Enhancing momentum investment strategy using leverage

Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns only among stocks with high leverage levels, but not among stocks with low leverage levels. However, high past returns (winners) forecast future positive abnormal returns independently of leverage level. As a result, the negative relation between leverage and future abnormal returns is only observed among loser stocks, and the positive relation between past returns and future abnormal returns is only shown among non‐low leverage stocks. Our results are important in achieving better investment strategies: buying winners' stocks (independently of their level of leverage) and short‐selling losers' stocks with high leverage yield higher abnormal returns than strategies based on only one of these variables. Our two‐dimensional strategy yields risk‐adjusted abnormal returns of 15.66% per annum, whereas the single leverage or momentum strategies yield 7.70% and 7.96% per annum, respectively. The difference is nearly 8% and economically significant. If leverage is considered as proxy for default risk, our results, contrary to previous evidence, show that momentum profits are not exclusive of default stocks, and that momentum returns are not only driven by negative returns yielded by distress stocks.     

Degradation of the mitochondrial complex I assembly factor TMEM126B under chronic hypoxia

Cell stress such as hypoxia elicits adaptive responses, also on the level of mitochondria, and in part is mediated by the hypoxia-inducible factor (HIF) 1α. Adaptation of mitochondria towards acute hypoxic conditions is reasonably well understood, while regulatory mechanisms, especially of respiratory chain assembly factors, under chronic hypoxia remains elusive. One of these assembly factors is transmembrane protein 126B (TMEM126B). This protein is part of the mitochondrial complex I assembly machinery. We identified changes in complex I abundance under chronic hypoxia, in association with impaired substrate-specific mitochondrial respiration. Complexome profiling of isolated mitochondria of the human leukemia monocytic cell line THP-1 revealed HIF-1α-dependent deficits in complex I assembly and mitochondrial complex I assembly complex (MCIA) abundance. Of all mitochondrial MCIA members, we proved a selective HIF-1-dependent decrease of TMEM126B under chronic hypoxia. Mechanistically, HIF-1α induces the E3-ubiquitin ligase F-box/WD repeat-containing protein 1A (β-TrCP1), which in turn facilitates the proteolytic degradation of TMEM126B. Attenuating a functional complex I assembly appears critical for cellular adaptation towards chronic hypoxia and is linked to destruction of the mitochondrial assembly factor TMEM126B.     

Defining G protein-coupled receptor peptide ligand expressomes and signalomes in human and mouse islets

Introduction

Islets synthesise and secrete numerous peptides, some of which are known to be important regulators of islet function and glucose homeostasis. In this study, we quantified mRNAs encoding all peptide ligands of islet G protein-coupled receptors (GPCRs) in isolated human and mouse islets and carried out in vitro islet hormone secretion studies to provide functional confirmation for the species-specific role of peptide YY (PYY) in mouse islets.

Materials and methods

GPCR peptide ligand mRNAs in human and mouse islets were quantified by quantitative real-time PCR relative to the reference genes ACTB, GAPDH, PPIA, TBP and TFRC. The pathways connecting GPCR peptide ligands with their receptors were identified by manual searches in the PubMed, IUPHAR and Ingenuity databases. Distribution of PYY protein in mouse and human islets was determined by immunohistochemistry. Insulin, glucagon and somatostatin secretion from islets was measured by radioimmunoassay.

Results

We have quantified GPCR peptide ligand mRNA expression in human and mouse islets and created specific signalomes mapping the pathways by which islet peptide ligands regulate human and mouse GPCR signalling. We also identified species-specific islet expression of several GPCR ligands. In particular, PYY mRNA levels were ~ 40,000-fold higher in mouse than human islets, suggesting a more important role of locally secreted Pyy in mouse islets. This was confirmed by IHC and functional experiments measuring insulin, glucagon and somatostatin secretion.

Discussion

The detailed human and mouse islet GPCR peptide ligand atlases will allow accurate translation of mouse islet functional studies for the identification of GPCR/peptide signalling pathways relevant for human physiology, which may lead to novel treatment modalities of diabetes and metabolic disease.

