A Financial Market Model Incorporating Herd Behaviour

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.     

Examining axial diffusion of nitric oxide in the lungs using heliox and breath hold.

Exhaled nitric oxide (NO) is highly dependent on exhalation flow; thus exchange dynamics of NO have been described by multicompartment models and a series of flow-independent parameters that describe airway and alveolar exchange. Because the flow-independent NO airway parameters characterize features of the airway tissue (e.g., wall concentration), they should also be independent of the physical properties of the insufflating gas. We measured the total mass of NO exhaled (A(I,II)) from the airways after five different breath-hold times (5-30 s) in healthy adults (21-38 yr, n = 9) using air and heliox as the insufflating gas, and then modeled A(I,II) as a function of breath-hold time to determine airway NO exchange parameters. Increasing breath-hold time results in an increase in A(I,II) for both air and heliox, but A(I,II) is reduced by a mean (SD) of 31% (SD 6) (P < 0.04) in the presence of heliox, independent of breath-hold time. However, mean (SD) values (air, heliox) for the airway wall diffusing capacity [3.70 (SD 4.18), 3.56 pl.s(-1).ppb(-1) (SD 3.20)], the airway wall concentration [1,439 (SD 487), 1,503 ppb (SD 644>)], and the maximum airway wall flux [4,156 (SD 2,502), 4,412 pl/s (SD 2,906)] using a single-path trumpet-shaped airway model that considers axial diffusion were independent of the insufflating gas (P > 0.55). We conclude that a single-path trumpet model that considers axial diffusion captures the essential features of airway wall NO exchange and confirm earlier reports that the airway wall concentration in healthy adults exceeds 1 ppm and thus approaches physiological concentrations capable of modulating smooth muscle tone.     

Microbial siderophore-based iron assimilation and therapeutic applications

Siderophores are structurally diverse, complex natural products that bind metals with extraordinary specificity and affinity. The acquisition of iron is critical for the survival and virulence of many pathogenic microbes and diverse strategies have evolved to synthesize, import and utilize iron. There has been a substantial increase of known siderophore scaffolds isolated and characterized in the past decade and the corresponding biosynthetic gene clusters have provided insight into the varied pathways involved in siderophore biosynthesis, delivery and utilization. Additionally, therapeutic applications of siderophores and related compounds are actively being developed. The study of biosynthetic pathways to natural siderophores augments the understanding of the complex mechanisms of bacterial iron acquisition, and enables a complimentary approach to address virulence through the interruption of siderophore biosynthesis or utilization by targeting the key enzymes to the siderophore pathways.     

Biodiversity and the Heterogeneous Disturbance Regime on Military Training Lands

Disproportionately large numbers of threatened and endangered species and unusually high biodiversity occur on active and former military training areas. Although this may seem paradoxical given the apparently destructive nature of military training, an evaluation of the nature and extent of the disturbances is enlightening. Military training frequently produces heterogeneous landscapes. Large portions of military training areas remain virtually untouched, favoring disturbance‐averse species; other portions are heavily disturbed, favoring disturbance‐dependent species. The rich habitat mosaics include the two extremes as well as the continua of disturbance and succession between them, thus providing suitable habitat for a very large number of species with widely varying habitat requirements. To explain the phenomenon, a heterogeneous disturbance hypothesis is proposed which suggests that biodiversity is maximized where multiple kinds, frequencies, severities, periodicities, sizes, shapes, and/or durations of disturbance occur concomitantly on a landscape in a spatially and temporally distributed fashion. The enhanced biodiversity occurring on active and former military training areas illustrates the need for restoration ecologists to restore or maintain an appropriate heterogeneous disturbance regime when attempting to restore ecosystem function and biodiversity.     

Simulation of Nanoparticle Permeation through a Lipid Membrane

A metric of nanoparticle toxicity is the passive permeability rate through cellular membranes. To assess the influence of nanoparticle morphology on this process, the permeability of buckyball-sized molecules through a representative lipid bilayer was investigated by molecular-dynamics simulation. When C₆₀ was compared with a prototypical opened C₆₀ molecule and a representative combustion-generated particle, C₆₈H₂₉, the calculated free-energy profiles along the permeation coordinate revealed a sizable variation in form and depth. The orientation of the anisotropic molecules was determined by monitoring the principal axis corresponding to the largest moment of inertia, and free rotation was shown to be hindered in the bilayer interior. Diffusion constant values of the permeant molecules were calculated from a statistical average of seven to 10 trajectories at five locations along the permeation coordinate. A relatively minor variation of the values was observed in the bilayer interior; however, local resistance values spanned up to 24 orders of magnitude from the water layer to the bilayer center, due primarily to its exponential dependence on free energy. The permeability coefficient values calculated for the three similarly sized but structurally distinct nanoparticles showed a significant variance. The use of C₆₀ to represent similarly sized carbonaceous nanoparticles for assessments of toxicity is questioned.     

Improving the pharmacokinetic properties of biologics by fusion to an anti-HSA shark VNAR domain

Advances in recombinant antibody technology and protein engineering have provided the opportunity to reduce antibodies to their smallest binding domain components and have concomitantly driven the requirement for devising strategies to increase serum half-life to optimise drug exposure, thereby increasing therapeutic efficacy. In this study, we adopted an immunization route to raise picomolar affinity shark immunoglobulin new antigen receptors (IgNARs) to target human serum albumin (HSA). From our model shark species, Squalus acanthias, a phage display library encompassing the variable binding domain of IgNAR (VNAR) was constructed, screened against target, and positive clones were characterized for affinity and specificity. N-terminal and C-terminal molecular fusions of our lead hit in complex with a naïve VNAR domain were expressed, purified and exhibited the retention of high affinity binding to HSA, but also cross-selectivity to mouse, rat and monkey serum albumin both in vitro and in vivo. Furthermore, the naïve VNAR had enhanced pharmacokinetic (PK) characteristics in both N- and C-terminal orientations and when tested as a three domain construct with naïve VNAR flanking the HSA binding domain at both the N and C termini. Molecules derived from this platform technology also demonstrated the potential for clinical utility by being available via the subcutaneous route of delivery. This study thus demonstrates the first in vivo functional efficacy of a VNAR binding domain with the ability to enhance PK properties and support delivery of multifunctional therapies.