Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "soft dollars," which basically are amounts spent in "research" for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD 10 paid in commissions. Obviously they are costly, and it is interesting for an institutional investor to determine whether soft dollar inputs are worth being used (and indirectly paid for) or not, from a statistical point of view. To address this question, we develop association measures between what broker--dealers predict and what markets realize. Our data are ordinal predictions by two broker--dealers and realized values on several markets, on the same ordinal scale. We develop a structural equation model with latent variables in an ordinal setting which allows us to test broker--dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a Laplace approximation, and show its consistency and asymptotic normality. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. The method is then used to analyze our dataset.Comment: Published in at http://dx.doi.org/10.1214/08-AOAS213 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a Laplace approximation, and show its consistency and asymptotic normality. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An empirical illustration is given for mid-term forecasts simultaneously made by two broker-dealers for several countries.structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

Temporary Employment, Permanent Stigma? Perceptions of Temporary Agency Workers Across Low- and High-Skilled Jobs

Research on temporary agency work emphasizes that temporary agency workers (TAWs), particularly those in low-skilled jobs associated with precariousness and low social prestige, are likely to be exposed to poor treatment, as well as stigmatization. On the contrary, stigmatization of TAWs in high-skilled jobs has not been treated in much detail in previous studies. Literature provides an incomplete picture of stigmatization within the broader field of temporary employment regarding the focus on low-skilled jobs. Hence, the present qualitative study is based on data from interviews of a heterogeneous sample of TAWs employed in low- and high-skilled jobs in Germany. By using and modifying Boyce and colleagues’ (2007) model of stigmatization, the study shows that stigmatizing treatment towards TAWs occurs across all skill levels, although the intensity and form of those experiences, as well as coping strategies, differ. Thereby, this study contributes to a more differentiated and skill level-specific understanding of how TAWs perceive and cope with stigmatization linked to their employment status. It also provides an important opportunity to advance Boyce and colleagues’ (2007) complex model of TAW stigmatization with empirical underpinnings

Intensity modulated radiation therapy (IMRT) for sinonasal tumors: a single center long-term clinical analysis

Background: Radiotherapy has a central role in the treatment of sinonasal malignancies, either as postoperative or as primary therapy. To study the efficacy and safety of intensity modulated radiotherapy (IMRT) for sinonasal tumors a single center retrospective evaluation focusing on survival and therapy related toxicity was performed. Methods: One hundred twenty two patients with primary (n = 82) or recurrent (n = 40) malignant sinonasal tumors were treated with intensity modulated radiotherapy between 1999 and 2009 at the University Clinic of Heidelberg and the German Cancer Research Center and retrospectively analyzed. Most patients had adenoid cystic carcinomas (n = 47) or squamous cell carcinoma (n = 26). 99 patients received postoperative radiotherapy. The median total dose was 64 Gy in conventional fractionation (1.8–2 Gy). Overall survival (OS), progression free survival (PFS) and local recurrence free survival (LRFS) rates were calculated using the Kaplan-Meier method. The log-rank test and Fishers Exact test were applied for univariate analysis, Cox-regression was used for multivariate analysis. Results: Median follow up was 36 months. 1-, 3- and 5-year estimated overall survival rates were 90, 70 and 54 % respectively. Median progression free survival and local recurrence free survival was 45 and 63 months respectively. Progression free survival and local recurrence free survival at 1, 3 and 5 years were 76, 57 and 47, and 79, 60 and 51 % respectively. 19 patients (15.5 %) were diagnosed with distant metastases. Univariate analysis revealed significantly improved OS and LRFS for treatment of tumors after primary diagnosis, first series of irradiation and radiation dose ≥60 Gy. Multivariate analysis revealed only treatment in primary situation as an independent prognostic factor for OS and LRFS. Acute CTC grade III mucositis was seen in 5 patients (4.1 %) and CTC grade II dysgeusia in 19 patients (15.6 %). Dysgeusia, dysosmia and ocular toxicity were the most common late adverse events. Conclusions: Our data support the results of previous studies and indicate that intensity modulated radiation therapy (IMRT) represents an effective and safe treatment approach for patients with sinonasal carcinomas

Characterisation of the effects of mutation of the caldesmon sequence 691glu-trp-leu-thr-lys-thr696 to pro-gly-his-tyr-asn-asn on caldesmon-calmodulin interaction

AbstractWe have investigated the functional properties of a mutant (Cg1) derived from the C-terminal 99 amino acids of chicken caldesmon, 658–756 (658C) where the sequence 691glu-trp-leu-thr-lys-thr696 is changed to pro-gly-his-tyr-asn-asn. Cg1 bound Ca2+-calmodulin with (1/7)th of the affinity as compared to 658C or whole caldesmon. NMR titrations indicate that the contacts of Ca2+-calmodulin with the Trp-722 region of the peptide are retained but that those at the mutated site are lost. Most importantly Ca2+-calmodulin is not able to reverse the Cg1-induced inhibition. We conclude that the interaction of calmodulin with this caldesmon sequence is crucial for the reversal of caldesmon inhibition of actin-tropomyosin activation of myosin ATPase. The results are interpreted in terms of multi-site attachment of actin and Ca2+-calmodulin to overlapping sequences in caldesmon domain 4b

