Selection of Value‐at‐Risk models

Value‐at‐Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India's NSE‐50 index, at the 95% and 99% levels. We employ a two‐stage model selection procedure. In the first stage we test a class of models for statistical accuracy. If multiple models survive rejection with the tests, we perform a second stage filtering of the surviving models using subjective loss functions. This two‐stage model selection procedure does prove to be useful in choosing a VaR model, while only incompletely addressing the problem. These case studies give us some evidence about the strengths and limitations of present knowledge on estimation and testing for VaR. Copyright © 2003 John Wiley & Sons, Ltd.     

Hemoglobin catabolism and the killing of intraerythrocytic<Emphasis Type="Italic">Plasmodium falciparum</Emphasis> by chloroquine

To evaluate how chloroquine kills malaria parasites, hemoglobin catabolism was studied at the various stages of intraerythrocytic parasite development. We found that hemoglobin catabolism is switched off whenPlasmodium falciparum parasites mature to the late trophozoite or early schizont stages and is switched on again during the ring stage. When hemoglobin catabolism is switched off, the parasites are resistant to the morphologic effects of chloroquine. Although the ring stage parasites failed to mature in the presence of chloroquine, some of them switched on hemoglobin ingestion and became stuffed with hemoglobin-filled vesicles, indicating a distal block in catabolism. In fact, we demonstrated a high-grade block in hemozoin production during a 22 h incubation of synchronized ring forms; ferriprotoporphyrin IX (FP) incorporation into the β-hematin of hemozoin decreased from 900 to 50 pmol/10⁶ parasitized erythrocytes. We propose that the primary effect of chloroquine on hemoglobin catabolism is to block FP polymerization to β-hematin. Secondarily, toxic FP and FP-chloroquine complexes accumulate and are available to exert their several toxicities, which include inhibition of hemoglobindegrading proteases and membrane damage. As a consequence, maturation is arrested and eventually the parasites die and lyse.     

Modelling the development of supply‐restricted telecommunications markets

A large proportion of the world telecommunications market can be characterized as supply restricted. In ITU (1999) official waiting lists numbered about 50 million worldwide with an average waiting time of two years. More than 100 countries had not eliminated the waiting list for telephone connections and hence a supply restricted market prevailed in all of these countries. Only about 25 countries have succeeded in eradicating their waiting list for basic telephone service. In terms of the pattern of diffusion, the subscriber's flow from waiting applicants to adopters is controlled by supply restrictions adding an important dimension that needs to be addressed when modeling and forecasting demand. An empirical analysis of the diffusion of main telephones in 46 supply‐restricted countries is presented to demonstrate the usefulness of a three‐stage Bass model that has been proposed to capture the dynamics of supply restrictions. We also compare the forecasting ability of different approaches to estimation when panel data are available. Copyright © 2001 John Wiley & Sons, Ltd.     

Measuring large‐scale market responses and forecasting aggregated sales: Regression for sparse high‐dimensional data

In this article, we propose a regression model for sparse high‐dimensional data from aggregated store‐level sales data. The modeling procedure includes two sub‐models of topic model and hierarchical factor regressions. These are applied in sequence to accommodate high dimensionality and sparseness and facilitate managerial interpretation. First, the topic model is applied to aggregated data to decompose the daily aggregated sales volume of a product into sub‐sales for several topics by allocating each unit sale (“word” in text analysis) in a day (“document”) into a topic based on joint‐purchase information. This stage reduces the dimensionality of data inside topics because the topic distribution is nonuniform and product sales are mostly allocated into smaller numbers of topics. Next, the market response regression model for the topic is estimated from information about items in the same topic. The hierarchical factor regression model we introduce, based on canonical correlation analysis for original high‐dimensional sample spaces, further reduces the dimensionality within topics. Feature selection is then performed on the basis of the credible interval of the parameters' posterior density. Empirical results show that (i) our model allows managerial implications from topic‐wise market responses according to the particular context, and (ii) it performs better than do conventional category regressions in both in‐sample and out‐of‐sample forecasts.     

Isolating <Emphasis Type="Italic">Escherichia coli</Emphasis> strains for recombinant protein production

Escherichia coli has been widely used for the production of recombinant proteins. To improve protein production yields in E. coli, directed engineering approaches have been commonly used. However, there are only few reported examples of the isolation of E. coli protein production strains using evolutionary approaches. Here, we first give an introduction to bacterial evolution and mutagenesis to set the stage for discussing how so far selection- and screening-based approaches have been used to isolate E. coli protein production strains. Finally, we discuss how evolutionary approaches may be used in the future to isolate E. coli strains with improved protein production characteristics.     

