On the correlation structure of microstructure noise in theory and practice

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods

On the Correlation Structure of Microstructure Noise in Theory and Practice

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed crosscorrelation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods.Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures regarding improved volatility estimation methods.

Therapie chronischer Wunden mit wassergefiltertem Infrarot A (wIRA)

The central portion of chronic wounds is often hypoxic and relatively hypothermic, representing a deficient energy supply of the tissue, which impedes wound healing or even makes it impossible. Water-filtered infrared-A (wIRA) is a special form of heat radiation with a high tissue penetration and a low thermal load to the skin surface. wIRA produces a therapeutically usable field of heat and increases temperature, oxygen partial pressure and perfusion of the tissue. These three factors are decisive for a sufficient tissue supply with energy and oxygen and consequently as well for wound healing, especially in chronic wounds, and infection defense. wIRA acts both by thermal and thermic as well as by non-thermal and non-thermic effects. wIRA can advance wound healing or improve an impaired wound healing process and can especially enable wound healing in non-healing chronic wounds. wIRA can considerably alleviate the pain and diminish wound exudation and inflammation and can show positive immunomodulatory effects. In a prospective, randomized, controlled study of 40 patients with chronic venous stasis ulcers of the lower legs irradiation with wIRA and visible light (VIS) accelerated the wound healing process (on average 18 vs. 42 days until complete wound closure, residual ulcer area after 42 days 0.4 cm² vs. 2.8 cm²) and led to a reduction of the required dose of pain medication in comparison to the control group of patients treated with the same standard care (wound cleansing, wound dressing with antibacterial gauze, and compression garment therapy) without the concomitant irradiation. Another prospective study of 10 patients with non-healing chronic venous stasis ulcers of the lower legs included extensive thermographic investigation. Therapy with wIRA(+VIS) resulted in a complete or almost complete wound healing in 7 patients and a marked reduction of the ulcer size in another 2 of the 10 patients, a clear reduction of pain and required dose of pain medication, and a normalization of the thermographic image. In a current prospective, randomized, controlled, blinded study patients with non-healing chronic venous stasis ulcers of the lower legs are treated with compression garment therapy, wound cleansing, wound dressings and 30 minutes irradiation five times per week over 9 weeks. A preliminary analysis of the first 23 patients of this study has shown in the group with wIRA(+VIS) compared to a control group with VIS an advanced wound healing, an improved granulation and in the later phase of treatment a decrease of the bacterial burden. Some case reports have demonstrated that wIRA can also be used for mixed arterial-venous ulcers or arterial ulcers, if irradiation intensity is chosen appropriately low and if irradiation is monitored carefully. wIRA can be used concerning decubital ulcers both in a preventive and in a therapeutic indication. wIRA can improve the resorption of topically applied substances also on wounds. An irradiation with VIS and wIRA presumably acts with endogenous protoporphyrin IX (or protoporphyrin IX of bacteria) virtually similar as a mild photodynamic therapy (endogenous PDT-like effect). This could lead to improved cell regeneration