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

Total hip replacement infected with Mycobacterium tuberculosis complicated by Addison disease and psoas muscle abscess: a case report

Abstract Introduction Prosthetic joint infection due to Mycobacterium tuberculosis is occasionally encountered in clinical practice. To the best of our knowledge, this is the first report of a prosthetic joint infection due to Mycobacterium tuberculosis complicated by psoas abscesses and secondary Addison disease. Case presentation A 67-year-old immunocompetent Caucasian woman underwent total left hip arthroplasty because of osteoarthritis. After 18 months, she underwent arthroplasty revision for a possible prosthetic infection. Periprosthetic tissue specimens for bacteria were negative, and empirical antibiotic therapy was unsuccessful. She was then admitted to our department because of complications arising 22 months after arthroplasty. A physical examination revealed a sinus tract overlying her left hip and skin and mucosal pigmentation. Her levels of C-reactive protein, basal cortisol, adrenocorticotropic hormone, and sodium were out of normal range. Results of the tuberculin skin test and QuantiFERON-TB Gold test were positive. Computed tomography revealed a periprosthetic abscess and the inclusion of the left psoas muscle. Results of microbiological tests were negative, but polymerase chain reaction of a specimen taken from the hip fistula was positive for Mycobacterium tuberculosis. Our patient's condition was diagnosed as prosthetic joint infection and muscle psoas abscess due to Mycobacterium tuberculosis and secondary Addison disease. She underwent standard treatment with rifampicin, ethambutol, isoniazid, and pyrazinamide associated with hydrocortisone and fludrocortisone. At 15 months from the beginning of therapy, she was in good clinical condition and free of symptoms. Conclusions Prosthetic joint infection with Mycobacterium tuberculosis is uncommon. A differential diagnosis of tuberculosis should be considered when dealing with prosthetic joint infection, especially when repeated smears and histology examination from infected joints are negative. Clinical outcomes of prosthetic joint infection by Mycobacterium tuberculosis are unpredictable, especially given the limited literature in this field and the uncertainty of whether medical treatment alone can eradicate the infection without prosthesis removal. Furthermore, this case report raises interesting issues such as the necessity of a follow-up evaluation after treatment based on clinical conditions, the utility of a more standardized length of treatment for periprosthetic tuberculous infection, and the importance of a high diffusion capacity of anti-mycobacterial agents in order to eradicate the infection.</p

Nutrition Strategies for Triathlon

Contemporary sports nutrition guidelines recommend that each athlete develop a personalised, periodised and practical approach to eating that allows him or her to train hard, recover and adapt optimally, stay free of illness and injury and compete at their best at peak races. Competitive triathletes undertake a heavy training programme to prepare for three different sports while undertaking races varying in duration from 20 min to 10 h. The everyday diet should be adequate in energy availability, provide CHO in varying amounts and timing around workouts according to the benefits of training with low or high CHO availability and spread high-quality protein over the day to maximise the adaptive response to each session. Race nutrition requires a targeted and well-practised plan that maintains fuel and hydration goals over the duration of the specific event, according to the opportunities provided by the race and other challenges, such as a hot environment. Supplements and sports foods can make a small contribution to a sports nutrition plan, when medical supplements are used under supervision to prevent/treat nutrient deficiencies (e.g. iron or vitamin D) or when sports foods provide a convenient source of nutrients when it is impractical to eat whole foods. Finally, a few evidence-based performance supplements may contribute to optimal race performance when used according to best practice protocols to suit the triathlete’s goals and individual responsiveness

Seasonal variation in the incidence of preeclampsia and eclampsia in tropical climatic conditions

<p>Abstract</p> <p>Background</p> <p>Observational studies have demonstrated various correlations between hypertensive disorders of pregnancy and different weather parameters. We aim to study if a correlation exists between the incidence of eclampsia and pre-eclampsia and various weather parameters in the tropical coastal city of Mumbai which has the distinction of having relatively uniform meteorological variables all throughout the year, except for the monsoon season.</p> <p>Methods</p> <p>We retrospectively analysed data from a large maternity centre in Mumbai, India over a period of 36 months from March 1993 to February 1996, recording the incidence of preeclampsia and eclampsia. Meteorological data was acquired from the regional meteorological centre recording the monthly average temperature, humidity, barometric pressure and rainfall during the study period. Study period was then divided into two climate conditions: monsoon season (June to August) and dry season September to May. The incidence of preeclampsia and eclampsia and the meteorological differences between the two seasons were compared.</p> <p>Results</p> <p>Over a 36-month period, a total of 29562 deliveries were recorded, of which 1238 patients developed preeclampsia (4.18%) and 34 developed eclampsia (0.11%). The incidence of preeclampsia did not differ between the monsoon and the dry season (4.3% vs. 4.15%, p = 0.5). The incidence of eclampsia was significantly higher in the monsoon (0.2% vs. 0.08%, p = 0.01). The monsoon was significantly cooler (median maximum temperature 30.7°C vs. 32.3°C, p = 0.01), more humid (median relative humidity 85% vs. 70%, p = 0.0008), and received higher rainfall (median 504.9 mm vs. 0.3 mm, p = 0.0002) than the rest of the year. The median barometric pressure (1005 mb) during the monsoon season was significantly lower than the rest of the year (1012 mb, p < 0.0001).</p> <p>Conclusion</p> <p>In the tropical climate of Mumbai, the incidence of eclampsia is significantly higher in monsoon, when the weather is cooler and humid with a lower barometric pressure than the rest of the year. This effect is not seen with preeclampsia. This strengthens the association of low temperature and high humidity with triggering of eclampsia.</p

