Risk arbitrage trading systems

Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2005.Includes bibliographical references (leaf 42).The risk arbitrage investment process involves betting on the outcome of announced mergers and acquisitions. We analyzed a sample of 1309 stock and cash mergers from 1996 to 2004 Q2 and developed insights into the risk arbitrage process. We found share price reactions for both the acquirer and target companies as a result of the merger announcement and compared these to factors such as type of merger, premium paid by the acquirer for the target, relative size of the deal to the size of the acquirer and target, and deal consummation time. We utilized this information to develop a merger return prediction model that predicts a merger's return given various deal characteristics. We constructed several portfolios, one using a trading strategy in which we invest equally in every announced deal, one where we invest only in deals that have a predicted return higher than two times the T-Bills rate, one where we invest in deals that have a predicted return higher than 0, and one where we invest in deals with a predicted return higher than one standard deviation of the predicted returns. A subsequent out of sample analysis of' generating a predicted return model using data from 1996 to 1999 and predicting returns from 2000 to 2004 Q2 produces returns of 4.96%, 3.14%, and 5.87% for our three portfolios compared with 1.74% generated from investing in all deals from 2000 to 20)4 Q2.(cont.) Our study shows that our strategy focuses mainly on cash deals but our strategy still makes improvements in the Sharpe Ratio despite this limitation. Our analysis provides insights into mergers and how the market prices such deals. Furthermore, the trading strategies employed can be used as a basis for constructing a profitable risk arbitrage trading platform.by Jiong J. Want.M.Eng

IRIS Observations of the Mg II h & k Lines During a Solar Flare

The bulk of the radiative output of a solar flare is emitted from the chromosphere, which produces enhancements in the optical and UV continuum, and in many lines, both optically thick and thin. We have, until very recently, lacked observations of two of the strongest of these lines: the Mg II h & k resonance lines. We present a detailed study of the response of these lines to a solar flare. The spatial and temporal behaviour of the integrated intensities, k/h line ratios, line of sight velocities, line widths and line asymmetries were investigated during an M class flare (SOL2014-02-13T01:40). Very intense, spatially localised energy input at the outer edge of the ribbon is observed, resulting in redshifts equivalent to velocities of ~15-26km/s, line broadenings, and a blue asymmetry in the most intense sources. The characteristic central reversal feature that is ubiquitous in quiet Sun observations is absent in flaring profiles, indicating that the source function increases with height during the flare. Despite the absence of the central reversal feature, the k/h line ratio indicates that the lines remain optically thick during the flare. Subordinate lines in the Mg II passband are observed to be in emission in flaring sources, brightening and cooling with similar timescales to the resonance lines. This work represents a first analysis of potential diagnostic information of the flaring atmosphere using these lines, and provides observations to which synthetic spectra from advanced radiative transfer codes can be compared.Comment: 12 pages, 14 figures, Accepted for publication in Astronomy and Astrophysic

Parameterized Algorithmics for Computational Social Choice: Nine Research Challenges

Computational Social Choice is an interdisciplinary research area involving Economics, Political Science, and Social Science on the one side, and Mathematics and Computer Science (including Artificial Intelligence and Multiagent Systems) on the other side. Typical computational problems studied in this field include the vulnerability of voting procedures against attacks, or preference aggregation in multi-agent systems. Parameterized Algorithmics is a subfield of Theoretical Computer Science seeking to exploit meaningful problem-specific parameters in order to identify tractable special cases of in general computationally hard problems. In this paper, we propose nine of our favorite research challenges concerning the parameterized complexity of problems appearing in this context

Hypocalcemia-Induced Seizure: Demystifying the Calcium Paradox

Calcium is essential for both neurotransmitter release and muscle contraction. Given these important physiological processes, it seems reasonable to assume that hypocalcemia may lead to reduced neuromuscular excitability. Counterintuitively, however, clinical observation has frequently documented hypocalcemia€™s role in induction of seizures and general excitability processes such as tetany, Chvostek€™s sign, and bronchospasm. The mechanism of this calcium paradox remains elusive, and very few pathophysiological studies have addressed this conundrum. Nevertheless, several studies primarily addressing other biophysical issues have provided some clues. In this review, we analyze the data of these studies and propose an integrative model to explain this hypocalcemic paradox

The Decay Lifetime of Polarized Fermions in Flight

Based on the parity violation in Standard model, we study the dependence of lifetime on the helicity of an initial-state fermion in weak interactions. It is pointed out that if the initial fermions in the decays are longitudinally polarized, then the decay lifetime of left-handed polarized fermions is different from that of right-handed polarized fermions in flight with a same velocity in a same inertial system.Comment: 7 pages, Late

