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

Uncovering regulatory pathways that affect hematopoietic stem cell function using 'genetical genomics'

We combined large-scale mRNA expression analysis and gene mapping to identify genes and loci that control hematopoietic stem cell (HSC) function. We measured mRNA expression levels in purified HSCs isolated from a panel of densely genotyped recombinant inbred mouse strains. We mapped quantitative trait loci (QTLs) associated with variation in expression of thousands of transcripts. By comparing the physical transcript position with the location of the controlling QTL, we identified polymorphic cis-acting stem cell genes. We also identified multiple trans-acting control loci that modify expression of large numbers of genes. These groups of coregulated transcripts identify pathways that specify variation in stem cells. We illustrate this concept with the identification of candidate genes involved with HSC turnover. We compared expression QTLs in HSCs and brain from the same mice and identified both shared and tissue-specific QTLs. Our data are accessible through WebQTL, a web-based interface that allows custom genetic linkage analysis and identification of coregulated transcripts.

Impact of facial conformation on canine health: Brachycephalic Obstructive Airway Syndrome

The domestic dog may be the most morphologically diverse terrestrial mammalian species known to man; pedigree dogs are artificially selected for extreme aesthetics dictated by formal Breed Standards, and breed-related disorders linked to conformation are ubiquitous and diverse. Brachycephaly–foreshortening of the facial skeleton–is a discrete mutation that has been selected for in many popular dog breeds e.g. the Bulldog, Pug, and French Bulldog. A chronic, debilitating respiratory syndrome, whereby soft tissue blocks the airways, predominantly affects dogs with this conformation, and thus is labelled Brachycephalic Obstructive Airway Syndrome (BOAS). Despite the name of the syndrome, scientific evidence quantitatively linking brachycephaly with BOAS is lacking, but it could aid efforts to select for healthier conformations. Here we show, in (1) an exploratory study of 700 dogs of diverse breeds and conformations, and (2) a confirmatory study of 154 brachycephalic dogs, that BOAS risk increases sharply in a non-linear manner as relative muzzle length shortens. BOAS only occurred in dogs whose muzzles comprised less than half their cranial lengths. Thicker neck girths also increased BOAS risk in both populations: a risk factor for human sleep apnoea and not previously realised in dogs; and obesity was found to further increase BOAS risk. This study provides evidence that breeding for brachycephaly leads to an increased risk of BOAS in dogs, with risk increasing as the morphology becomes more exaggerated. As such, dog breeders and buyers should be aware of this risk when selecting dogs, and breeding organisations should actively discourage exaggeration of this high-risk conformation in breed standards and the show ring

Nitrate Respiration Protects Hypoxic Mycobacterium tuberculosis Against Acid- and Reactive Nitrogen Species Stresses

There are strong evidences that Mycobacterium tuberculosis survives in a non-replicating state in the absence of oxygen in closed lesions and granuloma in vivo. In addition, M. tuberculosis is acid-resistant, allowing mycobacteria to survive in acidic, inflamed lesions. The ability of M. tuberculosis to resist to acid was recently shown to contribute to the bacillus virulence although the mechanisms involved have yet to be deciphered. In this study, we report that M. tuberculosis resistance to acid is oxygen-dependent; whereas aerobic mycobacteria were resistant to a mild acid challenge (pH 5.5) as previously reported, we found microaerophilic and hypoxic mycobacteria to be more sensitive to acid. In hypoxic conditions, mild-acidity promoted the dissipation of the protonmotive force, rapid ATP depletion and cell death. Exogenous nitrate, the most effective alternate terminal electron acceptor after molecular oxygen, protected hypoxic mycobacteria from acid stress. Nitrate-mediated resistance to acidity was not observed for a respiratory nitrate reductase NarGH knock-out mutant strain. Furthermore, we found that nitrate respiration was equally important in protecting hypoxic non-replicating mycobacteria from radical nitrogen species toxicity. Overall, these data shed light on a new role for nitrate respiration in protecting M. tuberculosis from acidity and reactive nitrogen species, two environmental stresses likely encountered by the pathogen during the course of infection

Holographic Vitrification

We establish the existence of stable and metastable stationary black hole bound states at finite temperature and chemical potentials in global and planar four-dimensional asymptotically anti-de Sitter space. We determine a number of features of their holographic duals and argue they represent structural glasses. We map out their thermodynamic landscape in the probe approximation, and show their relaxation dynamics exhibits logarithmic aging, with aging rates determined by the distribution of barriers.Comment: 100 pages, 25 figure

Limits on WWZ and WW\gamma couplings from p\bar{p}\to e\nu jj X events at \sqrt{s} = 1.8 TeV

We present limits on anomalous WWZ and WW-gamma couplings from a search for WW and WZ production in p-bar p collisions at sqrt(s)=1.8 TeV. We use p-bar p -> e-nu jjX events recorded with the D0 detector at the Fermilab Tevatron Collider during the 1992-1995 run. The data sample corresponds to an integrated luminosity of 96.0+-5.1 pb^(-1). Assuming identical WWZ and WW-gamma coupling parameters, the 95% CL limits on the CP-conserving couplings are -0.33<lambda<0.36 (Delta-kappa=0) and -0.43<Delta-kappa<0.59 (lambda=0), for a form factor scale Lambda = 2.0 TeV. Limits based on other assumptions are also presented.Comment: 11 pages, 2 figures, 2 table

Search for New Physics in e mu X Data at D0 Using Sleuth: A Quasi-Model-Independent Search Strategy for New Physics

We present a quasi-model-independent search for the physics responsible for electroweak symmetry breaking. We define final states to be studied, and construct a rule that identifies a set of relevant variables for any particular final state. A new algorithm ("Sleuth") searches for regions of excess in those variables and quantifies the significance of any detected excess. After demonstrating the sensitivity of the method, we apply it to the semi-inclusive channel e mu X collected in 108 pb^-1 of ppbar collisions at sqrt(s) = 1.8 TeV at the D0 experiment during 1992-1996 at the Fermilab Tevatron. We find no evidence of new high p_T physics in this sample.Comment: 23 pages, 12 figures. Submitted to Physical Review