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％。     

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.     

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.     

Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

Molecular genetic basis of the histo-blood group ABO system

The histo-blood group ABO, the major human alloantigen system, involves three carbohydrate antigens (ABH). A, B and AB individuals express glycosyltransferase activities converting the H antigen into A or B antigens, whereas O(H) individuals lack such activity. Here we present a molecular basis for the ABO genotypes. The A and B genes differ in a few single-base substitutions, changing four amino-acid residues that may cause differences in A and B transferase specificity. A critical single-base deletion was found in the O gene, which results in an entirely different, inactive protein incapable of modifying the H antigen.     

Aberrant O-glycosylation and anti-glycan antibodies in an autoimmune disease IgA nephropathy and breast adenocarcinoma

Glycosylation abnormalities have been observed in autoimmune diseases and cancer. Here, we compare mechanisms of aberrant O-glycosylation, i.e., formation of Tn and sialyl-Tn structures, on MUC1 in breast cancer, and on IgA1 in an autoimmune disease, IgA nephropathy. The pathways of aberrant O-glycosylation, although different for MUC1 and IgA1, include dysregulation in glycosyltransferase expression, stability, and/or intracellular localization. Moreover, these aberrant glycoproteins are recognized by antibodies, although with different consequences. In breast cancer, elevated levels of antibodies recognizing aberrant MUC1 are associated with better outcome, whereas in IgA nephropathy, the antibodies recognizing aberrant IgA1 are part of the pathogenetic process.     

Na+,K+-ATPase as a docking station: protein–protein complexes of the Na+,K+-ATPase

The Na⁺,K⁺-ATPase, or sodium pump, is well known for its role in ion transport across the plasma membrane of animal cells. It carries out the transport of Na⁺ ions out of the cell and of K⁺ ions into the cell and thus maintains electrolyte and fluid balance. In addition to the fundamental ion-pumping function of the Na⁺,K⁺-ATPase, recent work has suggested additional roles for Na⁺,K⁺-ATPase in signal transduction and biomembrane structure. Several signaling pathways have been found to involve Na⁺,K⁺-ATPase, which serves as a docking station for a fast-growing number of protein interaction partners. In this review, we focus on Na⁺,K⁺-ATPase as a signal transducer, but also briefly discuss other Na⁺,K⁺-ATPase protein–protein interactions, providing a comprehensive overview of the diverse signaling functions ascribed to this well-known enzyme.     

Danes commemorating Darwin: apes and evolution at the 1909 anniversary

This article analyses the Danish 1909 celebrations of the centenary of Charles Darwin's birth on 12 February 1809. I argue that the 1909 meetings, lectures and publications devoted to Darwin and his theory of evolution by natural selection can be characterised by ambivalence: on the one hand, tribute to a great man of science who established a new view of nature and, on the other hand, scepticism towards the Darwinian mechanism of natural selection and the wider religious and political implications drawn from his theory. The article examines both professional and popular commemorative activities, focusing primarily on celebratory articles carried in widely circulated magazines and newspapers. I identify three types of interpretations of Darwin's ideas which I characterise as ‘radical’, ‘evangelical’ and ‘safe’ science. These different positions were closely linked to the political and cultural divisions of the periodical press. Moreover, my analysis of the popular press offers a solid basis for asserting that to most people Darwinism was associated with human evolution, primarily the relationship between man and apes, while more sophisticated discussions about the crisis of Darwinism prominent among naturalists played only a secondary role in the public arena. This article demonstrates the value of using newspapers as historical sources when looking for public images of Darwin, popular receptions of Darwinism and representations of science in general.