Optimal Portfolio Liquidation with Limit Orders

This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang, we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portfolio. Most practitioners address these two issues separately: they compute an optimal trading curve and they then send orders to the markets to try to follow it. The results obtained here solve simultaneously the two problems. As in a previous paper that solved the "intra-day market making problem", the interactions of limit orders with the market are modeled via a Poisson process pegged to a diffusive "fair price" and a Hamilton-Jacobi-Bellman equation is used to solve the problem involving both non-execution risk and price risk. Backtests are carried out to exemplify the use of our results, both on long periods of time (for the entire liquidation process) and on slices of 5 minutes (to follow a given trading curve).Comment: Submitted, in revisio

Design and process of the EMA Cohort Study: the value of antenatal education in childbirth and breastfeeding

© 2008 Paz-Pascual et al; licensee BioMed Central Ltd. This is an Open Access article distributed under the terms of the Creative Commons Attribution Licens

FCGR polymorphisms in the treatment of rheumatoid arthritis with Fc-containing TNF inhibitors

[EN] Objectives: Reproducible association of a functional polymorphism in FCGR2A with response to a TNF inhibitor (TNFi) in patients with rheumatoid arthritis (RA) led us to explore other Fc?R functional polymorphisms. Methods: Functional polymorphisms FCGR3A F158V, FCGR2B I223T and promoter VNTR in FCGRT were analyzed in up to 429 patients with RA. Response to TNFi was recorded during standard care at 3, 6 and 12 months of follow-up. Fixed effects meta-analysis of studies addressing FCGR3A F158V polymorphism, which is the most studied of these polymorphisms, was conducted with inverse variance weighting. Results: None of the functional polymorphisms were associated with change in DAS28. Meta-analysis of the seven studies (899 patients) with available data addressing association of FCGR3A F158V with response to TNFi in RA showed no association (OR: 1.11, 95% CI: 0.8-1.5; p = 0.5). Conclusion: None of the three functional polymorphisms in Fc?R genes showed association with response to TNFi in patients with RA. These negative results were obtained in spite of the larger size of this study relative to previous studies addressing the same polymorphisms. In addition, meta-analysis of FCGR3A F158V was also negative against the results provided by previous studies

Health Outcome Predictive Evaluation for COVID 19 international registry (HOPE COVID-19), rationale and design

The disease produced by the new coronavirus known as SARS-CoV-2 (Severe Acute Respiratory Syndrome Coronavirus 2), named COVID-19 (Coronavirus Disease-2019) has recently been classified as a pandemic by the World Health Organization (WHO). However, scarce clinical data is available and generally limited to the Chinese population due to the first cases were identified in Wuhan (Hubei, China).This article describes the rationale and design of the HOPE COVID-19 (Health Outcome Predictive Evaluation for COVID 19) registry (ClinicalTrials.gov Identifier: NCT04334291). With an ambispective cohort design, eligible patients are those discharged, deceased or alive, from any hospital center with a confirmed diagnosis or a COVID-19 high suspicion. With a current recruitment of more than 7000 cases, in 46 hospitals in 8 countries, since it is not possible to estimate the sample size based on literature reports, the investigators will try to get the maximum numbers of patients possible. The study primary objective is all cause mortality and aims to characterize the clinical profile of patients infected in order to develop a prognostic clinical score allowing, rapid logistic decision making. As secondary objectives, the analysis of other clinical events, the risk-adjusted influence of treatments and previous comorbidities of patients infected with the disease will be performed.The results of HOPE COVID-19 will contribute to a better understanding of this condition. We aim to describe the management of this condition as well as the outcomes in relation to the therapy chosen, in order to gain insight into improving patient care in the coming months. Clinical Trial registration: ClinicalTrials.gov. Unique identifier: NCT04334291

On singular Lagrangians affine in velocities

The properties of Lagrangians affine in velocities are analyzed in a geometric way. These systems are necessarily singular and exhibit, in general, gauge invariance. The analysis of constraint functions and gauge symmetry leads us to a complete classification of such Lagrangians.Comment: AMSTeX, 22 page

High rate of uncovered struts in latest generation drug-eluting stents with durable, biodegradable polymer or lack of it 1 month after implantation

Introduction and objectives: Delayed vascular healing may induce late stent thrombosis. Optical coherence tomography (OCT) is useful to evaluate endothelial coverage. The objective of this study was to compare stent coverage and apposition in non-complex coronary artery lesions treated with durable polymer-coated everolimus-eluting stents (durable-polymer EES) vs biodegradable polymer-coated everolimus-eluting stents ( biodegradable-polymer EES) vs polymer-free biolimus-eluting stents (BES) 1 and 6 months after stent implantation. Methods: Prospective, multicenter, non-randomized study that compared the 3 types of DES. Follow-up angiography and OCT were performed 1 and 6 months later. The primary endpoint was the rate of uncovered struts as assessed by the OCT at 1 month. Results: A total of 104 patients with de novo non-complex coronary artery lesions were enrolled. A total of 44 patients were treated with polymer-free BES, 35 with biodegradable-polymer EES, and 25 with durable-polymer EES. A high rate of uncovered struts was found at 1 month with no significant differences reported among the stents (80.2%, polymer-free BES; 88.1%, biodegradable-polymer EES; 82.5%, durable-polymer EES; P =.209). Coverage improved after 6 months in the 3 groups without significant differences being reported (97%, 95%, and 93.7%, respectively; P =.172). Conclusions: In patients with de novo non-complex coronary artery lesions treated with durable vs biodegradable vs polymer-free DES, strut coverage and apposition were suboptimal at 1 month with significant improvement at 6 months

Impact of cardiovascular risk factors on the clinical presentation and survival of pulmonary embolism without identifiable risk factor

Background: The nature of pulmonary embolism (PE) without identifiable risk factor (IRF) remains unclear. The objective of this study is to investigate the potential relationship between cardiovascular risk factors (CVRFs) and PE without IRF (unprovoked) and assess their role as markers of disease severity and prognosis. Methods: A case-control study was performed of patients with PE admitted to our hospital [2010-2019]. Subjects with PE without IRF were included in the cohort of cases, whereas patients with PE with IRF were allocated to the control group. Variables of interest included age, active smoking, obesity, and diagnosis of arterial hypertension, dyslipidemia or diabetes mellitus. Results: A total of 1,166 patients were included in the study, of whom 64.2% had PE without IRF. The risk for PE without IRF increased with age [odds ratio (OR): 2.68; 95% confidence interval (CI): 1.95-3.68], arterial hypertension (OR: 1.63; 95% CI: 1.27-2.07), and dyslipidemia (OR: 1.63; 95% CI: 1.24-2.15). The risk for PE without IRF was higher as the number of CVRF increased, being 3.99 (95% CI: 2.02-7.90) for subjects with >/=3 CVRF. The percentage of high-risk unprovoked PE increased significantly as the number of CVRF rose [0.6% for no CVRF; 23.8% for a CRF, P/=3, P<0.001 (OR: 14.1; 95% CI: 4.06-49.4)]. No significant differences were observed in 1-month survival between cases and controls, whereas differences in 24-month survival reached significance. Conclusions: A relationship was observed between CVRF and PE without IRF, as the risk for unprovoked PE increased with the number of CVRF. In addition, the number of CVRF was associated with PE without IRF severity, but not with prognosis