Convert index trading to option strategies via LSTM architecture

AbstractIn the past, most strategies were mainly designed to focus on stocks or futures as the trading target. However, due to the enormous number of companies in the market, it is not easy to select a set of stocks or futures for investment. By investigating each company's financial situation and the trend of the overall financial market, people can invest precisely in the market and choose to go long or short. Moreover, how to determine the position size of the transaction is also a problematic issue. In the past, many money management theories were based on the Kelly criterion. And they put a certain percentage of their total funds into the market for trading. Nonetheless, three massive problems cannot be overcome. First, futures are leveraged transactions, and extra funds must be deposited as margin. It causes that the position size is hard to be estimated by the Kelly criterion. The second point is that the trading strategy is difficult to determine the winning rate in the financial market and cannot be brought into the Kelly criterion to calculate the optimal fraction. Last, the financial data are always massive. A big data technique should be applied to resolve this issue and enhance the performance of the framework to reveal knowledge in the financial data. Therefore, in this paper, a concept of converting the original futures trading strategy into options trading is proposed. An LSTM (long short-term memory)-based framework is proposed to predict the profit probability of the original futures strategy and convert the corresponding daily take-profit and stop-loss points according to the delta value of the options. Finally, the proposed framework brings the results into the Kelly criterion to get the optimal fraction of options trading. The final research results show that options trading is closer to the optimal fraction calculated by the Kelly criterion than futures trading. If the original futures trading strategy can profit, the benefits after converting to options trading can be further superior

On the Improvement of Wiener Attack on RSA with Small Private Exponent

RSA system is based on the hardness of the integer factorization problem (IFP). Given an RSA modulus N=pq, it is difficult to determine the prime factors p and q efficiently. One of the most famous short exponent attacks on RSA is the Wiener attack. In 1997, Verheul and van Tilborg use an exhaustive search to extend the boundary of the Wiener attack. Their result shows that the cost of exhaustive search is 2r+8 bits when extending the Weiner's boundary r bits. In this paper, we first reduce the cost of exhaustive search from 2r+8 bits to 2r+2 bits. Then, we propose a method named EPF. With EPF, the cost of exhaustive search is further reduced to 2r-6 bits when we extend Weiner's boundary r bits. It means that our result is 214 times faster than Verheul and van Tilborg's result. Besides, the security boundary is extended 7 bits

Asteroseismology and Interferometry

Asteroseismology provides us with a unique opportunity to improve our understanding of stellar structure and evolution. Recent developments, including the first systematic studies of solar-like pulsators, have boosted the impact of this field of research within Astrophysics and have led to a significant increase in the size of the research community. In the present paper we start by reviewing the basic observational and theoretical properties of classical and solar-like pulsators and present results from some of the most recent and outstanding studies of these stars. We centre our review on those classes of pulsators for which interferometric studies are expected to provide a significant input. We discuss current limitations to asteroseismic studies, including difficulties in mode identification and in the accurate determination of global parameters of pulsating stars, and, after a brief review of those aspects of interferometry that are most relevant in this context, anticipate how interferometric observations may contribute to overcome these limitations. Moreover, we present results of recent pilot studies of pulsating stars involving both asteroseismic and interferometric constraints and look into the future, summarizing ongoing efforts concerning the development of future instruments and satellite missions which are expected to have an impact in this field of research.Comment: Version as published in The Astronomy and Astrophysics Review, Volume 14, Issue 3-4, pp. 217-36

