WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

A structural interpretation of measurement and some related epistemological issues

Measurement is widely applied because its results are assumed to be more reliable than opinions and guesses, but this reliability is sometimes justified in a stereotyped way. After a critical analysis of such stereotypes, a structural characterization of measurement is proposed, as partly empirical and partly theoretical process, by showing that it is in fact the structure of the process that guarantees the reliability of its results. On this basis the role and the structure of background knowledge in measurement and the justification of the conditions of object-relatedness (“objectivity”) and subject-independence (“intersubjectivity”) of measurement are specifically discussed.     

Low-energy acoustic plasmons at metal surfaces

Nearly two-dimensional (2D) metallic systems formed in charge inversion layers and artificial layered materials permit the existence of low-energy collective excitations, called 2D plasmons, which are not found in a three-dimensional (3D) metal. These excitations have caused considerable interest because their low energy allows them to participate in many dynamical processes involving electrons and phonons, and because they might mediate the formation of Cooper pairs in high-transition-temperature superconductors. Metals often support electronic states that are confined to the surface, forming a nearly 2D electron-density layer. However, it was argued that these systems could not support low-energy collective excitations because they would be screened out by the underlying bulk electrons. Rather, metallic surfaces should support only conventional surface plasmons-higher-energy modes that depend only on the electron density. Surface plasmons have important applications in microscopy and sub-wavelength optics, but have no relevance to the low-energy dynamics. Here we show that, in contrast to expectations, a low-energy collective excitation mode can be found on bare metal surfaces. The mode has an acoustic (linear) dispersion, different to the dependence of a 2D plasmon, and was observed on Be(0001) using angle-resolved electron energy loss spectroscopy. First-principles calculations show that it is caused by the coexistence of a partially occupied quasi-2D surface-state band with the underlying 3D bulk electron continuum and also that the non-local character of the dielectric function prevents it from being screened out by the 3D states. The acoustic plasmon reported here has a very general character and should be present on many metal surfaces. Furthermore, its acoustic dispersion allows the confinement of light on small surface areas and in a broad frequency range, which is relevant for nano-optics and photonics applications.     

Disruption of an SF2/ASF-dependent exonic splicing enhancer in SMN2 causes spinal muscular atrophy in the absence of SMN1

Alteration of correct splicing patterns by disruption of an exonic splicing enhancer may be a frequent mechanism by which point mutations cause genetic diseases. Spinal muscular atrophy results from the lack of functional survival of motor neuron 1 gene (SMN1), even though all affected individuals carry a nearly identical, normal SMN2 gene. SMN2 is only partially active because a translationally silent, single-nucleotide difference in exon 7 causes exon skipping. Using ESE motif-prediction tools, mutational analysis and in vivo and in vitro splicing assays, we show that this single-nucleotide change occurs within a heptamer motif of an exonic splicing enhancer, which in SMN1 is recognized directly by SF2/ASF. The abrogation of the SF2/ASF-dependent ESE is the basis for inefficient inclusion of exon 7 in SMN2, resulting in the spinal muscular atrophy phenotype.     

Induction of dendritic spines by an extracellular domain of AMPA receptor subunit GluR2

Synaptic transmission from excitatory nerve cells in the mammalian brain is largely mediated by AMPA (alpha-amino-3-hydroxy-5-methyl-4-isoxazole propionic acid)-type glutamate receptors located at the surface of dendritic spines. The abundance of postsynaptic AMPA receptors correlates with the size of the synapse and the dimensions of the dendritic spine head. Moreover, long-term potentiation is associated with the formation of dendritic spines as well as synaptic delivery of AMPA receptors. The molecular mechanisms that coordinate AMPA receptor delivery and spine morphogenesis are unknown. Here we show that overexpression of the glutamate receptor 2 (GluR2) subunit of AMPA receptors increases spine size and density in hippocampal neurons, and more remarkably, induces spine formation in GABA-releasing interneurons that normally lack spines. The extracellular N-terminal domain (NTD) of GluR2 is responsible for this effect, and heterologous fusion proteins of the NTD of GluR2 inhibit spine morphogenesis. We propose that the NTD of GluR2 functions at the cell surface as part of a receptor-ligand interaction that is important for spine growth and/or stability.     

