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

Neuromagnetic Evidence for Early Auditory Restoration of Fundamental Pitch

Background: Understanding the time course of how listeners reconstruct a missing fundamental component in an auditory stimulus remains elusive. We report MEG evidence that the missing fundamental component of a complex auditory stimulus is recovered in auditory cortex within 100 ms post stimulus onset. Methodology: Two outside tones of four-tone complex stimuli were held constant (1200 Hz and 2400 Hz), while two inside tones were systematically modulated (between 1300 Hz and 2300 Hz), such that the restored fundamental (also knows as ‘‘virtual pitch’’) changed from 100 Hz to 600 Hz. Constructing the auditory stimuli in this manner controls for a number of spectral properties known to modulate the neuromagnetic signal. The tone complex stimuli only diverged on the value of the missing fundamental component. Principal Findings: We compared the M100 latencies of these tone complexes to the M100 latencies elicited by their respective pure tone (spectral pitch) counterparts. The M100 latencies for the tone complexes matched their pure sinusoid counterparts, while also replicating the M100 temporal latency response curve found in previous studies. Conclusions: Our findings suggest that listeners are reconstructing the inferred pitch by roughly 100 ms after stimulus onset and are consistent with previous electrophysiological research suggesting that the inferential pitch is perceived i

Parameter identification problems in the modelling of cell motility

We present a novel parameter identification algorithm for the estimation of parameters in models of cell motility using imaging data of migrating cells. Two alternative formulations of the objective functional that measures the difference between the computed and observed data are proposed and the parameter identification problem is formulated as a minimisation problem of nonlinear least squares type. A Levenberg–Marquardt based optimisation method is applied to the solution of the minimisation problem and the details of the implementation are discussed. A number of numerical experiments are presented which illustrate the robustness of the algorithm to parameter identification in the presence of large deformations and noisy data and parameter identification in three dimensional models of cell motility. An application to experimental data is also presented in which we seek to identify parameters in a model for the monopolar growth of fission yeast cells using experimental imaging data. Our numerical tests allow us to compare the method with the two different formulations of the objective functional and we conclude that the results with both objective functionals seem to agree

Integrated genomics and proteomics define huntingtin CAG length-dependent networks in mice.

To gain insight into how mutant huntingtin (mHtt) CAG repeat length modifies Huntington's disease (HD) pathogenesis, we profiled mRNA in over 600 brain and peripheral tissue samples from HD knock-in mice with increasing CAG repeat lengths. We found repeat length-dependent transcriptional signatures to be prominent in the striatum, less so in cortex, and minimal in the liver. Coexpression network analyses revealed 13 striatal and 5 cortical modules that correlated highly with CAG length and age, and that were preserved in HD models and sometimes in patients. Top striatal modules implicated mHtt CAG length and age in graded impairment in the expression of identity genes for striatal medium spiny neurons and in dysregulation of cyclic AMP signaling, cell death and protocadherin genes. We used proteomics to confirm 790 genes and 5 striatal modules with CAG length-dependent dysregulation at the protein level, and validated 22 striatal module genes as modifiers of mHtt toxicities in vivo

Transforming a Pair of Orthogonal tRNA-aminoacyl-tRNA Synthetase from Archaea to Function in Mammalian Cells

A previously engineered Methanocaldococcus jannaschii –tyrosyl-tRNA synthetase pair orthogonal to Escherichia coli was modified to become orthogonal in mammalian cells. The resulting -tyrosyl-tRNA synthetase pair was able to suppress an amber codon in the green fluorescent protein, GFP, and in a foldon protein in mammalian cells. The methodology reported here will allow rapid transformation of the much larger collection of existing tyrosyl-tRNA synthetases that were already evolved for the incorporation of an array of over 50 unnatural amino acids into proteins in Escherichia coli into proteins in mammalian cells. Thus we will be able to introduce a large array of possibilities for protein modifications in mammalian cells

Violent Recidivism: A Long-Time Follow-Up Study of Mentally Disordered Offenders

Background: In this prospective study, mentally disordered perpetrators of severe violent and/or sexual crimes were followed through official registers for 59 (range 8 to 73) months. The relapse rate in criminality was assessed, compared between offenders sentenced to prison versus forensic psychiatric care, and the predictive ability of various risk factors (criminological, clinical, and of structured assessment instruments) was investigated. Method: One hundred perpetrators were consecutively assessed between 1998 and 2001 by a clinical battery of established instruments covering DSM-IV diagnoses, psychosocial background factors, and structured assessment instruments (HCR-20, PCL-R, and life-time aggression (LHA)). Follow-up data was collected from official registers for: (i) recidivistic crimes, (ii) crimes during ongoing sanction. Results: Twenty subjects relapsed in violent criminality during ongoing sanctions (n = 6) or after discharge/parole (n = 14). Individuals in forensic psychiatric care spent significantly more time at liberty after discharge compared to those in prison, but showed significantly fewer relapses. Criminological (age at first conviction), and clinical (conduct disorder and substance abuse/dependence) risk factors, as well as scores on structured assessment instruments, were moderately associated with violent recidivism. Logistic regression analyses showed that the predictive ability of criminological risk factors versus clinical risk factors combined with scores from assessment instruments was comparable, with each set of variables managing to correctly classify about 80% of all individuals, but the only predictors that remained significant in multiple models were criminological (age at first conviction, and a history of substance abuse among primary relatives). Conclusions: Only one in five relapsed into serious criminality, with significantly more relapses among subjects sentenced to prison as compared to forensic psychiatric care. Criminological risk factors tended to be the best predictors of violent relapses, while few synergies were seen when the risk factors were combined. Overall, the predictive validity of common risk factors for violent criminality was rather weak

