Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Bayesian Wavelet Shrinkage of the Haar-Fisz Transformed Wavelet Periodogram.

It is increasingly being realised that many real world time series are not stationary and exhibit evolving second-order autocovariance or spectral structure. This article introduces a Bayesian approach for modelling the evolving wavelet spectrum of a locally stationary wavelet time series. Our new method works by combining the advantages of a Haar-Fisz transformed spectrum with a simple, but powerful, Bayesian wavelet shrinkage method. Our new method produces excellent and stable spectral estimates and this is demonstrated via simulated data and on differenced infant electrocardiogram data. A major additional benefit of the Bayesian paradigm is that we obtain rigorous and useful credible intervals of the evolving spectral structure. We show how the Bayesian credible intervals provide extra insight into the infant electrocardiogram data

Distinguishing Asthma Phenotypes Using Machine Learning Approaches.

Asthma is not a single disease, but an umbrella term for a number of distinct diseases, each of which are caused by a distinct underlying pathophysiological mechanism. These discrete disease entities are often labelled as asthma endotypes. The discovery of different asthma subtypes has moved from subjective approaches in which putative phenotypes are assigned by experts to data-driven ones which incorporate machine learning. This review focuses on the methodological developments of one such machine learning technique-latent class analysis-and how it has contributed to distinguishing asthma and wheezing subtypes in childhood. It also gives a clinical perspective, presenting the findings of studies from the past 5 years that used this approach. The identification of true asthma endotypes may be a crucial step towards understanding their distinct pathophysiological mechanisms, which could ultimately lead to more precise prevention strategies, identification of novel therapeutic targets and the development of effective personalized therapies

Efficacy and safety of a subacromial continuous ropivacaine infusion for post-operative pain management following arthroscopic rotator cuff surgery: A protocol for a randomised double-blind placebo-controlled trial

<p>Abstract</p> <p>Background</p> <p>Major shoulder surgery often results in severe post-operative pain and a variety of interventions have been developed in an attempt to address this. The continuous slow infusion of a local anaesthetic directly into the operative site has recently gained popularity but it is expensive and as yet there is little conclusive evidence that it provides additional benefits over other methods of post-operative pain management.</p> <p>Methods/Design</p> <p>This will be a randomised, placebo-controlled trial involving 158 participants. Following diagnostic arthroscopy, all participants will undergo arthroscopic subacromial decompression with or without rotator cuff repair, all operations performed by a single surgeon. Participants, the surgeon, nurses caring for the patients and outcome assessors will be blinded to treatment allocation. All participants will receive a pre-incision bolus injection of 20 mls of ropivacaine 1% into the shoulder and an intra-operative intravenous bolus of parecoxib 40 mg. Using concealed allocation participants will be randomly assigned to active treatment (local anaesthetic ropivacaine 0.75%) or placebo (normal saline) administered continuously into the subacromial space by an elastomeric pump at 5 mls per hour post-operatively. Patient controlled opioid analgesia and oral analgesics will be available for breakthrough pain. Outcome assessment will be at 15, 30 and 60 minutes, 2, 4, 8, 12, 18 and 24 hours, and 2 or 4 months for decompression or decompression plus repair respectively.</p> <p>The primary end point will be average pain at rest over the first 12-hour post-operative period on a verbal analogue pain score. Secondary end points will be average pain at rest over the second 12-hour post-operative period, maximal pain at rest over the first and second 12-hour periods, amount of rescue medication used, length of inpatient stay and incidence of post-operative adhesive capsulitis.</p> <p>Discussion</p> <p>The results of this trial will contribute to evidence-based recommendations for the effectiveness of pain management modalities following arthroscopic rotator cuff surgery. If the local anaesthetic pain-buster provides no additional benefits over placebo then valuable resources can be put to better use in other ways.</p> <p>Trial registration</p> <p>Australian Clinical Trials Register Number ACTR12606000195550</p

Methods for specifying the target difference in a randomised controlled trial : the Difference ELicitation in TriAls (DELTA) systematic review

Peer reviewedPublisher PD

Bioavailability in soils

The consumption of locally-produced vegetables by humans may be an important exposure pathway for soil contaminants in many urban settings and for agricultural land use. Hence, prediction of metal and metalloid uptake by vegetables from contaminated soils is an important part of the Human Health Risk Assessment procedure. The behaviour of metals (cadmium, chromium, cobalt, copper, mercury, molybdenum, nickel, lead and zinc) and metalloids (arsenic, boron and selenium) in contaminated soils depends to a large extent on the intrinsic charge, valence and speciation of the contaminant ion, and soil properties such as pH, redox status and contents of clay and/or organic matter. However, chemistry and behaviour of the contaminant in soil alone cannot predict soil-to-plant transfer. Root uptake, root selectivity, ion interactions, rhizosphere processes, leaf uptake from the atmosphere, and plant partitioning are important processes that ultimately govern the accumulation ofmetals and metalloids in edible vegetable tissues. Mechanistic models to accurately describe all these processes have not yet been developed, let alone validated under field conditions. Hence, to estimate risks by vegetable consumption, empirical models have been used to correlate concentrations of metals and metalloids in contaminated soils, soil physico-chemical characteristics, and concentrations of elements in vegetable tissues. These models should only be used within the bounds of their calibration, and often need to be re-calibrated or validated using local soil and environmental conditions on a regional or site-specific basis.Mike J. McLaughlin, Erik Smolders, Fien Degryse, and Rene Rietr

The Spin Structure of the Nucleon

We present an overview of recent experimental and theoretical advances in our understanding of the spin structure of protons and neutrons.Comment: 84 pages, 29 figure

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration

"I am becoming more and more like my eldest brother!": the relationship between older siblings, adolescent gambling severity, and the attenuating role of parents in a large-scale nationally representative survey study

The present study examined the association between having older siblings who gamble and adolescent at-risk/problem gambling and how parents (i.e., parental knowledge of their whereabouts) and peers might moderate such effects. Data were drawn from the ESPAD®Italia2012 survey (European School Survey Project on Alcohol and Other Drugs) comprising a nationally representative Italian sample of adolescents. The analysis was carried out on a subsample of 10,063 Italian students aged 15–19 years (average age = 17.10; 55 % girls) who had at least one older sibling and who had gambled at some point in their lives. Respondents’ problem gambling severity, older gambler sibling, gambler peers, parental knowledge, and socio-demographic characteristics were individually assessed. Multinomial logistic regression analyses including two- and three-way interactions were conducted. The odds of being an at-risk/problem gambler were higher among high school students with older siblings that gambled and those with peers who gambled. Higher parental knowledge (of who the adolescent was with and where they were in their leisure time) was associated with lower rates of at-risk/problem gambling. There was also an interaction between gamblers with older siblings and parental knowledge. The combination of having siblings who gambled and a greater level of parental knowledge was associated with lower levels of problem gambling. The present study confirmed the occurrence of social risk processes (older siblings and peers who gambled) and demonstrated that gambling among older siblings and peers represents an important contextual factor for increased at-risk/problem gambling. However, parental knowledge appears to be sufficient to counterbalance the influence of older siblings