A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

复数,实数及实对称数据下Bruun FFT算法的实现

本文在复数、实数以及实对称数据下研究和实现了Ｂｒｕｕｎ ＦＦＴ算法。文章分析和评价了各种数据下ＢｒｕｕｎＦＦＴ的运算量和特点，提出了算法的实现结构和方法。最后给了ＴＭＳ３２０Ｃ３０上的运算时间，我们实现的算法比基２ＦＦＴ速度提高３５％。     

Disruption of calcitonin gene-related peptide signaling accelerates muscle denervation and dampens cytotoxic neuroinflammation in SOD1 mutant mice

Amyotrophic lateral sclerosis (ALS) is a fatal motor neuron disease. Neuronal vacuolization and glial activation are pathologic hallmarks in the superoxide dismutase 1 (SOD1) mouse model of ALS. Previously, we found the neuropeptide calcitonin gene-related peptide (CGRP) associated with vacuolization and astrogliosis in the spinal cord of these mice. We now show that CGRP abundance positively correlated with the severity of astrogliosis, but not vacuolization, in several motor and non-motor areas throughout the brain. SOD1 mice harboring a genetic depletion of the βCGRP isoform showed reduced CGRP immunoreactivity associated with vacuolization, while motor functions, body weight, survival, and astrogliosis were not altered. When CGRP signaling was completely disrupted through genetic depletion of the CGRP receptor component, receptor activity-modifying protein 1 (RAMP1), hind limb muscle denervation, and loss of muscle performance were accelerated, while body weight and survival were not affected. Dampened neuroinflammation, i.e., reduced levels of astrogliosis in the brain stem already in the pre-symptomatic disease stage, and reduced microgliosis and lymphocyte infiltrations during the late disease phase were additional neuropathology features in these mice. On the molecular level, mRNA expression levels of brain-derived neurotrophic factor (BDNF) and those of the anti-inflammatory cytokine interleukin 6 (IL-6) were elevated, while those of several pro-inflammatory cytokines found reduced in the brain stem of RAMP1-deficient SOD1 mice at disease end stage. Our results thus identify an important, possibly dual role of CGRP in ALS pathogenesis.     

Expanding the diversity of chemical protein modification allows post-translational mimicry

One of the most important current scientific paradoxes is the economy with which nature uses genes. In all higher animals studied, we have found many fewer genes than we would have previously expected. The functional outputs of the eventual products of genes seem to be far more complex than the more restricted blueprint. In higher organisms, the functions of many proteins are modulated by post-translational modifications (PTMs). These alterations of amino-acid side chains lead to higher structural and functional protein diversity and are, therefore, a leading contender for an explanation for this seeming incongruity. Natural protein production methods typically produce PTM mixtures within which function is difficult to dissect or control. Until now it has not been possible to access pure mimics of complex PTMs. Here we report a chemical tagging approach that enables the attachment of multiple modifications to bacterially expressed (bare) protein scaffolds: this approach allows reconstitution of functionally effective mimics of higher organism PTMs. By attaching appropriate modifications at suitable distances in the widely-used LacZ reporter enzyme scaffold, we created protein probes that included sensitive systems for detection of mammalian brain inflammation and disease. Through target synthesis of the desired modification, chemistry provides a structural precision and an ability to retool with a chosen PTM in a manner not available to other approaches. In this way, combining chemical control of PTM with readily available protein scaffolds provides a systematic platform for creating probes of protein-PTM interactions. We therefore anticipate that this ability to build model systems will allow some of this gene product complexity to be dissected, with the aim of eventually being able to completely duplicate the patterns of a particular protein's PTMs from an in vivo assay into an in vitro system.     

Identification of stem cells in small intestine and colon by marker gene Lgr5

The intestinal epithelium is the most rapidly self-renewing tissue in adult mammals. It is currently believed that four to six crypt stem cells reside at the +4 position immediately above the Paneth cells in the small intestine; colon stem cells remain undefined. Lgr5 (leucine-rich-repeat-containing G-protein-coupled receptor 5, also known as Gpr49) was selected from a panel of intestinal Wnt target genes for its restricted crypt expression. Here, using two knock-in alleles, we reveal exclusive expression of Lgr5 in cycling columnar cells at the crypt base. In addition, Lgr5 was expressed in rare cells in several other tissues. Using an inducible Cre knock-in allele and the Rosa26-lacZ reporter strain, lineage-tracing experiments were performed in adult mice. The Lgr5-positive crypt base columnar cell generated all epithelial lineages over a 60-day period, suggesting that it represents the stem cell of the small intestine and colon. The expression pattern of Lgr5 suggests that it marks stem cells in multiple adult tissues and cancers.     

