Bayesian Forecasting for Financial Risk Management,Pre and Post the Global Financial Crisis

Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models is compared, including standard, threshold nonlinear and Markov switching generalized autoregressive conditional heteroskedasticity (GARCH) specifications, plus standard and nonlinear stochastic volatility models, most considering four error probability distributions: Gaussian, Student‐t, skewed‐t and generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio of four Asia–Pacific stock markets is considered. Two forecasting periods are evaluated in light of the recent global financial crisis. Results reveal that: (i) GARCH models outperformed stochastic volatility models in almost all cases; (ii) asymmetric volatility models were clearly favoured pre crisis, while at the 1% level during and post crisis, for a 1‐day horizon, models with skewed‐t errors ranked best, while integrated GARCH models were favoured at the 5% level; (iii) all models forecast VaR less accurately and anti‐conservatively post crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

Shigella sonnei genome sequencing and phylogenetic analysis indicate recent global dissemination from Europe

Shigella are human-adapted Escherichia coli that have gained the ability to invade the human gut mucosa and cause dysentery, spreading efficiently via low-dose fecal-oral transmission. Historically, S. sonnei has been predominantly responsible for dysentery in developed countries but is now emerging as a problem in the developing world, seeming to replace the more diverse Shigella flexneri in areas undergoing economic development and improvements in water quality. Classical approaches have shown that S. sonnei is genetically conserved and clonal. We report here whole-genome sequencing of 132 globally distributed isolates. Our phylogenetic analysis shows that the current S. sonnei population descends from a common ancestor that existed less than 500 years ago and that diversified into several distinct lineages with unique characteristics. Our analysis suggests that the majority of this diversification occurred in Europe and was followed by more recent establishment of local pathogen populations on other continents, predominantly due to the pandemic spread of a single, rapidly evolving, multidrug-resistant lineage.     

Genome-wide association study of prostate cancer in men of African ancestry identifies a susceptibility locus at 17q21

In search of common risk alleles for prostate cancer that could contribute to high rates of the disease in men of African ancestry, we conducted a genome-wide association study, with 1,047,986 SNP markers examined in 3,425 African-Americans with prostate cancer (cases) and 3,290 African-American male controls. We followed up the most significant 17 new associations from stage 1 in 1,844 cases and 3,269 controls of African ancestry. We identified a new risk variant on chromosome 17q21 (rs7210100, odds ratio per allele = 1.51, P = 3.4 × 10(-13)). The frequency of the risk allele is ～5% in men of African descent, whereas it is rare in other populations (<1%). Further studies are needed to investigate the biological contribution of this allele to prostate cancer risk. These findings emphasize the importance of conducting genome-wide association studies in diverse populations.     

Positional cloning of Sorcs1, a type 2 diabetes quantitative trait locus

We previously mapped the type 2 diabetes mellitus-2 locus (T2dm2), which affects fasting insulin levels, to distal chromosome 19 in a leptin-deficient obese F2 intercross derived from C57BL/6 (B6) and BTBR T+ tf/J (BTBR) mice. Introgression of a 7-Mb segment of the B6 chromosome 19 into the BTBR background (strain 1339A) replicated the reduced insulin linked to T2dm2. The 1339A mice have markedly impaired insulin secretion in vivo and disrupted islet morphology. We used subcongenic strains derived from 1339A to localize the T2dm2 quantitative trait locus (QTL) to a 242-kb segment comprising the promoter, first exon and most of the first intron of the Sorcs1 gene. This was the only gene in the 1339A strain for which we detected amino acid substitutions and expression level differences between mice carrying B6 and BTBR alleles of this insert, thereby identifying variation within the Sorcs1 gene as underlying the phenotype associated with the T2dm2 locus. SorCS1 binds platelet-derived growth factor, a growth factor crucial for pericyte recruitment to the microvasculature, and may thus have a role in expanding or maintaining the islet vasculature. Our identification of the Sorcs1 gene provides insight into the pathway underlying the pathophysiology of obesity-induced type 2 diabetes mellitus.     