Obesity Correlates with Chronic Inflammation of the Innate Immune System in Preeclampsia and HELLP Syndrome during Pregnancy

HELLP syndrome is characterized by hemolysis, elevated liver enzymes, and a low platelet count and poses an increased risk to the pregnant woman and the unborn child. Individual risk factors such as obesity may alter immunocompetence and influence the course of preeclampsia (PE) or HELLP syndrome. Blood samples were collected from 21 pregnant women (7 healthy, 6 with PE, and 8 with HELLP syndrome) and polymorphonuclear neutrophils (PMNs) were subsequently isolated. Production of radical oxygen species (ROS), cell movement, and NETosis were assessed by live-cell imaging. Surface protein expression and oxidative burst were analyzed by flow cytometry. PE and HELLP patients had significantly higher BMI compared to the healthy control group. Depending on the expression of CD11b, CD62L, and CD66b on PMNs, a surface protein activation sum scale (SPASS) was calculated. PMNs from patients with high SPASS values showed prolonged and more targeted migration with delayed ROS production and NETosis. Obesity is associated with a chronic inflammatory state, which in combination with immunological triggers during pregnancy could modulate PMN functions. Pregnant women with higher BMI tend to have higher SPASS values, indicating activation of the innate immune system that could co-trigger PE or HELLP syndrome

3D stochastic bicontinuous microstructures: Generation, topology and elasticity

Motivated by recent experimental investigations of the mechanical behavior of nanoporous metal we explore an efficient and robust method for generating 3D representative volume elements (RVEs) with strikingly similar behavior. Our approach adopts Cahn's method of generating a Gaussian random field by taking a superposition of standing sinusoidal waves of fixed wavelength but random in direction and phase. In its theory part, our study describes closed-form expressions for how the solid volume fraction affects the binarization level, mean structure size, specific surface area, averages of mean and Gaussian curvature, and the scaled topological genus. Based on numerical studies we report on criteria for achieving representative realizations of the structure by proper choice of the number of waves and element size. We also show that periodic structures are readily created. We analyze the mechanical properties considering linear and infinitesimal elasticity and evaluate the residual anisotropy (which can be made small) and the effective values of the Young's modulus and Poisson's ratio. The numerical results are in excellent agreement with experimental findings for the variation of stiffness with solid fraction of nanoporous gold made by dealloying. We propose scaling relations that achieve naturally a perfect agreement with the numerical and experimental data. The scaling relation for the stiffness accounts for a percolation-to-cluster transition in the random field microstructure at a finite solid fraction. We propose that this transition is the origin of the previously reported anomalous compliance of nanoporous gold

Fast electron transfer through a single molecule natively structured redox protein

The electron transfer properties of proteins are normally measured as molecularly averaged ensembles. Through these and related measurements, proteins are widely regarded as macroscopically insulating materials. Using scanning tunnelling microscopy (STM), we present new measurements of the conductance through single-molecules of the electron transfer protein cytochrome b562 in its native conformation, under pseudo-physiological conditions. This is achieved by thiol (SH) linker pairs at opposite ends of the molecule through protein engineering, resulting in defined covalent contact between a gold surface and a platinum–iridium STM tip. Two different orientations of the linkers were examined: a long-axis configuration (SH-LA) and a short-axis configuration (SH-SA). In each case, the molecular conductance could be ‘gated’ through electrochemical control of the heme redox state. Reproducible and remarkably high conductance was observed in this relatively complex electron transfer system, with single-molecule conductance values peaking around 18 nS and 12 nS for the SH-SA and SH-LA cytochrome b562 molecules near zero electrochemical overpotential. This strongly points to the important role of the heme co-factor bound to the natively structured protein. We suggest that the two-step model of protein electron transfer in the STM geometry requires a multi-electron transfer to explain such a high conductance. The model also yields a low value for the reorganisation energy, implying that solvent reorganisation is largely absent

Conductive Education as a Method of Stroke Rehabilitation: A Single Blinded Randomised Controlled Feasibility Study

Background. Conductive Education for stroke survivors has shown promise but randomised evidence is unavailable. This study assessed the feasibility of a definitive randomised controlled trial to evaluate efficacy. Methods. Adult stroke survivors were recruited through local community notices. Those completing the baseline assessment were randomised using an online program and group allocation was independent. Intervention group participants received 10 weekly 1.5-hour sessions of Conductive Education at the National Institute of Conductive Education in Birmingham, UK. The control group participants attended two group meetings. The study evaluated the feasibility of recruitment procedures, delivery of the intervention, retention of participants, and appropriateness of outcome measures and data collection methods. Independent assessments included the Barthel Index, the Stroke Impact Scale, the Timed Up and Go test, and the Hospital Anxiety and Depression Scale. Results. Eighty-two patients were enrolled; 77 completed the baseline assessment (46 men, mean age 62.1 yrs.) and were randomised. 70 commenced the intervention () or an equivalent waiting period (). 32/37 completed the 10-week training and 32/33 the waiting period. There were no missing items from completed questionnaires and no adverse events. Discussion. Recruitment, intervention, and assessment methods worked well. Transport issues for intervention and assessment appointments require review. Conclusion. A definitive trial is feasible. This trial is registered with ISRCTN84064492