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

Ring distributions leading to species formation: a global topographic analysis of geographic barriers associated with ring species

<p>Abstract</p> <p>Background</p> <p>In the mid 20^thcentury, Ernst Mayr and Theodosius Dobzhansky championed the significance of circular overlaps or ring species as the perfect demonstration of speciation, yet in the over 50 years since, only a handful of such taxa are known. We developed a topographic model to evaluate whether the geographic barriers that favor processes leading to ring species are common or rare, and to predict where other candidate ring barriers might be found.</p> <p>Results</p> <p>Of the 952,147 geographic barriers identified on the planet, only about 1% are topographically similar to barriers associated with known ring taxa, with most of the likely candidates occurring in under-studied parts of the world (for example, marine environments, tropical latitudes). Predicted barriers separate into two distinct categories: (i) single cohesive barriers (< 50,000 km²), associated with taxa that differentiate at smaller spatial scales (salamander: <it>Ensatina eschscholtzii</it>; tree: <it>Acacia karroo</it>); and (ii) composite barriers - formed by groups of barriers (each 184,000 to 1.7 million km²) in close geographic proximity (totaling 1.9 to 2.3 million km²) - associated with taxa that differentiate at larger spatial scales (birds: <it>Phylloscopus trochiloide</it>s and <it>Larus </it>(sp. <it>argentatus </it>and <it>fuscus</it>)). When evaluated globally, we find a large number of cohesive barriers that are topographically similar to those associated with known ring taxa. Yet, compared to cohesive barriers, an order of magnitude fewer composite barriers are similar to those that favor ring divergence in species with higher dispersal.</p> <p>Conclusions</p> <p>While these findings confirm that the topographic conditions that favor evolutionary processes leading to ring speciation are, in fact, rare, they also suggest that many understudied natural systems could provide valuable demonstrations of continuous divergence towards the formation of new species. Distinct advantages of the model are that it (i) requires no <it>a priori </it>information on the relative importance of features that define barriers, (ii) can be replicated using any kind of continuously distributed environmental variable, and (iii) generates spatially explicit hypotheses of geographic species formation. The methods developed here - combined with study of the geographical ecology and genetics of taxa in their environments - should enable recognition of ring species phenomena throughout the world.</p

The relationship between target joints and direct resource use in severe haemophilia

Objectives Target joints are a common complication of severe haemophilia. While factor replacement therapy constitutes the majority of costs in haemophilia, the relationship between target joints and non drug-related direct costs (NDDCs) has not been studied. Methods Data on haemophilia patients without inhibitors was drawn from the ‘Cost of Haemophilia across Europe – a Socioeconomic Survey’ (CHESS) study, a cost assessment in severe haemophilia A and B across five European countries (France, Germany, Italy, Spain, and the United Kingdom) in which 139 haemophilia specialists provided demographic and clinical information for 1285 adult patients. NDDCs were calculated using publicly available cost data, including 12-month ambulatory and secondary care activity: haematologist and other specialist consultant consultations, medical tests and examinations, bleed-related hospital admissions, and payments to professional care providers. A generalized linear model was developed to investigate the relationship between NDDCs and target joints (areas of chronic synovitis), adjusted for patient covariates. Results Five hundred and thirteen patients (42% of the sample) had no diagnosed target joints; a total of 1376 target joints (range 1–10) were recorded in the remaining 714 patients. Mean adjusted NDDCs for persons with no target joints were EUR 3134 (standard error (SE) EUR 158); for persons with one or more target joints, mean adjusted NDDCs were EUR 3913 (SE EUR 157; average mean effect EUR 779; p < 0.001). Conclusions Our analysis suggests that the presence of one or more target joints has a significant impact on NDDCs for patients with severe haemophilia, ceteris paribus. Prevention and management of target joints should be an important consideration of managing haemophilia patients

