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4. Explicit Asymptotics on First Passage Times of Diffusion Processes

Author

Dassios, Angelos and Li, Luting

Subjects
Mathematics - Probability, Mathematics - Numerical Analysis, Quantitative Finance - Mathematical Finance, 91G60, 60G40, 62E17, 91G80
Abstract

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for probability densities of single-sided level crossing problem. The framework is applicable to diffusion processes with continuous drift functions, and a recursive system in the frequency domain has been provided. Besides, we derive a probabilistic representation for error estimation. The representation can be used to evaluate deviations in perturbed density functions. In the present paper, we apply the framework to Ornstein-Uhlenbeck and Bessel processes to find closed-form approximations for their first passage times; another successful application is given by the exponential-Shiryaev process. Numerical results are provided at the end of this paper., Comment: 31 pages, 16 figures

Published
2018
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5. An Economic Bubble Model and Its First Passage Time

Author

Dassios, Angelos and Li, Luting

Subjects
Quantitative Finance - Mathematical Finance, 60G10, 60G40
Abstract

We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential decay of the scaled price. Our study shows the scaling factor on Xt is crucial for modelling economic bubbles as it mitigates the dependence structure between the price and parameters in the model. We prove both the process and its first passage time are well-defined. An efficient calibration scheme, together with the probability density function for the process are given. Moreover, by employing the perturbation technique, we deduce the closed-form density for the downward first passage time, which therefore can be used in estimating the burst time of an economic bubble. The object of this study is to understand the asset price dynamics when a financial bubble is believed to form, and correspondingly provide estimates to the bubble crash time. Calibration examples on the US dot-com bubble and the 2007 Chinese stock market crash verify the effectiveness of the model itself. The example on BitCoin prediction confirms that we can provide meaningful estimate on the downward probability for asset prices., Comment: 33 pages, 8 figures

Published
2018

6. First passage times of diffusion processes and their applications to finance

Author

Li, Luting

Subjects
HG Finance
Abstract

This thesis consists of three submitted papers and one working paper. It begins with the study of asymptotic solutions for the first passage time densities of various diffusion processes, and the thesis ends up with an application of such findings in the area of systematic trading. In between, financial bubbles and the regulatory risk management for the banking industry are studied additionally. The purpose of this thesis is to, by combining probability theory with financial practice, provide quantitative tools for investment decision and risk management. Chapters 3-5 are reorganised from the first passage time paper [31]. Our research method is mainly based on the potential theory and the perturbation theory. In Chapter 3, a unified recursive framework for finding first passage time asymptotic densities has been proposed. Besides, we prove the convergence of our framework and provide an error estimation formula. Examples related to the Ornstein-Uhlenbeck and the Bessel processes are demonstrated in Chapters 4 and 5, respectively. The second paper [30] is documented in Chapter 6. It introduces a new diffusion process which is relevant to financial bubbles. During the study of the first passage time, we occasionally found that the sample path of the new process coincides with log-price features of bubble assets. In Chapter 6, we show that the new model is a power-exponential transform of the Shiryaev process [116, 117]; and we prove that the model itself, indeed, satisfies various technical requirements for defining a financial bubble [107]. Furthermore, by using our previous framework, we solve the closed-form asymptotic for the model's first passage time; and according to which, we have made predictions to the burst time of BitCoin. Chapter 7 is a modified version of the third paper [75]. We consider the risk capital allocation issue under the forthcoming regulatory framework, namely the Fundamental Review of Trading Book. Apart from studying coherent properties of the new risk measure, we propose two alternative capital allocation schemes within the range of Internal Modelling Approach. Our analysis shows that, different choices in allocation methods can lead significantly different allocated capitals, therefore, impacting on bank's performance measure and capital optimisation. Our current working paper about systematic trading is demonstrated in Chapter 8. We propose two mathematical frameworks for, respectively, defining executable trading strategies and identifying the strategy-associated trading signals. Based on our definitions, we show how the first passage time can be employed in systematic trading. As a summary of applications to previous chapters, we use simulation analysis to illustrate the trading idea and the implementation of risk capital allocation. In the end, real data backtest on China stock market indicates that the first passage time could be an effective tool in recognising trading opportunities.

