An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting

For forecasting nonstationary and nonlinear energy prices time series, a novel adaptive multiscale ensemble learning paradigm incorporating ensemble empirical mode decomposition (EEMD), particle swarm optimization (PSO) and least square support vector machines (LSSVM) with kernel function prototype is developed. Firstly, the extrema symmetry expansion EEMD, which can effectively restrain the mode mixing and end effects, is used to decompose the energy price into simple modes. Secondly, by using the fine‐to‐coarse reconstruction algorithm, the high‐frequency, low‐frequency and trend components are identified. Furthermore, autoregressive integrated moving average is applicable to predicting the high‐frequency components. LSSVM is suitable for forecasting the low‐frequency and trend components. At the same time, a universal kernel function prototype is introduced for making up the drawbacks of single kernel function, which can adaptively select the optimal kernel function type and model parameters according to the specific data using the PSO algorithm. Finally, the prediction results of all the components are aggregated into the forecasting values of energy price time series. The empirical results show that, compared with the popular prediction methods, the proposed method can significantly improve the prediction accuracy of energy prices, with high accuracy both in the level and directional predictions. Copyright © 2016 John Wiley & Sons, Ltd.     

Common loss-of-function variants of the epidermal barrier protein filaggrin are a major predisposing factor for atopic dermatitis

Atopic disease, including atopic dermatitis (eczema), allergy and asthma, has increased in frequency in recent decades and now affects approximately 20% of the population in the developed world. Twin and family studies have shown that predisposition to atopic disease is highly heritable. Although most genetic studies have focused on immunological mechanisms, a primary epithelial barrier defect has been anticipated. Filaggrin is a key protein that facilitates terminal differentiation of the epidermis and formation of the skin barrier. Here we show that two independent loss-of-function genetic variants (R510X and 2282del4) in the gene encoding filaggrin (FLG) are very strong predisposing factors for atopic dermatitis. These variants are carried by approximately 9% of people of European origin. These variants also show highly significant association with asthma occurring in the context of atopic dermatitis. This work establishes a key role for impaired skin barrier function in the development of atopic disease.     

Common deletion polymorphisms in the human genome

The locations and properties of common deletion variants in the human genome are largely unknown. We describe a systematic method for using dense SNP genotype data to discover deletions and its application to data from the International HapMap Consortium to characterize and catalogue segregating deletion variants across the human genome. We identified 541 deletion variants (94% novel) ranging from 1 kb to 745 kb in size; 278 of these variants were observed in multiple, unrelated individuals, 120 in the homozygous state. The coding exons of ten expressed genes were found to be commonly deleted, including multiple genes with roles in sex steroid metabolism, olfaction and drug response. These common deletion polymorphisms typically represent ancestral mutations that are in linkage disequilibrium with nearby SNPs, meaning that their association to disease can often be evaluated in the course of SNP-based whole-genome association studies.     

A review of three species of Hesperonoe (Annelida: Polynoidae) in Asia,with descriptions of two new species and a new record of Hesperonoe hwanghaiensis from Korea

A taxonomic review of three Asian species of Hesperonoe (Annelida: Polynoidae) is presented. Hesperonoe hwanghaiensis Uschakov and Wu, 1959 Uschakov PV, Wu B. 1959. [The polychaete worms of the families Phyllodocidae and Aphroditidae (Polychaeta, errantia) from the Yellow Sea]. Arch Inst Oceanol Sinica. 1:1–40, pls. I–X. (In Chinese and Russian). [Google Scholar] (type locality: Qingdao, China) is redescribed based on five specimens collected from an intertidal site in the Korean coast of the Yellow Sea, as a new record of this species from Korea, which is the only known habitat outside the type locality. Hesperonoe coreensis sp. nov. is described based on nine specimens collected from two intertidal sites in the Korean coast of the Yellow Sea, including the same site as the habitat of H. hwanghaiensis. Hesperonoe japonensis sp. nov. is described by re-examination of many specimens collected from eight intertidal sites and a subtidal one in Japan, which was previously misidentified as H. hwanghaiensis. The three species are clearly distinguishable from one another by the species-specific morphology of the macrotubercles (or marked ridges) on the surface of elytra. All of the three species seemed to be commensal with the burrowing mud shrimp Upogebia major in intertidal flats, except for an additional probable host of another upogebid shrimp Austinogebia narutensis for H. japonensis sp. nov. in a subtidal habitat. The morphological characteristics and host species of the three Asian species are compared with all of the other five congeners known from the North American Pacific and Arctic Sea.

