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.     

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.     

Canids from the late Pleistocene of Utah

Two canids, Vulpes vulpes and Canis lupus , are recorded from shoreline deposits of Lake Bonneville in north central Utah. Both species are new records in the Pleistocene sediments of Utah and add to our scarce knowledge of the large carnivores that inhabited the shoreline environments of Lake Bonneville.     

Structure of the cross-beta spine of amyloid-like fibrils

Numerous soluble proteins convert to insoluble amyloid-like fibrils that have common properties. Amyloid fibrils are associated with fatal diseases such as Alzheimer's, and amyloid-like fibrils can be formed in vitro. For the yeast protein Sup35, conversion to amyloid-like fibrils is associated with a transmissible infection akin to that caused by mammalian prions. A seven-residue peptide segment from Sup35 forms amyloid-like fibrils and closely related microcrystals, from which we have determined the atomic structure of the cross-beta spine. It is a double beta-sheet, with each sheet formed from parallel segments stacked in register. Side chains protruding from the two sheets form a dry, tightly self-complementing steric zipper, bonding the sheets. Within each sheet, every segment is bound to its two neighbouring segments through stacks of both backbone and side-chain hydrogen bonds. The structure illuminates the stability of amyloid fibrils, their self-seeding characteristic and their tendency to form polymorphic structures.     

Human theta oscillations exhibit task dependence during virtual maze navigation.

Theta oscillations (electroencephalographic activity with a frequency of 4-8 Hz) have long been implicated in spatial navigation in rodents; however, the role of theta oscillators in human spatial navigation has not been explored. Here we describe subdural recordings from epileptic patients learning to navigate computer-generated mazes. Visual inspection of the raw intracranial signal revealed striking episodes of high-amplitude slow-wave oscillations at a number of areas of the cortex, including temporal cortex. Spectral analysis showed that these oscillations were in the theta band. These episodes of theta activity, which typically last several cycles, are dependent on task characteristics. Theta oscillations occur more frequently in more complex mazes; they are also more frequent during recall trials than during learning trials.     

英国国际合作格局

该报告运用文献计量学方法，对英国及其主要合作伙伴国的国际合作格局做了全面的分析。所选
择的主要国家包括美国、加拿大、法国、德国、日本、澳大利亚、中国与印度；数据覆盖领域有临床、医药
卫生、生物科学、环境科学、数学、物质科学以及工程技术领域；数据时间分为1996－2000年与2001－2005
年两个时间段。结果显示：国际论文数量增长显著；英国国际合作论文份额的增长比G7 国家更加快速； 德
国和美国是英国最大的国际合作伙伴；英国国际合作论文的平均影响力显著高于其科研论文的总体影响力；
中国与英国合作发表的论文数量超过了与其他欧洲各国的合作论文数。     

Late Pleistocene／Holocene wetland events recorded in southeast Tengger Desert lake sediments, NW China

The area along the eastern and southeastern margins of the Tengger Desert, NW China, which is sensitive to the summer monsoon variations, was selected for studying the environmental conditions surrounding the transition between Paleolithic foragers and Neolithic farmer/pastoral-ists. Short cores were obtained from four lake basins in the southwestern Tengger using a hand-driven piston coringdevice. Proxies from these cores were supplemented by ra-diocarbon ages obtained from lake sediment cores, shoreline features and spring mound deposits. Together these records provide evidence of millennial-scale climate change eventsfrom the Pleistocene-Holocene transition to the present.Lake/wetland events, representing periods of more intensive summer monsoon, occur in the records at-12.7-11.6,-10.1, -9.3, -8.0, -5.4, -1.5, and -0.8 ka BP. They do suggest that century- to miliennial-seale climatic cycles are characteristic of the Holocene in the southeastern Tengger Desert although the chronology must be considered extremely tentative.     

An integrated view of the chemistry and mineralogy of martian soils

The mineralogical and elemental compositions of the martian soil are indicators of chemical and physical weathering processes. Using data from the Mars Exploration Rovers, we show that bright dust deposits on opposite sides of the planet are part of a global unit and not dominated by the composition of local rocks. Dark soil deposits at both sites have similar basaltic mineralogies, and could reflect either a global component or the general similarity in the compositions of the rocks from which they were derived. Increased levels of bromine are consistent with mobilization of soluble salts by thin films of liquid water, but the presence of olivine in analysed soil samples indicates that the extent of aqueous alteration of soils has been limited. Nickel abundances are enhanced at the immediate surface and indicate that the upper few millimetres of soil could contain up to one per cent meteoritic material.