Markov-Switching GARCH Modelling of Value-at-RisK

This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage effects. The performance of our MS model and single-regime models is compared through an innovative backtesting procedure using daily data for UK and US market stock indices. The findings from exceptions and regulatory-based tests indicate the MS-GARCH specifications clearly outperform other models in estimating the VaR for both long and short FTSE positions and also do quite well for S&P positions. We conclude that ignoring skewness and regime changes has the effect of imposing larger than necessary conservative capital requirements

How profitable are FX technical trading rules?

This paper provides a comprehensive empirical investigation of the profitability of foreign exchange technical trading rules over the 1996:10?2015:06 period for 22 currencies quoted in US dollars. It reports evidence of profitability across a universe of 113,148 rules that include traditional moving average rules and those constructed on the basis of technical indicators such as Bollinger bands and the relative strength index. The best trading rules achieve annualised returns of up to 30%. The Step-SPA test (Hsu, Hsu, & Kuan, 2010) results show a sharp fall in the total number of rules that are robust to data snooping bias. Virtually no traditional rule is significant in the 2006?2015 sub-sample, in line with the adaptive markets hypothesis. By contrast, rules based on new technical indicator such as Bollinger Band and relative strength index rules remain robustly profitable across all currencies over the more recent sub-sample

Agent based modelling helps in understanding the rules by which fibroblasts support keratinocyte colony formation

Background: Autologous keratincoytes are routinely expanded using irradiated mouse fibroblasts and bovine serum for clinical use. With growing concerns about the safety of these xenobiotic materials, it is desirable to culture keratinocytes in media without animal derived products. An improved understanding of epithelial/mesenchymal interactions could assist in this. Methodology/Principal Findings: A keratincyte/fibroblast o-culture model was developed by extending an agent-based keratinocyte colony formation model to include the response of keratinocytes to both fibroblasts and serum. The model was validated by comparison of the in virtuo and in vitro multicellular behaviour of keratinocytes and fibroblasts in single and co-culture in Greens medium. To test the robustness of the model, several properties of the fibroblasts were changed to investigate their influence on the multicellular morphogenesis of keratinocyes and fibroblasts. The model was then used to generate hypotheses to explore the interactions of both proliferative and growth arrested fibroblasts with keratinocytes. The key predictions arising from the model which were confirmed by in vitro experiments were that 1) the ratio of fibroblasts to keratinocytes would critically influence keratinocyte colony expansion, 2) this ratio needed to be optimum at the beginning of the co-culture, 3) proliferative fibroblasts would be more effective than irradiated cells in expanding keratinocytes and 4) in the presence of an adequate number of fibroblasts, keratinocyte expansion would be independent of serum. Conclusions: A closely associated computational and biological approach is a powerful tool for understanding complex biological systems such as the interactions between keratinocytes and fibroblasts. The key outcome of this study is the finding that the early addition of a critical ratio of proliferative fibroblasts can give rapid keratinocyte expansion without the use of irradiated mouse fibroblasts and bovine serum

Impacts of climate change on plant diseases – opinions and trends

There has been a remarkable scientific output on the topic of how climate change is likely to affect plant diseases in the coming decades. This review addresses the need for review of this burgeoning literature by summarizing opinions of previous reviews and trends in recent studies on the impacts of climate change on plant health. Sudden Oak Death is used as an introductory case study: Californian forests could become even more susceptible to this emerging plant disease, if spring precipitations will be accompanied by warmer temperatures, although climate shifts may also affect the current synchronicity between host cambium activity and pathogen colonization rate. A summary of observed and predicted climate changes, as well as of direct effects of climate change on pathosystems, is provided. Prediction and management of climate change effects on plant health are complicated by indirect effects and the interactions with global change drivers. Uncertainty in models of plant disease development under climate change calls for a diversity of management strategies, from more participatory approaches to interdisciplinary science. Involvement of stakeholders and scientists from outside plant pathology shows the importance of trade-offs, for example in the land-sharing vs. sparing debate. Further research is needed on climate change and plant health in mountain, boreal, Mediterranean and tropical regions, with multiple climate change factors and scenarios (including our responses to it, e.g. the assisted migration of plants), in relation to endophytes, viruses and mycorrhiza, using long-term and large-scale datasets and considering various plant disease control methods

