Forecasting High‐Frequency Risk Measures

This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we distinguish three concepts of value‐at‐risk (VaR): the total VaR, the marginal (or per‐time‐unit) VaR and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e. the time‐at‐risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. Subsequently, we perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange‐traded fund based on Standard & Poor's 500 index. We show that the intraday HFR forecasts capture accurately the volatility and duration dynamics for these three assets. Copyright © 2015 John Wiley & Sons, Ltd.     

Genome-wide detection and characterization of positive selection in human populations

With the advent of dense maps of human genetic variation, it is now possible to detect positive natural selection across the human genome. Here we report an analysis of over 3 million polymorphisms from the International HapMap Project Phase 2 (HapMap2). We used 'long-range haplotype' methods, which were developed to identify alleles segregating in a population that have undergone recent selection, and we also developed new methods that are based on cross-population comparisons to discover alleles that have swept to near-fixation within a population. The analysis reveals more than 300 strong candidate regions. Focusing on the strongest 22 regions, we develop a heuristic for scrutinizing these regions to identify candidate targets of selection. In a complementary analysis, we identify 26 non-synonymous, coding, single nucleotide polymorphisms showing regional evidence of positive selection. Examination of these candidates highlights three cases in which two genes in a common biological process have apparently undergone positive selection in the same population:LARGE and DMD, both related to infection by the Lassa virus, in West Africa;SLC24A5 and SLC45A2, both involved in skin pigmentation, in Europe; and EDAR and EDA2R, both involved in development of hair follicles, in Asia.