The effect of target function on the predictive performance of the two‐stage ridge estimator

The main thrust of this study is to consider the problem of simultaneous prediction of actual and average values of the simultaneous equations model through the target function of Shalabh (Bulletin of International Statistical Institute, 1995, 56, 1375–1390). We focus on the predictive performance of the two‐stage ridge estimator with the motivation for eliminating the disorder arising from multicollinearity. An optimal biasing parameter of the two‐stage ridge estimator is derived by a minimization process of prediction mean square error. In addition, an optimal estimator for the weight of observed value in target function is attained theoretically. The results inferred from a numerical example and a Monte Carlo experiment provide a dramatic improvement in the predictive ability of the two‐stage ridge estimator.     

<Emphasis Type="Italic">Newton's Argument for Proposition 1 of the</Emphasis> Principia

The first proposition of the Principia records two fundamental properties of an orbital motion: the Fixed Plane Property (that the orbit lies in a fixed plane) and the Area Property (that the radius sweeps out equal areas in equal times). Taking at the start the traditional view, that by an orbital motion Newton means a centripetal motion – this is a motion ``continually deflected from the tangent toward a fixed center' – we describe two serious flaws in the Principia's argument for Proposition 1, an argument based on a polygonal impulse approximation. First, the persuasiveness of the argument depends crucially on the validity of the Impulse Assumption: that every centripetal motion can be represented as a limit of polygonal impulse motions. Yet Newton tacitly takes the Impulse Assumption for granted. The resulting gap in the argument for Proposition 1 is serious, for only a nontrivial analysis, involving the careful estimation of accumulating local errors, verifies the Impulse Assumption. Second, Newton's polygonal approximation scheme has an inherent and ultimately fatal disability: it does not establish nor can it be adapted to establish the Fixed Plane Property. Taking then a different view of what Newton means by an orbital motion – namely that an orbital motion is by definition a limit of polygonal impulse motions – we show in this case that polygonal approximation can be used to establish both the fixed plane and area properties without too much trouble, but that Newton's own argument still has flaws. Moreover, a crucial question, haunted by error accumulation and planarity problems, now arises: How plentiful are these differently defined orbital motions? Returning to the traditional view, that Newton's orbital motions are by definition centripetal motions, we go on to give three proofs of the Area Property which Newton ``could have given' – two using polygonal approximation and a third using curvature – as well as a proof of the Fixed Plane Property which he ``almost could have given.' (Received August 14, 2002) Published online March 26, 2003 Communicated by G. Smith     

Newton’s substance monism, distant action, and the nature of Newton’s empiricism: discussion of H. Kochiras “Gravity and Newton’s substance counting problem”

This paper is a critical response to Hylarie Kochiras’ “Gravity and Newton’s substance counting problem,” Studies in History and Philosophy of Science 40 (2009) 267-280. First, the paper argues that Kochiras conflates substances and beings; it proceeds to show that Newton is a substance monist. The paper argues that on methodological grounds Newton has adequate resources to respond to the metaphysical problems diagnosed by Kochiras. Second, the paper argues against the claim that Newton is committed to two speculative doctrines attributed to him by Kochiras and earlier Andrew Janiak: i) the passivity of matter and ii) the principle of local causation. Third, the paper argues that while Kochiras’ (and Janiak’s) arguments about Newton’s metaphysical commitments are mistaken, it qualifies the characterization of Newton as an extreme empiricist as defended by Howard Stein and Rob DiSalle. In particular, the paper shows that Newton’s empiricism was an intellectual and developmental achievement that built on non trivial speculative commitments about the nature of matter and space.     

Analysis of <Emphasis Type="Italic">Dictyostelium</Emphasis> TACC reveals differential interactions with CP224 and unusual dynamics of <Emphasis Type="Italic">Dictyostelium</Emphasis> microtubules

We have localized TACC to the microtubule-nucleating centrosomal corona and to microtubule plus ends. Using RNAi we proved that Dictyostelium TACC promotes microtubule growth during interphase and mitosis. For the first time we show in vivo that both TACC and XMAP215 family proteins can be differentially localized to microtubule plus ends during interphase and mitosis and that TACC is mainly required for recruitment of an XMAP215-family protein to interphase microtubule plus ends but not for recruitment to centrosomes and kinetochores. Moreover, we have now a marker to study dynamics and behavior of microtubule plus ends in living Dictyostelium cells. In a combination of live cell imaging of microtubule plus ends and fluorescence recovery after photobleaching (FRAP) experiments of GFP-α-tubulin cells we show that Dictyostelium microtubules are dynamic only in the cell periphery, while they remain stable at the centrosome, which also appears to harbor a dynamic pool of tubulin dimers.     

