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

Paracetamol, NSAIDS and opioid analgesics for chronic low back pain: A network meta-analysis

This is a protocol for a Cochrane Review (Intervention). The objectives are as follows: To answer the clinical question: ‘what analgesic medicine shall I prescribe this patient with chronic low back pain to reduce their pain?’. The objectives are to determine the analgesic effects, safety, effect on function, and relative rank according to analgesic effect, safety and effect on function of a single course of opioid analgesics, NSAIDs or paracetamol or combinations of these medicines

Atom Optics Quantum Pendulum

We explain the dynamics of cold atoms, initially trapped and cooled in a magneto-optic trap, in a monochromatic stationary standing electromagnetic wave field. In the large detuning limit the system is modeled as a nonlinear quantum pendulum. We show that wave packet evolution of the quantum particle probes parametric regimes in the quantum pendulum which support classical period, quantum mechanical revival and super revival phenomena. Interestingly, complete reconstruction in particular parametric regime at quantum revival times is independent of potential height.Comment: 14 pages, 7 figure

Environmental chemical stressors as epigenome modifiers:a new horizon in assessment of toxicological effects

In eukaryotic cells, chromatin transformation from euchromatin into heterochromatin as a means of controlling gene expression and replication has been known as the ?accessibility hypothesis?. The interplay of epigenetic changes including histone modifications, DNA methylation, RNA interference (RNAi) and other functional epigenetic components are intricate. It is believed that these changes are well-programmed, inherited and can be modified by environmental contaminant stressors. Environmentally-driven epigenetic alterations during development, e.g. embryonic, foetal or neonatal stage, may influence disease susceptibility in adulthood. Therefore, understanding how epigenome modifications develop in response to environmental chemicals and, how epigenetic-xenobiotic interactions influence human health will shed new insights into gene-environment interactions in the epidemiology of several diseases including cancer. In this review, we consider studies of chemical modifiers including nutritional and xenobiotic effects on epigenetic components in vitro or in vivo. By examining the most-studied epigenome modifications and how their respective roles are interlinked, we highlight the central role of xenbiotic-modified epigenetic mechanisms. A major requirement will be to study and understand effects following environmentally-relevant exposures. We suggest that the study of epigenetic toxicology will open up new opportunities to devise strategies for the prevention or treatment of at-risk populations

Current issues in medically assisted reproduction and genetics in Europe: research, clinical practice, ethics, legal issues and policy. European Society of Human Genetics and European Society of Human Reproduction and Embryology.

In March 2005, a group of experts from the European Society of Human Genetics and European Society of Human Reproduction and Embryology met to discuss the interface between genetics and assisted reproductive technology (ART), and published an extended background paper, recommendations and two Editorials. Seven years later, in March 2012, a follow-up interdisciplinary workshop was held, involving representatives of both professional societies, including experts from the European Union Eurogentest2 Coordination Action Project. The main goal of this meeting was to discuss developments at the interface between clinical genetics and ARTs. As more genetic causes of reproductive failure are now recognised and an increasing number of patients undergo testing of their genome before conception, either in regular health care or in the context of direct-to-consumer testing, the need for genetic counselling and preimplantation genetic diagnosis (PGD) may increase. Preimplantation genetic screening (PGS) thus far does not have evidence from randomised clinical trials to substantiate that the technique is both effective and efficient. Whole-genome sequencing may create greater challenges both in the technological and interpretational domains, and requires further reflection about the ethics of genetic testing in ART and PGD/PGS. Diagnostic laboratories should be reporting their results according to internationally accepted accreditation standards (International Standards Organisation - ISO 15189). Further studies are needed in order to address issues related to the impact of ART on epigenetic reprogramming of the early embryo. The legal landscape regarding assisted reproduction is evolving but still remains very heterogeneous and often contradictory. The lack of legal harmonisation and uneven access to infertility treatment and PGD/PGS fosters considerable cross-border reproductive care in Europe and beyond. The aim of this paper is to complement previous publications and provide an update of selected topics that have evolved since 2005

Laparoscopy in management of appendicitis in high-, middle-, and low-income countries: a multicenter, prospective, cohort study.