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

A study of the diagnostic accuracy of the PHQ-9 in primary care elderly

<p>Abstract</p> <p>Background</p> <p>The diagnostic accuracy of the Patient Health Questionnaire-9 (PHQ-9) for assessment of depression in elderly persons in primary care settings in the United States has not been previously addressed. Thus, the purpose of this study was to evaluate the test performance of the PHQ-9 for detecting major and minor depression in elderly patients in primary care.</p> <p>Methods</p> <p>A prospective study of diagnostic accuracy was conducted in two primary care, university-based clinics in the Pacific Northwest of the United States. Seventy-one patients aged 65 years or older participated; all completed the PHQ-9 and the 15-item Geriatric Depression Scale (GDS) and underwent the Structured Clinical Interview for Depression (SCID). Sensitivity, specificity, area under the receiver operating characteristic (ROC) curve, and likelihood ratios (LRs) were calculated for the PHQ-9, the PHQ-2, and the 15-item GDS for major depression alone and the combination of major plus minor depression.</p> <p>Results</p> <p>Two thirds of participants were female, with a mean age of 78 and two chronic health conditions. Twelve percent met SCID criteria for major depression and 13% minor depression. The PHQ-9 had an area under the curve (AUC) of 0.87 (95% confidence interval [CI], 0.74-1.00) for major depression, while the PHQ-2 and the 15-item GDS each had an AUC of 0.81 (95% CI for PHQ-2, 0.64-0.98, and for 15-item GDS, 0.70-0.91; <it>P </it>= 0.551). For major and minor depression combined, the AUC for the PHQ-9 was 0.85 (95% CI, 0.73-0.96), for the PHQ-2, 0.80 (95% CI, 0.68-0.93), and for the 15-item GDS, 0.71 (95% CI, 0.55-0.87; <it>P </it>= 0.187).</p> <p>Conclusions</p> <p>Based on AUC values, the PHQ-9 performs comparably to the PHQ-2 and the 15-item GDS in identifying depression among primary care elderly.</p

Predictors of linkage to care following community-based HIV counseling and testing in rural Kenya

Despite innovations in HIV counseling and testing (HCT), important gaps remain in understanding linkage to care. We followed a cohort diagnosed with HIV through a community-based HCT campaign that trained persons living with HIV/AIDS (PLHA) as navigators. Individual, interpersonal, and institutional predictors of linkage were assessed using survival analysis of self-reported time to enrollment. Of 483 persons consenting to follow-up, 305 (63.2%) enrolled in HIV care within 3 months. Proportions linking to care were similar across sexes, barring a sub-sample of men aged 18–25 years who were highly unlikely to enroll. Men were more likely to enroll if they had disclosed to their spouse, and women if they had disclosed to family. Women who anticipated violence or relationship breakup were less likely to link to care. Enrolment rates were significantly higher among participants receiving a PLHA visit, suggesting that a navigator approach may improve linkage from community-based HCT campaigns.Vestergaard Frandse

The Manchester International Consensus Group recommendations for the management of gynecological cancers in Lynch syndrome.

PURPOSE: There are no internationally agreed upon clinical guidelines as to which women with gynecological cancer would benefit from Lynch syndrome screening or how best to manage the risk of gynecological cancer in women with Lynch syndrome. The Manchester International Consensus Group was convened in April 2017 to address this unmet need. The aim of the Group was to develop clear and comprehensive clinical guidance regarding the management of the gynecological sequelae of Lynch syndrome based on existing evidence and expert opinion from medical professionals and patients. METHODS: Stakeholders from Europe and North America worked together over a two-day workshop to achieve consensus on best practice. RESULTS: Guidance was developed in four key areas: (1) whether women with gynecological cancer should be screened for Lynch syndrome and (2) how this should be done, (3) whether there was a role for gynecological surveillance in women at risk of Lynch syndrome, and (4) what preventive measures should be recommended for women with Lynch syndrome to reduce their risk of gynecological cancer. CONCLUSION: This document provides comprehensive clinical guidance that can be referenced by both patients and clinicians so that women with Lynch syndrome can expect and receive appropriate standards of care