Host hindrance to HIV-1 replication in monocytes and macrophages

Monocytes and macrophages are targets of HIV-1 infection and play critical roles in multiple aspects of viral pathogenesis. HIV-1 can replicate in blood monocytes, although only a minor proportion of circulating monocytes harbor viral DNA. Resident macrophages in tissues can be infected and function as viral reservoirs. However, their susceptibility to infection, and their capacity to actively replicate the virus, varies greatly depending on the tissue localization and cytokine environment. The susceptibility of monocytes to HIV-1 infection in vitro depends on their differentiation status. Monocytes are refractory to infection and become permissive upon differentiation into macrophages. In addition, the capacity of monocyte-derived macrophages to sustain viral replication varies between individuals. Host determinants regulate HIV-1 replication in monocytes and macrophages, limiting several steps of the viral life-cycle, from viral entry to virus release. Some host factors responsible for HIV-1 restriction are shared with T lymphocytes, but several anti-viral mechanisms are specific to either monocytes or macrophages. Whilst a number of these mechanisms have been identified in monocytes or in monocyte-derived macrophages in vitro, some of them have also been implicated in the regulation of HIV-1 infection in vivo, in particular in the brain and the lung where macrophages are the main cell type infected by HIV-1. This review focuses on cellular factors that have been reported to interfere with HIV-1 infection in monocytes and macrophages, and examines the evidences supporting their role in vivo, highlighting unique aspects of HIV-1 restriction in these two cell types

Precision measurement of CP\it{CP} violation in the penguin-mediated decay Bs0→ϕϕB_s^{0}\rightarrow\phi\phi

A flavor-tagged time-dependent angular analysis of the decay $B_s^{0}\rightarrow\phi\phi$ is performed using $pp$ collision data collected by the LHCb experiment at % at $\sqrt{s}=13$ TeV, the center-of-mass energy of 13 TeV, corresponding to an integrated luminosity of 6 fb^{-1}. The $\it{CP}$-violating phase and direct $\it{CP}$-violation parameter are measured to be $\phi_{s\bar{s}s} = -0.042 \pm 0.075 \pm 0.009$ rad and $|\lambda|=1.004\pm 0.030 \pm 0.009$, respectively, assuming the same values for all polarization states of the $\phi\phi$ system. In these results, the first uncertainties are statistical and the second systematic. These parameters are also determined separately for each polarization state, showing no evidence for polarization dependence. The results are combined with previous LHCb measurements using $pp$ collisions at center-of-mass energies of 7 and 8 TeV, yielding $\phi_{s\bar{s}s} = -0.074 \pm 0.069$ rad and $|lambda|=1.009 \pm 0.030$. This is the most precise study of time-dependent $\it{CP}$ violation in a penguin-dominated $B$ meson decay. The results are consistent with $\it{CP}$ symmetry and with the Standard Model predictions.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://cern.ch/lhcbproject/Publications/p/LHCb-PAPER-2023-001.html (LHCb public pages

Pan-cancer analysis of whole genomes

Cancer is driven by genetic change, and the advent of massively parallel sequencing has enabled systematic documentation of this variation at the whole-genome scale(1-3). Here we report the integrative analysis of 2,658 whole-cancer genomes and their matching normal tissues across 38 tumour types from the Pan-Cancer Analysis of Whole Genomes (PCAWG) Consortium of the International Cancer Genome Consortium (ICGC) and The Cancer Genome Atlas (TCGA). We describe the generation of the PCAWG resource, facilitated by international data sharing using compute clouds. On average, cancer genomes contained 4-5 driver mutations when combining coding and non-coding genomic elements; however, in around 5% of cases no drivers were identified, suggesting that cancer driver discovery is not yet complete. Chromothripsis, in which many clustered structural variants arise in a single catastrophic event, is frequently an early event in tumour evolution; in acral melanoma, for example, these events precede most somatic point mutations and affect several cancer-associated genes simultaneously. Cancers with abnormal telomere maintenance often originate from tissues with low replicative activity and show several mechanisms of preventing telomere attrition to critical levels. Common and rare germline variants affect patterns of somatic mutation, including point mutations, structural variants and somatic retrotransposition. A collection of papers from the PCAWG Consortium describes non-coding mutations that drive cancer beyond those in the TERT promoter(4); identifies new signatures of mutational processes that cause base substitutions, small insertions and deletions and structural variation(5,6); analyses timings and patterns of tumour evolution(7); describes the diverse transcriptional consequences of somatic mutation on splicing, expression levels, fusion genes and promoter activity(8,9); and evaluates a range of more-specialized features of cancer genomes(8,10-18).Peer reviewe

