A Comparison of the Forecasting Ability of Immediate Price Impact Models

As a consequence of recent technological advances and the proliferation of algorithmic and high‐frequency trading, the cost of trading in financial markets has irrevocably changed. One important change, known as price impact, relates to how trading affects prices. Price impact represents the largest cost associated with trading. Forecasting price impact is very important as it can provide estimates of trading profits after costs and also suggest optimal execution strategies. Although several models have recently been developed which may forecast the immediate price impact of individual trades, limited work has been done to compare their relative performance. We provide a comprehensive performance evaluation of these models and test for statistically significant outperformance amongst candidate models using out‐of‐sample forecasts. We find that normalizing price impact by its average value significantly enhances the performance of traditional non‐normalized models as the normalization factor captures some of the dynamics of price impact. Copyright © 2016 John Wiley & Sons, Ltd.     

Novel Criteria for Exponential Stability of Linear Non-Autonomous Functional Differential Equations

General linear non-autonomous functional differential equations are considered. Explicit criteria for exponential stability are given. Furthermore, the authors present an explicit robust stability bound for systems subject to time-varying perturbations. Two examples are given to illustrate the obtained results.     

ABCB6 is dispensable for erythropoiesis and specifies the new blood group system Langereis

The human ATP-binding cassette (ABC) transporter ABCB6 has been described as a mitochondrial porphyrin transporter essential for heme biosynthesis, but it is also suspected to contribute to anticancer drug resistance, as do other ABC transporters located at the plasma membrane. We identified ABCB6 as the genetic basis of the Lan blood group antigen expressed on red blood cells but also at the plasma membrane of hepatocellular carcinoma (HCC) cells, and we established that ABCB6 encodes a new blood group system (Langereis, Lan). Targeted sequencing of ABCB6 in 12 unrelated individuals of the Lan(-) blood type identified 10 different ABCB6 null mutations. This is the first report of deficient alleles of this human ABC transporter gene. Of note, Lan(-) (ABCB6(-/-)) individuals do not suffer any clinical consequences, although their deficiency in ABCB6 may place them at risk when determining drug dosage.     

Reduced mixing generates oscillations and chaos in the oceanic deep chlorophyll maximum

Deep chlorophyll maxima (DCMs) are widespread in large parts of the world's oceans. These deep layers of high chlorophyll concentration reflect a compromise of phytoplankton growth exposed to two opposing resource gradients: light supplied from above and nutrients supplied from below. It is often argued that DCMs are stable features. Here we show, however, that reduced vertical mixing can generate oscillations and chaos in phytoplankton biomass and species composition of DCMs. These fluctuations are caused by a difference in the timescales of two processes: (1) rapid export of sinking plankton, withdrawing nutrients from the euphotic zone and (2) a slow upward flux of nutrients fuelling new phytoplankton production. Climate models predict that global warming will reduce vertical mixing in the oceans. Our model indicates that reduced mixing will generate more variability in DCMs, thereby enhancing variability in oceanic primary production and in carbon export into the ocean interior.     

Complete genome sequence of Pseudomonas aeruginosa PAO1, an opportunistic pathogen

Pseudomonas aeruginosa is a ubiquitous environmental bacterium that is one of the top three causes of opportunistic human infections. A major factor in its prominence as a pathogen is its intrinsic resistance to antibiotics and disinfectants. Here we report the complete sequence of P. aeruginosa strain PAO1. At 6.3 million base pairs, this is the largest bacterial genome sequenced, and the sequence provides insights into the basis of the versatility and intrinsic drug resistance of P. aeruginosa. Consistent with its larger genome size and environmental adaptability, P. aeruginosa contains the highest proportion of regulatory genes observed for a bacterial genome and a large number of genes involved in the catabolism, transport and efflux of organic compounds as well as four potential chemotaxis systems. We propose that the size and complexity of the P. aeruginosa genome reflect an evolutionary adaptation permitting it to thrive in diverse environments and resist the effects of a variety of antimicrobial substances.     