A Climate Change Vulnerability Assessment of California's At-Risk Birds

Conservationists must develop new strategies and adapt existing tools to address the consequences of anthropogenic climate change. To support statewide climate change adaptation, we developed a framework for assessing climate change vulnerability of California's at-risk birds and integrating it into the existing California Bird Species of Special Concern list. We defined climate vulnerability as the amount of evidence that climate change will negatively impact a population. We quantified climate vulnerability by scoring sensitivity (intrinsic characteristics of an organism that make it vulnerable) and exposure (the magnitude of climate change expected) for each taxon. Using the combined sensitivity and exposure scores as an index, we ranked 358 avian taxa, and classified 128 as vulnerable to climate change. Birds associated with wetlands had the largest representation on the list relative to other habitat groups. Of the 29 state or federally listed taxa, 21 were also classified as climate vulnerable, further raising their conservation concern. Integrating climate vulnerability and California's Bird Species of Special Concern list resulted in the addition of five taxa and an increase in priority rank for ten. Our process illustrates a simple, immediate action that can be taken to inform climate change adaptation strategies for wildlife

Integrated Genomic Analysis Implicates Haploinsufficiency of Multiple Chromosome 5q31.2 Genes in De Novo Myelodysplastic Syndromes Pathogenesis

Deletions spanning chromosome 5q31.2 are among the most common recurring cytogenetic abnormalities detectable in myelodysplastic syndromes (MDS). Prior genomic studies have suggested that haploinsufficiency of multiple 5q31.2 genes may contribute to MDS pathogenesis. However, this hypothesis has never been formally tested. Therefore, we designed this study to systematically and comprehensively evaluate all 28 chromosome 5q31.2 genes and directly test whether haploinsufficiency of a single 5q31.2 gene may result from a heterozygous nucleotide mutation or microdeletion. We selected paired tumor (bone marrow) and germline (skin) DNA samples from 46 de novo MDS patients (37 without a cytogenetic 5q31.2 deletion) and performed total exonic gene resequencing (479 amplicons) and array comparative genomic hybridization (CGH). We found no somatic nucleotide changes in the 46 MDS samples, and no cytogenetically silent 5q31.2 deletions in 20/20 samples analyzed by array CGH. Twelve novel single nucleotide polymorphisms were discovered. The mRNA levels of 7 genes in the commonly deleted interval were reduced by 50% in CD34+ cells from del(5q) MDS samples, and no gene showed complete loss of expression. Taken together, these data show that small deletions and/or point mutations in individual 5q31.2 genes are not common events in MDS, and implicate haploinsufficiency of multiple genes as the relevant genetic consequence of this common deletion

The Influence of Markov Decision Process Structure on the Possible Strategic Use of Working Memory and Episodic Memory

Researchers use a variety of behavioral tasks to analyze the effect of biological manipulations on memory function. This research will benefit from a systematic mathematical method for analyzing memory demands in behavioral tasks. In the framework of reinforcement learning theory, these tasks can be mathematically described as partially-observable Markov decision processes. While a wealth of evidence collected over the past 15 years relates the basal ganglia to the reinforcement learning framework, only recently has much attention been paid to including psychological concepts such as working memory or episodic memory in these models. This paper presents an analysis that provides a quantitative description of memory states sufficient for correct choices at specific decision points. Using information from the mathematical structure of the task descriptions, we derive measures that indicate whether working memory (for one or more cues) or episodic memory can provide strategically useful information to an agent. In particular, the analysis determines which observed states must be maintained in or retrieved from memory to perform these specific tasks. We demonstrate the analysis on three simplified tasks as well as eight more complex memory tasks drawn from the animal and human literature (two alternation tasks, two sequence disambiguation tasks, two non-matching tasks, the 2-back task, and the 1-2-AX task). The results of these analyses agree with results from quantitative simulations of the task reported in previous publications and provide simple indications of the memory demands of the tasks which can require far less computation than a full simulation of the task. This may provide a basis for a quantitative behavioral stoichiometry of memory tasks