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％。     

Retrograde transport of endocytosed Shiga toxin to the endoplasmic reticulum.

Shiga toxin and some other protein toxins that act on targets in the cytosol have previously been shown to enter the trans-Golgi network. Transport by this route may be necessary for translocation of the toxin to the cytosol and for intoxication, but it is not known whether the enzymatically active part of the toxins actually enters the cytosol from the trans-Golgi network. It has been suggested that such toxins are transported in a retrograde manner to the endoplasmic reticulum and that translocation occurs in this organelle, but retrograde transport of endocytosed material beyond the trans-Golgi network has never been demonstrated. Here we show that in butyric acid-treated A431 cells endocytosed Shiga toxin is not only transported to the trans-Golgi network, but also to all Golgi stacks, to the endoplasmic reticulum and to the nuclear envelope. Furthermore, butyric acid sensitizes the cells to Shiga toxin, which is consistent with the possibility that retrograde transport is required for translocation of the toxin to the cytosol.     

探讨使用野外随机取样推断随机变量概率分布的数学方法--杂草研究作为一个例子

我们在生态学研究中涉及到的大多数变量呈现出随机性，因而可以认为它们就是随机变量。概率分布是研究随机变量变化规律的基础，如何利用野外取样来推断检验随机变量的分布是本文要解决的主要问题。本文扩展了回归方法的应用，使其能用来推断一个随机变量的分布函数。并且该推断还能被统计检验。作为一个应用实例。该方法被用于确定杂草种子在特定条件下扩散的分布函数。在此条件下，该杂草种子扩散为近似的高斯(正态)分布。     

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.     

Cell-type-specific replication initiation programs set fragility of the FRA3B fragile site

Common fragile sites have long been identified by cytogeneticists as chromosomal regions prone to breakage upon replication stress. They are increasingly recognized to be preferential targets for oncogene-induced DNA damage in pre-neoplastic lesions and hotspots for chromosomal rearrangements in various cancers. Common fragile site instability was attributed to the fact that they contain sequences prone to form secondary structures that may impair replication fork movement, possibly leading to fork collapse resulting in DNA breaks. Here we show, in contrast to this view, that the fragility of FRA3B--the most active common fragile site in human lymphocytes--does not rely on fork slowing or stalling but on a paucity of initiation events. Indeed, in lymphoblastoid cells, but not in fibroblasts, initiation events are excluded from a FRA3B core extending approximately 700 kilobases, which forces forks coming from flanking regions to cover long distances in order to complete replication. We also show that origins of the flanking regions fire in mid-S phase, leaving the site incompletely replicated upon fork slowing. Notably, FRA3B instability is specific to cells showing this particular initiation pattern. The fact that both origin setting and replication timing are highly plastic in mammalian cells explains the tissue specificity of common fragile site instability we observed. Thus, we propose that common fragile sites correspond to the latest initiation-poor regions to complete replication in a given cell type. For historical reasons, common fragile sites have been essentially mapped in lymphocytes. Therefore, common fragile site contribution to chromosomal rearrangements in tumours should be reassessed after mapping fragile sites in the cell type from which each tumour originates.     

Demography of black-tailed prairie dog populations reoccupying sites treated with rodenticide

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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.