97 research outputs found
Improving risk-adjusted performance in high frequency trading using interval type-2 fuzzy logic
In this paper, we investigate the ability of higher order fuzzy systems to handle increased uncertainty, mostly induced by the market microstructure noise inherent in a high frequency trading (HFT) scenario. Whilst many former studies comparing type-1 and type-2 Fuzzy Logic Systems (FLSs) focus on error reduction or market direction accuracy, our interest is predominantly risk-adjusted performance and more in line with both trading practitioners and upcoming regulatory regimes. We propose an innovative approach to design an interval type-2 model which is based on a generalisation of the popular type-1 ANFIS model. The significance of this work stems from the contributions as a result of introducing type-2 fuzzy sets in intelligent trading algorithms, with the objective to improve the risk-adjusted performance with minimal increase in the design and computational complexity. Overall, the proposed ANFIS/T2 model scores significant performance improvements when compared to both standard ANFIS and Buy-and-Hold methods. As a further step, we identify a relationship between the increased trading performance benefits of the proposed type-2 model and higher levels of microstructure noise. The results resolve a desirable need for practitioners, researchers and regulators in the design of expert and intelligent systems for better management of risk in the field of HFT
Recommended from our members
Externalizing, internalizing and fostering commitment: the case of born-global firms in emerging economies
This paper examines the HR practices of mature born-global firms from twenty-nine emerging economies. Through an examination of large scale survey data the paper questions the extent to which firm size impacts the employment of temporary workers, the employment of skilled workers and the extent of employee training. Findings suggest that as firm size increases the use of temporary workers decreases, the number of skilled workers increases and the number of employees receiving training also increases. The paper highlights how born-global firms are able to shift away from externalized, market-based approaches towards more internalized, commitment-based approaches in order to survive, adapt and grow
Endothelial dysfunction and vascular disease
The endothelium can evoke relaxations (dilatations) of the underlying vascular smooth muscle, by releasing vasodilator substances. The best characterized endothelium-derived relaxing factor (EDRF) is nitric oxide (NO). The endothelial cells also evoke hyperpolarization of the cell membrane of vascular smooth muscle (endothelium-dependent hyperpolarizations, EDHF-mediated responses). Endothelium-dependent relaxations involve both pertussis toxin-sensitive G i (e.g. responses to serotonin and thrombin) and pertussis toxin-insensitive G q (e.g. adenosine diphosphate and bradykinin) coupling proteins. The release of NO by the endothelial cell can be up-regulated (e.g. by oestrogens, exercise and dietary factors) and down-regulated (e.g. oxidative stress, smoking and oxidized low-density lipoproteins). It is reduced in the course of vascular disease (e.g. diabetes and hypertension). Arteries covered with regenerated endothelium (e.g. following angioplasty) selectively loose the pertussis toxin-sensitive pathway for NO release which favours vasospasm, thrombosis, penetration of macrophages, cellular growth and the inflammatory reaction leading to atherosclerosis. In addition to the release of NO (and causing endothelium-dependent hyperpolarizations), endothelial cells also can evoke contraction (constriction) of the underlying vascular smooth muscle cells by releasing endothelium-derived contracting factor (EDCF). Most endothelium-dependent acute increases in contractile force are due to the formation of vasoconstrictor prostanoids (endoperoxides and prostacyclin) which activate TP receptors of the vascular smooth muscle cells. EDCF-mediated responses are exacerbated when the production of NO is impaired (e.g. by oxidative stress, ageing, spontaneous hypertension and diabetes). They contribute to the blunting of endothelium-dependent vasodilatations in aged subjects and essential hypertensive patients. © 2008 Scandinavian Physiological Society.postprin
