Improving risk-adjusted performance in high frequency trading using interval type-2 fuzzy logic

In this paper, we investigate the ability of higher order fuzzy systems to handle increased uncertainty, mostly induced by the market microstructure noise inherent in a high frequency trading (HFT) scenario. Whilst many former studies comparing type-1 and type-2 Fuzzy Logic Systems (FLSs) focus on error reduction or market direction accuracy, our interest is predominantly risk-adjusted performance and more in line with both trading practitioners and upcoming regulatory regimes. We propose an innovative approach to design an interval type-2 model which is based on a generalisation of the popular type-1 ANFIS model. The significance of this work stems from the contributions as a result of introducing type-2 fuzzy sets in intelligent trading algorithms, with the objective to improve the risk-adjusted performance with minimal increase in the design and computational complexity. Overall, the proposed ANFIS/T2 model scores significant performance improvements when compared to both standard ANFIS and Buy-and-Hold methods. As a further step, we identify a relationship between the increased trading performance benefits of the proposed type-2 model and higher levels of microstructure noise. The results resolve a desirable need for practitioners, researchers and regulators in the design of expert and intelligent systems for better management of risk in the field of HFT

Nonlinear trading models through Sharpe Ratio maximization

www.stern.nyu.edu / aweigend While many trading strategies are based on price prediction, traders in nancial markets are typically interested in risk-adjusted performance such as the Sharpe Ratio, rather than price predictions themselves. This paper introduces an approach which generates a nonlinear strategy that explicitly maximizes the Sharpe Ratio. It is expressed as a neural network model whose output is the position size between a risky and a risk-free asset. The iterative parameter update rules are derived and compared to alternative approaches. The resulting trading strategy is evaluated and analyzed on both computer-generated data and real world data (DAX, the daily German equity index). Trading based on Sharpe Ratio maximization compares favorably to both pro t optimization and probability matching (through cross-entropy optimization). The results show that the goal of optimizing out-of-sample risk-adjusted pro t can be achieved with this nonlinear approach.

Dull trail

Blind in one eye and traumatized from years of war and American bombs, Mae Neng the elephant learns to accept the love of her kind caretaker Da Chroed in Mondulkiri province

Identifying Biomarkers of Wharton’s Jelly Mesenchymal Stromal Cells Using a Dynamic Metabolic Model: The Cell Passage Effect

International audienc

Transcriptomically Guided Mesendoderm Induction of Human Pluripotent Stem Cells Using a Systematically Defined Culture Scheme

Summary: Human pluripotent stem cells (hPSCs) are an essential cell source in tissue engineering, studies of development, and disease modeling. Efficient, broadly amenable protocols for rapid lineage induction of hPSCs are of great interest in the stem cell biology field. We describe a simple, robust method for differentiation of hPSCs into mesendoderm in defined conditions utilizing single-cell seeding (SCS) and BMP4 and Activin A (BA) treatment. BA treatment was readily incorporated into existing protocols for chondrogenic and endothelial progenitor cell differentiation, while fine-tuning of BA conditions facilitated definitive endoderm commitment. After prolonged differentiation in vitro or in vivo, BA pretreatment resulted in higher mesoderm and endoderm levels at the expense of ectoderm formation. These data demonstrate that SCS with BA treatment is a powerful method for induction of mesendoderm that can be adapted for use in mesoderm and endoderm differentiation. : In this article, Carpenedo and Stanford and colleagues demonstrate a robust and reproducible single-cell seeding method for rapid induction of mesendoderm for hPSCs. Transcriptomic data indicated that the method could be applied to mesoderm and endoderm differentiation protocols, which was demonstrated experimentally. Formation of mesoderm and endoderm following pre-differentiation was further demonstrated in long-term in vitro and in vivo assays. Keywords: mesendoderm, human pluripotent stem cells, defined differentiation, human embryonic stem cells, human induced pluripotent stem cell