http://www.zoobank.org/urn:lsid:zoobank.org:pub:51CB5C5B-0838-48AC-A0BA-8E63AA7628CB     

The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

We study the effect of parameter and model uncertainty on the left‐tail of predictive densities and in particular on VaR forecasts. To this end, we evaluate the predictive performance of several GARCH‐type models estimated via Bayesian and maximum likelihood techniques. In addition to individual models, several combination methods are considered, such as Bayesian model averaging and (censored) optimal pooling for linear, log or beta linear pools. Daily returns for a set of stock market indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest exhibited by linear and log pools is better than the backtest of single models at the 5% risk level. Finally, the equally weighted linear pool of Bayesian predictives tends to be the best VaR forecaster in a set of 42 forecasting techniques.     

Cross‐Section Stock Return and Implied Covariance between Jump and Diffusive Volatility

I examine the information content of option‐implied covariance between jumps and diffusive risk in the cross‐sectional variation in future returns. This paper documents that the difference between realized volatility and implied covariance (RV‐ICov) can predict future returns. The results show a significant and negative association of expected return and realized volatility–implied covariance spread in both the portfolio level analysis and cross‐sectional regression study. A trading strategy of buying a portfolio with the lowest RV‐ICov quintile portfolio and selling with the highest one generates positive and significant returns. This RV‐Cov anomaly is robust to controlling for size, book‐to‐market value, liquidity and systematic risk proportion. Copyright © 2015 John Wiley & Sons, Ltd.     

Gastrointestinal helminths of nine species of Cnemaspis (Squamata: Gekkonidae) from Peninsular Malaysia,one species from Cambodia and Thailand and two species from Vietnam

A total of 12 species of Cnemaspis (N = 104) from Southeast Asia were examined for gastrointestinal helminths. Samples consisted of nine species (n = 86) from Peninsular Malaysia: Cnemaspis affinis (n = 4); Cnemaspis baueri (n = 17); Cnemaspis biocellata (n = 12); Cnemaspis grismeri (n = 8); Cnemaspis kumpoli (n = 11); Cnemaspis limi (n = 9): Cnemaspis monachorum (n = 7); Cnemaspis pemanggilensis (n = 10); Cnemaspis peninsularis (n = 8); one species (n = 5) from Cambodia and Thailand, Cnemaspis chanthaburiensis (n = 5); and two species (n = 13) from Vietnam: Cnemaspis nuicamensis (n = 6) and Cnemaspis tucdupensis (n = 7). The aggregate helminth community consisted of one species of Cestoda, Cylindrotaenia malayi and nine species of Nematoda: Bakeria schadi, Meteterakis singaporensis, Parapharyngodon maplestoni, Maxvachonia sp., Physalopteroides sp., Physalopteridae gen. sp., Riticulariidae gen. sp., Seuratoidea gen. sp., Ascaridoidea gen. sp. Meteterakis singaporensis had the largest number of individuals (457) and greatest prevalence (24%). Twenty-eight new host records are reported.     

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.     

Interleukin-33 stimulates formation of functional osteoclasts from human CD14+ monocytes

Interleukin (IL)-33 is a recently described pro-inflammatory cytokine. Here we demonstrate IL-33 as a regulator of functional osteoclasts (OCs) from human CD14⁺ monocytes. IL-33 stimulates formation of tartrate-resistant acid phosphatase (TRAP)⁺ multinuclear OCs from monocytes. This action was suppressed by anti-ST2 antibody, suggesting that IL-33 acts through its receptor ST2, but not by the receptor activator of NF-κB ligand (RANKL) decoy, osteoprotegerin, or anti-RANKL antibody. IL-33 stimulated activating phosphorylations of signaling molecules in monocytes that are critical for OC development. These included Syk, phospholipase Cγ2, Gab2, MAP kinases, TAK-1, and NF-κB. IL-33 also enhanced expression of OC differentiation factors including TNF-α receptor-associated factor 6 (TRAF6), nuclear factor of activated T cells cytoplasmic 1, c-Fos, c-Src, cathepsin K, and calcitonin receptor. IL-33 eventually induced bone resorption. This study suggests that the osteoclastogenic property of IL-33 is mediated through TRAF6 as well as the immunoreceptor tyrosine-based activation motif-dependent Syk/PLCγ pathway in human CD14⁺ monocytes.