luca gonzato
235111887
Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models
Luca Gonzato
234815921
Self exciting jumps in the oil market: Bayesian estimation and dynamic hedging
Abstract In this paper we propose a novel self exciting jump diffusion model for oil price dynamics based on a Hawkes type process. In particular, the jump intensity is stochastic and path dependent, implying that the occurrence of a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. Moreover, volatility is described by a stochastic process, which can jump simultaneously with prices. The model specification is completed by a stochastic convenience yield. In order to estimate the model we apply the two stage Sequential Monte Carlo (SMC) sampler Fulop and Li, 2019 to both spot and futures quotations. From the estimation results we find evidence of self excitation in the oil market, which leads to an improved fit and a better out of sample futures forecasting performance with respect to jump diffusion models with constant intensity. Furthermore, we compute and discuss two optimal hedging strategies based on futures trading. The optimality of the first hedging strategy proposed is based on the variance minimization, while the second strategy takes into account also the third order moment contribution in considering the investors attitudes. A comparison between the two strategies in terms of hedging effectiveness is provided.
Energy Economics
Luca Gonzato Carlo Sgarra
219338515
Self Exciting Jumps in the Oil Market: Bayesian Estimation and Dynamic Hedging
In this paper we propose a novel self exciting jump diffusion model for oil price dynamics based on a Hawkes type jump diffusion process. In particular, the jump intensity is stochastic and path dependent, implying that the occurrence of a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. Moreover, volatility is described by a stochastic process, which can jump simultaneously with prices. The model specification is completed by a stochastic convenience yield. In order to estimate the model we apply the two stage Sequential Monte Carlo (SMC) sampler (Fulop and Li, 2019) to both spot and futures quotations. From the estimation results we find evidence of self excitation in the oil market, which leads to an improved fit and a better out of sample futures forecasting performance with respect to jump diffusion models with constant intensity. Furthermore, we compute and discuss two optimal hedging strategies based on futures trading. The optimality of the first hedging strategy proposed is based on the variance minimization, while the second strategy takes into account also the third order moment contribution in considering the investors attitudes. A comparison between the two strategies in terms of hedging effectiveness is provided.
Luca Gonzato Carlo Sgarra
161891389
Collecting Databases about Aegean Subjects On Line (DBAS Project)
Abstract 1. The research project Interdisciplinary approaches are particularly suited for the research on ancient civilizations where there is a continuous need of correlation among archaeological, linguistic, philological and historical sources of information. With the help of the tools of the modern science of informatics it appears that this kind of approach may now be greatly facilitated.
Anna Margherita Jasink Marianna Baldi Luca Bombardieri F Carminati Federica Gonzato
220516514
The LUCA and its complex virome
The last universal cellular ancestor (LUCA) is the most recent population of organisms from which all cellular life on Earth descends. The reconstruction of the genome and phenotype of the LUCA is a major challenge in evolutionary biology. Given that all life forms are associated with viruses and/or other mobile genetic elements, there is no doubt that the LUCA was a host to viruses. Here, by projecting back in time using the extant distribution of viruses across the two primary domains of life, bacteria and archaea, and tracing the evolutionary histories of some key virus genes, we attempt a reconstruction of the LUCA virome. Even a conservative version of this reconstruction suggests a remarkably complex virome that already included the main groups of extant viruses of bacteria and archaea. We further present evidence of extensive virus evolution antedating the LUCA. The presence of a highly complex virome implies the substantial genomic and pan genomic complexity of the LUCA itself. The last universal cellular ancestor (LUCA) is the most recent population of organisms from which all cellular life on Earth descends. In this Perspective article, Krupovic, Dolja and Koonin analyse the extant distribution of viruses across the two primary domains of life to infer the LUCA virome.
Nature Reviews Microbiology
Mart Krupovic Valerian V Dolja Eugene V Koonin
219543962
The replication machinery of LUCA: common origin of DNA replication and transcription
Origin of DNA replication is an enigma because the replicative DNA polymerases (DNAPs) are not homologous among the three domains of life, Bacteria, Archaea, and Eukarya. The homology between the archaeal replicative DNAP (PolD) and the large subunits of the universal RNA polymerase (RNAP) responsible for transcription suggests a parsimonious evolutionary scenario. Under this model, RNAPs and replicative DNAPs evolved from a common ancestor that functioned as an RNA dependent RNA polymerase in the RNA protein world that predated the advent of DNA replication. The replicative DNAP of the Last Universal Cellular Ancestor (LUCA) would be the ancestor of the archaeal PolD.
BMC Biology
Eugene V Koonin Mart Krupovic Sonoko Ishino Yoshizumi Ishino
4013114
Rv3723/LucA coordinates fatty acid and cholesterol uptake in Mycobacterium tuberculosis
Pathogenic bacteria have evolved highly specialized systems to extract essential nutrients from their hosts. Mycobacterium tuberculosis (Mtb) scavenges lipids (cholesterol and fatty acids) to maintain infections in mammals but mechanisms and proteins responsible for the import of fatty acids in Mtb were previously unknown. Here, we identify and determine that the previously uncharacterized protein Rv3723/LucA, functions to integrate cholesterol and fatty acid uptake in Mtb. Rv3723/LucA interacts with subunits of the Mce1 and Mce4 complexes to coordinate the activities of these nutrient transporters by maintaining their stability. We also demonstrate that Mce1 functions as a fatty acid transporter in Mtb and determine that facilitating cholesterol and fatty acid import via Rv3723/LucA is required for full bacterial virulence in vivo. These data establish that fatty acid and cholesterol assimilation are inexorably linked in Mtb and reveals a key function for Rv3723/LucA in in coordinating thetransport of both these substrates. DOI: http:/dx.doi.org/10.7554/eLife.26969.001
eLife
Evgeniya V Nazarova Christine R Montague Thuy La Kaley M Wilburn Neelima Sukumar Wonsik Lee Shannon Caldwell David G Russell Brian C VanderVen
44989360
Life before LUCA.