Genome-wide association study of prostate cancer identifies a second risk locus at 8q24

Recently, common variants on human chromosome 8q24 were found to be associated with prostate cancer risk. While conducting a genome-wide association study in the Cancer Genetic Markers of Susceptibility project with 550,000 SNPs in a nested case-control study (1,172 cases and 1,157 controls of European origin), we identified a new association at 8q24 with an independent effect on prostate cancer susceptibility. The most significant signal is 70 kb centromeric to the previously reported SNP, rs1447295, but shows little evidence of linkage disequilibrium with it. A combined analysis with four additional studies (total: 4,296 cases and 4,299 controls) confirms association with prostate cancer for rs6983267 in the centromeric locus (P = 9.42 x 10(-13); heterozygote odds ratio (OR): 1.26, 95% confidence interval (c.i.): 1.13-1.41; homozygote OR: 1.58, 95% c.i.: 1.40-1.78). Each SNP remained significant in a joint analysis after adjusting for the other (rs1447295 P = 1.41 x 10(-11); rs6983267 P = 6.62 x 10(-10)). These observations, combined with compelling evidence for a recombination hotspot between the two markers, indicate the presence of at least two independent loci within 8q24 that contribute to prostate cancer in men of European ancestry. We estimate that the population attributable risk of the new locus, marked by rs6983267, is higher than the locus marked by rs1447295 (21% versus 9%).     

流域洪水风险情景分析技术研究

2006年4月,中英科技联合委员会第四次工作会议,将该项目作为环境可持续发展领域的“旗舰项目”纳入中英科技合作框架,2006年11月,国家有关部门正式批准立项。     

A nonsynonymous functional variant in integrin-alpha(M) (encoded by ITGAM) is associated with systemic lupus erythematosus

We identified and replicated an association between ITGAM (CD11b) at 16p11.2 and risk of systemic lupus erythematosus (SLE) in 3,818 individuals of European descent. The strongest association was at a nonsynonymous SNP, rs1143679 (P = 1.7 x 10(-17), odds ratio = 1.78). We further replicated this association in two independent samples of individuals of African descent (P = 0.0002 and 0.003; overall meta-analysis P = 6.9 x 10(-22)). The genetic association between ITGAM and SLE implicates the alpha(M)beta2-integrin adhesion pathway in disease development.     

LDCQ满足误差限制的偏差优化问题

提出了位置相关连续查询(LDCQ)在满足误差限制的条件下进行偏差优化的问题，分别给出考虑了累积偏差和最大瞬时偏差时的信息费用的定义．由于偏差优化的结果就是要使得信息费用的值为最小，再加上这些优化结果与移动对象的运动方式有关，这样就产生了不同的优化结果．对累积偏差信息费用下的立即线性更新策略、延迟线性更新策略和最大瞬时偏差信息费用下的随机运动优化进行了讨论．     

A single gene network accurately predicts phenotypic effects of gene perturbation in Caenorhabditis elegans

The fundamental aim of genetics is to understand how an organism's phenotype is determined by its genotype, and implicit in this is predicting how changes in DNA sequence alter phenotypes. A single network covering all the genes of an organism might guide such predictions down to the level of individual cells and tissues. To validate this approach, we computationally generated a network covering most C. elegans genes and tested its predictive capacity. Connectivity within this network predicts essentiality, identifying this relationship as an evolutionarily conserved biological principle. Critically, the network makes tissue-specific predictions-we accurately identify genes for most systematically assayed loss-of-function phenotypes, which span diverse cellular and developmental processes. Using the network, we identify 16 genes whose inactivation suppresses defects in the retinoblastoma tumor suppressor pathway, and we successfully predict that the dystrophin complex modulates EGF signaling. We conclude that an analogous network for human genes might be similarly predictive and thus facilitate identification of disease genes and rational therapeutic targets.