Haploinsufficiency of ATP1A2 encoding the Na+/K+ pump alpha2 subunit associated with familial hemiplegic migraine type 2

Headache attacks and autonomic dysfunctions characterize migraine, a very common, disabling disorder with a prevalence of 12% in the general population of Western countries. About 20% of individuals affected with migraine experience aura, a visual or sensory-motor neurological dysfunction that usually precedes or accompanies the headache. Although the mode of transmission is controversial, population-based and twin studies have implicated genetic factors, especially in migraine with aura. Familial hemiplegic migraine is a hereditary form of migraine characterized by aura and some hemiparesis. Here we show that mutations in the gene ATP1A2 that encodes the alpha2 subunit of the Na+/K+ pump are associated with familial hemiplegic migraine type 2 (FHM2) linked to chromosome 1q23 (OMIM 602481). Functional data indicate that the putative pathogenetic mechanism is triggered by a loss of function of a single allele of ATP1A2. This is the first report associating mutations of Na+K+ pump subunits to genetic diseases.     

Release of eIF6 (p27BBP) from the 60S subunit allows 80S ribosome assembly

The assembly of 80S ribosomes requires joining of the 40S and 60S subunits, which is triggered by the formation of an initiation complex on the 40S subunit. This event is rate-limiting for translation, and depends on external stimuli and the status of the cell. Here we show that 60S subunits are activated by release of eIF6 (also termed p27BBP). In the cytoplasm, eIF6 is bound to free 60S but not to 80S. Furthermore, eIF6 interacts in the cytoplasm with RACK1, a receptor for activated protein kinase C (PKC). RACK1 is a major component of translating ribosomes, which harbour significant amounts of PKC. Loading 60S subunits with eIF6 caused a dose-dependent translational block and impairment of 80S formation, which were reversed by expression of RACK1 and stimulation of PKC in vivo and in vitro. PKC stimulation led to eIF6 phosphorylation, and mutation of a serine residue in the carboxy terminus of eIF6 impaired RACK1/PKC-mediated translational rescue. We propose that eIF6 release regulates subunit joining, and that RACK1 provides a physical and functional link between PKC signalling and ribosome activation.     

Mantle thermal pulses below the Mid-Atlantic Ridge and temporal variations in the formation of oceanic lithosphere

A 20-Myr record of creation of oceanic lithosphere is exposed along a segment of the central Mid-Atlantic Ridge on an uplifted sliver of lithosphere. The degree of melting of the mantle that is upwelling below the ridge, estimated from the chemistry of the exposed mantle rocks, as well as crustal thickness inferred from gravity measurements, show oscillations of approximately 3-4 Myr superimposed on a longer-term steady increase with time. The time lag between oscillations of mantle melting and crustal thickness indicates that the mantle is upwelling at an average rate of approximately 25 mm x yr(-1), but this appears to vary through time. Slow-spreading lithosphere seems to form through dynamic pulses of mantle upwelling and melting, leading not only to along-axis segmentation but also to across-axis structural variability. Also, the central Mid-Atlantic Ridge appears to have become steadily hotter over the past 20 Myr, possibly owing to north-south mantle flow.     

CDMA系统及其降噪的实验方法：系统设计到硬件测试所通过的超大规模集成电路

本书介绍了意大利比萨大学一个团队的开发项目——CDMA移动终端接受器．以及从中获取的经验，为通信理论到VLSI实现建立了一座桥梁，呈现了从最初系统设计到最终硬件测试所需要的电信和电子相关知识，主要目的是为通信电路的设计提供理论和实践上的支持。书中介绍的知识和技术可以运用到更一般的无线调制解调器的构架设计和实现。