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We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are modelled using a vector autoregressive model. Applying the framework to four stocks traded at the Australian Stock Exchange (ASX) in 2002, we show that the suggested model captures the spatial and temporal dependencies of the limit order book. Relating the shape of the curves to variables reflecting the current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading day. Moreover, it is shown that the model’s forecasting power can be used to improve optimal order execution strategies.
Interleukin (IL)-22 is a STAT3-activating cytokine displaying characteristic AU-rich elements (ARE) in the 3'-untranslated region (3'-UTR) of its mRNA. This architecture suggests gene regulation by modulation of mRNA stability. Since related cytokines undergo post-transcriptional regulation by ARE-binding tristetraprolin (TTP), the role of this destabilizing protein in IL-22 production was investigated. Herein, we demonstrate that TTP-deficient mice display augmented serum IL-22. Likewise, IL-22 mRNA was enhanced in TTP-deficient splenocytes and isolated primary T cells. A pivotal role for TTP is underscored by an extended IL-22 mRNA half-life detectable in TTP-deficient T cells. Luciferase-reporter assays performed in human Jurkat T cells proved the destabilizing potential of the human IL-22-3'-UTR. Furthermore, overexpression of TTP in HEK293 cells substantially decreased luciferase activity directed by the IL-22-3'-UTR. Transcript destabilization by TTP was nullified upon cellular activation by TPA/A23187, an effect dependent on MEK1/2 activity. Accordingly, IL-22 mRNA half-life as determined in TPA/A23187-stimulated Jurkat T cells decreased under the influence of the MEK1/2 inhibitor U0126. Altogether, data indicate that TTP directly controls IL-22 production, a process counteracted by MEK1/2. The TTP-dependent regulatory pathway described herein likely contributes to the role of IL-22 in inflammation and cancer and may evolve as novel target for pharmacological IL-22 modulation.