Observation of ferrotoroidic domains

Domains are of unparalleled technological importance as they are used for information storage and for electronic, magnetic and optical switches. They are an essential property of any ferroic material. Three forms of ferroic order are widely known: ferromagnetism, a spontaneous magnetization; ferroelectricity, a spontaneous polarization; and ferroelasticity, a spontaneous strain. It is currently debated whether to include an ordered arrangement of magnetic vortices as a fourth form of ferroic order, termed ferrotoroidicity. Although there are reasons to expect this form of order from the point of view of thermodynamics, a crucial hallmark of the ferroic state--that is, ferrotoroidic domains--has not hitherto been observed. Here ferrotoroidic domains are spatially resolved by optical second harmonic generation in LiCoPO4, where they coexist with independent antiferromagnetic domains. Their space- and time-asymmetric nature relates ferrotoroidics to multiferroics with magnetoelectric phase control and to other systems in which space and time asymmetry leads to possibilities for future applications.     

Observed increase in local cooling effect of deforestation at higher latitudes

Deforestation in mid- to high latitudes is hypothesized to have the potential to cool the Earth's surface by altering biophysical processes. In climate models of continental-scale land clearing, the cooling is triggered by increases in surface albedo and is reinforced by a land albedo-sea ice feedback. This feedback is crucial in the model predictions; without it other biophysical processes may overwhelm the albedo effect to generate warming instead. Ongoing land-use activities, such as land management for climate mitigation, are occurring at local scales (hectares) presumably too small to generate the feedback, and it is not known whether the intrinsic biophysical mechanism on its own can change the surface temperature in a consistent manner. Nor has the effect of deforestation on climate been demonstrated over large areas from direct observations. Here we show that surface air temperature is lower in open land than in nearby forested land. The effect is 0.85 ± 0.44 K (mean ± one standard deviation) northwards of 45° N and 0.21 ± 0.53 K southwards. Below 35° N there is weak evidence that deforestation leads to warming. Results are based on comparisons of temperature at forested eddy covariance towers in the USA and Canada and, as a proxy for small areas of cleared land, nearby surface weather stations. Night-time temperature changes unrelated to changes in surface albedo are an important contributor to the overall cooling effect. The observed latitudinal dependence is consistent with theoretical expectation of changes in energy loss from convection and radiation across latitudes in both the daytime and night-time phase of the diurnal cycle, the latter of which remains uncertain in climate models.     

Gravity modes as a way to distinguish between hydrogen- and helium-burning red giant stars

Red giants are evolved stars that have exhausted the supply of hydrogen in their cores and instead burn hydrogen in a surrounding shell. Once a red giant is sufficiently evolved, the helium in the core also undergoes fusion. Outstanding issues in our understanding of red giants include uncertainties in the amount of mass lost at the surface before helium ignition and the amount of internal mixing from rotation and other processes. Progress is hampered by our inability to distinguish between red giants burning helium in the core and those still only burning hydrogen in a shell. Asteroseismology offers a way forward, being a powerful tool for probing the internal structures of stars using their natural oscillation frequencies. Here we report observations of gravity-mode period spacings in red giants that permit a distinction between evolutionary stages to be made. We use high-precision photometry obtained by the Kepler spacecraft over more than a year to measure oscillations in several hundred red giants. We find many stars whose dipole modes show sequences with approximately regular period spacings. These stars fall into two clear groups, allowing us to distinguish unambiguously between hydrogen-shell-burning stars (period spacing mostly ～ 50 seconds) and those that are also burning helium (period spacing ～ 100 to 300 seconds).     

Robins have a magnetic compass in both eyes

Arising from W. Wiltschko et al. 419, 467-470 (2002); Wiltschko et al. replyThe magnetic compass of migratory birds is embedded in the visual system and it has been reported by Wiltschko et al. that European Robins, Erithacus rubecula, cannot show magnetic compass orientation using their left eye only. This has led to the notion that the magnetic compass should be located only in the right eye of birds. However, a complete right lateralization of the magnetic compass would be very surprising, and functional neuroanatomical data have questioned this notion. Here we show that the results of Wiltschko et al. could not be independently confirmed using double-blind protocols. European Robins can perform magnetic compass orientation with both eyes open, with the left eye open only, and with the right eye open only. No clear lateralization is observed.