Diet and Inflammatory Bowel Disease
Patients with inflammatory bowel disease (IBD) are increasingly becoming interested in nonpharmacologic approaches to managing their disease. One of the most frequently asked questions of IBD patients is what they should eat. The role of diet has become very important in the prevention and treatment of IBD. Although there is a general lack of rigorous scientific evidence that demonstrates which diet is best for certain patients, several diets-such as the low-fermentable oligosaccharide, disaccharide, monosaccharide, and polyol diet; the specific carbohydrate diet; the anti-inflammatory diet; and the Paleolithic diet-have become popular. This article discusses the diets commonly recommended to IBD patients and reviews the supporting data
Serum Adiponectin and Ghrelin, Metabolic Syndrome and Diabetes Status in Cuban Americans
Purpose: Metabolic syndrome (MetS) is associated with the development of cardiovascular disease (CVD) and type 2 diabetes. Decreases in circulating adiponectin and ghrelin have been associated with MetS. Our primary aim was to evaluate the relationship of MetS with adiponectin and ghrelin for Cuban Americans with and without type 2 diabetes. Methods: Cross-sectional study of 367 adults, self identified as Cuban extraction and randomly recruited from a mailing list of Broward and Miami-Dade counties. Fasted whole blood for adiponectin (ADPN) was collected using K3EDTA tubes and measured by ELISA. Ghrelin was assayed with fasted blood plasma by Enzyme Immunometric Assay. MetS and 10-year risk for coronary heart disease (CHD) were determined using the ATP III criteria. Results: Adiponectin (F=51.8, R2=0.21 p<0.001) and ghrelin (F=12.77, R2=0.06, p<0.001) differed by diabetes status (ANOVA) not age and gender. In stepwise linear regression models triglyceride levels ≥150 mg/dL negatively corresponded (coefficient = -0.23) with ghrelin levels for persons without diabetes (F=7.45, R2=0.053, p=0.007); abdominal obesity and fasting plasma glucose predicted high sensitivity C-reactive protein (hs-CRP) for persons with and without diabetes (F=16.3, R2 = .144, p <0.001). Conclusion: Low ghrelin levels were associated with MetS regardless of diabetes status. High adiponectin levels were related to a low probability for those without diabetes only. There was a positive association of hs-CRP with BMI, MetS and number of MetS components. Keywords: Metabolic syndrome, Type 2 diabetes, Cuban, Adiponectin, Ghrelin, High-sensitivity C-reactive protei
Serum Adiponectin and Ghrelin, Metabolic Syndrome and Diabetes Status in Cuban Americans
Purpose: Metabolic syndrome (MetS) is associated with the development of cardiovascular disease (CVD) and type 2 diabetes. Decreases in circulating adiponectin and ghrelin have been associated with MetS. Our primary aim was to evaluate the relationship of MetS with adiponectin and ghrelin for Cuban Americans with and without type 2 diabetes.
Methods: Cross-sectional study of 367 adults, self identified as Cuban extraction and randomly recruited from a mailing list of Broward and Miami-Dade counties. Fasted whole blood for adiponectin (ADPN) was collected using K3EDTA tubes and measured by ELISA. Ghrelin was assayed with fasted blood plasma by Enzyme Immunometric Assay. MetS and 10-year risk for coronary heart disease (CHD) were determined using the ATP III criteria.
Results: Adiponectin (F=51.8, R2 =0.21 p\u3c0.001) and ghrelin (F=12.77, R 2 =0.06, p\u3c0.001) differed by diabetes status (ANOVA) not age and gender. In stepwise linear regression models triglyceride levels â„ 150 mg/dL negatively corresponded (coefficient = -0.23) with ghrelin levels for persons without diabetes (F=7.45, R2 =0.053, p=0.007); abdominal obesity and fasting plasma glucose predicted high sensitivity C-reactive protein (hs-CRP) for persons with and without diabetes (F=16.3, R2 = 0.144, p \u3c0.001).
Conclusion: Low ghrelin levels were associated with MetS regardless of diabetes status. High adiponectin levels were related to a low probability for those without diabetes only. There was a positive association of hs-CRP with BMI, MetS and number of MetS components
- âŠ