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

Frontal haemodynamic responses in depression and the effect of electroconvulsive therapy

BACKGROUND: Reduced frontal cortex metabolism and blood flow in depression may be associated with low mood and cognitive impairment. Further reduction has been reported during a course of electroconvulsive therapy but it is not known if this relates to mood and cognitive changes caused by electroconvulsive therapy. // AIMS: The purpose of this study was to investigate frontal function while undertaking cognitive tasks in depressed patients compared with healthy controls, and following electroconvulsive therapy in patients. // METHODS: We measured frontal haemodynamic responses to a category verbal fluency task and a working memory N-back task using portable functional near infra-red spectroscopy (fNIRS) in 51 healthy controls and 18 severely depressed patients, 12 of whom were retested after the fourth treatment of a course of electroconvulsive therapy. Mood was assessed using the Montgomery Åsberg Depression Rating Scale and cognitive function using category Verbal Fluency from the Controlled Oral Word Association Test and Digit Span backwards. // RESULTS: Compared to healthy controls, depressed patients had bilaterally lower frontal oxyhaemoglobin responses to the cognitive tasks, although this was only significant for the N-Back task where performance correlated inversely with depression severity in patients. After four electroconvulsive therapy treatments oxyhaemoglobin responses were further reduced during the Verbal Fluency task but the changes did not correlate with mood or cognitive changes. // DISCUSSION: Our results confirmed a now extensive literature showing impaired frontal fNIRS oxyhaemoglobin responses to cognitive tasks in depression, and showed for the first time that these are further reduced during a course of electroconvulsive therapy. Further research is needed to investigate the biology and clinical utility of frontal fNIRS in psychiatric patients

Gravitino dark matter in the constrained next-to-minimal supersymmetric standard model with neutralino next-to-lightest superpartner

The viability of a possible cosmological scenario is investigated. The theoretical framework is the constrained next-to-minimal supersymmetric standard model (cNMSSM), with a gravitino playing the role of the lightest supersymmetric particle (LSP) and a neutralino acting as the next-to-lightest supersymmetric particle (NLSP). All the necessary constraints from colliders and cosmology have been taken into account. For gravitino we have considered the two usual production mechanisms, namely out-of equillibrium decay from the NLSP, and scattering processes from the thermal bath. The maximum allowed reheating temperature after inflation, as well as the maximum allowed gravitino mass are determined.Comment: 20 pages, 5 figure

Metastatic colorectal cancer to a primary thyroid cancer

This is an Open Access article distributed under the terms of the Creative Commons Attribution Licens

Pedestrian, Crowd, and Evacuation Dynamics

This contribution describes efforts to model the behavior of individual pedestrians and their interactions in crowds, which generate certain kinds of self-organized patterns of motion. Moreover, this article focusses on the dynamics of crowds in panic or evacuation situations, methods to optimize building designs for egress, and factors potentially causing the breakdown of orderly motion.Comment: This is a review paper. For related work see http://www.soms.ethz.c

A primary care, multi-disciplinary disease management program for opioid-treated patients with chronic non-cancer pain and a high burden of psychiatric comorbidity

BACKGROUND: Chronic non-cancer pain is a common problem that is often accompanied by psychiatric comorbidity and disability. The effectiveness of a multi-disciplinary pain management program was tested in a 3 month before and after trial. METHODS: Providers in an academic general medicine clinic referred patients with chronic non-cancer pain for participation in a program that combined the skills of internists, clinical pharmacists, and a psychiatrist. Patients were either receiving opioids or being considered for opioid therapy. The intervention consisted of structured clinical assessments, monthly follow-up, pain contracts, medication titration, and psychiatric consultation. Pain, mood, and function were assessed at baseline and 3 months using the Brief Pain Inventory (BPI), the Center for Epidemiological Studies-Depression Scale scale (CESD) and the Pain Disability Index (PDI). Patients were monitored for substance misuse. RESULTS: Eighty-five patients were enrolled. Mean age was 51 years, 60% were male, 78% were Caucasian, and 93% were receiving opioids. Baseline average pain was 6.5 on an 11 point scale. The average CESD score was 24.0, and the mean PDI score was 47.0. Sixty-three patients (73%) completed 3 month follow-up. Fifteen withdrew from the program after identification of substance misuse. Among those completing 3 month follow-up, the average pain score improved to 5.5 (p = 0.003). The mean PDI score improved to 39.3 (p < 0.001). Mean CESD score was reduced to 18.0 (p < 0.001), and the proportion of depressed patients fell from 79% to 54% (p = 0.003). Substance misuse was identified in 27 patients (32%). CONCLUSIONS: A primary care disease management program improved pain, depression, and disability scores over three months in a cohort of opioid-treated patients with chronic non-cancer pain. Substance misuse and depression were common, and many patients who had substance misuse identified left the program when they were no longer prescribed opioids. Effective care of patients with chronic pain should include rigorous assessment and treatment of these comorbid disorders and intensive efforts to insure follow up

