Randomized unit root processes for modelling and forecasting financial time series: Theory and applications

This paper considers the problems of statistically analysing the levels of financial time series rather than their differences, which are often equivalent to returns and which are traditionally analysed in econometric modelling. This focus on differences is a consequence of the inherent nonstationarity of the levels, and hence analysing the latter requires introducing an alternative framework for modelling nonstationary behaviour. We do this by considering randomized unit root processes, arguing that these can have a natural interpretation in the financial context. The paper thus develops methods for testing for randomized unit roots and for modelling such processes. It then applies these techniques to various financial time series, so as to ascertain their potential usefulness, particularly for forecasting.     

The complement system in age-related macular degeneration

Age-related macular degeneration (AMD) is a chronic and progressive degenerative disease of the retina, which culminates in blindness and affects mainly the elderly population. AMD pathogenesis and pathophysiology are incredibly complex due to the structural and cellular complexity of the retina, and the variety of risk factors and molecular mechanisms that contribute to disease onset and progression. AMD is driven by a combination of genetic predisposition, natural ageing changes and lifestyle factors, such as smoking or nutritional intake. The mechanism by which these risk factors interact and converge towards AMD are not fully understood and therefore drug discovery is challenging, where no therapeutic attempt has been fully effective thus far. Genetic and molecular studies have identified the complement system as an important player in AMD. Indeed, many of the genetic risk variants cluster in genes of the alternative pathway of the complement system and complement activation products are elevated in AMD patients. Nevertheless, attempts in treating AMD via complement regulators have not yet been successful, suggesting a level of complexity that could not be predicted only from a genetic point of view. In this review, we will explore the role of complement system in AMD development and in the main molecular and cellular features of AMD, including complement activation itself, inflammation, ECM stability, energy metabolism and oxidative stress.

     

Prion protein cleavage fragments regulate adult neural stem cell quiescence through redox modulation of mitochondrial fission and SOD2 expression

Neurogenesis continues in the post-developmental brain throughout life. The ability to stimulate the production of new neurones requires both quiescent and actively proliferating pools of neural stem cells (NSCs). Actively proliferating NSCs ensure that neurogenic demand can be met, whilst the quiescent pool makes certain NSC reserves do not become depleted. The processes preserving the NSC quiescent pool are only just beginning to be defined. Herein, we identify a switch between NSC proliferation and quiescence through changing intracellular redox signalling. We show that N-terminal post-translational cleavage products of the prion protein (PrP) induce a quiescent state, halting NSC cellular growth, migration, and neurite outgrowth. Quiescence is initiated by the PrP cleavage products through reducing intracellular levels of reactive oxygen species. First, inhibition of redox signalling results in increased mitochondrial fission, which rapidly signals quiescence. Thereafter, quiescence is maintained through downstream increases in the expression and activity of superoxide dismutase-2 that reduces mitochondrial superoxide. We further observe that PrP is predominantly cleaved in quiescent NSCs indicating a homeostatic role for this cascade. Our findings provide new insight into the regulation of NSC quiescence, which potentially could influence brain health throughout adult life.     

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.

     

A latent ability to persist: differentiation in <Emphasis Type="Italic">Toxoplasma gondii</Emphasis>

A critical factor in the transmission and pathogenesis of Toxoplasma gondii is the ability to convert from an acute disease-causing, proliferative stage (tachyzoite), to a chronic, dormant stage (bradyzoite). The conversion of the tachyzoite-containing parasitophorous vacuole membrane into the less permeable bradyzoite cyst wall allows the parasite to persist for years within the host to maximize transmissibility to both primary (felids) and secondary (virtually all other warm-blooded vertebrates) hosts. This review presents our current understanding of the latent stage, including the factors that are important in bradyzoite induction and maintenance. Also discussed are the recent studies that have begun to unravel the mechanisms behind stage switching.     

A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.