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

Dual-Layer Spectral CT as Innovative Imaging Guidance in Lung Biopsies: Could Color-Coded Z-Effective Images Allow More Diagnostic Samplings and Biomarkers Information?

The aim of the study was to try to obtain more information on diagnostic samplings and biomarkers using dual-layer spectral CT in lung biopsies. Lung biopsies were performed by merging images obtained with CBCT with those from spectral CT to use them as functional guidance, experimenting with double sampling to determine the difference between the area with a higher Z-effective number and that with a lower Z-effective number. Ten patients with large lung lesions on spectral CT were selected and underwent percutaneous transthoracic lung mass biopsy. Technical success was calculated. The percentage of neoplastic, inflammatory, fibrotic, necrotic cells, or non-neoplastic lung parenchyma was reported. The possibility of carrying out immunohistochemical or molecular biology investigations was analyzed. All lesions were results malignant in 10/10 samples in the Zmax areas; in the Zmin areas, malignant cells were found in 7/10 samples. Technical success was achieved in 100% of cases for Zmax sampling and in 70% for Zmin sampling (p-value: 0.2105). The biomolecular profile was detected in 9/10 (90%) cases in Zmax areas, while in 4/10 (40%) cases in Zmin areas (p-value: 0.0573). The advantage of Z-effective imaging would be to identify a region of the lesion that is highly vascularized and probably richer in neoplastic cells, thus decreasing the risk of obtaining a non-diagnostic biopsy sample

Mortality and pulmonary complications in patients undergoing surgery with perioperative sars-cov-2 infection: An international cohort study

Background The impact of severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) on postoperative recovery needs to be understood to inform clinical decision making during and after the COVID-19 pandemic. This study reports 30-day mortality and pulmonary complication rates in patients with perioperative SARS-CoV-2 infection. Methods This international, multicentre, cohort study at 235 hospitals in 24 countries included all patients undergoing surgery who had SARS-CoV-2 infection confirmed within 7 days before or 30 days after surgery. The primary outcome measure was 30-day postoperative mortality and was assessed in all enrolled patients. The main secondary outcome measure was pulmonary complications, defined as pneumonia, acute respiratory distress syndrome, or unexpected postoperative ventilation. Findings This analysis includes 1128 patients who had surgery between Jan 1 and March 31, 2020, of whom 835 (740%) had emergency surgery and 280 (248%) had elective surgery. SARS-CoV-2 infection was confirmed preoperatively in 294 (261%) patients. 30-day mortality was 238% (268 of 1128). Pulmonary complications occurred in 577 (512%) of 1128 patients; 30-day mortality in these patients was 380% (219 of 577), accounting for 817% (219 of 268) of all deaths. In adjusted analyses, 30-day mortality was associated with male sex (odds ratio 175 [95% CI 128-240], p<00001), age 70 years or older versus younger than 70 years (230 [165-322], p<00001), American Society of Anesthesiologists grades 3-5 versus grades 1-2 (235 [157-353], p<00001), malignant versus benign or obstetric diagnosis (155 [101-239], p=0046), emergency versus elective surgery (167 [106-263], p=0026), and major versus minor surgery (152 [101-231], p=0047). Interpretation Postoperative pulmonary complications occur in half of patients with perioperative SARS-CoV-2 infection and are associated with high mortality. Thresholds for surgery during the COVID-19 pandemic should be higher than during normal practice, particularly in men aged 70 years and older. Consideration should be given for postponing non-urgent procedures and promoting non-operative treatment to delay or avoid the need for surgery. Funding National Institute for Health Research (NIHR), Association of Coloproctology of Great Britain and Ireland, Bowel and Cancer Research, Bowel Disease Research Foundation, Association of Upper Gastrointestinal Surgeons, British Association of Surgical Oncology, British Gynaecological Cancer Society, European Society of Coloproctology, NIHR Academy, Sarcoma UK, Vascular Society for Great Britain and Ireland, and Yorkshire Cancer Research

Mortality and pulmonary complications in patients undergoing surgery with perioperative SARS-CoV-2 infection: an international cohort study

