Volatility forecasting in the Chinese commodity futures market with intraday data

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies. We adopt popular volatility models in the literature and assess the forecasts obtained via these models against alternative proxies for the true volatility. Our results suggest that the long memory property is an essential feature in the commodity futures volatility dynamics and that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best in statistical terms

Global patterns in monthly activity of influenza virus, respiratory syncytial virus, parainfluenza virus, and metapneumovirus: a systematic analysis

Background Influenza virus, respiratory syncytial virus, parainfluenza virus, and metapneumovirus are the most common viruses associated with acute lower respiratory infections in young children (= 65 years). A global report of the monthly activity of these viruses is needed to inform public health strategies and programmes for their control.Methods In this systematic analysis, we compiled data from a systematic literature review of studies published between Jan 1, 2000, and Dec 31, 2017; online datasets; and unpublished research data. Studies were eligible for inclusion if they reported laboratory-confirmed incidence data of human infection of influenza virus, respiratory syncytial virus, parainfluenza virus, or metapneumovirus, or a combination of these, for at least 12 consecutive months (or 52 weeks equivalent); stable testing practice throughout all years reported; virus results among residents in well-defined geographical locations; and aggregated virus results at least on a monthly basis. Data were extracted through a three-stage process, from which we calculated monthly annual average percentage (AAP) as the relative strength of virus activity. We defined duration of epidemics as the minimum number of months to account for 75% of annual positive samples, with each component month defined as an epidemic month. Furthermore, we modelled monthly AAP of influenza virus and respiratory syncytial virus using site-specific temperature and relative humidity for the prediction of local average epidemic months. We also predicted global epidemic months of influenza virus and respiratory syncytial virus on a 5 degrees by 5 degrees grid. The systematic review in this study is registered with PROSPERO, number CRD42018091628.Findings We initally identified 37 335 eligible studies. Of 21 065 studies remaining after exclusion of duplicates, 1081 full-text articles were assessed for eligibility, of which 185 were identified as eligible. We included 246 sites for influenza virus, 183 sites for respiratory syncytial virus, 83 sites for parainfluenza virus, and 65 sites for metapneumovirus. Influenza virus had clear seasonal epidemics in winter months in most temperate sites but timing of epidemics was more variable and less seasonal with decreasing distance from the equator. Unlike influenza virus, respiratory syncytial virus had clear seasonal epidemics in both temperate and tropical regions, starting in late summer months in the tropics of each hemisphere, reaching most temperate sites in winter months. In most temperate sites, influenza virus epidemics occurred later than respiratory syncytial virus (by 0.3 months [95% CI -0.3 to 0.9]) while no clear temporal order was observed in the tropics. Parainfluenza virus epidemics were found mostly in spring and early summer months in each hemisphere. Metapneumovirus epidemics occurred in late winter and spring in most temperate sites but the timing of epidemics was more diverse in the tropics. Influenza virus epidemics had shorter duration (3.8 months [3.6 to 4.0]) in temperate sites and longer duration (5.2 months [4.9 to 5.5]) in the tropics. Duration of epidemics was similar across all sites for respiratory syncytial virus (4.6 months [4.3 to 4.8]), as it was for metapneumovirus (4.8 months [4.4 to 5.1]). By comparison, parainfluenza virus had longer duration of epidemics (6.3 months [6.0 to 6.7]). Our model had good predictability in the average epidemic months of influenza virus in temperate regions and respiratory syncytial virus in both temperate and tropical regions. Through leave-one-out cross validation, the overall prediction error in the onset of epidemics was within 1 month (influenza virus -0.2 months [-0.6 to 0.1]; respiratory syncytial virus 0.1 months [-0.2 to 0.4]).Interpretation This study is the first to provide global representations of month-by-month activity of influenza virus, respiratory syncytial virus, parainfluenza virus, and metapneumovirus. Our model is helpful in predicting the local onset month of influenza virus and respiratory syncytial virus epidemics. The seasonality information has important implications for health services planning, the timing of respiratory syncytial virus passive prophylaxis, and the strategy of influenza virus and future respiratory syncytial virus vaccination. Copyright (C) 2019 The Author(s). Published by Elsevier Ltd

Single-dose administration and the influence of the timing of the booster dose on immunogenicity and efficacy of ChAdOx1 nCoV-19 (AZD1222) vaccine: a pooled analysis of four randomised trials.

