A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

复数,实数及实对称数据下Bruun FFT算法的实现

本文在复数、实数以及实对称数据下研究和实现了Ｂｒｕｕｎ ＦＦＴ算法。文章分析和评价了各种数据下ＢｒｕｕｎＦＦＴ的运算量和特点，提出了算法的实现结构和方法。最后给了ＴＭＳ３２０Ｃ３０上的运算时间，我们实现的算法比基２ＦＦＴ速度提高３５％。     

Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

Expanding the diversity of chemical protein modification allows post-translational mimicry

One of the most important current scientific paradoxes is the economy with which nature uses genes. In all higher animals studied, we have found many fewer genes than we would have previously expected. The functional outputs of the eventual products of genes seem to be far more complex than the more restricted blueprint. In higher organisms, the functions of many proteins are modulated by post-translational modifications (PTMs). These alterations of amino-acid side chains lead to higher structural and functional protein diversity and are, therefore, a leading contender for an explanation for this seeming incongruity. Natural protein production methods typically produce PTM mixtures within which function is difficult to dissect or control. Until now it has not been possible to access pure mimics of complex PTMs. Here we report a chemical tagging approach that enables the attachment of multiple modifications to bacterially expressed (bare) protein scaffolds: this approach allows reconstitution of functionally effective mimics of higher organism PTMs. By attaching appropriate modifications at suitable distances in the widely-used LacZ reporter enzyme scaffold, we created protein probes that included sensitive systems for detection of mammalian brain inflammation and disease. Through target synthesis of the desired modification, chemistry provides a structural precision and an ability to retool with a chosen PTM in a manner not available to other approaches. In this way, combining chemical control of PTM with readily available protein scaffolds provides a systematic platform for creating probes of protein-PTM interactions. We therefore anticipate that this ability to build model systems will allow some of this gene product complexity to be dissected, with the aim of eventually being able to completely duplicate the patterns of a particular protein's PTMs from an in vivo assay into an in vitro system.     

Robins have a magnetic compass in both eyes

Arising from W. Wiltschko et al. 419, 467-470 (2002); Wiltschko et al. replyThe magnetic compass of migratory birds is embedded in the visual system and it has been reported by Wiltschko et al. that European Robins, Erithacus rubecula, cannot show magnetic compass orientation using their left eye only. This has led to the notion that the magnetic compass should be located only in the right eye of birds. However, a complete right lateralization of the magnetic compass would be very surprising, and functional neuroanatomical data have questioned this notion. Here we show that the results of Wiltschko et al. could not be independently confirmed using double-blind protocols. European Robins can perform magnetic compass orientation with both eyes open, with the left eye open only, and with the right eye open only. No clear lateralization is observed.     

A humanized model for multiple sclerosis using HLA-DR2 and a human T-cell receptor

Multiple sclerosis (MS) is a complex chronic neurologic disease with a suspected autoimmune pathogenesis. Although there is evidence that the development of MS is determined by both environmental influences and genes, these factors are largely undefined, except for major histocompatibility (MHC) genes. Linkage analyses and association studies have shown that susceptibility to MS is associated with genes in the human histocompatibility leukocyte antigens (HLA) class II region, but the contribution of these genes to MS disease development less compared with their contribution to disorders such as insulin-dependent diabetes mellitus. Due to the strong linkage disequilibrium in the MHC class II region, it has not been possible to determine which gene(s) is responsible for the genetic predisposition. In transgenic mice, we have expressed three human components involved in T-cell recognition of an MS-relevant autoantigen presented by the HLA-DR2 molecule: DRA*0101/DRB1*1501 (HLA-DR2), an MHC class II candidate MS susceptibility genes found in individuals of European descent; a T-cell receptor (TCR) from an MS-patient-derived T-cell clone specific for the HLA-DR2 bound immunodominant myelin basic protein (MBP) 4102 peptide; and the human CD4 coreceptor. The amino acid sequence of the MBP 84-102 peptide is the same in both human and mouse MBP. Following administration of the MBP peptide, together with adjuvant and pertussis toxin, transgenic mice developed focal CNS inflammation and demyelination that led to clinical manifestations and disease courses resembling those seen in MS. Spontaneous disease was observed in 4% of mice. When DR2 and TCR double-transgenic mice were backcrossed twice to Rag2 (for recombination-activating gene 2)-deficient mice, the incidence of spontaneous disease increased, demonstrating that T cells specific for the HLA-DR2 bound MBP peptide are sufficient and necessary for development of disease. Our study provides evidence that HLA-DR2 can mediate both induced and spontaneous disease resembling MS by presenting an MBP self-peptide to T cells.     

Physiology: does gut hormone PYY3-36 decrease food intake in rodents?

Batterham et al. report that the gut peptide hormone PYY3-36 decreases food intake and body-weight gain in rodents, a discovery that has been heralded as potentially offering a new therapy for obesity. However, we have been unable to replicate their results. Although the reasons for this discrepancy remain undetermined, an effective anti-obesity drug ultimately must produce its effects across a range of situations. The fact that the findings of Batterham et al. cannot easily be replicated calls into question the potential value of an anti-obesity approach that is based on administration of PYY3-36.     

Shoot control of root development and nodulation is mediated by a receptor-like kinase

In legumes, root nodule organogenesis is activated in response to morphogenic lipochitin oligosaccharides that are synthesized by bacteria, commonly known as rhizobia. Successful symbiotic interaction results in the formation of highly specialized organs called root nodules, which provide a unique environment for symbiotic nitrogen fixation. In wild-type plants the number of nodules is regulated by a signalling mechanism integrating environmental and developmental cues to arrest most rhizobial infections within the susceptible zone of the root. Furthermore, a feedback mechanism controls the temporal and spatial susceptibility to infection of the root system. This mechanism is referred to as autoregulation of nodulation, as earlier nodulation events inhibit nodulation of younger root tissues. Lotus japonicus plants homozygous for a mutation in the hypernodulation aberrant root (har1) locus escape this regulation and form an excessive number of nodules. Here we report the molecular cloning and expression analysis of the HAR1 gene and the pea orthologue, Pisum sativum, SYM29. HAR1 encodes a putative serine/threonine receptor kinase, which is required for shoot-controlled regulation of root growth, nodule number, and for nitrate sensitivity of symbiotic development.     

Aberrant O-glycosylation and anti-glycan antibodies in an autoimmune disease IgA nephropathy and breast adenocarcinoma

Glycosylation abnormalities have been observed in autoimmune diseases and cancer. Here, we compare mechanisms of aberrant O-glycosylation, i.e., formation of Tn and sialyl-Tn structures, on MUC1 in breast cancer, and on IgA1 in an autoimmune disease, IgA nephropathy. The pathways of aberrant O-glycosylation, although different for MUC1 and IgA1, include dysregulation in glycosyltransferase expression, stability, and/or intracellular localization. Moreover, these aberrant glycoproteins are recognized by antibodies, although with different consequences. In breast cancer, elevated levels of antibodies recognizing aberrant MUC1 are associated with better outcome, whereas in IgA nephropathy, the antibodies recognizing aberrant IgA1 are part of the pathogenetic process.