Background: The impact of severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) on postoperative recovery needs to be understood to inform clinical decision making during and after the COVID-19 pandemic. This study reports 30-day mortality and pulmonary complication rates in patients with perioperative SARS-CoV-2 infection. Methods: This international, multicentre, cohort study at 235 hospitals in 24 countries included all patients undergoing surgery who had SARS-CoV-2 infection confirmed within 7 days before or 30 days after surgery. The primary outcome measure was 30-day postoperative mortality and was assessed in all enrolled patients. The main secondary outcome measure was pulmonary complications, defined as pneumonia, acute respiratory distress syndrome, or unexpected postoperative ventilation. Findings: This analysis includes 1128 patients who had surgery between Jan 1 and March 31, 2020, of whom 835 (74·0%) had emergency surgery and 280 (24·8%) had elective surgery. SARS-CoV-2 infection was confirmed preoperatively in 294 (26·1%) patients. 30-day mortality was 23·8% (268 of 1128). Pulmonary complications occurred in 577 (51·2%) of 1128 patients; 30-day mortality in these patients was 38·0% (219 of 577), accounting for 81·7% (219 of 268) of all deaths. In adjusted analyses, 30-day mortality was associated with male sex (odds ratio 1·75 [95% CI 1·28–2·40], p\textless0·0001), age 70 years or older versus younger than 70 years (2·30 [1·65–3·22], p\textless0·0001), American Society of Anesthesiologists grades 3–5 versus grades 1–2 (2·35 [1·57–3·53], p\textless0·0001), malignant versus benign or obstetric diagnosis (1·55 [1·01–2·39], p=0·046), emergency versus elective surgery (1·67 [1·06–2·63], p=0·026), and major versus minor surgery (1·52 [1·01–2·31], p=0·047). Interpretation: Postoperative pulmonary complications occur in half of patients with perioperative SARS-CoV-2 infection and are associated with high mortality. Thresholds for surgery during the COVID-19 pandemic should be higher than during normal practice, particularly in men aged 70 years and older. Consideration should be given for postponing non-urgent procedures and promoting non-operative treatment to delay or avoid the need for surgery. Funding: National Institute for Health Research (NIHR), Association of Coloproctology of Great Britain and Ireland, Bowel and Cancer Research, Bowel Disease Research Foundation, Association of Upper Gastrointestinal Surgeons, British Association of Surgical Oncology, British Gynaecological Cancer Society, European Society of Coloproctology, NIHR Academy, Sarcoma UK, Vascular Society for Great Britain and Ireland, and Yorkshire Cancer Research

Utilizzo delle suturatici meccaniche vascolari in 650 resezioni polmonari consecutive.

Risultati sulla efficacia dell'utilizzo delle suturatici meccaniche vascolari in 650 resezioni polmonari consecutiv

Taxol semisynthesis: A highly enantio- and diastereoselective synthesis of the side chain and a new method for ester formation at C-13 using thioesters

A very simple, new, and straightforward approach to the Paclitaxel (Taxol) and Docetaxel (Taxotere) side chains has been developed using the imine addition reaction of thioester-derived boron enolates bearing chiral ligands. The addition reaction was studied extensively, using a combination of different thioesters (ROCH2COSPh, ROCH(2)60St-Bu), oxygen protecting groups (R = Bn, TBDMS, COPh, EE, TMS), chiral boron ligands [derived from both (-) and (+)-menthone], imines (PhCH=NSiMe3, PhCH=NCOPh), and in the presence or in the absence of additional Lewis acids (BF3-OEt2, Et2AlCl, TiCl4). The side chain was assembled in a few steps with the correct relative (syn) and absolute stereochemistry (2R,3S). The stereochemical outcome of the boron-mediated reaction was rationalized using chair vs boat transition state structures. A new direct route for attachment of the side chains to the baccatin nucleus using thioester chemistry has also been developed. By treatment of a mixture of a thioester (8, 12, or 17) and protected baccatin III (2b, 2c) with LHMDS, the 13-O acylated compounds were obtained in high yield (up to 90%). Hydrolysis of 18b gave Paclitaxel (1a) in 80% yield