Dynamic modeling of mean-reverting spreads for statistical arbitrage

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed, including a co-integration relationship involving two exchange-traded funds.Comment: 34 pages, 6 figures. Submitte

Reconstruction after esophagectomy in patients with [partial] gastric resection. Case report and review of the literature of the use of remnant stomach

Background: Bowel reconstruction after subtotal esophagectomy represents a problem when a previous distal gastrectomy was performed: usually the colon or jejunum is used. Methods: In a 10 year period 126 patients with primary esophageal cancer underwent esophageal resection in our Department. Surgical procedures were 57% two-phase subtotal oesophagectomy, 23% transhiatal, 9% stripping, 10 three-phase total esophagectomy and 2 endoscopic resections. Results: In 112 patients alimentary tract reconstruction was achieved by means of esophagogastric anastomosis. Reconstruction was performed using colon in 10 cases and jejunum in 2. We describe the technical aspects of esophagectomy and gastric reconstruction in a patient with previous antrectomy and Billroth II reconstruction. The procedure was performed via a combined laparotomy and thoracotomy with anastomosis at the level of the azygous vein using the remnant stomach. Conclusion: Few technical reports have been reported in literature about the use of remnant stomach in reconstruction for subtotal esophagectomy subsequent to distal gastrectomy. Several hypotheses are made to explain the maintenance of the gastric vascular integrity as its intramural network without micro-vascular anastomosis

To teach and to learn in day surgery : The role of residents

BACKGROUND: Our Division of Surgery is a University Department. Residents perform in Day Surgery theatre room with tutors of proven experience. This study looks to explore ways in which senior tutors in Day Surgery can contribute to teach. Infact the School of postgraduate Surgery obliges postgraduate surgeons to carry out a number of minor and medium size operations. METHODS: This study was carried out in 2006. In this year were performed n.116 Inguinal Hernia repairs with method by Trabucco. Residents performed N.51 Inguinal Hernia repairs as first surgeons, assisted by a tutor with proven experience. RESULTS: All patients were discharged home on the day of their operations. The post-operative morbidity rate was the same of that encountered during surgery performed by experienced surgeons. Two recurrences were reported: one patient operated by a resident and one patient operated by an experienced colleague. CONCLUSIONS: In Day Surgery it is not possible to do a teaching programme. The opportunity to see patients' pre-operatively and follow them through surgery discharge on the same day is unique. The residents can contribute to quality of Day Surgery and learn. Day Surgery Units could play an increased role in medical education

Pocket-sized, wireless-Bluetooth ultrasound system to perform diagnostic and low-complexity interventional procedures in bedridden patients during the COVID-19 pandemic: from intensive care unit to domiciliary service?

The use of a pocked-sized, wireless-Bluetooth ultrasound portable system with display images presented on a tablet facilitated the work of our radiologists during the first wave of coronavirus disease 2019 (COVID-19) to perform diagnostic and interventional procedures in bedridden patients. The device is equipped with a battery-powered probe without cables that transmits images to a tablet (or a cell phone) through a dedicated App. We hypothesise in future to extend diagnostic and low-complexity interventional procedures from hospitalised patients to at-home patients who are not able to mobilise out of bed or are difficult to transport. This domiciliary service might also reduce the overhead of hospital accesses

Dual-layer spectral CT fusion imaging for lung biopsies: more accurate targets, diagnostic samplings, and biomarker information?

The increasingly widespread use of computed tomography (CT) has increased the number of detected lung lesions, which are then subjected to needle biopsy to obtain histopathological diagnosis. Obtaining high-quality biopsy specimens is fundamental for diagnosis and biomolecular characterisation that guide therapy decision-making. In order to obtain samples with high diagnostic potential, fusion imaging techniques, such as fusion between positron emission tomography and CT, have been introduced to target the biopsy where there more viable neoplastic cells can be sampled. Nowadays, dual-layer spectral CT represents a novel technology enabling an increased tissue characterisation. In particular, Z-effective images, i.e., colour-coded images based on the effective atomic number of tissue components, provide a higher level of discrimination than usual imaged based on x-ray attenuation in Hounsfield units and offer the potential of a better tissue characterisation. Our hypothesis is based on the future use of data provided by spectral CT, in particular by Z-effective images, as a guide for appropriate biopsy sampling for histopathological and biomolecular characterisation in the era of patient tailored-therapy

Successful endovascular management with a covered stent of an external iliac pseudoaneurysm following allograft nephrectomy using CO 2 as contrast medium: a case report.

Iodinated contrast agents for angiography in chronic kidney disease (CKD) patients could further deteriorate their renal function leading to adverse sequelae. The use of carbon dioxide (CO2) is reported in the literature and has been safely used for a variety of angiographic procedures, particularly to guide aortic and renal interventions. We report the case of the successful endovascular treatment with a covered stent of a right external iliac artery pseudoaneurysm following graft nephrectomy in a CKD patient, using CO2 as contrast medium

Internal Iliac Artery Embolization within EVAR Procedure: Safety, Feasibility, and Outcome

Background: This study is focused on Internal Iliac Artery (IIA) embolization in patients undergoing Endovascular Aneurysm Repair (EVAR). Our aims were: to establish the feasibility of the procedure; to assess the presence of endoleak (EL) and increase in the size of the sac at follow-up; to define the need for reintervention; and to evaluate mortality rate. Methods: In this retrospective single-center study, EVAR-treated patients with an embolization of IIA were chosen. Coils and vascular plug were used as embolizing agents. Results: A total of 49 participants were enrolled in the study (48 men and one woman) with a median age of 76 +/- 12 years. Patients had no early EL in 87.75% of cases, 8.16% had type 1a EL, 2.04% type 1b EL, and 2.04% type 2 EL, with a comprehensive technical success of 95.91%. In the follow-up, at 1 month 72.22% remained without EL, at 6 months 70.97%, and at 1 year 81.48%. In the same period, the trend of type 1 EL was 5.56% (1 month), 3.23% (6 months), and 0% (1 year). For EL type 2: 22.22% at 1 month, 25.81% at 6 months, and 16.7% at 1 year. The overall mortality was 35.58% and the re-intervention rate was 16.33%. Conclusions: IIA embolization is a feasible and safe procedure. The presence of EL is not superior to EVAR procedures that do not involve embolization