Comparative profiling of the sense and antisense transcriptome of maize lines

BACKGROUND: There are thousands of maize lines with distinctive normal as well as mutant phenotypes. To determine the validity of comparisons among mutants in different lines, we first address the question of how similar the transcriptomes are in three standard lines at four developmental stages. RESULTS: Four tissues (leaves, 1 mm anthers, 1.5 mm anthers, pollen) from one hybrid and one inbred maize line were hybridized with the W23 inbred on Agilent oligonucleotide microarrays with 21,000 elements. Tissue-specific gene expression patterns were documented, with leaves having the most tissue-specific transcripts. Haploid pollen expresses about half as many genes as the other samples. High overlap of gene expression was found between leaves and anthers. Anther and pollen transcript expression showed high conservation among the three lines while leaves had more divergence. Antisense transcripts represented about 6 to 14 percent of total transcriptome by tissue type but were similar across lines. Gene Ontology (GO) annotations were assigned and tabulated. Enrichment in GO terms related to cell-cycle functions was found for the identified antisense transcripts. Microarray results were validated via quantitative real-time PCR and by hybridization to a second oligonucleotide microarray platform. CONCLUSION: Despite high polymorphisms and structural differences among maize inbred lines, the transcriptomes of the three lines displayed remarkable similarities, especially in both reproductive samples (anther and pollen). We also identified potential stage markers for maize anther development. A large number of antisense transcripts were detected and implicated in important biological functions given the enrichment of particular GO classes

Levinson's Theorem for Dirac Particles

Levinson's theorem for Dirac particles constraints the sum of the phase shifts at threshold by the total number of bound states of the Dirac equation. Recently, a stronger version of Levinson's theorem has been proven in which the value of the positive- and negative-energy phase shifts are separately constrained by the number of bound states of an appropriate set of Schr\"odinger-like equations. In this work we elaborate on these ideas and show that the stronger form of Levinson's theorem relates the individual phase shifts directly to the number of bound states of the Dirac equation having an even or odd number of nodes. We use a mean-field approximation to Walecka's scalar-vector model to illustrate this stronger form of Levinson's theorem. We show that the assignment of bound states to a particular phase shift should be done, not on the basis of the sign of the bound-state energy, but rather, in terms of the nodal structure (even/odd number of nodes) of the bound state.Comment: Latex with Revtex, 7 postscript figures (available from the author), SCRI-06109

Stability Analysis of Fractal Dimension in Retinal Vasculature

Fractal dimension (FD) has been considered as a potential biomarker for retina-based disease detection. However, conflicting findings can be found in the reported literature regarding the association of the biomarker with diseases. This motivates us to examine the stability of the FD on different (1) vessel segmentations obtained from human observers, (2) automatic segmentation methods, (3) threshold values, and (4) region-of-interests. Our experiments show that the corresponding relative errors with respect to reference ones, computed per patient, are generally higher than the relative standard deviation of the reference values themselves (among all patients). The conclusion of this paper is that we cannot fully rely on the studied FD values, and thus do not recommend their use in quantitative clinical applications

Pontryagin´s principle for state-constrained boundary control problems of semilinear parabolic equations

This paper deals with state-constrained optimal control problems governed by semilinear parabolic equations. We establish a minimum principle of Pontryagin's type. To deal with the state constraints, we introduce a penalty problem by using Ekeland's principle. The key tool for the proof is the use of a special kind of spike perturbations distributed in the domain where the controls are de ned. Conditions for normality of optimality conditions are given

The PSD95–nNOS interface: a target for inhibition of excitotoxic p38 stress-activated protein kinase activation and cell death

The stress-activated protein kinase p38 and nitric oxide (NO) are proposed downstream effectors of excitotoxic cell death. Although the postsynaptic density protein PSD95 can recruit the calcium-dependent neuronal NO synthase (nNOS) to the mouth of the calcium-permeable NMDA receptor, and depletion of PSD95 inhibits excitotoxicity, the possibility that selective uncoupling of nNOS from PSD95 might be neuroprotective is unexplored. The relationship between excitotoxic stress–generated NO and activation of p38, and the significance of the PSD95–nNOS interaction to p38 activation also remain unclear. We find that NOS inhibitors reduce both glutamate-induced p38 activation and the resulting neuronal death, whereas NO donor has effects consistent with NO as an upstream regulator of p38 in glutamate-induced cell death. Experiments using a panel of decoy constructs targeting the PSD95–nNOS interaction suggest that this interaction and subsequent NO production are critical for glutamate-induced p38 activation and the ensuing cell death, and demonstrate that the PSD95–nNOS interface provides a genuine possibility for design of neuroprotective drugs with increased selectivity