Discontinuation of thyroid hormone treatment among children in the United States with congenital hypothyroidism: findings from health insurance claims data

<p>Abstract</p> <p>Background</p> <p>Thyroid hormone treatment in children with congenital hypothyroidism can prevent intellectual disability. Guidelines recommend that children diagnosed with congenital hypothyroidism through newborn screening remain on treatment to at least 3 years of age, after which a trial off therapy can determine which children have transient hypothyroidism. The purpose of this study was to describe the rate at which children with congenital hypothyroidism in the United States discontinue thyroid hormone treatment in early childhood.</p> <p>Methods</p> <p>Retrospective analysis of the 2002-2006 MarketScan^®Commercial Claims and Encounters research databases and the 2001-2005 MarketScan Multi-State Medicaid databases. Children were classified as having congenital hypothyroidism based on billing codes and having filled a prescription for thyroid hormone treatment. Kaplan-Meier curve analysis was used to determine discontinuation rates.</p> <p>Results</p> <p>There were a total of 412 Medicaid-enrolled children and 292 privately-insured children with presumed congenital hypothyroidism included in this study. The overall birth prevalence of congenital hypothyroidism across both datasets was about 1 per 2,300. By 36 months, the percentage who had discontinued thyroid replacement treatment was 38% (95% Confidence Interval: 32%-44%). Medicaid-enrolled children had a more rapid decline in the first 24 months of treatment compared to those with private insurance (<it>P </it>= 0.02).</p> <p>Conclusions</p> <p>More than one-third of children treated for congenital hypothyroidism discontinued treatment within 36 months, which is inconsistent with current guidelines. It is not known how many of these children required continued treatment or experience adverse effects from discontinuation. These findings emphasize the critical need for follow-up systems to monitor the outcome of newborn screening.</p

A retrospective analysis of glycol and toxic alcohol ingestion: utility of anion and osmolal gaps

<p>Abstract</p> <p>Background</p> <p>Patients ingesting ethylene glycol, isopropanol, methanol, and propylene glycol ('toxic alcohols') often present with non-specific signs and symptoms. Definitive diagnosis of toxic alcohols has traditionally been by gas chromatography (GC), a technique not commonly performed on-site in hospital clinical laboratories. The objectives of this retrospective study were: 1) to assess the diagnostic accuracy of the osmolal gap in screening for toxic alcohol ingestion and 2) to determine the common reasons other than toxic alcohol ingestion for elevated osmolal gaps.</p> <p>Methods</p> <p>Electronic medical records from an academic tertiary care medical center were searched to identify all patients in the time period from January 1, 1996 to September 1, 2010 who had serum/plasma ethanol, glucose, sodium, blood urea nitrogen, and osmolality measured simultaneously, and also all patients who had GC analysis for toxic alcohols. Detailed chart review was performed on all patients with osmolal gap of 9 or greater.</p> <p>Results</p> <p>In the study period, 20,669 patients had determination of serum/plasma ethanol and osmolal gap upon presentation to the hospitals. There were 341 patients with an osmolal gap greater than 14 (including correction for estimated contribution of ethanol) on initial presentation to the medical center. Seventy-seven patients tested positive by GC for one or more toxic alcohols; all had elevated anion gap or osmolal gap or both. Other than toxic alcohols, the most common causes for an elevated osmolal gap were recent heavy ethanol consumption with suspected alcoholic ketoacidosis, renal failure, shock, and recent administration of mannitol. Only 9 patients with osmolal gap greater than 50 and no patients with osmolal gap greater than 100 were found to be negative for toxic alcohols.</p> <p>Conclusions</p> <p>Our study concurs with other investigations that show that osmolal gap can be a useful diagnostic test in conjunction with clinical history and physical examination.</p

