functional differential equations are considered. Explicit criteria for exponential stability are given. Furthermore, the authors present an explicit robust stability bound for systems subject to time-varying perturbations. Two examples are given to illustrate the obtained results.     

Reduced mixing generates oscillations and chaos in the oceanic deep chlorophyll maximum

Deep chlorophyll maxima (DCMs) are widespread in large parts of the world's oceans. These deep layers of high chlorophyll concentration reflect a compromise of phytoplankton growth exposed to two opposing resource gradients: light supplied from above and nutrients supplied from below. It is often argued that DCMs are stable features. Here we show, however, that reduced vertical mixing can generate oscillations and chaos in phytoplankton biomass and species composition of DCMs. These fluctuations are caused by a difference in the timescales of two processes: (1) rapid export of sinking plankton, withdrawing nutrients from the euphotic zone and (2) a slow upward flux of nutrients fuelling new phytoplankton production. Climate models predict that global warming will reduce vertical mixing in the oceans. Our model indicates that reduced mixing will generate more variability in DCMs, thereby enhancing variability in oceanic primary production and in carbon export into the ocean interior.     

Complete genome sequence of Pseudomonas aeruginosa PAO1, an opportunistic pathogen

Pseudomonas aeruginosa is a ubiquitous environmental bacterium that is one of the top three causes of opportunistic human infections. A major factor in its prominence as a pathogen is its intrinsic resistance to antibiotics and disinfectants. Here we report the complete sequence of P. aeruginosa strain PAO1. At 6.3 million base pairs, this is the largest bacterial genome sequenced, and the sequence provides insights into the basis of the versatility and intrinsic drug resistance of P. aeruginosa. Consistent with its larger genome size and environmental adaptability, P. aeruginosa contains the highest proportion of regulatory genes observed for a bacterial genome and a large number of genes involved in the catabolism, transport and efflux of organic compounds as well as four potential chemotaxis systems. We propose that the size and complexity of the P. aeruginosa genome reflect an evolutionary adaptation permitting it to thrive in diverse environments and resist the effects of a variety of antimicrobial substances.     

A model for SOS-lesion-targeted mutations in Escherichia coli

The UmuD'2C protein complex (Escherichia coli pol V) is a low-fidelity DNA polymerase (pol) that copies damaged DNA in the presence of RecA, single-stranded-DNA binding protein (SSB) and the beta,gamma-processivity complex of E. coli pol III (ref. 4). Here we propose a model to explain SOS-lesion-targeted mutagenesis, assigning specific biochemical functions for each protein during translesion synthesis. (SOS lesion-targeted mutagenesis occurs when pol V is induced as part of the SOS response to DNA damage and incorrectly incorporates nucleotides opposite template lesions.) Pol V plus SSB catalyses RecA filament disassembly in the 3' to 5' direction on the template, ahead of the polymerase, in a reaction that does not involve ATP hydrolysis. Concurrent ATP-hydrolysis-driven filament disassembly in the 5' to 3' direction results in a bidirectional stripping of RecA from the template strand. The bidirectional collapse of the RecA filament restricts DNA synthesis by pol V to template sites that are proximal to the lesion, thereby minimizing the occurrence of untargeted mutations at undamaged template sites.