18 research outputs found
A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Recent years have seen a growing interest among investors in the new technology of blockchain and cryptocurrencies and some early investors in this new type of digital assets have made significant gains. The heuristic algorithm, differential evolution, has been advocated as a powerful tool in portfolio optimization. We propose in this study two new approaches derived from the traditional differential evolution (DE) method: the GARCH-differential evolution (GARCH-DE) and the GARCH-differential evolution t-copula (GARCH-DE-t-copula). We then contrast these two models with DE (benchmark) in single and multi-period optimizations on a portfolio consisting of five cryptoassets under the coherent risk measure CVaR constraint. Our analysis shows that the GARCH-DE-t-copula outperforms the DE and GARCH-DE approaches in both single- and multi-period frameworks. For these notoriously volatile assets, the GARCH-DE-t-copula has shown risk-control ability, hereby confirming the ability of t-copula to capture the dependence structure in the fat tail.https://link.springer.com/journal/114082019-11-01hj2019Mathematics and Applied Mathematic
A Monte Carlo approach to Bitcoin price prediction with fractional Ornstein-Uhlenbeck levy process
This work is dedicated in memory of late Sutene Mwambi who contributed
significantly to it. Sutene passed away at the final stage of conclusion of this article.DATA AVAILABILITY STATEMENT : The data used for this study can be obtained from the authors upon
request or visit Coinmarketcap: https://coinmarketcap.com/, accessed on 25 February 2022.Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the
general population to institutional investors. Several models, from GARCH type to jump-diffusion
type, have been developed to dynamically capture the price movement of this highly volatile asset.
While fitting the Gaussian and the Generalized Hyperbolic and the Normal Inverse Gaussian (NIG)
distributions to log-returns of Bitcoin, NIG distribution appears to provide the best fit. The timevarying
Hurst parameter for Bitcoin price reveals periods of randomness and mean-reverting type
of behaviour, motivating the study in this paper through fractional Ornstein–Uhlenbeck driven by
a Normal Inverse Gaussian LĂ©vy process. Features such as long-range memory are jump diffusion
processes that are well captured with this model. The results present a 95% prediction for the price of
Bitcoin for some specific dates. This study contributes to the literature of Bitcoin price forecasts that
are useful for Bitcoin options traders.https://www.mdpi.com/journal/foodsam2023Mathematics and Applied Mathematic
HMGB1 Redox During Sepsis
During sepsis, the alarmin HMGB1 is released from tissues and promotes systemic inflammation that results in multi-organ damage, with the kidney particularly susceptible to injury. The severity of inflammation and pro-damage signaling mediated by HMGB1 appears to be dependent on the alarmin\u27s redox state. Therefore, we examined HMGB1 redox in kidney cells during sepsis. Using intravital microscopy, CellROX labeling of kidneys in live mice indicated increased ROS generation in the kidney perivascular endothelium and tubules during lipopolysaccharide (LPS)-induced sepsis. Subsequent CellROX and MitoSOX labeling of LPS-stressed endothelial and kidney proximal tubule cells demonstrated increased ROS generation in these cells as sepsis worsens. Consequently, HMGB1 oxidation increased in the cytoplasm of kidney cells during its translocation from the nucleus to the circulation, with the degree of oxidation dependent on the severity of sepsis, as measured in in vivo mouse samples using a thiol assay and mass spectrometry (LC-MS/MS). The greater the oxidation of HMGB1, the greater the ability of the alarmin to stimulate pro-inflammatory cyto-/chemokine release (measured by Luminex Multiplex) and alter mitochondrial ATP generation (Luminescent ATP Detection Assay). Administration of glutathione and thioredoxin inhibitors to cell cultures enhanced HMGB1 oxidation during sepsis in endothelial and proximal tubule cells, respectively. In conclusion, as sepsis worsens, ROS generation and HMGB1 oxidation increases in kidney cells, which enhances HMGB1\u27s pro-inflammatory signaling. Conversely, the glutathione and thioredoxin systems work to maintain the protein in its reduced state
Mortality from gastrointestinal congenital anomalies at 264 hospitals in 74 low-income, middle-income, and high-income countries: a multicentre, international, prospective cohort study
Summary
Background Congenital anomalies are the fifth leading cause of mortality in children younger than 5 years globally.
Many gastrointestinal congenital anomalies are fatal without timely access to neonatal surgical care, but few studies
have been done on these conditions in low-income and middle-income countries (LMICs). We compared outcomes of
the seven most common gastrointestinal congenital anomalies in low-income, middle-income, and high-income
countries globally, and identified factors associated with mortality.
