Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment

A variety of recent studies provide a skeptical view on the predictability of stock returns. Empirical evidence shows that most prediction models suffer from a loss of information, model uncertainty, and structural instability by relying on low‐dimensional information sets. In this study, we evaluate the predictive ability of various lately refined forecasting strategies, which handle these issues by incorporating information from many potential predictor variables simultaneously. We investigate whether forecasting strategies that (i) combine information and (ii) combine individual forecasts are useful to predict US stock returns, that is, the market excess return, size, value, and the momentum premium. Our results show that methods combining information have remarkable in‐sample predictive ability. However, the out‐of‐sample performance suffers from highly volatile forecast errors. Forecast combinations face a better bias–efficiency trade‐off, yielding a consistently superior forecast performance for the market excess return and the size premium even after the 1970s.     

What can we learn from the fifties?

Economists have increasingly elicited probabilistic expectations from survey respondents. Subjective probabilistic expectations show great promise to improve the estimation of structural models of decision making under uncertainty. However, a robust finding in these surveys is an inappropriate heap of responses at “50%,” suggesting that some of these responses are uninformative. The way these 50s are treated in the subsequent analysis is of major importance. Taking the 50s at face value will bias any aggregate statistics. Conversely, deleting them is not appropriate if some of these answers do convey some information. Furthermore, the attention of researchers is so focused on this heap of 50s that they do not consider the possibility that other answers may be uninformative as well. This paper proposes to take a fresh look at these questions using a new method based on weak assumptions to identify the informativeness of an answer. Applying the method to probabilistic expectations of equity returns in three waves of the Survey of Economic Expectations in 1999–2001, I find that: (i) at least 65% of the 50s convey no information at all; (ii) it is the answer most often provided among the answers identified as uninformative; (iii) but even if the 50s are a major contributor to noise, they represent at best 70% of the identified uninformative answers. These findings have various implications for survey design.     

Role of sulphuric acid, ammonia and galactic cosmic rays in atmospheric aerosol nucleation

Atmospheric aerosols exert an important influence on climate through their effects on stratiform cloud albedo and lifetime and the invigoration of convective storms. Model calculations suggest that almost half of the global cloud condensation nuclei in the atmospheric boundary layer may originate from the nucleation of aerosols from trace condensable vapours, although the sensitivity of the number of cloud condensation nuclei to changes of nucleation rate may be small. Despite extensive research, fundamental questions remain about the nucleation rate of sulphuric acid particles and the mechanisms responsible, including the roles of galactic cosmic rays and other chemical species such as ammonia. Here we present the first results from the CLOUD experiment at CERN. We find that atmospherically relevant ammonia mixing ratios of 100 parts per trillion by volume, or less, increase the nucleation rate of sulphuric acid particles more than 100-1,000-fold. Time-resolved molecular measurements reveal that nucleation proceeds by a base-stabilization mechanism involving the stepwise accretion of ammonia molecules. Ions increase the nucleation rate by an additional factor of between two and more than ten at ground-level galactic-cosmic-ray intensities, provided that the nucleation rate lies below the limiting ion-pair production rate. We find that ion-induced binary nucleation of H(2)SO(4)-H(2)O can occur in the mid-troposphere but is negligible in the boundary layer. However, even with the large enhancements in rate due to ammonia and ions, atmospheric concentrations of ammonia and sulphuric acid are insufficient to account for observed boundary-layer nucleation.     

Dialyzable serum factors alter cellular immunity in pregnancy

Summary Lymphocyte responsiveness was found to be decreased in pregnant and increased in habitually aborting women. This is attributed to a dialyzable serum factor(s), that can be removed from the surface of lymphocytes by repeated washing.     

Chronic lymphocytic leukaemia is driven by antigen-independent cell-autonomous signalling

B-cell antigen receptor (BCR) expression is an important feature of chronic lymphocytic leukaemia (CLL), one of the most prevalent B-cell neoplasias in Western countries. The presence of stereotyped and quasi-identical BCRs in different CLL patients suggests that recognition of specific antigens might drive CLL pathogenesis. Here we show that, in contrast to other B-cell neoplasias, CLL-derived BCRs induce antigen-independent cell-autonomous signalling, which is dependent on the heavy-chain complementarity-determining region (HCDR3) and an internal epitope of the BCR. Indeed, transferring the HCDR3 of a CLL-derived BCR provides autonomous signalling capacity to a non-autonomously active BCR, whereas mutations in the internal epitope abolish this capacity. Because BCR expression was required for the binding of secreted CLL-derived BCRs to target cells, and mutations in the internal epitope reduced this binding, our results indicate a new model for CLL pathogenesis, with cell-autonomous antigen-independent signalling as a crucial pathogenic mechanism.     

Brain homeostasis: VEGF receptor 1 and 2—two unequal brothers in mind

Vascular endothelial growth factors (VEGFs), initially thought to act specifically on the vascular system, exert trophic effects on neural cells during development and adulthood. Therefore, the VEGF system serves as a promising therapeutic target for brain pathologies, but its simultaneous action on vascular cells paves the way for harmful side effects. To circumvent these deleterious effects, many studies have aimed to clarify whether VEGFs directly affect neural cells or if the effects are mediated secondarily via other cell types, like vascular cells. A great number of reports have shown the expression and function of VEGF receptors (VEGFRs), mainly VEGFR-1 and -2, in neural cells, where VEGFR-2 has been described as the major mediator of VEGF-A signals. This review aims to summarize and compare the divergent roles of VEGFR-1 and -2 during CNS development and homeostasis.     

4D Design and Simulation Technologies and Process Design Patterns to Support Lean Construction Methods

The objective of this ongoing joint research program is to determine how 3D/4D modeling, simulation and visualization of Products (buildings), Organizations and Processes (POP) can support lean construction. Initial findings suggest that Process Design Pattern may have the potential to intuitively support ICT based lean construction. We initiated a "Process Archeology" in order to reveal the requirements for tools that can support the planning, simulation and control of lean construction methods. First findings show that existing tools provide only limited support and therefore, we started to develop new methodologies and technologies to overcome these shortcomings. Through the introduction of Process Design Patterns, we intent to establish process thinking in the interdisciplinary POP design. Optimized construction processes may be synthesized with semi-automatic methods by applying Process Design Patterns on building structures. By providing process templates that integrate problem solution and expert knowledge, Process Design Patterns may have the potential to ensure high quality process models.     

认识黑洞边缘

最新的研究显示,黑洞也能成为明亮的辐射源——在吸积周围物质的过程中,当吸积盘中的气体盘旋着掉入黑洞时会释放出大量的引力能,这些辐射为我们认识黑洞边缘的秘密提供了一条途径。 黑洞的辐射主要来自吸积盘的热辐射。其中的幂律硬X射线是来自吸积盘的光子和吸积盘冕中热电子互相作用的结果。这一光谱已经在恒星质量黑洞中