Deeper Hedging: A New Agent-based Model for Effective Deep Hedging

We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market by innovatively following a Heston-style volatility signal. The proposed model generalises both the extended Chiarella model and the Heston stochastic volatility model, and is calibrated to reproduce as many empirical stylized facts as possible. According to the stylised facts distance metric, the proposed model is able to reproduce more realistic financial time series than three baseline models: the extended Chiarella model, the Heston model, and the Geometric Brownian Motion. The proposed model is further validated by the Generalized Subtracted L-divergence metric. With the proposed Chiarella-Heston model, we generate a training dataset to train a deep hedging agent for optimal hedging strategies under various transaction cost levels. The deep hedging agent employs the Deep Deterministic Policy Gradient algorithm and is trained to maximize profits and minimize risks. Our testing results reveal that the deep hedging agent, trained with data generated by our proposed model, outperforms the baseline in most transaction cost levels. Furthermore, the testing process, which is conducted using empirical data, demonstrates the effective performance of the trained deep hedging agent in a realistic trading environment.Comment: Accepted in the 4th ACM International Conference on AI in Finance (ICAIF'23

Cross-sectional associations between sleep duration, sedentary time, physical activity, and adiposity indicators among Canadian preschool-aged children using compositional analyses

Abstract Background Sleep duration, sedentary behaviour, and physical activity are three co-dependent behaviours that fall on the movement/non-movement intensity continuum. Compositional data analyses provide an appropriate method for analyzing the association between co-dependent movement behaviour data and health indicators. The objectives of this study were to examine: (1) the combined associations of the composition of time spent in sleep, sedentary behaviour, light-intensity physical activity (LPA), and moderate- to vigorous-intensity physical activity (MVPA) with adiposity indicators; and (2) the association of the time spent in sleep, sedentary behaviour, LPA, or MVPA with adiposity indicators relative to the time spent in the other behaviours in a representative sample of Canadian preschool-aged children. Methods Participants were 552 children aged 3 to 4 years from cycles 2 and 3 of the Canadian Health Measures Survey. Sedentary time, LPA, and MVPA were measured with Actical accelerometers (Philips Respironics, Bend, OR USA), and sleep duration was parental reported. Adiposity indicators included waist circumference (WC) and body mass index (BMI) z-scores based on World Health Organization growth standards. Compositional data analyses were used to examine the cross-sectional associations. Results The composition of movement behaviours was significantly associated with BMI z-scores (p = 0.006) but not with WC (p = 0.718). Further, the time spent in sleep (BMI z-score: γ sleep  = −0.72; p = 0.138; WC: γ sleep  = −1.95; p = 0.285), sedentary behaviour (BMI z-score: γ SB  = 0.19; p = 0.624; WC: γ SB  = 0.87; p = 0.614), LPA (BMI z-score: γ LPA  = 0.62; p = 0.213, WC: γ LPA  = 0.23; p = 0.902), or MVPA (BMI z-score: γ MVPA  = −0.09; p = 0.733, WC: γ MVPA  = 0.08; p = 0.288) relative to the other behaviours was not significantly associated with the adiposity indicators. Conclusions This study is the first to use compositional analyses when examining associations of co-dependent sleep duration, sedentary time, and physical activity behaviours with adiposity indicators in preschool-aged children. The overall composition of movement behaviours appears important for healthy BMI z-scores in preschool-aged children. Future research is needed to determine the optimal movement behaviour composition that should be promoted in this age group

Does physical activity counselling enhance the effects of a pedometer-based intervention over the long-term : 12-month findings from the Walking for Wellbeing in the West study

Peer reviewedPublisher PD

IFNβ Protects Neurons from Damage in a Murine Model of HIV-1 Associated Brain Injury.

Infection with human immunodeficiency virus-1 (HIV-1) causes brain injury. Type I interferons (IFNα/β) are critical mediators of any anti-viral immune response and IFNβ has been implicated in the temporary control of lentiviral infection in the brain. Here we show that transgenic mice expressing HIV-1 envelope glycoprotein 120 in their central nervous system (HIVgp120tg) mount a transient IFNβ response and provide evidence that IFNβ confers neuronal protection against HIVgp120 toxicity. In cerebrocortical cell cultures, neuroprotection by IFNβ against gp120 toxicity is dependent on IFNα receptor 1 (IFNAR1) and the β-chemokine CCL4, as IFNAR1 deficiency and neutralizing antibodies against CCL4, respectively, abolish the neuroprotective effects. We find in vivo that IFNβ mRNA is significantly increased in HIVgp120tg brains at 1.5, but not 3 or 6 months of age. However, a four-week intranasal IFNβ treatment of HIVgp120tg mice starting at 3.5 months of age increases expression of CCL4 and concomitantly protects neuronal dendrites and pre-synaptic terminals in cortex and hippocampus from gp120-induced damage. Moreover, in vivo and in vitro data suggests astrocytes are a major source of IFNβ-induced CCL4. Altogether, our results suggest exogenous IFNβ as a neuroprotective factor that has potential to ameliorate in vivo HIVgp120-induced brain injury

Crude incidence in two-phase designs in the presence of competing risks.

BackgroundIn many studies, some information might not be available for the whole cohort, some covariates, or even the outcome, might be ascertained in selected subsamples. These studies are part of a broad category termed two-phase studies. Common examples include the nested case-control and the case-cohort designs. For two-phase studies, appropriate weighted survival estimates have been derived; however, no estimator of cumulative incidence accounting for competing events has been proposed. This is relevant in the presence of multiple types of events, where estimation of event type specific quantities are needed for evaluating outcome.MethodsWe develop a non parametric estimator of the cumulative incidence function of events accounting for possible competing events. It handles a general sampling design by weights derived from the sampling probabilities. The variance is derived from the influence function of the subdistribution hazard.ResultsThe proposed method shows good performance in simulations. It is applied to estimate the crude incidence of relapse in childhood acute lymphoblastic leukemia in groups defined by a genotype not available for everyone in a cohort of nearly 2000 patients, where death due to toxicity acted as a competing event. In a second example the aim was to estimate engagement in care of a cohort of HIV patients in resource limited setting, where for some patients the outcome itself was missing due to lost to follow-up. A sampling based approach was used to identify outcome in a subsample of lost patients and to obtain a valid estimate of connection to care.ConclusionsA valid estimator for cumulative incidence of events accounting for competing risks under a general sampling design from an infinite target population is derived

Interactions among mitochondrial proteins altered in glioblastoma

Mitochondrial dysfunction is putatively central to glioblastoma (GBM) pathophysiology but there has been no systematic analysis in GBM of the proteins which are integral to mitochondrial function. Alterations in proteins in mitochondrial enriched fractions from patients with GBM were defined with label-free liquid chromatography mass spectrometry. 256 mitochondrially-associated proteins were identified in mitochondrial enriched fractions and 117 of these mitochondrial proteins were markedly (fold-change ≥2) and significantly altered in GBM (p ≤ 0.05). Proteins associated with oxidative damage (including catalase, superoxide dismutase 2, peroxiredoxin 1 and peroxiredoxin 4) were increased in GBM. Protein–protein interaction analysis highlighted a reduction in multiple proteins coupled to energy metabolism (in particular respiratory chain proteins, including 23 complex-I proteins). Qualitative ultrastructural analysis in GBM with electron microscopy showed a notably higher prevalence of mitochondria with cristolysis in GBM. This study highlights the complex mitochondrial proteomic adjustments which occur in GBM pathophysiology