Forecasting High‐Frequency Risk Measures

This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we distinguish three concepts of value‐at‐risk (VaR): the total VaR, the marginal (or per‐time‐unit) VaR and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e. the time‐at‐risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. Subsequently, we perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange‐traded fund based on Standard & Poor's 500 index. We show that the intraday HFR forecasts capture accurately the volatility and duration dynamics for these three assets. Copyright © 2015 John Wiley & Sons, Ltd.     

A closely packed system of low-mass, low-density planets transiting Kepler-11

When an extrasolar planet passes in front of (transits) its star, its radius can be measured from the decrease in starlight and its orbital period from the time between transits. Multiple planets transiting the same star reveal much more: period ratios determine stability and dynamics, mutual gravitational interactions reflect planet masses and orbital shapes, and the fraction of transiting planets observed as multiples has implications for the planarity of planetary systems. But few stars have more than one known transiting planet, and none has more than three. Here we report Kepler spacecraft observations of a single Sun-like star, which we call Kepler-11, that reveal six transiting planets, five with orbital periods between 10 and 47?days and a sixth planet with a longer period. The five inner planets are among the smallest for which mass and size have both been measured, and these measurements imply substantial envelopes of light gases. The degree of coplanarity and proximity of the planetary orbits imply energy dissipation near the end of planet formation.     

Mechanisms regulating immune surveillance of cellular stress in cancer

The purpose of this review is to explore immune-mediated mechanisms of stress surveillance in cancer, with particular emphasis on the idea that all cancers have classical hallmarks (Hanahan and Weinberg in Cell 100:57–70, 67; Cell 144:646–674, 68) that could be interrelated. We postulate that hallmarks of cancer associated with cellular stress pathways (Luo et al. in Cell 136:823–837, 101) including oxidative stress, proteotoxic stress, mitotic stress, DNA damage, and metabolic stress could define and modulate the inflammatory component of cancer. As such, the overarching goal of this review is to define the types of cellular stress that cancer cells undergo, and then to explore mechanisms by which immune cells recognize, respond to, and are affected by each stress response.     

Trak1 mutation disrupts GABA(A) receptor homeostasis in hypertonic mice

Hypertonia, which results from motor pathway defects in the central nervous system (CNS), is observed in numerous neurological conditions, including cerebral palsy, stroke, spinal cord injury, stiff-person syndrome, spastic paraplegia, dystonia and Parkinson disease. Mice with mutation in the hypertonic (hyrt) gene exhibit severe hypertonia as their primary symptom. Here we show that hyrt mutant mice have much lower levels of gamma-aminobutyric acid type A (GABA(A)) receptors in their CNS, particularly the lower motor neurons, than do wild-type mice, indicating that the hypertonicity of the mutants is likely to be caused by deficits in GABA-mediated motor neuron inhibition. We cloned the responsible gene, trafficking protein, kinesin binding 1 (Trak1), and showed that its protein product interacts with GABA(A) receptors. Our data implicate Trak1 as a crucial regulator of GABA(A) receptor homeostasis and underscore the importance of hyrt mice as a model for studying the molecular etiology of hypertonia associated with human neurological diseases.