Pattern Matching and Neural Networks based Hybrid Forecasting System

Copyright © 2001 Springer-Verlag Berlin Heidelberg. The final publication is available at link.springer.comBook title: Advances in Pattern Recognition — ICAPR 2001Second International Conference on Advances in Pattern Recognition (ICAPR 2001), Rio de Janeiro, Brazil, March 11–14, 2001In this paper we propose a Neural Net-PMRS hybrid for forecasting time-series data. The neural network model uses the traditional MLP architecture and backpropagation method of training. Rather than using the last n lags for prediction, the input to the network is determined by the output of the PMRS (Pattern Modelling and Recognition System). PMRS matches current patterns in the time-series with historic data and generates input for the neural network that consists of both current and historic information. The results of the hybrid model are compared with those of neural networks and PMRS on their own. In general, there is no outright winner on all performance measures, however, the hybrid model is a better choice for certain types of data, or on certain error measures

Tau association with synaptic vesicles causes presynaptic dysfunction

Tau is implicated in more than 20 neurodegenerative diseases, including Alzheimer's disease. Under pathological conditions, Tau dissociates from axonal microtubules and missorts to pre- and postsynaptic terminals. Patients suffer from early synaptic dysfunction prior to Tau aggregate formation, but the underlying mechanism is unclear. Here we show that pathogenic Tau binds to synaptic vesicles via its N-terminal domain and interferes with presynaptic functions, including synaptic vesicle mobility and release rate, lowering neurotransmission in fly and rat neurons. Pathological Tau mutants lacking the vesicle binding domain still localize to the presynaptic compartment but do not impair synaptic function in fly neurons. Moreover, an exogenously applied membrane-permeable peptide that competes for Tau-vesicle binding suppresses Tau-induced synaptic toxicity in rat neurons. Our work uncovers a presynaptic role of Tau that may be part of the early pathology in various Tauopathies and could be exploited therapeutically.status: publishe

The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting

In this paper, we assess the informational content of daily range, realized variance, realized bipower variation, two time scale realized variance, realized range and implied volatility in daily, weekly, biweekly and monthly out-of-sample Value-at-Risk (VaR) predictions. We use the recently proposed Realized GARCH model combined with the skewed student distribution for the innovations process and a Monte Carlo simulation approach in order to produce the multi-period VaR estimates. The VaR forecasts are evaluated in terms of statistical and regulatory accuracy as well as capital efficiency. Our empirical findings, based on the S&P 500 stock index, indicate that almost all realized and implied volatility measures can produce statistically and regulatory precise VaR forecasts across forecasting horizons, with the implied volatility being especially accurate in monthly VaR forecasts. The daily range produces inferior forecasting results in terms of regulatory accuracy and Basel II compliance. However, robust realized volatility measures such as the adjusted realized range and the realized bipower variation, which are immune against microstructure noise bias and price jumps respectively, generate superior VaR estimates in terms of capital efficiency, as they minimize the opportunity cost of capital and the Basel II regulatory capital. Our results highlight the importance of robust high frequency intra-daily data based volatility estimators in a multi-step VaR forecasting context as they balance between statistical or regulatory accuracy and capital efficiency

Role of the H1 haplotype of microtubule-associated protein tau (MAPT) gene in Greek patients with Parkinson's disease

The extended tau haplotype (H1) that covers the entire human microtubule-associated protein tau (MAPT) gene has been implicated in Parkinson's disease (PD). Nevertheless, controversial results, such as two studies in Greek populations with opposite effects, have been reported. Therefore, we set out to determine whether the H1 haplotype and additional single nucleotide polymorphisms (SNPs) included in H1 are associated with PD in a sample of Greek patients. METHODS: We analysed MAPT haplotypes in cohorts of 122 patients and 123 controls of Greek origin, respectively. SNP genotyping was performed with Taqman assays and genotyping results were confirmed by sequencing. RESULTS: The presence of the H1 haplotype was significantly associated with PD (odds ratio for H1H1 vs. H1H2 and H2H2: 1.566; 95% CI: 1.137-2.157; P = 0.006) and remained so after adjustment for sex. Further analysis of H1 sub-haplotypes with three single nucleotide polymorphisms (rs242562, rs2435207 and rs3785883) demonstrated no significant association with PD. CONCLUSION: Our data support the overall genetic role of MAPT and the H1 haplotype for PD susceptibility in Greek patients. However, the previously supported association of H1 sub-haplotypes with PD could not be confirmed in our study

Polymorphisms in the MAPT gene and risk of Parkinson disease in a Greek population: A case-control study.

The extended tau haplotype (H1) that covers the entire human microtubule-associated protein tau (MAPT) gene has been implicated in Parkinson’s disease (PD). We studied the frequency of H1 haplotype and H1 subhaplotypes of the tau gene in PD in Greek population. As two previous conflicting results were reported, we addressed this question again. We studied 122 PD patients and 123 age matched control subjects. We found significantly higher frequency of H1H1 genotype compared with H1H2 and H2H2 among PD patients (OR for H1H1 vs. H1H2 and H2H2: 1.566; 95% CI, 1.137- 2.157; p = 0.006). Whereas when adjusted for sex, the strong association with H1H1 genotype remained only for males. We further analyzed two single nucleotide polymorphisms frequencies in patients and subjects carrying H1H1 genotype which demonstrated no significant association with PD. In conclusion, these results show that Greek population is consistent with the hypothesis that MAPT alters risk in PD. However, the previously supported association of H1 sub-haplotypes with PD could not be confirmed in our study

Non-replication of association between MAPT-SNCA synergistical interaction and susceptibility to Parkinson’s Disease in a southern European population

The combination of MAPT H1H1 genotype and SNCA (rs356219) GG genotype interaction has recently been identified as a possible factor to approximately double the risk for development of PD. The objective of our study was to test the association of the interaction of these two genetic variants with Parkinson’s disease in a southern European case-control study. We analysed MAPT haplotypes and performed SNP genotyping with Taqman assays for the SNCA rs356219 marker in cohorts of 352 patients and 417 controls of Greek and Italian origin, respectively. Cases (n=352) were more often homozygotes for the MAPT H1 haplotype than controls (n=417). However, the association of the SNCA rs356219 G allele or GG homozygotes with Parkinson’s disease was not confirmed. Furthermore the interaction of the SNCA GG genotype with MAPT H1H1 genotype was not proved to be increased among cases with Parkinson’s disease compared to the controls. The data suggest that increase of PD risk by this specific combination of genotypes is not reproducible to all PD populations

Construction and Evaluation of Trading Systems: Warsaw Index Futures

This paper presents and compares 15 trading systems constructed for the Warsaw Stock Exchange futures contracts. These trading systems are constructed applying technical analysis and artificial neural networks (ANN). The efficiency of constructed trading systems is measured by the profit, which could be gained on the analyzed market when an investor uses various methods of buy and sell signals generating. Investigation is conducted for daily observations of stock index WIG20 futures from December 1, 1999 to November 28, 2003. The conclusion is that the combination of the technical analysis and artificial intelligence in order to gain profit from trading on the Polish futures market can bring much better investment results than trade in the traditional way (JEL G10, C45). Copyright International Atlantic Economic Society 2005G10, C45,