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

The best prediction of generalized autoregressive conditional heteroskedasticity (GARCH) models with α‐stable innovations, α‐stable power‐GARCH models and autoregressive moving average (ARMA) models with GARCH in mean effects (ARMA‐GARCH‐M) are proposed. We present a sufficient condition for stationarity of α‐stable GARCH models. The prediction methods are easy to implement in practice. The proposed prediction methods are applied for predicting future values of the daily SP500 stock market and wind speed data.     

The <Emphasis Type="Italic">Adhesion</Emphasis> GPCRs: A unique family of G protein-coupled receptors with important roles in both central and peripheral tissues

G protein-coupled receptors (GPCRs) are a diverse superfamily of membrane-bound receptors. The second largest subgroup of GPCRs, the Adhesion GPCRs, has 33 members in humans. Phylogenetic analysis of the entire repertoire of the seven transmembrane- domain (7TM) regions of GPCRs shows that the Adhesion GPCRs form a distinct family. Adhesion GPCRs are characterised by (1) long N termini with multiple functional domains often found in other proteins such as tyrosine kinases, integrins and cadherins, (2) highly complex genomic structure with multiple introns and splice variants and (3) a 7TM region that has no clear similarities with 7TM from other GPCRs. Several Adhesion GPCRs are known to have a role in the immune system but it is becoming more evident that many have important roles in the CNS. We speculate that the overall structural construction of the Adhesion GPCRs allows them to participate in different types of cell guidance. Received 8 February 2007; received after revision 21 March 2007; accepted 25 April 2007     

Sex-peptides: seminal peptides of the <Emphasis Type="Italic">Drosophila</Emphasis> male

Mating affects the reproductive behaviour of insect females: the egg-laying rate increases and courting males are rejected. These post-mating responses are induced mainly by seminal fluid. In Drosophila melanogaster, males transfer two peptides (sex-peptides, = Sps) that reduce receptivity and elicit increased egg laying in their mating partners. Similarities in the open reading frames of the genes suggest that they have arisen by gene duplication. In females, Sps bind to specific sites in the central and peripheral nervous system, and to the genital tract. The binding proteins of the nervous system and genital tract are membrane proteins, but they differ molecularly. The former protein is proposed to be a receptor located at the top of a signalling cascade leading to the two post-mating responses, whereas the latter is a carrier protein moving Sps from the genital tract into the haemolymph. Sps bind to sperm. Together with sperm they are responsible for the persistence of the two post-mating responses. But Sps are the molecular basis of the sperm effect; sperm is merely the carrier.Received 10 February 2003; received after revision 25 April 2003; accepted 1 May 2003This article is dedicated to the 85th birthday of the discover of the sex-peptide, Prof. Dr. Pei Shen Chen, Zoological Institute, University of Zürich, Switzerland. P. S. Chen has served on the Editorial Board of Experientia (now CMLS) from 1974 to 1988.     

For the Glory of Athens: Xenophon’s Hipparchikos &lt;Logos&gt;, a technical treatise and instruction manual on ideal leadership

Xenophon’s Peri hippikes <technees>, “On Horsemanship,” and the Hipparchikos <logos>, “the Cavalry Commander”, writings which can be regarded as technical works with a didactic purpose, are almost unknown. Xenophon was interested in problems of leadership and the exercise of power (For the titles of the both writings and the analogous supplementary terms “technees” and “logos” compare Breitenbach, 1966, 1761. Angled brackets are used by modern editors of ancient texts as text-critical signs and are inserted here because “peri hippikes” and “hipparchikos” are adjectives and cannot stand alone; “technees” and “logos” are supplied as absent, but implied, substantives. The conventional signs “<>” clarify this supplementary act for the modern reader.). The “Cavalry Commander” (ca. 365 B.C.) intended for the instruction of potential hipparchs (calvary commanders) is simultaneously political and didactic and technical; in this text, categories of leadership that had been developed in earlier works are combined in a powerful manner. Xenophon constructed “leaders” as exempla (“examples”) of correct behaviour; military and political theory are synthesised. The Hipparchikos logos, as a didactic work, aims to produce specialists who master their techné (“art” or “skill”), to develop their ideal qualities. Both texts are directed at an Athenian society, in which the cavalry had lost their significance and pride as a result of recent political turbulence. Xenophon hoped to reform the cavalry for the benefit of Athens. The basic question of the didactic work is: how can I become the best hipparch, how can I go beyond simply filling the office, and instead develop it for the well-being of the polis and thus serve the city? The art of leadership consists in dealing with subordinates in such a manner that they obey and follow voluntarily—still an innovative and modern approach today.     