First observation of a doubly charged tetraquark and its neutral partner

A combined amplitude analysis is performed for the decays $B^0 \rightarrow \overline{D}^0 D^+_s\pi^-$ and $B^+\rightarrow D^- D^+_s\pi^+$, which are related by isospin symmetry. The analysis is based on data collected by the LHCb detector in proton-proton collisions at center-of-mass energies of 7, 8 and 13$\,\rm{TeV}$. The full data sample corresponds to an integrated luminosity of 9$\,\rm{fb^{-1}}$. Two new resonant states with masses of $2.908\pm0.011\pm0.020\,\rm{GeV}$ and widths of $0.136\pm0.023\pm0.011\,\rm{GeV}$ are observed, which decay to $D^+_s\pi^+$ and $D^+_s\pi^-$ respectively. The former state indicates the first observation of a doubly charged open-charm tetraquark state with minimal quark content $[c\bar{s}u\bar{d}]$, and the latter state is a neutral tetraquark composed of $[c\bar{s}\bar{u}d]$ quarks. Both states are found to have spin-parity $0^+$, and their resonant parameters are consistent with each other, which suggests that they belong to an isospin triplet.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://cern.ch/lhcbproject/Publications/p/LHCb-PAPER-2022-026.html (LHCb public pages

Mortality from gastrointestinal congenital anomalies at 264 hospitals in 74 low-income, middle-income, and high-income countries: a multicentre, international, prospective cohort study

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 middle-income 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 low-income 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 low-income, 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

First measurement of coherent ρ0 photoproduction in ultra-peripheral Xe–Xe collisions at √sNN = 5.44 TeV

The first measurement of the coherent photoproduction of ρ0 vector mesons in ultra-peripheral Xe–Xe collisions at sNN=5.44 TeV is presented. This result, together with previous HERA γp data and γ–Pb measurements from ALICE, describes the atomic number (A) dependence of this process, which is particularly sensitive to nuclear shadowing effects and to the approach to the black-disc limit of QCD at a semi-hard scale. The cross section of the Xe+Xe→ρ0+Xe+Xe process, measured at midrapidity through the decay channel ρ0→π+π−, is found to be dσ/dy=131.5±5.6(stat.)−16.9+17.5(syst.) mb. The ratio of the continuum to resonant contributions for the production of pion pairs is also measured. In addition, the fraction of events accompanied by electromagnetic dissociation of either one or both colliding nuclei is reported. The dependence on A of cross section for the coherent ρ0 photoproduction at a centre-of-mass energy per nucleon of the γA system of WγA,n=65 GeV is found to be consistent with a power-law behaviour σ(γA→ρ0A)∝Aα with a slope α=0.96±0.02(syst.). This slope signals important shadowing effects, but it is still far from the behaviour expected in the black-disc limit.publishedVersio

Observation of a resonant structure near the Ds+Ds−D_s^+ D_s^- threshold in the B+→Ds+Ds−K+B^+\to D_s^+ D_s^- K^+ decay

An amplitude analysis of the $B^+\to D_s^+ D_s^- K^+$ decay is carried out to study for the first time its intermediate resonant contributions, using proton-proton collision data collected with the LHCb detector at centre-of-mass energies of 7, 8 and 13 TeV. A near-threshold peaking structure, referred to as $X(3960)$, is observed in the $D_s^+ D_s^-$ invariant-mass spectrum with significance greater than 12 standard deviations. The mass, width and the quantum numbers of the structure are measured to be $3956\pm5\pm10$ MeV, $43\pm13\pm8$ MeV and $J^{PC}=0^{++}$, respectively, where the first uncertainties are statistical and the second systematic. The properties of the new structure are consistent with recent theoretical predictions for a state composed of $c\bar{c}s\bar{s}$ quarks. Evidence for an additional structure is found around 4140 MeV in the $D_s^+ D_s^-$ invariant mass, which might be caused either by a new resonance with the $0^{++}$ assignment or by a $J/\psi \phi\leftrightarrow D_s^+ D_s^-$ coupled-channel effect.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://cern.ch/lhcbproject/Publications/p/LHCb-PAPER-2022-018.html (LHCb public pages