Validation of FASTFISH-ID: A new commercial platform for rapid fish species authentication via universal closed-tube barcoding

Seafood represents up to 20% of animal protein consumption in global food consumption and is a critical dietary and income resource for the world's population. Currently, over 30% of marine fish stocks are harvested at unsustainable levels, and the industry faces challenges related to Illegal, Unregulated and Unreported (IUU) fishing. Accurate species identification is one critical component of successful stock management and helps combat fraud. Existing DNA-based technologies permit identification of seafood even when morphological features are removed, but are either too time-consuming, too expensive, or too specific for widespread use throughout the seafood supply chain. FASTFISH-ID is an innovative commercial platform for fish species authentication, employing closed-tube barcoding in a portable device. This method begins with asymmetric PCR amplification of the full length DNA barcode sequence and subsequently interrogates the resulting single-stranded DNA with a universal set of Positive/Negative probes labeled in two fluorescent colors. Each closed-tube reaction generates two species-specific fluorescent signatures that are then compared to a cloud-based library of previously validated fluorescent signatures. This novel approach results in rapid, automated species authentication without the need for complex, time consuming, identification by DNA sequencing, or repeated analysis with a panel of species-specific tests. Performance of the FASTFISH-ID platform was assessed in a blinded study carried out in three laboratories located in the UK and North America. The method exhibited a 98% success rate among the participating laboratories when compared to species identification via conventional DNA barcoding by sequencing. Thus, FASTFISH-ID is a promising new platform for combating seafood fraud across the global seafood supply chain. © 2021 The Author

Rare Bilateral Nasopalatine Duct Cysts: A Case Report

The nasopalatine duct cyst (NPDC) is the most common of the non-odontogenic cyst of the jaws. This cysts are usually central or unilateral with no prevalence of side occurrence. The NPDC is the most frequent developmental, nonodontogenic cyst of the jaws. This cyst originates from epithelial remnants from the nasopalatine duct. The cells could be activated spontaneously during life, or are eventually stimulated by the irritating action of various agents (infection, etc.). Generally, patients present without clinical signs and symptoms. Therefore, the tentative diagnosis "nasopalatine duct cyst" is often based on a coincidental radiological finding on a routine panoramic view or occlusal radiograph. The definite diagnosis should be based on clinical, radiological and above all histopathologic findings. The therapy of nasopalatine duct cysts consists of an enucleation of the cystic tissue, only in rare cases a marsupialization needs to be performed. This report describes the appearance and treatment of a rare case of bilateral nasopalatine duct cyst

Post-traumatic upper cervical subluxation visualized by MRI: a case report

<p>Abstract</p> <p>Background</p> <p>This paper describes MRI findings of upper cervical subluxation due to alar ligament disruption following a vehicular collision. Incidental findings included the presence of a myodural bridge and a spinal cord syrinx. Chiropractic management of the patient is discussed.</p> <p>Case presentation</p> <p>A 21-year old female presented with complaints of acute, debilitating upper neck pain with unremitting sub-occipital headache and dizziness following a vehicular collision. Initial emergency department and neurologic investigations included x-ray and CT evaluation of the head and neck. Due to persistent pain, the patient sought chiropractic care. MRI of the upper cervical spine revealed previously unrecognized clinical entities.</p> <p>Conclusion</p> <p>This case highlights the identification of upper cervical ligamentous injury that produced vertebral subluxation following a traumatic incident. MRI evaluation provided visualization of previously undetected injury. The patient experienced improvement through chiropractic care.</p