MRCP compared to diagnostic ERCP for diagnosis when biliary obstruction is suspected: a systematic review

BACKGROUND: Magnetic resonance cholangiopancreatography (MRCP) is an alternative to diagnostic endoscopic retrograde cholangiopancreatography (ERCP) for investigating biliary obstruction. The use of MRCP, a non-invasive procedure, may prevent the use of unnecessary invasive procedures. The aim of the study was to compare the findings of MRCP with those of ERCP by the computation of accuracy statistics. METHODS: Thirteen electronic bibliographic databases, covering biomedical, science, health economics and grey literature were searched. A systematic review of studies comparing MRCP to diagnostic ERCP in patients with suspected biliary obstruction was conducted. Sensitivity, specificity, likelihood ratios, acceptability and adverse events were reported. RESULTS: 25 studies were identified reporting several conditions including choledocholithiasis (18 studies), malignancy (four studies), obstruction (three studies), stricture (two studies) and dilatation (five studies). Three of the 18 studies reporting choledocholithiasis were excluded from the analysis due to lack of data, or differences in study design. The sensitivity for the 15 studies of choledocholithiasis ranged from 0.50 to 1.00 while specificity ranged from 0.83 to 1.00. The positive likelihood ratio ranged: from 5.44–47.72 and the negative likelihood ratio for the 15 studies ranged from 0.00–0.51. Significant heterogeneity was found across the 15 studies so the sensitivities and specificities were summarised by a Receiver Operating Characteristic (ROC) curve. For malignancy, sensitivity ranged from 0.81 to 0.94 and specificity from 0.92 to 1.00. Positive likelihood ratios ranged from 10.12 to 43 and negative likelihood ratios ranged from 0.15 to 0.21, although these estimates were less reliable. CONCLUSION: MRCP is a comparable diagnostic investigation in comparison to ERCP for diagnosing biliary obstruction

From Sea to Sea: Canada's Three Oceans of Biodiversity

Evaluating and understanding biodiversity in marine ecosystems are both necessary and challenging for conservation. This paper compiles and summarizes current knowledge of the diversity of marine taxa in Canada's three oceans while recognizing that this compilation is incomplete and will change in the future. That Canada has the longest coastline in the world and incorporates distinctly different biogeographic provinces and ecoregions (e.g., temperate through ice-covered areas) constrains this analysis. The taxonomic groups presented here include microbes, phytoplankton, macroalgae, zooplankton, benthic infauna, fishes, and marine mammals. The minimum number of species or taxa compiled here is 15,988 for the three Canadian oceans. However, this number clearly underestimates in several ways the total number of taxa present. First, there are significant gaps in the published literature. Second, the diversity of many habitats has not been compiled for all taxonomic groups (e.g., intertidal rocky shores, deep sea), and data compilations are based on short-term, directed research programs or longer-term monitoring activities with limited spatial resolution. Third, the biodiversity of large organisms is well known, but this is not true of smaller organisms. Finally, the greatest constraint on this summary is the willingness and capacity of those who collected the data to make it available to those interested in biodiversity meta-analyses. Confirmation of identities and intercomparison of studies are also constrained by the disturbing rate of decline in the number of taxonomists and systematists specializing on marine taxa in Canada. This decline is mostly the result of retirements of current specialists and to a lack of training and employment opportunities for new ones. Considering the difficulties encountered in compiling an overview of biogeographic data and the diversity of species or taxa in Canada's three oceans, this synthesis is intended to serve as a biodiversity baseline for a new program on marine biodiversity, the Canadian Healthy Ocean Network. A major effort needs to be undertaken to establish a complete baseline of Canadian marine biodiversity of all taxonomic groups, especially if we are to understand and conserve this part of Canada's natural heritage