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

A qualitative study of referral to community mental health teams in the UK: exploring the rhetoric and the reality

<p>Abstract</p> <p>Background</p> <p>Generic community mental health teams (CMHTs) currently deliver specialist mental health care in England. Policy dictates that CMHTs focus on those patients with greatest need but it has proved difficult to establish consistent referral criteria. The aim of this study was to explore the referral process from the perspectives of both the referrers and the CMHTs.</p> <p>Methods</p> <p>Qualitative study nested in a randomised controlled trial. Interviews with general practitioner (GP) referrers, CMHT Consultant Psychiatrists and team leaders. Taping of referral allocation meetings.</p> <p>Results</p> <p>There was a superficial agreement between the referrers and the referred to on the function of the CMHT, but how this was operationalised in practice resulted in a lack of clarity over the referral process, with tensions apparent between the views of the referrers (GPs) and the CMHT team leaders, and between team members. The process of decision-making within the team was inconsistent with little discussion of, or reflection on, the needs of the referred patient.</p> <p>Conclusion</p> <p>CMHTs describe struggling to deal with GPs who are perceived as having variable expertise in managing patients with mental health problems. CMHT rhetoric about defined referral criteria is interpreted flexibly with CMHT managers and Psychiatrists concentrating on their own capacity, roles and responsibilities with limited consideration of the primary care perspective or the needs of the referred patient.</p> <p>Trial Registration number</p> <p>ISRCTN86197914</p

Imaging in breast cancer: Diffuse optics in breast cancer: detecting tumors in pre-menopausal women and monitoring neoadjuvant chemotherapy

Diffuse optical spectroscopy (DOS) and diffuse optical imaging (DOI) are non-invasive diagnostic techniques that employ near-infrared (NIR) light to quantitatively characterize the optical properties of centimeter-thick, multiple-scattering tissues. Although NIR was first applied to breast diaphanography more than 70 years ago, quantitative optical methods employing time- or frequency-domain 'photon migration' technologies have only recently been used for breast imaging. Because their performance is not limited by mammographic density, optical methods can provide new insight regarding tissue functional changes associated with the appearance, progression, and treatment of breast cancer, particularly for younger women and high-risk subjects who may not benefit from conventional imaging methods. This paper reviews the principles of diffuse optics and describes the development of broadband DOS for quantitatively measuring the optical and physiological properties of thick tissues. Clinical results are shown highlighting the sensitivity of diffuse optics to malignant breast tumors in 12 pre-menopausal subjects ranging in age from 30 to 39 years and a patient undergoing neoadjuvant chemotherapy for locally advanced breast cancer. Significant contrast was observed between normal and tumor regions of tissue for deoxy-hemoglobin (p = 0.005), oxy-hemoglobin (p = 0.002), water (p = 0.014), and lipids (p = 0.0003). Tissue hemoglobin saturation was not found to be a reliable parameter for distinguishing between tumor and normal tissues. Optical data were converted into a tissue optical index that decreased 50% within 1 week in response to neoadjuvant chemotherapy. These results suggest a potential role for diffuse optics as a bedside monitoring tool that could aid the development of new strategies for individualized patient care

Spores, sporodochia and fomites in onychomycosis.

Onychomycosis is a frequent infection. Contagion rarely depends on direct contamination, but rather on environmental propagule dispersion including the intervention of fomites. The potential release of fungal cells in the environment from the affected nails has not been thoroughly studied. Observations made by histomycology suggest that arthroconidia and chlamydoconidia issued from invading fungi can be involved. In addition, the sporodochium, which is an exophytic fungal ball, may be attached underneath the distal free edge of some onychomycoses. It might represent an important source of fungal propagules in patients with poor nail trimming