Methods We did a multicentre, international prospective cohort study of patients younger than 16 years, presenting to
hospital for the first time with oesophageal atresia, congenital diaphragmatic hernia, intestinal atresia, gastroschisis,
exomphalos, anorectal malformation, and Hirschsprung’s disease. Recruitment was of consecutive patients for a
minimum of 1 month between October, 2018, and April, 2019. We collected data on patient demographics, clinical
status, interventions, and outcomes using the REDCap platform. Patients were followed up for 30 days after primary
intervention, or 30 days after admission if they did not receive an intervention. The primary outcome was all-cause,
in-hospital mortality for all conditions combined and each condition individually, stratified by country income status.
We did a complete case analysis.
Findings We included 3849 patients with 3975 study conditions (560 with oesophageal atresia, 448 with congenital
diaphragmatic hernia, 681 with intestinal atresia, 453 with gastroschisis, 325 with exomphalos, 991 with anorectal
malformation, and 517 with Hirschsprung’s disease) from 264 hospitals (89 in high-income countries, 166 in middleincome
countries, and nine in low-income countries) in 74 countries. Of the 3849 patients, 2231 (58·0%) were male.
Median gestational age at birth was 38 weeks (IQR 36–39) and median bodyweight at presentation was 2·8 kg (2·3–3·3).
Mortality among all patients was 37 (39·8%) of 93 in low-income countries, 583 (20·4%) of 2860 in middle-income
countries, and 50 (5·6%) of 896 in high-income countries (p<0·0001 between all country income groups).
Gastroschisis had the greatest difference in mortality between country income strata (nine [90·0%] of ten in lowincome
countries, 97 [31·9%] of 304 in middle-income countries, and two [1·4%] of 139 in high-income countries;
p≤0·0001 between all country income groups). Factors significantly associated with higher mortality for all patients
combined included country income status (low-income vs high-income countries, risk ratio 2·78 [95% CI 1·88–4·11],
p<0·0001; middle-income vs high-income countries, 2·11 [1·59–2·79], p<0·0001), sepsis at presentation (1·20
[1·04–1·40], p=0·016), higher American Society of Anesthesiologists (ASA) score at primary intervention
(ASA 4–5 vs ASA 1–2, 1·82 [1·40–2·35], p<0·0001; ASA 3 vs ASA 1–2, 1·58, [1·30–1·92], p<0·0001]), surgical safety
checklist not used (1·39 [1·02–1·90], p=0·035), and ventilation or parenteral nutrition unavailable when needed
(ventilation 1·96, [1·41–2·71], p=0·0001; parenteral nutrition 1·35, [1·05–1·74], p=0·018). Administration of
parenteral nutrition (0·61, [0·47–0·79], p=0·0002) and use of a peripherally inserted central catheter (0·65
[0·50–0·86], p=0·0024) or percutaneous central line (0·69 [0·48–1·00], p=0·049) were associated with lower mortality.
Interpretation Unacceptable differences in mortality exist for gastrointestinal congenital anomalies between lowincome,
middle-income, and high-income countries. Improving access to quality neonatal surgical care in LMICs will
be vital to achieve Sustainable Development Goal 3.2 of ending preventable deaths in neonates and children younger
than 5 years by 2030
Discrete singular convolution for the generalized variable-coefficient Korteweg-de Vries equation
Numerical solutions of the generalized variable-coefficient Korteweg-de Vries equation are obtained using a discrete singular convolution and a fourth order singly diagonally implicit Runge-Kutta method for space and time discretisation, respectively. The theoretical convergence of the proposed method is rigorously investigated. Test problems including propagation of single solitons and interaction of solitary waves are performed to verify the efficiency and accuracy of the method. The numerical results are checked against available analytical solutions and compared with the Sinc numerical method. We find that our approach is a very accurate, efficient and reliable method for solving nonlinear partial differential equations.Key words: Generalized Korteweg-de Vries equations, discrete singular convolution, exponential time differencing methods, soliton solutions
A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price movement of this highly volatile asset. While fitting the Gaussian and the Generalized Hyperbolic and the Normal Inverse Gaussian (NIG) distributions to log-returns of Bitcoin, NIG distribution appears to provide the best fit. The time-varying Hurst parameter for Bitcoin price reveals periods of randomness and mean-reverting type of behaviour, motivating the study in this paper through fractional Ornstein–Uhlenbeck driven by a Normal Inverse Gaussian Lévy process. Features such as long-range memory are jump diffusion processes that are well captured with this model. The results present a 95% prediction for the price of Bitcoin for some specific dates. This study contributes to the literature of Bitcoin price forecasts that are useful for Bitcoin options traders
