Обработка пропусков в рыночных данных на примере задачи оценки кривой доходностей облигаций

Missing observations in market data is a frequent problem in financial studies. The problem of missing data is often overlooked in practice. Missing data is mostly treated using ad hoc methods or just ignored. Our goal is to develop practical recommendations for treatment of missing observations in financial data. We illustrate the issue with an example of yield curve estimation on Russian bond market. We compare three methods of missing data imputation — last observation carried forward, Kalman filtering and EM–algorithm — with a simple strategy of ignoring missing observations. We conclude that the impact of data imputation on the quality of yield curve estimation depends on model sensitivity to the market data. For non-sensitive models, such as Nelson-Siegel yield curve model, final effect is insignificant. For more sensitive models, such as bootstrapping, missing data imputation allows to increase the quality of yield curve estimation. However, the result does not depend on the chosen data imputation method. Both simple last observation carried forward method and more advanced EM–algorithm lead to similar final results. Therefore, when estimating yield curves on the illiquid markets with missing market data, we recommend to use either simple non-sensitive to the data parametric models of yield curve or to impute missing data before using more advanced and sensitive yield curve models.Пропуски в рыночных данных — частая проблема в финансовых исследованиях, которой уделяется относительно мало внимания на практике. Обработка пропусков, как правило, выполняется эвристически и является лишь вспомогательным шагом исследований. Целью нашей работы является разработка практических рекомендаций по работе с пропусками в рыночных данных. Проблема иллюстрируется на примере задачи оценки временной структуры процентных ставок на российском рынке государственных облигаций. Мы сравниваем три различных метода заполнения пропусков в данных — заполнение последним значением, фильтр Калмана и EM-алгоритм — с простой стратегией удаления пропусков. Мы приходим к выводу, что эффект от заполнения пропусков на качество оценки кривой зависит от чувствительности модели кривой доходностей к рыночным данным. Для слабо чувствительных к данным моделей, например для модели кривой доходностей Нельсона-Зигеля, эффект от заполнения пропусков минимален. Для более чувствительных моделей кривой, таких как бутстрэп, за счет заполнения пропусков удается достичь статистически значимого улучшения качества оценки срочной структуры процентных ставок. При этом данный результат не зависит от способа заполнения пропусков. И простой метод заполнения последним значением, и более сложный EM-алгоритм дают схожие результаты. Рекомендация исследования состоит том, что на практике при оценке кривой доходностей в условиях неполных данных необходимо либо использовать слабо чувствительные к данным параметрические модели кривой доходностей, либо заполнять пропуски в данных перед использованием чувствительных моделей

Proinflammatory cytokines VEGFA, IL-6, IL-8 as markers of hepatotoxicity after COVID-19

The mechanism of hepatocellular liver damage after COVID-19 is a multifactorial process. The most widely discussed causes are cytolytic liver damage due to the inflammatory response after COVID-19, drug-induced hepatotoxicity and direct cytotoxic effect of the virus. There are observations that SARSCoV-2 infection causes hepatitis B virus reactivation, but little has been described about the interaction between hepatitis C virus and SARS-CoV-2. The course of coronavirus infection is associated with marked expression of proinflammatory cytokines, participants in the multisystem inflammatory response, IL-1β, IL-6, IL-8, IL-18, MCP-1, TNFα, which contribute significantly to the observed early and late liver function impairment. The aim of the study was to evaluate the role of proinflammatory cytokines (VEGFA, IL-8, IL-6, MCP-1, TNFα, IL-18) as additional markers of hepatotoxicity after COVID-19. The study was performed between March and August 2022. Patients were divided into 2 groups: Group 1 – with increased aminotransferases against the background of treatment from COVID-19 and/or in the following 3-6 months after the disease without viral liver damage (n = 42), Group 2 – patients with co-infection (chronic viral hepatitis C (HCV) and COVID-19 (n = 26). The levels of cytokines – VEGF-A, IL-6, IL-8, MCP-1, IL-18, TNFα in blood serum were estimated by enzyme immunoassay method. Statistical analysis was performed using StatTech v. 3.1.4. The results of the study revealed a comparable increase in the level of transaminases and C-reactive protein in both groups, significantly different from the reference values. Direct correlations of moderate strength (linear Spearman correlation) were found between the following cytokines: TNFα-MCP-1 (R = 0.559; p = 0.001), TNFα-VEGFA (R = 0.400; p = 0.002), TNFα-IL-6 (R = 0.503; p = 0.001). We diagnosed a significant increase in serum VEGFA levels in group 1 patients (hepatotoxicity after COVID-19) (Me (Q0.25-Q0.75): 522 (250 to 1002), p = 0.001) and in group 2 patients (HCV + COVID-19) (Me 1196, Q0.25-Q0.75: (73 to 432). Similar trend with the level of IL-6, IL-8, exceeding the values of cytokines in healthy donors and significantly higher than in group 2 patients. Identified correlations between inflammatory cytokines prove unidirectional changes in the functioning of the regulatory network controlling immune virus-induced reactions

