The world price of liquidity risk Lee, Kuan-Hui
Journal of financial economics,
2011, 2011-1-00, 20110101, Volume:
99, Issue:
1
Journal Article
Peer reviewed
This paper empirically tests the liquidity-adjusted capital asset pricing model of
Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are ...priced independently of market risk in international financial markets. That is, a security’s required rate of return depends on the covariance of its own liquidity with aggregate local market liquidity, as well as the covariance of its own liquidity with local and global market returns. I also show that the US market is an important driving force of global liquidity risk. Furthermore, I find that the pricing of liquidity risk varies across countries according to geographic, economic, and political environments. The findings show that the systematic dimension of liquidity provides implications for international portfolio diversification.
In this paper, we propose a new framework to track on-road pedestrians across multiple driving recorders. The framework is built upon the results of tracking under a single driving recorder. More ...specifically, we treat the problem as a multi-label classification task and determine whether a specific pedestrian belongs to one or several cameras' field of views by considering association likelihood of the tracked pedestrians . The likelihood is calculated based on the pedestrians' motion cues and appearance features, which are necessarily transformed via brightness transfer functions obtained by some available spatially overlapping views for compensating diversity of the cameras. When a pedestrian is leaving a camera's field of view, the proposed framework predicts and interpolates its possible moving trajectories, facilitated by open map service which can provide routing information. Experimental results show the robustness and effectiveness of the proposed framework in tracking pedestrians across several recorded driving videos. Moreover, based on the GPS locations, we can also reconstruct a 3-D visualization on a 3-D virtual real-world environment, so as to show the dynamic scenes of the recorded videos.
We examine short selling in US stocks based on new SEC-mandated data for 2005. There is a tremendous amount of short selling in our sample: short sales represent 24% of NYSE and 31% of Nasdaq share ...volume. Short sellers increase their trading following positive returns and they correctly predict future negative abnormal returns. These patterns are robust to controlling for voluntary liquidity provision and for opportunistic risk-bearing by short sellers. The results are consistent with short sellers trading on short-term overreaction of stock prices. A trading strategy based on daily short-selling activity generates significant positive returns during the sample period.
Long non-coding RNAs (lncRNAs) have emerged as critical regulators in various cellular processes. However, the potential involvement of lncRNAs in kinase signalling remains largely unknown. ...AMP-activated protein kinase (AMPK) acts as a critical sensor of cellular energy status. Here we show that the lncRNA NBR2 (neighbour of BRCA1 gene 2) is induced by the LKB1-AMPK pathway under energy stress. On energy stress, NBR2 in turn interacts with AMPK and promotes AMPK kinase activity, thus forming a feed-forward loop to potentiate AMPK activation during energy stress. Depletion of NBR2 attenuates energy-stress-induced AMPK activation, resulting in unchecked cell cycling, altered apoptosis/autophagy response, and increased tumour development in vivo. NBR2 is downregulated and its low expression correlates with poor clinical outcomes in some human cancers. Together, the results of our study uncover a mechanism coupling lncRNAs with metabolic stress response, and provides a broad framework to understand further the regulation of kinase signalling by lncRNAs.
In Garcia-Fernandez and Streets (Generalized Ricci flow, volume 76 of university lecture series, American Mathematical Society, Providence, 2021) and Oliynyk et al. (Nucl Phys B 739(3):441–458, ...2006), it was shown that the generalized Ricci flow is the gradient flow of a functional
λ
generalizing Perelman’s
λ
functional for Ricci flow. In this work, we further computed the second variation formula and proved that a Bismut-flat, Einstein manifold is linearly stable under some curvature assumptions. In the last part of this paper, I proved that dynamical stability and linear stability are equivalent on a steady gradient generalized Ricci soliton (
g
,
H
,
f
). This generalizes the results in Haslhofer and Müller (Math Ann 360(1–2):547–553, 2014), Kröncke (Stability of Einstein Manifolds, 2014, Commun Anal Geom 28(2):351–394, 2020), Raffero and Vezzoni (On the dynamical behaviour of the generalized Ricci flow, 2020) and Sesum (Duke Math J 133(1):1–26, 2006).
Reasoning over visual data is a desirable capability for robotics and vision-based applications. Such reasoning enables forecasting the next events or actions in videos. In recent years, various ...models have been developed based on convolution operations for prediction or forecasting, but they lack the ability to reason over spatiotemporal data and infer the relationships of different objects in the scene. In this letter, we present a framework based on graph convolution to uncover the spatiotemporal relationships in the scene for reasoning about pedestrian intent. A scene graph is built on top of segmented object instances within and across video frames. Pedestrian intent, defined as the future action of crossing or not-crossing the street, is very crucial piece of information for autonomous vehicles to navigate safely and more smoothly. We approach the problem of intent prediction from two different perspectives and anticipate the intention-to-cross within both pedestrian-centric and location-centric scenarios. In addition, we introduce a new dataset designed specifically for autonomous-driving scenarios in areas with dense pedestrian populations: the Stanford-TRI Intent Prediction (STIP) dataset. Our experiments on STIP and another benchmark dataset show that our graph modeling framework is able to predict the intention-to-cross of the pedestrians with an accuracy of 79.10% on STIP and 79.28% on Joint Attention for Autonomous Driving (JAAD) dataset up to one second earlier than when the actual crossing happens. These results outperform baseline and previous work. Please refer to http://stip.stanford.edu/ for the dataset and code.
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants ...(correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of international investors, and more correlated trading activity. Our evidence is more reliably consistent with demand-side explanations and challenges the ability of the funding liquidity hypothesis to help us understand important aspects of financial market liquidity around the world, even during the recent financial crisis.
The serine/threonine kinase Akt plays a central role in cell proliferation, survival and metabolism, and its hyperactivation is linked to cancer progression. Here we report that Akt undergoes K64 ...methylation by SETDB1, which is crucial for cell membrane recruitment, phosphorylation and activation of Akt following growth factor stimulation. Furthermore, we reveal an adaptor function of histone demethylase JMJD2A, which is important for recognizing Akt K64 methylation and recruits E3 ligase TRAF6 and Skp2-SCF to the Akt complex, independently of its demethylase activity, thereby initiating K63-linked ubiquitination, cell membrane recruitment and activation of Akt. Notably, the cancer-associated Akt mutant E17K displays enhanced K64 methylation, leading to its hyper-phosphorylation and activation. SETDB1-mediated Akt K64 methylation is upregulated and correlated with Akt hyperactivation in non-small-cell lung carcinoma (NSCLC), promotes tumour development and predicts poor outcome. Collectively, these findings reveal complicated layers of Akt activation regulation coordinated by SETDB1-mediated Akt K64 methylation to drive tumorigenesis.
This paper proposes a robust ground-moving-platform-based human tracking system, which effectively integrates visual simultaneous localization and mapping (V-SLAM), human detection, ground plane ...estimation, and kernel-based tracking techniques. The proposed system systematically detects humans from recorded video frames of a moving camera and tracks the humans in the V-SLAM-inferred 3-D space via a tracking-by-detection scheme. To efficiently associate the detected human frame by frame, we propose a novel human tracking framework, combining the constrained-multiple-kernel tracking and the estimated 3-D information (depth), to globally optimize the data association between consecutive frames. By taking advantage of the appearance model and 3-D information, the proposed system not only achieves high effectiveness but also well handles occlusion in the tracking. Experimental results show the favorable performance of the proposed system, which efficiently tracks humans in a camera equipped on a ground-moving platform such as a dash camera and an unmanned ground vehicle.
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