A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price movement of this highly volatile asset. While fitting the Gaussian and the Generalized Hyperbolic and the Normal Inverse Gaussian (NIG) distributions to log-returns of Bitcoin, NIG distribution appears to provide the best fit. The time-varying Hurst parameter for Bitcoin price reveals periods of randomness and mean-reverting type of behaviour, motivating the study in this paper through fractional Ornstein–Uhlenbeck driven by a Normal Inverse Gaussian Lévy process. Features such as long-range memory are jump diffusion processes that are well captured with this model. The results present a 95% prediction for the price of Bitcoin for some specific dates. This study contributes to the literature of Bitcoin price forecasts that are useful for Bitcoin options traders
A lagrange regularized kernel method for solving multi-dimensional time-fractional heat equations
Evolution equations containing fractional derivatives
can provide suitable mathematical models for
describing important physical phenomena. In this paper,
we propose an accurate method for numerical solutions
of multi-dimensional time-fractional heat equations. The
proposed method is based on a fractional exponential
integrator scheme in time and the Lagrange regularized
kernel method in space. Numerical experiments show the
effectiveness of the proposed approach.E. Pindza is thankful to BradWelch for
the financial support through RidgeCape Capital.http://www.ijnsns.comam2017Mathematics and Applied Mathematic
Cryptocurrencies and Tokens Lifetime Analysis from 2009 to 2021
The success of Bitcoin has spurred emergence of countless alternative coins with some of them shutting down only few weeks after their inception, thus disappearing with millions of dollars collected from enthusiast investors through initial coin offering (ICO) process. This has led investors from the general population to the institutional ones, to become skeptical in venturing in the cryptocurrency market, adding to its highly volatile characteristic. It is then of vital interest to investigate the life span of available coins and tokens, and to evaluate their level of survivability. This will make investors more knowledgeable and hence build their confidence in hazarding in the cryptocurrency market. Survival analysis approach is well suited to provide the needed information. In this study, we discuss the survival outcomes of coins and tokens from the first release of a cryptocurrency in 2009. Non-parametric methods of time-to-event analysis namely Aalen Additive Hazards Model (AAHM) trough counting and martingale processes, Cox Proportional Hazard Model (CPHM) are based on six covariates of interest. Proportional hazards assumption (PHA) is checked by assessing the Kaplan-Meier estimates of survival functions at the levels of each covariate. The results in different regression models display significant and non-significant covariates, relative risks and standard errors. Among the results, it was found that cryptocurrencies under standalone blockchain were at a relatively higher risk of collapsing. It was also found that the 2013–2017 cryptocurrencies release was at a high risk as compared to 2009–2013 release and that cryptocurrencies for which headquarters are known had the relatively better survival outcomes. This provides clear indicators to watch out for while selecting the coins or tokens in which to invest
Cryptocurrencies and tokens lifetime analysis from 2009 to 2021
The success of Bitcoin has spurred emergence of countless alternative coins with some
of them shutting down only few weeks after their inception, thus disappearing with millions of
dollars collected from enthusiast investors through initial coin offering (ICO) process. This has led
investors from the general population to the institutional ones, to become skeptical in venturing in
the cryptocurrency market, adding to its highly volatile characteristic. It is then of vital interest to
investigate the life span of available coins and tokens, and to evaluate their level of survivability.
This will make investors more knowledgeable and hence build their confidence in hazarding in the
cryptocurrency market. Survival analysis approach is well suited to provide the needed information.
In this study, we discuss the survival outcomes of coins and tokens from the first release of a
cryptocurrency in 2009. Non-parametric methods of time-to-event analysis namely Aalen Additive
Hazards Model (AAHM) trough counting and martingale processes, Cox Proportional Hazard Model
(CPHM) are based on six covariates of interest. Proportional hazards assumption (PHA) is checked by
assessing the Kaplan-Meier estimates of survival functions at the levels of each covariate. The results
in different regression models display significant and non-significant covariates, relative risks and
standard errors.Among the results, it was found that cryptocurrencies under standalone blockchain
were at a relatively higher risk of collapsing. It was also found that the 2013–2017 cryptocurrencies
release was at a high risk as compared to 2009–2013 release and that cryptocurrencies for which
headquarters are known had the relatively better survival outcomes. This provides clear indicators to
watch out for while selecting the coins or tokens in which to invest.https://www.mdpi.com/journal/economiesdm2022Mathematics and Applied Mathematic