Fractality of profit landscapes and validation of time series models for stock prices

We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (buy) decision is made when the log return is larger (smaller) than $p$ ($-q$). We discretize the unit square $(p, q) \in [0, 1] \times [0, 1]$ into the $N \times N$ square grid and the profit $\Pi (p, q)$ is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: The number M of local maxima follows the power-law form $M \sim N^{a}$, but the scaling exponent $a$ is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent $a \approx 1.6$ observed for real stock markets. We suggest that the fractality of profit landscape characterized by $a \approx 1.6$ can be a useful measure to validate time series model for stock prices.Comment: 10pages, 6figure

Comment on "Phase transition in a one-dimensional Ising ferromagnet at zero temperature using Glauber dynamics with a synchronous updating mode"

Sznajd-Weron in [Phys. Rev. E {\bf 82}, 031120 (2010)] suggested that the one-dimensional Ising model subject to the zero temperature synchronous Glauber dynamics exhibits a discontinuous phase transition. We show here instead that the phase transition is of a continuous nature and identify critical exponents: $\beta \approx 0$, $\nu \approx 1$, and $z \approx 2$, via a systematic finite-size scaling analysis.Comment: 2 pages 2 figure

Antiphase synchronization of two nonidentical pendulums

We numerically study the synchronization of two nonidentical pendulum motions, pivoting on a common movable frame in the point of view of the dynamic phase transition. When the difference in the pendulum lengths is not too large, it is shown that the system settles down into the dynamic state of the antiphase synchronization with the phase difference $\pi$. We observe that there is a bistable region where either the antiphase synchronized state or the desynchronized state can be stabilized. We also find that there exists a hysteresis effect around the dynamic phase transition as the length difference is adiabatically changed.Comment: 4 pages, 4 figure

Fractal Profit Landscape of the Stock Market

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.Comment: 12 pages, 4 figure

A Universal Trend of Reduced mRNA Stability near the Translation-Initiation Site in Prokaryotes and Eukaryotes

Recent studies have suggested that the thermodynamic stability of mRNA secondary structure near the start codon can regulate translation efficiency in Escherichia coli, and that translation is more efficient the less stable the secondary structure. We survey the complete genomes of 340 species for signals of reduced mRNA secondary structure near the start codon. Our analysis includes bacteria, archaea, fungi, plants, insects, fishes, birds, and mammals. We find that nearly all species show evidence for reduced mRNA stability near the start codon. The reduction in stability generally increases with increasing genomic GC content. In prokaryotes, the reduction also increases with decreasing optimal growth temperature. Within genomes, there is variation in the stability among genes, and this variation correlates with gene GC content, codon bias, and gene expression level. For birds and mammals, however, we do not find a genome-wide trend of reduced mRNA stability near the start codon. Yet the most GC rich genes in these organisms do show such a signal. We conclude that reduced stability of the mRNA secondary structure near the start codon is a universal feature of all cellular life. We suggest that the origin of this reduction is selection for efficient recognition of the start codon by initiator-tRNA

A Signature of Maternal Anti-Fetal Rejection in Spontaneous Preterm Birth: Chronic Chorioamnionitis, Anti-Human Leukocyte Antigen Antibodies, and C4d

Chronic chorioamnionitis is found in more than one-third of spontaneous preterm births. Chronic chorioamnionitis and villitis of unknown etiology represent maternal anti-fetal cellular rejection. Antibody-mediated rejection is another type of transplantation rejection. We investigated whether there was evidence for antibody-mediated rejection against the fetus in spontaneous preterm birth.This cross-sectional study included women with (1) normal pregnancy and term delivery (n = 140) and (2) spontaneous preterm delivery (n = 140). We analyzed maternal and fetal sera for panel-reactive anti-HLA class I and class II antibodies, and determined C4d deposition on umbilical vein endothelium by immunohistochemistry. Maternal anti-HLA class I seropositivity in spontaneous preterm births was higher than in normal term births (48.6% vs. 32.1%, p = 0.005). Chronic chorioamnionitis was associated with a higher maternal anti-HLA class I seropositivity (p<0.01), significant in preterm and term birth. Villitis of unknown etiology was associated with increased maternal and fetal anti-HLA class I and II seropositivity (p<0.05, for each). Fetal anti-HLA seropositivity was closely related to maternal anti-HLA seropositivity in both groups (p<0.01, for each). C4d deposition on umbilical vein endothelium was more frequent in preterm labor than term labor (77.1% vs. 11.4%, p<0.001). Logistic regression analysis revealed that chronic chorioamnionitis (OR = 6.10, 95% CI 1.29–28.83), maternal anti-HLA class I seropositivity (OR = 5.90, 95% CI 1.60–21.83), and C4d deposition on umbilical vein endothelium (OR = 36.19, 95% CI 11.42–114.66) were associated with preterm labor and delivery.A major subset of spontaneous preterm births has a signature of maternal anti-fetal cellular and antibody-mediated rejections with links to fetal graft-versus-host disease and alloimmune reactions

Consensus guidelines for the use and interpretation of angiogenesis assays

The formation of new blood vessels, or angiogenesis, is a complex process that plays important roles in growth and development, tissue and organ regeneration, as well as numerous pathological conditions. Angiogenesis undergoes multiple discrete steps that can be individually evaluated and quantified by a large number of bioassays. These independent assessments hold advantages but also have limitations. This article describes in vivo, ex vivo, and in vitro bioassays that are available for the evaluation of angiogenesis and highlights critical aspects that are relevant for their execution and proper interpretation. As such, this collaborative work is the first edition of consensus guidelines on angiogenesis bioassays to serve for current and future reference