Published
2019

7. Capital allocation under the Fundamental Review of Trading Book

Author

Li, Luting and Xing, Hao

Subjects
Quantitative Finance - Risk Management, Quantitative Finance - Computational Finance
Abstract

Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted according to liquidity horizon. Both methods provide more stable and less negative allocations under the FRTB than under the current regulatory framework., Comment: 25 pages, 4 figures

Published
2018

12. Data from RNA Helicase DDX24 Stabilizes LAMB1 to Promote Hepatocellular Carcinoma Progression

Author

Liu, Tianze, primary, Gan, Hairun, primary, He, Simeng, primary, Deng, Jia, primary, Hu, Xinyan, primary, Li, Luting, primary, Cai, Li, primary, He, Jianzhong, primary, Long, Haoyu, primary, Cai, Jianxun, primary, Li, Hanjie, primary, Zhang, Qianqian, primary, Wang, Lijie, primary, Chen, Fangbin, primary, Chen, Yuming, primary, Zhang, Haopei, primary, Li, Jian, primary, Yang, Lukun, primary, Liu, Ye, primary, Yang, Jian-Hua, primary, Kuang, Dong-Ming, primary, Pang, Pengfei, primary, He, Huanhuan, primary, and Shan, Hong, primary

Published
2023
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13. Supplementary Data from RNA Helicase DDX24 Stabilizes LAMB1 to Promote Hepatocellular Carcinoma Progression

Author

Liu, Tianze, primary, Gan, Hairun, primary, He, Simeng, primary, Deng, Jia, primary, Hu, Xinyan, primary, Li, Luting, primary, Cai, Li, primary, He, Jianzhong, primary, Long, Haoyu, primary, Cai, Jianxun, primary, Li, Hanjie, primary, Zhang, Qianqian, primary, Wang, Lijie, primary, Chen, Fangbin, primary, Chen, Yuming, primary, Zhang, Haopei, primary, Li, Jian, primary, Yang, Lukun, primary, Liu, Ye, primary, Yang, Jian-Hua, primary, Kuang, Dong-Ming, primary, Pang, Pengfei, primary, He, Huanhuan, primary, and Shan, Hong, primary

Published
2023
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15. Microbial and human transcriptional profiling of coronavirus disease 2019 patients: Potential predictors of disease severity

Author

Gan, Hairun, primary, Min, Jiumeng, additional, Long, Haoyu, additional, Li, Bing, additional, Hu, Xinyan, additional, Zhu, Zhongyi, additional, Li, Luting, additional, Wang, Tiancheng, additional, He, Xiangyan, additional, Cai, Jianxun, additional, Zhang, Yongyu, additional, He, Jianan, additional, Chen, Luan, additional, Wang, Dashuai, additional, Su, Jintao, additional, Zhao, Ni, additional, Huang, Weile, additional, Zhang, Jingjing, additional, Su, Ziqi, additional, Guo, Hui, additional, Hu, Xiaojun, additional, Mao, Junjie, additional, Ma, Jinmin, additional, and Pang, Pengfei, additional

Published
2022
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17. RNA Helicase DDX24 Stabilizes LAMB1 to Promote Hepatocellular Carcinoma Progression

Author

Liu, Tianze, primary, Gan, Hairun, additional, He, Simeng, additional, Deng, Jia, additional, Hu, Xinyan, additional, Li, Luting, additional, Cai, Li, additional, He, Jianzhong, additional, Long, Haoyu, additional, Cai, Jianxun, additional, Li, Hanjie, additional, Zhang, Qianqian, additional, Wang, Lijie, additional, Chen, Fangbin, additional, Chen, Yuming, additional, Zhang, Haopei, additional, Li, Jian, additional, Yang, Lukun, additional, Liu, Ye, additional, Yang, Jian-Hua, additional, Kuang, Dong-Ming, additional, Pang, Pengfei, additional, He, Huanhuan, additional, and Shan, Hong, additional

Published
2022
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18. Additional file 1 of Peripherally inserted central catheters have a protective role and the effect of fluctuation curve feature in the risk of bloodstream infection compared with central venous catheters: a propensity-adjusted analysis

Author

Lv, Yu, Huang, Xiaobo, Lan, Yunping, Xia, Qi, Chen, Fuli, Wu, Jiayu, Li, Wei, Cao, Hongrong, Xie, Caixia, Li, Luting, Han, Hukui, Wang, Hui, and Xiang, Qian

Abstract

Additional file 1: Table S1. Variable assignment table of baseline characteristics of our study population. Table S2. Bundled strategy for central line-associated bloodstream infections prevention and control (IPC).

Published
2022
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21. Kinetics of phenol oxidation by peroxidase.