The problem of acute kidney injury in the neonatal period. Literary review

The article presents the results of a literature search for publications and other available sources reflecting the state of the problem of acute kidney injury (AKI) in newborns. The issues of epidemiology, risk factors, and diagnosis were discussed in detail. Special attention is paid to the long-term prognosis of kidney function.В статье представлены результаты литературного поиска публикаций и других доступных источников, отражающих состояние проблемы острого почечного повреждения (ОПП) у новорождённых. Подробно были рассмотрены вопросы эпидемиологии, факторов риска и диагностики. Отдельное внимание уделено изучению отдалённого прогноза функции поче

COVID-19 and community-acquired pneumonia in children:different diseases, different approaches to therapy

The article presents the results of a retrospective study of case histories of children with pulmonary disease in children with COVID-19 and community-acquired pneumonia (CAP). The study is based on the problem of interpreting the manifestations of COVID-19 in children and the adequacy of the appointment of antimicrobial therapy. Based on the results of the analysis, it was established that antibiotic therapy was inappropriately prescribed in a group of children with COVID-19.В статье представлены результаты ретроспективного исследования историй болезни детей с поражением легких при COVID-19 и внебольничной пневмонии (ВП). В основе исследования лежит проблема интерпретации проявлений COVID-19 у детей и адекватности назначения антимикробной терапии. По результатам проведенного анализа было установлено нерациональное назначение антибиотикотерапии в группе детей с COVID-19

Financial Aspects of Technological Concept for Energy Efficiency Enhancement during Stripper Wells Development in Tomsk Region

The issue of operating costs cutting in terms of falling oil prices on the world market actualizes the challenge to find technological solutions to reduce electricity consumption during well operation. This is especially important for stripped-wells of small deposits in Tomsk region. The correlation analysis between the cost of oil production, electricity, heat and fuel consumption during the extraction of one ton of oil allowed the authors to focus on the financial aspect of such technological solutions like periodic well operation in the Shinginskoye field as well as to recommend the application of this method at the other fields in Tomsk region

Application of the Institution of Exclusive Rights in the Field of Science

The problem of legal protection of scientific research results is of growing interest nowadays. However, none of the three hitherto existing rights (the right for trade secrets, patent and copyright) is able to fully take into account the characteristics of scientific activities. In Russia, the problem of legal protection of scientific research results has been developed actively since the 50-ies of the last century, in connection with the introduction of the system of state registration of scientific discoveries. A further concept allowed for not only the registration of discoveries, but also the entire array of scientific results. However, theoretical applicability of exclusive rights institutions in the sphere of science remained unstudied. The article describes a new system, which is not fixed in legislation and remains unnoticed by the vast majority of researchers. That is the institution of scientific and positional rights, focused on the recognition procedure of authorship, priority, and other characteristics of intellectual scientific results value. In case of complex intellectual results, comprising scientific results, the recognition of result-oriented exclusive rights proves to be unsustainable. This circumstance urges us to foreground the institution of scientific and positional exclusive rights. Its scope is budget science where non-fee published scientific results are generated. Any exclusive right to use open scientific results is out of the question. The sphere of open (budget) science is dominated by scientific and positional exclusive rights, sanctioned both by the state (S-sanctioned), the bodies of the scientific community (BSC-sanctioned) and scientific community (SC-sanctioned) rights

