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

Molecular modelling of the GIR1 branching ribozyme gives new insight into evolution of structurally related ribozymes

Twin-ribozyme introns contain a branching ribozyme (GIR1) followed by a homing endonuclease (HE) encoding sequence embedded in a peripheral domain of a group I splicing ribozyme (GIR2). GIR1 catalyses the formation of a lariat with 3 nt in the loop, which caps the HE mRNA. GIR1 is structurally related to group I ribozymes raising the question about how two closely related ribozymes can carry out very different reactions. Modelling of GIR1 based on new biochemical and mutational data shows an extended substrate domain containing a GoU pair distinct from the nucleophilic residue that dock onto a catalytic core showing a different topology from that of group I ribozymes. The differences include a core J8/7 region that has been reduced and is complemented by residues from the pre-lariat fold. These findings provide the basis for an evolutionary mechanism that accounts for the change from group I splicing ribozyme to the branching GIR1 architecture. Such an evolutionary mechanism can be applied to other large RNAs such as the ribonuclease P

Evidence of Increased Muscle Atrophy and Impaired Quality of Life Parameters in Patients with Uremic Restless Legs Syndrome

BACKGROUND: Restless Legs Syndrome is a very common disorder in hemodialysis patients. Restless Legs Syndrome negatively affects quality of life; however it is not clear whether this is due to mental or physical parameters and whether an association exists between the syndrome and parameters affecting survival. METHOD#ENTITYSTARTX003BF;LOGY/PRINCIPAL FINDINGS: Using the Restless Legs Syndrome criteria and the presence of Periodic Limb Movements in Sleep (PLMS/h >15), 70 clinically stable hemodialysis patients were assessed and divided into the RLS (n = 30) and non-RLS (n = 40) groups. Physical performance was evaluated by a battery of tests: body composition by dual energy X ray absorptiometry, muscle size and composition by computer tomography, while depression symptoms, perception of sleep quality and quality of life were assessed through validated questionnaires. In this cross sectional analysis, the RLS group showed evidence of thigh muscle atrophy compared to the non-RLS group. Sleep quality and depression score were found to be significantly impaired in the RLS group. The mental component of the quality of life questionnaire appeared significantly diminished in the RLS group, reducing thus the overall quality of life score. In contrast, there were no significant differences between groups in any of the physical performance tests, body and muscle composition. CONCLUSIONS: The low level of quality of life reported by the HD patients with Restless Legs Syndrome seems to be due mainly to mental health and sleep related aspects. Increased evidence of muscle atrophy is also observed in the RLS group and possibly can be attributed to the lack of restorative sleep

The influence of cardiovascular morbidity on the prognosis in prostate cancer. Experience from a 12-year nationwide Danish population-based cohort study

<p>Abstract</p> <p>Background</p> <p>To determine the impact of preexisting ischemic heart disease (IHD) and stroke on overall survival in prostate cancer patients.</p> <p>Methods</p> <p>We conducted a cohort study of patients with incident prostate cancer registered in the Danish Cancer Registry from 1997 through 2008. We identified patients diagnosed with IHD or stroke prior to the date of prostate cancer diagnosis in the Danish National Patient Registry. We constructed Kaplan-Meier curves to analyze time to death and Cox regression was used to estimate hazard ratios (HRs) to compare mortality rates by preexisting IHD or stroke status, adjusting for age, stage, comorbidity, and calendar period.</p> <p>Results</p> <p>Of 30,721 prostate cancer patients, 4,276 (14%) had preexisting IHD and 1,331 (4%) preexisting stroke. Crude 1- and 5-year survival rates were 85% and 44% in men without preexisting IHD or stroke, 81% and 36% in men with preexisting IHD, and 78% and 27% in men with preexisting stroke. Adjusted HRs were 1.05 (95% CI 1.00-1.10) for patients with IHD and 1.20 (95% CI 1.12-1.30) for patients with stroke compared with patients without preexisting IHD or stroke.</p> <p>Conclusions</p> <p>Preexisting IHD had minimal impact on mortality in prostate cancer patients, whereas overall mortality was 20% higher in prostate cancer patients with preexisting stroke compared to those without IHD or stroke. These results highlight the importance of differentiating between various comorbidities.</p

Separate Origins of Group I Introns in Two Mitochondrial Genes of the Katablepharid Leucocryptos marina

Mitochondria are descendants of the endosymbiotic α-proteobacterium most likely engulfed by the ancestral eukaryotic cells, and the proto-mitochondrial genome should have been severely streamlined in terms of both genome size and gene repertoire. In addition, mitochondrial (mt) sequence data indicated that frequent intron gain/loss events contributed to shaping the modern mt genome organizations, resulting in the homologous introns being shared between two distantly related mt genomes. Unfortunately, the bulk of mt sequence data currently available are of phylogenetically restricted lineages, i.e., metazoans, fungi, and land plants, and are insufficient to elucidate the entire picture of intron evolution in mt genomes. In this work, we sequenced a 12 kbp-fragment of the mt genome of the katablepharid Leucocryptos marina. Among nine protein-coding genes included in the mt genome fragment, the genes encoding cytochrome b and cytochrome c oxidase subunit I (cob and cox1) were interrupted by group I introns. We further identified that the cob and cox1 introns host open reading frames for homing endonucleases (HEs) belonging to distantly related superfamilies. Phylogenetic analyses recovered an affinity between the HE in the Leucocryptos cob intron and two green algal HEs, and that between the HE in the Leucocryptos cox1 intron and a fungal HE, suggesting that the Leucocryptos cob and cox1 introns possess distinct evolutionary origins. Although the current intron (and intronic HE) data are insufficient to infer how the homologous introns were distributed to distantly related mt genomes, the results presented here successfully expanded the evolutionary dynamism of group I introns in mt genomes

