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.     

Focus: Addiction: Relapse Prevention and the Five Rules of Recovery

There are four main ideas in relapse prevention. First, relapse is a gradual process with distinct stages. The goal of treatment is to help individuals recognize the early stages, in which the chances of success are greatest. Second, recovery is a process of personal growth with developmental milestones. Each stage of recovery has its own risks of relapse. Third, the main tools of relapse prevention are cognitive therapy and mind-body relaxation, which are used to develop healthy coping skills. Fourth, most relapses can be explained in terms of a few basic rules. Educating clients in these rules can help them focus on what is important: 1) change your life (recovery involves creating a new life where it is easier to not use); 2) be completely honest; 3) ask for help; 4) practice self-care; and 5) don’t bend the rules.     

A particulate DNA polymerase activity in adult rat brain

A particulate fraction of adult rat brain (sucrose buoyant density 1.24 gm/ml) catalyzed the incorporation of [³H]dTTP into an acid-insoluble product in an endogenously templated reaction sensitive to ribonuclease pretreatment. Upon fractionation, this activity was identified in the cerebellum, pons, frontal lobes and base. The DNA polymerase present in these brain fractions exhibited a strong preference for the synthetic template dT_12–18·poly rA rather than dT_12–18·poly dA; dT₁₀ was completely inactive. Purification and equilibrium Cs₂SO₄ gradient centrifugation of the [³H]DNA product-endogenous template complex suggested that RNA was serving as primer for endogenous DNA synthesis.     

CHARACTER DISCRIMINATORY POWER,CHARACTER-SET CONGRUENCE,AND THE CLASSIFICATION OF INDIVIDUALS FROM HYBRID ZONES: AN EXAMPLE USING STONE CRABS (MENIPPE)

Many investigators categorize individuals from hybrid zones to facilitate comparisons among genotypic classes (e.g., parental, F₁, backcross) for comparative studies in which components of fitness or geographic variation are being analyzed. Frequently, multiple character sets representing genetically independent traits are used to classify these individuals and various methodologies are employed to combine the classifications obtained from the different character sets. We adapted the principles of total evidence and taxonomic congruence (two formalized approaches used by systematists in formulating phylogenetic hypotheses) to address the problem of discriminating hybridizing species and classifying individuals from hybrid zones. As our model, we used two morphological (coloration and morphometric) and two molecular (allozyme and mitochondrial DNA restriction-fragment-length polymorphism) character sets that differentiate two stone crab species (Menippe adina and M. mercenaria). Using principal-components analysis, we determined that combining character sets and eliminating characters or character sets that did not have large eigenvector coefficients for the principal component that best separated the two species yielded the highest level of discrimination between species and allowed us to classify a broad range of morpho-genotypes as hybrids. For the stone crabs, three diagnostic allozyme loci and five diagnostic coloration characters best separated the species. The two character sets were not completely congruent, but they agreed in their classification of 50% of the individuals from the hybrid zone and rarely strongly disagreed in their classifications. Classification discrepancies between the two character sets probably represent variation between traits in interspecific gene flow rather than intraspecific, ecologically mediated variation. Our results support the assertions of previous investigators who espoused the benefits associated with using multiple character sets to classify individuals from hybrid zones and demonstrate that, if character sets are reasonably congruent and numerically balanced, combining diagnostic characters from multiple character sets (a total-evidence approach) can enhance discriminatory power between species and facilitate the assignment of hybrid-zone individuals to genotypic classes. On the contrary, classifying hybrid-zone individuals using character sets separately (a taxonomic-congruence approach) provides the opportunity to compare levels of introgression between species and to assess reasons for discordance among the data sets.     

Virion conformational forms and the complex inactivation kinetics of echovirus by chlorine in water

Aberrant inactivation kinetics were observed when monodispersed echovirus type 1 (Farouk) was inactivated with chlorine. An initial 1- to 2-log10-unit decrease in titer was followed by lag period, during which the titer stayed the same or increased, and this was followed by a final decline in titer. First-order kinetics were obtained with poliovirus type 1 under the same conditions. Isoelectric focusing studies of echovirus before chlorine treatment showed that the virus distributed into two pH-dependent and interconvertible isoelectric forms. After chlorine treatment all remaining virus infectivity was associated with a third pH-independent isoelectric form. The complex inactivation kinetics appeared to be due to shifts between these conformational forms during inactivation in certain ionic environments. Under certain conditions the conformational shifts resulted in substantial resistance of monodispersed echovirus to chlorine.     

A physiological analogy of the niche for projecting the potential distribution of plants

Aim  To develop a physiologically based model of the plant niche for use in species distribution modelling. Location  Europe. Methods  We link the Thornley transport resistance (TTR) model with functions which describe how the TTR’s model parameters are influenced by abiotic environmental factors. The TTR model considers how carbon and nutrient uptake, and the allocation of these assimilates, influence growth. We use indirect statistical methods to estimate the model parameters from a high resolution data set on tree distribution for 22 European tree species. Results  We infer, from distribution data and abiotic forcing data, the physiological niche dimensions of 22 European tree species. We found that the model fits were reasonable (AUC: 0.79–0.964). The projected distributions were characterized by a false positive rate of 0.19 and a false negative rate 0.12. The fitted models are used to generate projections of the environmental factors that limit the range boundaries of the study species. Main conclusions  We show that physiological models can be used to derive physiological niche dimensions from species distribution data. Future work should focus on including prior information on physiological rates into the parameter estimation process. Application of the TTR model to species distribution modelling suggests new avenues for establishing explicit links between distribution and physiology, and for generating hypotheses about how ecophysiological processes influence the distribution of plants.     

Cytokeratin provides a specific marker for human arachnoid cells grown in vitro

Cells from cranial and spinal arachnoid membranes of humans were grown in culture. Their growth characteristics, morphology and details of their cytoskeletal composition are described. Arachnoid membranes, obtained at autopsy, were finely minced and incubated in tissue culture medium. Monolayers of cells of homogeneous morphology grew from these tissue fragments. The cells were flat and polygonal. They divided slowly to form non-overlapping monolayers of low cell density. Electron microscopic examination of cultured arachnoid cells revealed numerous desmosome-like tight junctions and abundant intermediate filaments (tonofilaments). Both morphological features are characteristic of arachnoid cells in situ, but not of cells in the fibroblast-rich dura mater. Immunofluorescence microscopy with monoclonal antibodies demonstrated cytokeratin in the cytoplasm of primary cultures of arachnoid cells. Thus we demonstrated that these cultured cells retained certain of the specific differentiated properties of arachnoid cells in situ and that they are not fibroblasts (which lack tight junctions and cytokeratins). To our knowledge, there have been no previous reports of in vitro growth of arachnoid cells. This in vitro model should be useful in studying the response of arachnoid cells to a variety of substances thought to be involved in the chronic inflammatory condition of the meninges known as arachnoiditis.