A model for SOS-lesion-targeted mutations in Escherichia coli

The UmuD'2C protein complex (Escherichia coli pol V) is a low-fidelity DNA polymerase (pol) that copies damaged DNA in the presence of RecA, single-stranded-DNA binding protein (SSB) and the beta,gamma-processivity complex of E. coli pol III (ref. 4). Here we propose a model to explain SOS-lesion-targeted mutagenesis, assigning specific biochemical functions for each protein during translesion synthesis. (SOS lesion-targeted mutagenesis occurs when pol V is induced as part of the SOS response to DNA damage and incorrectly incorporates nucleotides opposite template lesions.) Pol V plus SSB catalyses RecA filament disassembly in the 3' to 5' direction on the template, ahead of the polymerase, in a reaction that does not involve ATP hydrolysis. Concurrent ATP-hydrolysis-driven filament disassembly in the 5' to 3' direction results in a bidirectional stripping of RecA from the template strand. The bidirectional collapse of the RecA filament restricts DNA synthesis by pol V to template sites that are proximal to the lesion, thereby minimizing the occurrence of untargeted mutations at undamaged template sites.     

New results on system of generalized quasi-Ky Fan inequalities with set-valued mappings in topological semilattice spaces

Under new assumptions, this paper obtains some extended versions of Ky Fan type inequality for a family of C-continuous set-valued mappings in the setting of topological semilattices. The obtained results are new and different from the corresponding known results in the literature. Some special cases of the main result are also discussed. Some examples are given to illustrate the results.     

AID and Apobec3G haphazard deamination and mutational diversity

Activation-induced deoxycytidine deaminase (AID) and Apobec 3G (Apo3G) cause mutational diversity by initiating mutations on regions of single-stranded (ss) DNA. Expressed in B cells, AID deaminates C → U in actively transcribed immunoglobulin (Ig) variable and switch regions to initiate the somatic hypermutation (SHM) and class switch recombination (CSR) that are essential for antibody diversity. Apo3G expressed in T cells catalyzes C deaminations on reverse transcribed cDNA causing HIV-1 retroviral inactivation. When operating properly, AID- and Apo3G-initiated mutations boost human fitness. Yet, both enzymes are potentially powerful somatic cell “mutators”. Loss of regulated expression and proper genome targeting can cause human cancer. Here, we review well-established biological roles of AID and Apo3G. We provide a synopsis of AID partnering proteins during SHM and CSR, and describe how an Apo2 crystal structure provides “surrogate” insight for AID and Apo3G biochemical behavior. However, large gaps remain in our understanding of how dC deaminases search ssDNA to identify trinucleotide motifs to deaminate. We discuss two recent methods to analyze ssDNA scanning and deamination. Apo3G scanning and deamination is visualized in real-time using single-molecule FRET, and AID deamination efficiencies are determined with a random walk analysis. AID and Apo3G encounter many candidate deamination sites while scanning ssDNA. Generating mutational diversity is a principal aim of AID and an important ancillary property of Apo3G. Success seems likely to involve hit and miss deamination motif targeting, biased strongly toward miss.     

Susceptibility to leprosy is associated with PARK2 and PACRG

Leprosy is caused by Mycobacterium leprae and affects about 700,000 individuals each year. It has long been thought that leprosy has a strong genetic component, and recently we mapped a leprosy susceptibility locus to chromosome 6 region q25-q26 (ref. 3). Here we investigate this region further by using a systematic association scan of the chromosomal interval most likely to harbour this leprosy susceptibility locus. In 197 Vietnamese families we found a significant association between leprosy and 17 markers located in a block of approx. 80 kilobases overlapping the 5' regulatory region shared by the Parkinson's disease gene PARK2 and the co-regulated gene PACRG. Possession of as few as two of the 17 risk alleles was highly predictive of leprosy. This was confirmed in a sample of 975 unrelated leprosy cases and controls from Brazil in whom the same alleles were strongly associated with leprosy. Variants in the regulatory region shared by PARK2 and PACRG therefore act as common risk factors for leprosy.     

The endothelial-cell-derived secreted factor Egfl7 regulates vascular tube formation

Vascular development is a complex but orderly process that is tightly regulated. A number of secreted factors produced by surrounding cells regulate endothelial cell (EC) differentiation, proliferation, migration and coalescence into cord-like structures. Vascular cords then undergo tubulogenesis to form vessels with a central lumen. But little is known about how tubulogenesis is regulated in vivo. Here we report the identification and characterization of a new EC-derived secreted factor, EGF-like domain 7 (Egfl7). Egfl7 is expressed at high levels in the vasculature associated with tissue proliferation, and is downregulated in most of the mature vessels in normal adult tissues. Loss of Egfl7 function in zebrafish embryos specifically blocks vascular tubulogenesis. We uncover a dynamic process during which gradual separation and proper spatial arrangement of the angioblasts allow subsequent assembly of vascular tubes. This process fails to take place in Egfl7 knockdown embryos, leading to the failure of vascular tube formation. Our study defines a regulator that controls a specific and important step in vasculogenesis.