Bananas and petrol: further evidence on the forecasting accuracy of the ABS ‘headline’ and ‘underlying’ rates of inflation

In the light of the still topical nature of ‘bananas and petrol’ being blamed for driving much of the inflationary pressures in Australia in recent times, the ‘headline’ and ‘underlying’ rates of inflation are scrutinised in terms of forecasting accuracy. A general structural time‐series modelling strategy is applied to estimate models for alternative types of Consumer Price Index (CPI) measures. From this, out‐of‐sample forecasts are generated from the various models. The underlying forecasts are subsequently adjusted to facilitate comparison. The Ashley, Granger and Schmalensee (1980) test is then performed to determine whether there is a statistically significant difference between the root mean square errors of the models. The results lend weight to the recent findings of Song (2005) that forecasting models using underlying rates are not systematically inferior to those based on the headline rate. In fact, strong evidence is found that underlying measures produce superior forecasts. Copyright © 2009 John Wiley & Sons, Ltd.     

Do Newton’s rules of reasoning guarantee truth … must they?

Newton’s Principia introduces four rules of reasoning for natural philosophy. Although useful, there is a concern about whether Newton’s rules guarantee truth. After redirecting the discussion from truth to validity, I show that these rules are valid insofar as they fulfill Goodman’s criteria for inductive rules and Newton’s own methodological program of experimental philosophy; provided that cross-checks are used prior to applications of rule 4 and immediately after applications of rule 2 the following activities are pursued: (1) research addressing observations that systematically deviate from theoretical idealizations and (2) applications of theory that safeguard ongoing research from proceeding down a garden path.     

Redundant and unique roles of coronin proteins in <Emphasis Type="Italic">Dictyostelium</Emphasis>

Dictyostelium discoideum harbors a short (CRN12) and a long coronin (CRN7) composed of one and two beta-propellers, respectively. They are primarily present in the cell cortex and cells lacking CRN12 (corA ⁻) or CRN7 (corB ⁻) have defects in actin driven processes. We compared the characteristics of a mutant cell line (corA ⁻ /corB ⁻) lacking CRN12 and CRN7 with the single mutants focusing on cytokinesis, phagocytosis, chemotaxis and development. Cytokinesis, uptake of small particles, and developmental defects were not enhanced in the corA ⁻ /corB ⁻ strain as compared to the single mutants, whereas motility and phagocytosis of yeast particles were more severely impaired. It appears that although both proteins affect the same processes they do not act in a redundant manner. Rather, they often act antagonistically, which is in accordance with their proposed roles in the actin cytoskeleton where CRN12 acts in actin disassembly whereas CRN7 stabilizes actin filaments and protects them from disassembly.     

Sound communication inNezara viridula (L.) (Heteroptera: Pentatomidae): Further evidence that signal transmission is substrate-borne

We investigated the sound communication associated with mating inNezara viridula (L.) to clarify conflicting reports on the medium through which acoustic signals are borne. Recordings made from virgin pairs ofN. viridula during precopulatory and compulatory behaviour have revealed that signals transmitted as vibrations through the substrate are a more likely means of communication than signals transmitted by a radiation of sound pressure waves through the air (at least in Australian populations). We present evidence (additional to that already in the literature) that air-borne acoustics are an unlikely mechanism of sexual communication in this species. Specifically, the recorded pulse train patterns showed no consistency or repeatability in relation to different stages of mating behaviour. In contrast, frequency spectrograms of substrate-borne signals reveal repeatable patterns that do correspond with the stage of mating behaviour.     

Structural variations in wheat HKT1;5 underpin differences in Na<Superscript>+</Superscript> transport capacity

An important trait associated with the salt tolerance of wheat is the exclusion of sodium ions (Na⁺) from the shoot. We have previously shown that the sodium transporters TmHKT1;5-A and TaHKT1;5-D, from Triticum monoccocum (Tm) and Triticum aestivum (Ta), are encoded by genes underlying the major shoot Na⁺-exclusion loci Nax1 and Kna1, respectively. Here, using heterologous expression, we show that the affinity (K _m) for the Na⁺ transport of TmHKT1;5-A, at 2.66 mM, is higher than that of TaHKT1;5-D at 7.50 mM. Through 3D structural modelling, we identify residues D⁴⁷¹/a gap and D⁴⁷⁴/G⁴⁷³ that contribute to this property. We identify four additional mutations in amino acid residues that inhibit the transport activity of TmHKT1;5-A, which are predicted to be the result of an occlusion of the pore. We propose that the underlying transport properties of TmHKT1;5-A and TaHKT1;5-D contribute to their unique ability to improve Na⁺ exclusion in wheat that leads to an improved salinity tolerance in the field.