Circumstellar disks and planets. Science cases for next-generation optical/infrared long-baseline interferometers

We present a review of the interplay between the evolution of circumstellar disks and the formation of planets, both from the perspective of theoretical models and dedicated observations. Based on this, we identify and discuss fundamental questions concerning the formation and evolution of circumstellar disks and planets which can be addressed in the near future with optical and infrared long-baseline interferometers. Furthermore, the importance of complementary observations with long-baseline (sub)millimeter interferometers and high-sensitivity infrared observatories is outlined.Comment: 83 pages; Accepted for publication in "Astronomy and Astrophysics Review"; The final publication is available at http://www.springerlink.co

Temporal trends in hospitalisation for stroke recurrence following incident hospitalisation for stroke in Scotland

&lt;p&gt;Background: There are few studies that have investigated temporal trends in risk of recurrent stroke. The aim of this study was to examine temporal trends in hospitalisation for stroke recurrence following incident hospitalisation for stroke in Scotland during 1986 to 2001.&lt;/p&gt; &lt;p&gt;Methods: Unadjusted survival analysis of time to first event, hospitalisation for recurrent stroke or death, was undertaken using the cumulative incidence method which takes into account competing risks. Regression on cumulative incidence functions was used to model the temporal trends of first recurrent stroke with adjustment for age, sex, socioeconomic status and comorbidity. Complete five year follow-up was obtained for all patients. Restricted cubic splines were used to determine the best fitting relationship between the survival events and study year.&lt;/p&gt; &lt;p&gt;Results: There were 128,511 incident hospitalisations for stroke in Scotland between 1986 and 2001, 57,351 (45%) in men. A total of 13,835 (10.8%) patients had a recurrent hospitalisation for stroke within five years of their incident hospitalisation. Another 74,220 (57.8%) patients died within five years of their incident hospitalisation without first having a recurrent hospitalisation for stroke. Comparing incident stroke hospitalisations in 2001 with 1986, the adjusted risk of recurrent stroke hospitalisation decreased by 27%, HR = 0.73 95% CI (0.67 to 0.78), and the adjusted risk of death being the first event decreased by 28%, HR = 0.72 (0.70 to 0.75).&lt;/p&gt; &lt;p&gt;Conclusions: Over the 15-year period approximately 1 in 10 patients with an incident hospitalisation for stroke in Scotland went on to have a hospitalisation for recurrent stroke within five years. Approximately 6 in 10 patients died within five years without first having a recurrent stroke hospitalisation. Using hospitalisation and death data from an entire country over a 20-year period we have been able to demonstrate not only an improvement in survival following an incident stroke, but also a reduction in the risk of a recurrent event.&lt;/p&gt

Antihypertensive, antidyslipidemic and endothelial modulating activities of Orchis mascula

The objective of this study was to investigate the possible mode(s) of action for the medicinal use of Orchis mascula (OM) (family Orchidaceae) in hypertension and dyslipidemia. In spontaneously hypertensive rats (SHRs), OM significantly (

TRY plant trait database - enhanced coverage and open access

Plant traits-the morphological, anatomical, physiological, biochemical and phenological characteristics of plants-determine how plants respond to environmental factors, affect other trophic levels, and influence ecosystem properties and their benefits and detriments to people. Plant trait data thus represent the basis for a vast area of research spanning from evolutionary biology, community and functional ecology, to biodiversity conservation, ecosystem and landscape management, restoration, biogeography and earth system modelling. Since its foundation in 2007, the TRY database of plant traits has grown continuously. It now provides unprecedented data coverage under an open access data policy and is the main plant trait database used by the research community worldwide. Increasingly, the TRY database also supports new frontiers of trait-based plant research, including the identification of data gaps and the subsequent mobilization or measurement of new data. To support this development, in this article we evaluate the extent of the trait data compiled in TRY and analyse emerging patterns of data coverage and representativeness. Best species coverage is achieved for categorical traits-almost complete coverage for 'plant growth form'. However, most traits relevant for ecology and vegetation modelling are characterized by continuous intraspecific variation and trait-environmental relationships. These traits have to be measured on individual plants in their respective environment. Despite unprecedented data coverage, we observe a humbling lack of completeness and representativeness of these continuous traits in many aspects. We, therefore, conclude that reducing data gaps and biases in the TRY database remains a key challenge and requires a coordinated approach to data mobilization and trait measurements. This can only be achieved in collaboration with other initiatives

Intradialytic versus home based exercise training in hemodialysis patients: a randomised controlled trial

Background: Exercise training in hemodialysis patients improves fitness, physical function, quality of life and markers of cardiovascular disease such as arterial stiffness. The majority of trials investigating this area have used supervised exercise training during dialysis (intradialytic), which may not be feasible for some renal units. The aim of this trial is to compare the effects of supervised intradialytic with unsupervised home-based exercise training on physical function and arterial stiffness