We see the last universal common ancestor of all living organisms, or LUCA, at the evolutionary separation of the Archaea from the Eubacteria, and before the symbiotic event believed to have led to the Eukarya. LUCA is often implicitly taken to be close to the origin of life, and sometimes this is even stated explicitly. However, LUCA already had the capacity to code for many proteins, and had some of the same bioenergetic capacities as modern organisms. An organism at the origin of life must have been vastly simpler, and this invites the question of how to define a living organism. Even if acceptance of the giant viruses as living organisms forces the definition of LUCA to be revised, it will not alter the essential point that LUCA should be regarded as a recent player in the evolution of life.
Journal of theoretical biology
Athel Cornish-Bowden Maria Luz Cardenas
196648876
Rv3723/LucA coordinates fatty acid and cholesterol uptake in Mycobacterium tuberculosis
Pathogenic bacteria have evolved highly specialized systems to extract essential nutrients from their hosts and Mycobacterium tuberculosis (Mtb) scavenges lipids (cholesterol and fatty acids) to maintain infection in mammals. While the uptake of cholesterol by Mtb is mediated by the Mce4 transporter, the route(s) of uptake of fatty acids remain unknown. Here, we demonstrate that an uncharacterized protein LucA, integrates the assimilation of both cholesterol and fatty acids in Mtb. LucA interacts with subunits of the Mce1 and Mce4 complexes to coordinate the activities of these nutrient transporters. We also demonstrate that Mce1 functions as an important fatty acid transporter in Mtb and we determine that the integration of cholesterol and fatty acid transport by LucA is required for full bacterial virulence in vivo. These data establish that fatty acid and cholesterol assimilation are inexorably linked in Mtb and reveals a key role for LucA in coordinating both transport activities.
Evgeniya V Nazarova Christine R Montague Thuy La Kaley M Wilburn Neelima Sukumar Wonsik Lee Shannon Caldwell David G Russell Brian C VanderVen
205428194
Is LUCA a thermophilic progenote?
To the Editor We wish to comment on several claims made in the paper by Weiss et al.1, which describes a genomic analysis that they believe is consistent with the origin of life and emergence of a progenote like last universal common ancestor (LUCA) in hydrothermal vent conditions. The hydrothermal vent concept was proposed by researchers in the 1980s as an ocean would have been the dominant aqueous medium on the early Earth. Most would also agree that life could not begin in the open ocean because there is no obvious source of free energy to drive energetically uphill processes, so when the vent idea was first proposed it was welcomed2. The vents provide an obvious source of free energy in the form of redox potentials and pH gradients, and their sponge like mineral structures could potentially serve as compartments. Furthermore, microbial life has adapted to vent conditions, so maybe it began there. Proponents adopted the idea and published numerous papers on the subject in the form of essays (for example, refs 3,4) The article begins by reinforcing the frequent misconception that the terms 'LUCA' and 'progenote' share the same definition. They do not. Carl Woese and George Fox put forward the hypothesis that LUCA (also known as the cenancestor or most recent common ancestor of all life) was a progenote, which they defined as an organism "still in the process of evolving the relationship between genotype and phenotype"5. Fourteen years ago, one of us wrote an entry for the Encyclopedia of Molecular Biology 6 discussing the relationship between the progenote and LUCA concepts. The conclusion reached at that time is still valid today: sequence data, including the data presented by Weiss et al. support the idea that LUCA was a prokaryotic cell using nucleic acids as genetic material, 20 genetically encoded amino acids, ribosomes for templatedirected protein synthesis, and membranes that allowed for chemiosmotic coupling7,8. To consider a cellular organism with these properties as only "half alive"1 reflects an uncommon definition of life. Weiss et al. propose a computational scheme that provides a shortcut to identify genes that may have been present in LUCA. This approach is subject to two types of error: False positives. The stated criterion1 for inclusion in the LUCA gene set is that the gene needs to be present in two archaeal and two bacterial groups. From the presented tables, it is clear that orders are considered as distinct groups. The criterion identifies a gene as present in LUCA if a single transdomain transfer occurred before the two 'groups' (that is, orders) in the receiving domain split, or if the transferred gene was subsequently transferred between the two groups. Given that gene transfer within domains occurs more frequently than transfer between domains9,10, a large number of false positives are expected under the implemented scheme. False negatives, which are likely to be an even bigger problem. The authors correctly assume that gene transfer between the domains has occurred. Consequently, many genes that were present in LUCA will not be inferred as present. ATP synthases11 and aminoacyl transfer RNA (tRNA) synthetases12 illustrate this point, because only one out of at least five ATP synthase subunits was part of the inferred LUCA set1, and only eight aminoacyl tRNA synthetases, whereas LUCA appears to have used the full complement of today's genetically encoded amino acids, and had a functional ATPase/ATP synthase.
Nature Microbiology
Johann Peter Gogarten David Deamer