BACKGROUND: Appendicitis is the most common abdominal surgical emergency worldwide. Differences between high- and low-income settings in the availability of laparoscopic appendectomy, alternative management choices, and outcomes are poorly described. The aim was to identify variation in surgical management and outcomes of appendicitis within low-, middle-, and high-Human Development Index (HDI) countries worldwide. METHODS: This is a multicenter, international prospective cohort study. Consecutive sampling of patients undergoing emergency appendectomy over 6 months was conducted. Follow-up lasted 30 days. RESULTS: 4546 patients from 52 countries underwent appendectomy (2499 high-, 1540 middle-, and 507 low-HDI groups). Surgical site infection (SSI) rates were higher in low-HDI (OR 2.57, 95% CI 1.33-4.99, p = 0.005) but not middle-HDI countries (OR 1.38, 95% CI 0.76-2.52, p = 0.291), compared with high-HDI countries after adjustment. A laparoscopic approach was common in high-HDI countries (1693/2499, 67.7%), but infrequent in low-HDI (41/507, 8.1%) and middle-HDI (132/1540, 8.6%) groups. After accounting for case-mix, laparoscopy was still associated with fewer overall complications (OR 0.55, 95% CI 0.42-0.71, p < 0.001) and SSIs (OR 0.22, 95% CI 0.14-0.33, p < 0.001). In propensity-score matched groups within low-/middle-HDI countries, laparoscopy was still associated with fewer overall complications (OR 0.23 95% CI 0.11-0.44) and SSI (OR 0.21 95% CI 0.09-0.45). CONCLUSION: A laparoscopic approach is associated with better outcomes and availability appears to differ by country HDI. Despite the profound clinical, operational, and financial barriers to its widespread introduction, laparoscopy could significantly improve outcomes for patients in low-resource environments. TRIAL REGISTRATION: NCT02179112

Measurement and interpretation of same-sign W boson pair production in association with two jets in pp collisions at s = 13 TeV with the ATLAS detector

This paper presents the measurement of fducial and diferential cross sections for both the inclusive and electroweak production of a same-sign W-boson pair in association with two jets (W±W±jj) using 139 fb−1 of proton-proton collision data recorded at a centre-of-mass energy of √s = 13 TeV by the ATLAS detector at the Large Hadron Collider. The analysis is performed by selecting two same-charge leptons, electron or muon, and at least two jets with large invariant mass and a large rapidity diference. The measured fducial cross sections for electroweak and inclusive W±W±jj production are 2.92 ± 0.22 (stat.) ± 0.19 (syst.)fb and 3.38±0.22 (stat.)±0.19 (syst.)fb, respectively, in agreement with Standard Model predictions. The measurements are used to constrain anomalous quartic gauge couplings by extracting 95% confdence level intervals on dimension-8 operators. A search for doubly charged Higgs bosons H±± that are produced in vector-boson fusion processes and decay into a same-sign W boson pair is performed. The largest deviation from the Standard Model occurs for an H±± mass near 450 GeV, with a global signifcance of 2.5 standard deviations

Combination of searches for heavy spin-1 resonances using 139 fb−1 of proton-proton collision data at s = 13 TeV with the ATLAS detector

A combination of searches for new heavy spin-1 resonances decaying into different pairings of W, Z, or Higgs bosons, as well as directly into leptons or quarks, is presented. The data sample used corresponds to 139 fb−1 of proton-proton collisions at = 13 TeV collected during 2015–2018 with the ATLAS detector at the CERN Large Hadron Collider. Analyses selecting quark pairs (qq, bb, , and tb) or third-generation leptons (τν and ττ) are included in this kind of combination for the first time. A simplified model predicting a spin-1 heavy vector-boson triplet is used. Cross-section limits are set at the 95% confidence level and are compared with predictions for the benchmark model. These limits are also expressed in terms of constraints on couplings of the heavy vector-boson triplet to quarks, leptons, and the Higgs boson. The complementarity of the various analyses increases the sensitivity to new physics, and the resulting constraints are stronger than those from any individual analysis considered. The data exclude a heavy vector-boson triplet with mass below 5.8 TeV in a weakly coupled scenario, below 4.4 TeV in a strongly coupled scenario, and up to 1.5 TeV in the case of production via vector-boson fusion