Author

Vasudevan, Palligarnai and Li, Luting

Abstract

Studies of the kinetic behavior of horseradish peroxidase (HRP) at pH 8 and at room temperature indicate that the reaction of phenol with HO catalyzed by HRP exhibits normal Michaelis-Menten saturation kinetics. An irreversible reaction mechanism for the steady-state kinetics of HRP, which is consistent with the experimental data, is considered. The second-order rate constants for the reactions of HRP with HO and compound II with phenol are 4.14 × 10 Ms and 5.54 × 10Ms, respectively. [ABSTRACT FROM AUTHOR]

Published
1996
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22. Peroxidase catalyzed polymerization of phenol.

Author

Vasudevan, Palligarnai and Li, Luting

Abstract

effect of horseradish peroxidase (HRP) and HO concentrations on the removal efficiency of phenol, defined as the percentage of phenol removed from solution as a function of time, has been investigated. When phenol and HO react with an approximately one-to-one stoichiometry, the phenol is almost completely precipitated within 10 min. The reaction is inhibited at higher concentrations of HO. The removal efficiency increases with an increase in the concentration of HRP, but an increase in the time of treatment cannot be used to offset the reduction in removal efficiency at low concentrations of the enzyme, because of inactivation of the enzyme. One molecule of HRP is needed to remove approximately 1100 molecules of phenol when the reaction is conducted at pH 8.0 and at ambient temperature. [ABSTRACT FROM AUTHOR]

Published
1996
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23. Explicit asymptotic on first passage times of diffusion processes

Author

Dassios, Angelos, Li, Luting, Dassios, Angelos, and Li, Luting

Abstract

We introduce a unified framework for solving first passage times of time- homogeneous diffusion processes. According to the potential theory and the perturbation theory, we are able to deduce closed-form truncated probability densities, as asymptotics or approximations to the original first passage time densities, for the single-side level crossing problems. The framework is applicable to diffusion processes with continuous drift functions; especially, for bounded drift functions, we show that the perturbation series converges. In the present paper, we demonstrate examples of applying our framework to the Ornstein-Uhlenbeck, Bessel, exponential-Shiryaev (studied in [13]), and the hypergeometric diffusion [8] processes. The purpose of this paper is to provide a fast and accurate approach to estimate first passage time densities of various diffusion processes.

24. Fibulin-2 Facilitates Malignant Progression of Hepatocellular Carcinoma.

Author

Hu X, Liu T, Li L, Gan H, Wang T, Pang P, and Mao J

Subjects
Humans, Animals, Mice, Extracellular Matrix Proteins genetics, Mitogen-Activated Protein Kinase Kinases metabolism, Cell Proliferation, Gene Expression Regulation, Neoplastic, Apoptosis, Carcinoma, Hepatocellular genetics, Carcinoma, Hepatocellular pathology, Liver Neoplasms genetics, Liver Neoplasms pathology
Abstract

Background: Identification of biomarkers to assist in the clinical management of hepatocellular carcinoma represents an urgent requirement. Fibulin-2 is known to contribute to the development and progression of various cancer types. This research investigated the role of fibulin-2 in hepatocellular carcinoma and explored the possible mechanisms., Methods: The expression of fibulin-2 in hepatocellular carcinoma was measured by bioinformatic analysis and confirmed by western blot and immunohistochemical staining in cell lines or patients' samples. The clinicopathologic features of hepatocellular carcinoma patients was analyzed. Cell viability assays were used to explore the role of fibulin-2 on proliferation in hepatocellular carcinoma. Western blot was conducted to uncover changes of protein expression of Ras-MEK-ERK1/2 pathway when Fibulin-2 was overexpressed or silenced. Flow cytometry analyses were used to determine the roles of fibulin-2 in the function of apoptosis and cell cycle. Subcutaneous xenograft mouse models showed the tumor growth pattern after fibulin-2 silence in vivo., Results: We reported the upregulation of fibulin-2 in most hepatocellular carcinoma tissues and cells lines. Fibulin-2 promoted the proliferation of hepatocellular carcinoma cells in vitro by regulating Ras-MEK-ERK1/2 signaling pathway, whereas knockdown of fibulin-2 incurred the opposite effect on proliferation. Consistently, knockdown of fibulin-2 resulted in increased apoptosis and induced growth arrest during the G0/G1 phase transition. In vivo xenograft assessment confirmed that knockdown of fibulin-2 inhibited hepatocellular carcinoma tumor growth., Conclusions: Fibulin-2 exhibited tumor promotor activities in malignant progression of hepatocellular carcinoma. The results of the study highlighted the potential of fibulin-2 to be utilized as a promising biomarker and therapeutic target for hepatocellular carcinoma.

Published
2023
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