     

Evidence of G-protein-coupled receptor and substrate transporter heteromerization at a single molecule level

G-protein-coupled receptors (GPCRs) can constitute complexes with non-GPCR integral membrane proteins, while such interaction has not been demonstrated at a single molecule level so far. We here investigated the potential interaction between the thyrotropin receptor (TSHR) and the monocarboxylate transporter 8 (MCT8), a member of the major facilitator superfamily (MFS), using fluorescence cross-correlation spectroscopy (FCCS). Both the proteins are expressed endogenously on the basolateral plasma membrane of the thyrocytes and are involved in stimulation of thyroid hormone production and release. Indeed, we demonstrate strong interaction between both the proteins which causes a suppressed activation of G_q/11 by TSH-stimulated TSHR. Thus, we provide not only evidence for a novel interaction between the TSHR and MCT8, but could also prove this interaction on a single molecule level. Moreover, this interaction forces biased signaling at the TSHR. These results are of general interest for both the GPCR and the MFS research fields.     

Elucidating the diel and seasonal calling behaviour of Elachistocleis matogrosso (Anura: Microhylidae)

ABSTRACT

Acoustic monitoring provides the opportunity to study ecological processes that are difficult to assess with traditional surveys. Elachistocleis matogrosso is an anuran species, described in 2010, for which limited biological information is available. This study investigated the calling activity of the species in the north-eastern portion of the Pantanal, Brazil, a wetland area with marked seasonality between the dry and wet seasons. The calling activity of E. matogrosso was monitored using automated digital recorders in combination with automated signal recognition software over two different annual cycles. The species was vocally active only during the wet season (October – April), with a peak in November-December during the 2013–2014 annual cycle and in February-March during the 2015–2016 annual cycle. The peak calling activity occurred at dusk. This species has nocturnal habits and an explosive breeding activity. The detection of the species was intermittent, which suggests that environmental predictors or site-specific conditions might play an important role in species detection. Moreover, this intermittent occupancy indicated that surveys that employ traditional field techniques would likely fail to detect this species. We describe an effective protocol for detecting E. matogrosso with acoustic monitoring, which requires recording during 20 days in February from 17:01 to 05:00. Our procedure would be easy to adapt to other anuran species, and it could be used for investigating new localities and assessing population changes over time.     

改进元胞遗传算法的转塔式贴片机贴装优化

研究了转塔式贴片机的贴装过程优化问题,将其分解为元件贴装顺序和供料器布置,建立以组装时间最短为目标的贴装过程优化模型,然后采用元胞遗传算法对模型进行求解,基于问题的特点提出二维分段式的十进制编码方式,在遗传操作过程中运用改进的顺序交叉和自适应的变异操作,并在算法中结合局部搜索策略,实现了贴装顺序和供料槽布置的同时优化.实例求解和对比结果表明本算法在求解效率和求解结果上都优于传统遗传算法,从而证明了该算法的有效性.     

基于划分和压缩数据库的改进Apriori算法

针对Apriori算法在面对大规模数据时效率较低的问题,提出了一种基于划分和压缩数据库的改进方法。该方法首先依据特征数据出现的频率将数据按照升序存储在临时数组中;然后将原始事务数据库分为几个互不相交的事务数据库,使得子数据库能够容纳在内存中;最后根据每个子数据库计算出的频繁项集计算整个数据库的频繁项集,从而消除了不必要的冗余数据。通过改进可以将大规模数据集进行有效的划分和压缩,对子数据库进行关联规则挖掘。实验结果表明,改进的Apriori算法在针对海量数据挖掘的执行速度和效率都有很大提高。     

Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections

This paper examines the forecast accuracy of an unrestricted vector autoregressive (VAR) model for GDP, relative to a comparable vector error correction model (VECM) that recognizes that the data are characterized by co‐integration. In addition, an alternative forecast method, intercept correction, is considered for further comparison. Recursive out‐of‐sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VECM consistently outperforms the VAR models. Further, intercept correction enhances the forecast accuracy when applied to the VECM, whereas there is no such indication when applied to the VAR model. For certain forecast horizons there is a significant difference in forecast ability between the intercept corrected VECM compared to the VAR model. Copyright © 2015 John Wiley & Sons, Ltd.