Adapting the Marine Stewardship Council risk-based framework to estimate impacts on seabirds, marine mammals, marine turtles and sea snakes

This is the final version. Available from Elsevier via the DOI in this record. Information available on impacts of fisheries on target or bycatch species varies greatly, requiring development of risk assessment tools to determine potentially unacceptable levels. Seabirds, marine mammals, marine turtles and sea snakes are particularly vulnerable given their extreme life histories, and data are often lacking on their populations or bycatch rates with which to quantify fisheries impacts. The Marine Stewardship Council (MSC) use a semi-quantitative Productivity Susceptibility Analysis (PSA) that is applicable to all species, target and non-target, to calculate risk of impact and to provide a score for relevant Performance Indicators for fisheries undertaking certification. The most recent MSC Fisheries Standard Review provided an opportunity to test the appropriateness of using this tool and whether it was sufficiently precautionary for seabirds, marine mammals and reptiles . The existing PSA was tested on a range of species and fisheries and reviewed in relation to literature on these species groups. New taxa-specific PSAs were produced and then reviewed by taxa-specific experts and other relevant stakeholders (e.g., assessors, fisheries managers, non-governmental conservation organizations). The conclusions of the Fishery Standard Review process were that the new taxa-specific PSAs were more appropriate than the existing PSA for assessing fisheries risk for seabirds, marine mammals and reptiles, and that, as intended, they resulted in precautionary outcomes. The taxa-specific PSAs provide useful tools for true data-deficient fisheries to assess relative risk of impact. Where some data are available, the MSC could consider developing or adapting other approaches to support robust and relevant risk assessments.Marine Stewardship Counci

Social representations and the politics of participation

Recent work has called for the integration of different perspectives into the field of political psychology (Haste, 2012). This chapter suggests that one possible direction that such efforts can take is studying the role that social representations theory (SRT) can play in understanding political participation and social change. Social representations are systems of common-sense knowledge and social practice; they provide the lens through which to view and create social and political realities, mediate people's relations with these sociopolitical worlds and defend cultural and political identities. Social representations are therefore key for conceptualising participation as the activity that locates individuals and social groups in their sociopolitical world. Political participation is generally seen as conditional to membership of sociopolitical groups and therefore is often linked to citizenship. To be a citizen of a society or a member of any social group one has to participate as such. Often political participation is defined as the ability to communicate one's views to the political elite or to the political establishment (Uhlaner, 2001), or simply explicit involvement in politics and electoral processes (Milbrath, 1965). However, following scholars on ideology (Eagleton, 1991; Thompson, 1990) and social knowledge (Jovchelovitch, 2007), we extend our understanding of political participation to all social relations and also develop a more agentic model where individuals and groups construct, develop and resist their own views, ideas and beliefs. We thus adopt a broader approach to participation in comparison to other political-psychological approaches, such as personality approaches (e.g. Mondak and Halperin, 2008) and cognitive approaches or, more recently, neuropsychological approaches (Hatemi and McDermott, 2012). We move away from a focus on the individual's political behaviour and its antecedents and outline an approach that focuses on the interaction between psychological and political phenomena (Deutsch and Kinnvall, 2002) through examining the politics of social knowledge

Perspective from a Younger Generation -- The Astro-Spectroscopy of Gisbert Winnewisser

Gisbert Winnewisser's astronomical career was practically coextensive with the whole development of molecular radio astronomy. Here I would like to pick out a few of his many contributions, which I, personally, find particularly interesting and put them in the context of newer results.Comment: 14 pages. (Co)authored by members of the MPIfR (Sub)millimeter Astronomy Group. To appear in the Proceedings of the 4th Cologne-Bonn-Zermatt-Symposium "The Dense Interstellar Medium in Galaxies" eds. S. Pfalzner, C. Kramer, C. Straubmeier, & A. Heithausen (Springer: Berlin

Linear viscoelasticity - bone volume fraction relationships of bovine trabecular bone

Trabecular bone has been previously recognized as time-dependent (viscoelastic) material, but the relationships of its viscoelastic behaviour with bone volume fraction (BV/TV) have not been investigated so far. Therefore, the aim of the present study was to quantify the time-dependent viscoelastic behaviour of trabecular bone and relate it to BV/TV. Uniaxial compressive creep experiments were performed on cylindrical bovine trabecular bone samples ([Formula: see text] ) at loads corresponding to physiological strain level of 2000 [Formula: see text] . We assumed that the bone behaves in a linear viscoelastic manner at this low strain level and the corresponding linear viscoelastic parameters were estimated by fitting a generalized Kelvin–Voigt rheological model to the experimental creep strain response. Strong and significant power law relationships ([Formula: see text] ) were found between time-dependent creep compliance function and BV/TV of the bone. These BV/TV-based material properties can be used in finite element models involving trabecular bone to predict time-dependent response. For users’ convenience, the creep compliance functions were also converted to relaxation functions by using numerical interconversion methods and similar power law relationships were reported between time-dependent relaxation modulus function and BV/TV