ПРОФИЛЬ ОБШИВКИ И ЦИКЛЫ ВИБРОНАГРУЖЕНИЯ ПОЛУВАГОНА

The design of the side walls of freight gondola cars, designed for the use of vibration loading technology assume their sheathing with sheet profiles. Earlier held survey of technical state of gondola cars with a body height of 2365 mm, delivered for unloading and cleaning of cargo residues using vibration equipment [3] revealed an increased damageability of elements of the side walls. About 90% of gondola cars had separations of siding sheets from the side wall pillars and cracks of up to 200 mm in the corners of middle and upper corrugations of the first and second panels. This led to the fact that a new edition of GOST 22235, in force since 2010, prohibits the delivery of cars with body height of 2365 mm for unloading using vibration technology. To increase the operational reliability of such complexes, different designs, models are offered, new calculations and experiments are conducted. The article presents the results of authors’ research, conducted primarily with simulation and hybrid modeling methods, its conclusions and options of alternative sheathing profiles, tested in Yekaterinburg, showing the possibility of using overhead vibration machines for unloading gondola-cars with a height of the body of 2365 mm and with account of permissible time of operation of the rolling stock.Конструкции боковых стен грузовых полувагонов, рассчитанных на использование технологий виброразгрузки, предполагают их обшивку листовыми профилями. Чтобы повысить эксплуатационную надежность таких комплексов, предлагаются разные конструктивные решения, модели, проводятся все новые расчеты и эксперименты. В числе прочих в статье представлены авторские исследования и прошедшие в Екатеринбурге проверку варианты альтернативных профилей обшивки, показавших возможность применения накладных вибромашин на разгрузке полувагонов с высотой кузова 2365 мм и с учетом предельно допустимого времени эксплуатации подвижного состава

Determination of ππ\pi\pi scattering lengths from measurement of π+π−\pi^+\pi^- atom lifetime

The DIRAC experiment at CERN has achieved a sizeable production of $\pi^+\pi^-$ atoms and has significantly improved the precision on its lifetime determination. From a sample of 21227 atomic pairs, a 4% measurement of the S-wave $\pi\pi$ scattering length difference $|a_0-a_2| = (.0.2533^{+0.0080}_{-0.0078}|_\mathrm{stat}.{}^{+0.0078}_{-0.0073}|_\mathrm{syst})M_{\pi^+}^{-1}$ has been attained, providing an important test of Chiral Perturbation Theory.Comment: 6 pages, 6 figure

Nonlinear excitation of kinetic Alfven waves and whistler waves by electron beam-driven Langmuir waves in the solar corona

© ESO 2003We study a new nonlinear excitation mechanism of kinetic Alfvén waves (KAWs) and whistler waves (Ws) by electron beam-driven Langmuir waves (Ls). The generation conditions for the parametric decay instability L W + KAW are determined and the growth rate is calculated. We show that the resonant pairs of KAWs and whistler waves are nonlinearly coupled to the pump Langmuir waves and their amplitudes undergo exponential growth from the thermal level. The perpendicular dispersion of KAWs strongly increases the coupling due to the nonlinear current parallel to the ambient magnetic field. Our study suggests that the nonlinear coupling of Langmuir wave energy into KAWs and whistlers can provide an efficient sink for weakly dispersive Langmuir waves excited by fast electron beams in the solar corona when the electron plasma frequency is lower than the electron gyrofrequency. This condition can be satisfied in the low-density magnetic filaments that are rooted in the depleted patches at the coronal base and extend to the high corona. At the same time, the Langmuir-driven KAWs and whistlers give rise to scattering and/or thin structures of radio emission penetrating through, or generated in these regions. Since the decay into sunward propagating KAWs is strongest, the nonlinearly driven KAWs can be easily distinguished from the waves generated at the coronal base and propagating away from the Sun. Our results may be used in the analysis of solar radio data and for remote probing of the coronal plasma, magnetic fields, and waves.Yu. Voitenko, M. Goossens, O. Sirenko and A. C.-L. Chia