Potent Innate Immune Response to Pathogenic Leptospira in Human Whole Blood

Background: Leptospirosis is caused by pathogenic spirochetes of the genus Leptospira. The bacteria enter the human body via abraded skin or mucous membranes and may disseminate throughout. In general the clinical picture is mild but some patients develop rapidly progressive, severe disease with a high case fatality rate. Not much is known about the innate immune response to leptospires during haematogenous dissemination. Previous work showed that a human THP-1 cell line recognized heat-killed leptospires and leptospiral LPS through TLR2 instead of TLR4. The LPS of virulent leptospires displayed a lower potency to trigger TNF production by THP-1 cells compared to LPS of non-virulent leptospires. Methodology/Principal Findings: We investigated the host response and killing of virulent and non-virulent Leptospira of different serovars by human THP-1 cells, human PBMC's and human whole blood. Virulence of each leptospiral strain was tested in a well accepted standard guinea pig model. Virulent leptospires displayed complement resistance in human serum and whole blood while in-vitro attenuated non-virulent leptospires were rapidly killed in a complement dependent manner. In vitro stimulation of THP-1 and PBMC's with heat-killed and living leptospires showed differential serovar and cell type dependence of cytokine induction. However, at low, physiological, leptospiral dose, living virulent complement resistant strains were consistently more potent in whole blood stimulations than the corresponding non-virulent complement sensitive strains. At higher dose living virulent and non-virulent leptospires were equipotent in whole blood. Inhibition of different TLRs indicated that both TLR2 and TLR4 as well as TLR5 play a role in the whole blood cytokine response to living leptospires. Conclusions/Significance: Thus, in a minimally altered system as human whole blood, highly virulent Leptospira are potent inducers of the cytokine response

Differential Cytokine Gene Expression According to Outcome in a Hamster Model of Leptospirosis

Leptospirosis is a widespread bacterial infection that is transmitted by soil or water contaminated by the urine of infected animals, or directly from these animals. It has highly diverse clinical presentations, making its differential diagnosis difficult. Though most cases are minor and self-resolving, there are also severe forms that include a sepsis pattern and multiple organ failure, and have possible fatal outcomes. Predictors of disease evolution and outcome are scarce, yet they would be very valuable to clinicians as well as to better decipher disease pathogenesis. In this study, we used a hamster model of leptospirosis to evaluate if immune genes were differentially expressed between individuals and if their expression levels could help forecast the outcome of the disease. We found that hamsters that later died from leptospirosis had significantly higher expression levels of both pro- and anti-inflammatory mediators compared to survivors. These results suggest that expression levels of these immune effectors might be helpful predictors of outcome in leptospirosis and that septic shock contributes to fatal leptospirosis

A Novel Approach to Determining Violence Risk in Schizophrenia: Developing a Stepped Strategy in 13,806 Discharged Patients

Clinical guidelines recommend that violence risk be assessed in schizophrenia. Current approaches are resource-intensive as they employ detailed clinical assessments of dangerousness for most patients. An alternative approach would be to first screen out patients at very low risk of future violence prior to more costly and time-consuming assessments. In order to implement such a stepped strategy, we developed a simple tool to screen out individuals with schizophrenia at very low risk of violent offending. We merged high quality Swedish national registers containing information on psychiatric diagnoses, socio-demographic factors, and violent crime. A cohort of 13,806 individuals with hospital discharge diagnoses of schizophrenia was identified and followed for up to 33 years for violent crime. Cox regression was used to determine risk factors for violent crime and construct the screening tool, the predictive validity of which was measured using four outcome statistics. The instrument was calibrated on 6,903 participants and cross-validated using three independent replication samples of 2,301 participants each. Regression analyses resulted in a tool composed of five items: male sex, previous criminal conviction, young age at assessment, comorbid alcohol abuse, and comorbid drug abuse. At 5 years after discharge, the instrument had a negative predictive value of 0.99 (95% CI = 0.98–0.99), meaning that very few individuals who the tool screened out (n = 2,359 out of original sample of 6,903) were subsequently convicted of a violent offence. Screening out patients who are at very low risk of violence prior to more detailed clinical assessment may assist the risk assessment process in schizophrenia