and wound healing and to antibacterial effects. In conclusion, these results indicate that wIRA generally should be considered for the treatment of chronic wounds.Das Zentrum von chronischen Wunden ist oft hypoxisch und relativ hypotherm. Dies entspricht einer defizitären Energiebereitstellung im Gewebe, die die Wundheilung behindert oder unmöglich macht. Wassergefiltertes Infrarot A (wIRA) ist eine spezielle Form der Wärmestrahlung mit hohem Eindringvermögen in das Gewebe bei geringer thermischer Oberflächenbelastung. wIRA erzeugt ein therapeutisch nutzbares Wärmefeld und steigert Temperatur, Sauerstoffpartialdruck sowie die Durchblutung im Gewebe. Diese drei Faktoren sind entscheidend für eine ausreichende Versorgung des Gewebes mit Energie und Sauerstoff und deshalb auch für die Wundheilung, speziell bei chronischen Wunden, und die Infektionsabwehr. wIRA wirkt sowohl über thermische und temperaturabhängige als auch über nicht-thermische und temperaturunabhängige Effekte. wIRA kann die Wundheilung beschleunigen oder einen stagnierenden Wundheilungsprozess verbessern und insbesondere bei nicht-heilenden chronischen Wunden eine Wundheilung ermöglichen. wIRA vermag Schmerzen deutlich zu mindern und die Wundsekretion sowie Entzündung zu reduzieren sowie positive immunmodulierende Effekte zu zeigen. In einer prospektiven, randomisierten, kontrollierten Studie mit 40 Patienten mit chronischen venösen Unterschenkelulzera führte eine Bestrahlung mit wIRA und sichtbarem Licht (VIS) zu einer schnelleren Wundheilung (im Durchschnitt 18 vs. 42 Tage bis zum kompletten Wundschluss, Restulkusfläche nach 42 Tagen 0,4 cm² vs. 2,8 cm²) und einem geringeren Schmerzmittelverbrauch gegenüber einer in gleicher Form (Wundsäuberung, antibakterielle Wundauflagen und Kompressionstherapie) therapierten, aber nicht bestrahlten Kontrollgruppe. Eine weitere prospektive Studie mit 10 Patienten mit aufwändiger thermographischer Verlaufskontrolle ergab unter Therapie mit wIRA(+VIS) eine vollständige oder fast vollständige Abheilung therapierefraktärer chronischer Unterschenkelulzera bei 7 sowie eine deutliche Ulkusverkleinerung bei 2 weiteren der 10 Patienten, eine ausgeprägte Minderung der Schmerzen und des Schmerzmittelverbrauchs und eine Normalisierung des thermographischen Bildes. In einer laufenden prospektiven, randomisierten, kontrollierten, verblindeten Studie werden Patienten mit nicht-heilenden chronischen venösen Unterschenkelulzera mit Kompressionstherapie, Wundsäuberung und nicht-adhäsiven Wundauflagen sowie 30 Minuten Bestrahlung fünfmal pro Woche über 9 Wochen behandelt. Eine vorläufige Auswertung der ersten 23 Patienten zeigte, dass die Gruppe mit wIRA(+VIS) verglichen mit einer Kontrollgruppe mit VIS eine schnellere Wundheilung, eine bessere Granulation und in der späteren Phase der Behandlung eine Abnahme der bakteriellen Last der Wunden aufwies. Einige Fallberichte haben gezeigt, dass wIRA selbst bei gemischt arteriell-venösen Ulzera oder arteriellen Ulzera eingesetzt werden kann, wenn die Bestrahlungsstärke angemessen niedrig gewählt und die Bestrahlung sorgfältig überwacht wird. wIRA kann bei Dekubitalulzera sowohl präventiv als auch therapeutisch eingesetzt werden. wIRA kann die Resorption topisch applizierter Substanzen auch auf Wunden verbessern. Eine Bestrahlung mit VIS und wIRA wirkt vermutlich in Verbindung mit endogenem Protoporphyrin IX (oder Protoporphyrin IX von Bakterien) quasi ähnlich wie eine milde photodynamische Therapie (endogener PDT-ähnlicher Effekt). Dies kann die Zellregeneration und Wundheilung fördern und antibakteriell wirken. Zusammengefasst zeigen die Ergebnisse, dass wIRA generell für die Behandlung chronischer Wunden erwogen werden sollte