BACKGROUND: The ChAdOx1 nCoV-19 (AZD1222) vaccine has been approved for emergency use by the UK regulatory authority, Medicines and Healthcare products Regulatory Agency, with a regimen of two standard doses given with an interval of 4-12 weeks. The planned roll-out in the UK will involve vaccinating people in high-risk categories with their first dose immediately, and delivering the second dose 12 weeks later. Here, we provide both a further prespecified pooled analysis of trials of ChAdOx1 nCoV-19 and exploratory analyses of the impact on immunogenicity and efficacy of extending the interval between priming and booster doses. In addition, we show the immunogenicity and protection afforded by the first dose, before a booster dose has been offered. METHODS: We present data from three single-blind randomised controlled trials-one phase 1/2 study in the UK (COV001), one phase 2/3 study in the UK (COV002), and a phase 3 study in Brazil (COV003)-and one double-blind phase 1/2 study in South Africa (COV005). As previously described, individuals 18 years and older were randomly assigned 1:1 to receive two standard doses of ChAdOx1 nCoV-19 (5 × 1010 viral particles) or a control vaccine or saline placebo. In the UK trial, a subset of participants received a lower dose (2·2 × 1010 viral particles) of the ChAdOx1 nCoV-19 for the first dose. The primary outcome was virologically confirmed symptomatic COVID-19 disease, defined as a nucleic acid amplification test (NAAT)-positive swab combined with at least one qualifying symptom (fever ≥37·8°C, cough, shortness of breath, or anosmia or ageusia) more than 14 days after the second dose. Secondary efficacy analyses included cases occuring at least 22 days after the first dose. Antibody responses measured by immunoassay and by pseudovirus neutralisation were exploratory outcomes. All cases of COVID-19 with a NAAT-positive swab were adjudicated for inclusion in the analysis by a masked independent endpoint review committee. The primary analysis included all participants who were SARS-CoV-2 N protein seronegative at baseline, had had at least 14 days of follow-up after the second dose, and had no evidence of previous SARS-CoV-2 infection from NAAT swabs. Safety was assessed in all participants who received at least one dose. The four trials are registered at ISRCTN89951424 (COV003) and ClinicalTrials.gov, NCT04324606 (COV001), NCT04400838 (COV002), and NCT04444674 (COV005). FINDINGS: Between April 23 and Dec 6, 2020, 24 422 participants were recruited and vaccinated across the four studies, of whom 17 178 were included in the primary analysis (8597 receiving ChAdOx1 nCoV-19 and 8581 receiving control vaccine). The data cutoff for these analyses was Dec 7, 2020. 332 NAAT-positive infections met the primary endpoint of symptomatic infection more than 14 days after the second dose. Overall vaccine efficacy more than 14 days after the second dose was 66·7% (95% CI 57·4-74·0), with 84 (1·0%) cases in the 8597 participants in the ChAdOx1 nCoV-19 group and 248 (2·9%) in the 8581 participants in the control group. There were no hospital admissions for COVID-19 in the ChAdOx1 nCoV-19 group after the initial 21-day exclusion period, and 15 in the control group. 108 (0·9%) of 12 282 participants in the ChAdOx1 nCoV-19 group and 127 (1·1%) of 11 962 participants in the control group had serious adverse events. There were seven deaths considered unrelated to vaccination (two in the ChAdOx1 nCov-19 group and five in the control group), including one COVID-19-related death in one participant in the control group. Exploratory analyses showed that vaccine efficacy after a single standard dose of vaccine from day 22 to day 90 after vaccination was 76·0% (59·3-85·9). Our modelling analysis indicated that protection did not wane during this initial 3-month period. Similarly, antibody levels were maintained during this period with minimal waning by day 90 (geometric mean ratio [GMR] 0·66 [95% CI 0·59-0·74]). In the participants who received two standard doses, after the second dose, efficacy was higher in those with a longer prime-boost interval (vaccine efficacy 81·3% [95% CI 60·3-91·2] at ≥12 weeks) than in those with a short interval (vaccine efficacy 55·1% [33·0-69·9] at <6 weeks). These observations are supported by immunogenicity data that showed binding antibody responses more than two-fold higher after an interval of 12 or more weeks compared with an interval of less than 6 weeks in those who were aged 18-55 years (GMR 2·32 [2·01-2·68]). INTERPRETATION: The results of this primary analysis of two doses of ChAdOx1 nCoV-19 were consistent with those seen in the interim analysis of the trials and confirm that the vaccine is efficacious, with results varying by dose interval in exploratory analyses. A 3-month dose interval might have advantages over a programme with a short dose interval for roll-out of a pandemic vaccine to protect the largest number of individuals in the population as early as possible when supplies are scarce, while also improving protection after receiving a second dose. FUNDING: UK Research and Innovation, National Institutes of Health Research (NIHR), The Coalition for Epidemic Preparedness Innovations, the Bill & Melinda Gates Foundation, the Lemann Foundation, Rede D'Or, the Brava and Telles Foundation, NIHR Oxford Biomedical Research Centre, Thames Valley and South Midland's NIHR Clinical Research Network, and AstraZeneca

Concordant peripheral lipidome signatures in two large clinical studies of Alzheimer’s disease.

Changes to lipid metabolism are tightly associated with the onset and pathology of Alzheimer’s disease (AD). Lipids are complex molecules comprising many isomeric and isobaric species, necessitating detailed analysis to enable interpretation of biological significance. Our expanded targeted lipidomics platform (569 species across 32 classes) allows for detailed lipid separation and characterisation. In this study we examined peripheral samples of two cohorts (AIBL, n = 1112 and ADNI, n = 800). We are able to identify concordant peripheral signatures associated with prevalent AD arising from lipid pathways including; ether lipids, sphingolipids (notably GM3 gangliosides) and lipid classes previously associated with cardiometabolic disease (phosphatidylethanolamine and triglycerides). We subsequently identified similar lipid signatures in both cohorts with future disease. Lastly, we developed multivariate lipid models that improved classification and prediction. Our results provide a holistic view between the lipidome and AD using a comprehensive approach, providing targets for further mechanistic investigation