Impact of Different Training Modalities on Anthropometric and Metabolic Characteristics in Overweight/Obese Subjects:A Systematic Review and Network Meta-Analysis

<div><p>Background</p><p>The aim of this systematic review of randomized controlled trials was to compare the effects of aerobic training (AET), resistance training (RT), and combined aerobic and resistance training (CT) on anthropometric parameters, blood lipids, and cardiorespiratory fitness in overweight and obese subjects.</p><p>Methods</p><p>Electronic searches for randomized controlled trials were performed in MEDLINE, EMBASE and the Cochrane Trial Register. Inclusion criteria were: Body Mass Index: ≥25 kg/m², 19+ years of age, supervised exercise training, and a minimum intervention period of 8 weeks. Anthropometric outcomes, blood lipids, and cardiorespiratory fitness parameters were included. Pooled effects were calculated by inverse-variance random effect pairwise meta-analyses and Bayesian random effects network meta-analyses.</p><p>Findings</p><p>15 trials enrolling 741 participants were included in the meta-analysis. Compared to RT, AET resulted in a significantly more pronounced reduction of body weight [mean differences (MD): -1.15 kg, p = 0.04], waist circumference [MD: -1.10 cm, p = 0.004], and fat mass [MD: -1.15 kg, p = 0.001] respectively. RT was more effective than AET in improving lean body mass [MD: 1.26 kg, p<0.00001]. When comparing CT with RT, MD in change of body weight [MD: -2.03 kg, p<0.0001], waist circumference [MD: -1.57 cm, p = 0.0002], and fat mass [MD: -1.88 kg, p<0.00001] were all in favor of CT. Results from the network meta-analyses confirmed these findings.</p><p>Conclusion</p><p>Evidence from both pairwise and network meta-analyses suggests that CT is the most efficacious means to reduce anthropometric outcomes and should be recommended in the prevention and treatment of overweight, and obesity whenever possible.</p></div

Advanced Testing Chain Supporting the Validation of Smart Grid Systems and Technologies

New testing and development procedures and methods are needed to address topics like power system stability, operation and control in the context of grid integration of rapidly developing smart grid technologies. In this context, individual testing of units and components has to be reconsidered and appropriate testing procedures and methods need to be described and implemented. This paper addresses these needs by proposing a holistic and enhanced testing methodology that integrates simulation/software- and hardware-based testing infrastructure. This approach presents the advantage of a testing environment, which is very close to f i eld testing, includes the grid dynamic behavior feedback and is risks-free for the power system, for the equipment under test and for the personnel executing the tests. Furthermore, this paper gives an overview of successful implementation of the proposed testing approach within different testing infrastructure available at the premises of different research institutes in Europe.Comment: 2018 IEEE Workshop on Complexity in Engineering (COMPENG

On the correlation structure of microstructure noise: A financial economic approach.

We introduce the financial economics of market microstructure to the financial econometrics of asset return volatility estimation. In particular, we derive the cross-correlation function between latent returns and market microstructure noise in several leading microstructure environments. We propose and illustrate several corresponding theory-inspired volatility estimators, which we apply to stock and oil prices. Our analysis and results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and most importantly, for promoting improved microstructure-based volatility empirics and improved empirical microstructure studies. Simultaneously and conversely, our analysis is far from the last word on the subject, as it is based on stylized benchmark models; it comes with a &quot;call to action&quot; for development and use of richer microstructure models in volatility estimation and beyond

Coupling of Real-Time and Co-Simulation for the Evaluation of the Large Scale Integration of Electric Vehicles into Intelligent Power Systems

This paper addresses the validation of electric vehicle supply equipment by means of a real-time capable co-simulation approach. This setup implies both pure software and real-time simulation tasks with different sampling rates dependent on the type of the performed experiment. In contrast, controller and power hardware-in-the-loop simulations are methodologies which ask for real-time execution of simulation models with well-defined simulation sampling rates. Software and real-time methods are connected one to each other using an embedded software interface. It is able to process signals with different time step sizes and is called "LabLink". Its design implies both common and specific input and output layers (middle layer), as well as a data bus (core). The LabLink enables the application of the co-simulation methodology on the proposed experimental platform targeting the testing of electric vehicle supply equipment. The test setup architecture and representative examples for the implemented co-simulation are presented in this paper. As such, a validation of the usability of this testing platform can be highlighted aiming to support a higher penetration of electric vehicles.Comment: 2017 IEEE Vehicle Power and Propulsion Conference (VPPC