Towards Extracting Causal Graph Structures from Trade Data and Smart Financial Portfolio Risk Management

Risk managers of asset management companies monitor portfolio risk metrics such as the Value at Risk in order to analyze and to communicate the risks timely to portfolio managers, and to ensure regulatory compliance. They must investigate the possible causes if a portfolio risk significantly increases or breaches a regulatory limit. However, monitoring can quickly become overwhelming, time and labor-intensive as each risk manager has to deal with over a hundred portfolios, numerous daily market data, and hundreds of risk factors of the supervised portfolios and of their securities. Particularly, understanding the interrelations between incidents in different portfolios beyond high level indicators is important. However, analyzing these interrelations manually is one of the most difficult tasks. In this paper, we describe and demonstrate how automatically generating causal graphs can address the capacity problem of practitioners in risk management, who are facing more and more capital markets based risk data daily on the portfolio level alone. Based on a proof of concept implementation, we compare a pairwise causal-inference-based approach with a clustering-based construction approach. We discuss the advantages and disadvantages of both approaches, both computationally and based on the resulting structure. Based on our initial findings, we outline further challenges and research topics

To Merge or not to Merge : Five Essays analyzing Value Creation in Mergers and Acquisitions

The dissertation analyzes in five chapters, each being a working paper, phenomena of mergers & acquisitions (M&A). The first essay analyzes the influence of advising investment banks’ expertise, particularly in the targets’ industries, on the M&A performance of the acquirer in acquisition sequences. The second essay investigates the formation of acquisition sequences and banks’ accumulation of expertise. The third essay introduces a new three-step Heckit estimator for panel data with fixed effects. The fourth essay analyzes tax induced debt shifting after M&As between the new subsidiary and the parent company. The fifth essay examines taxes’ influence on the post-merger capital structure convergence of the new subsidiary. The essays introduce econometrics methods that are new to the corporate finance literature, often taken from different fields like labor economics and the theoretical econometrics literature

Tackling soil degradation and environmental changes in Lake Manyara Basin, Tanzania to support sustainable landscape/ecosystem management.

This research article was published by EGU General Assembly Conference Abstracts in 2018The Lake Manyara Basin (LMB), which encompasses Lake Manyara National Park a world ranking World Biosphere Reserve, is of great ecological and socio-economic value because it hosts a small-holder rain fed and extensive irrigation agriculture, grazing grounds for pastoralists, terrestrial and aquatic habitat for wildlife and tourism business contributing to poverty alleviation. Despite these multiple ecosystem services that support the local communities, the LMB is threatened by; (a) siltation from eroded soil fed from the wider catchment and rift escarpment of the basin and (b) declining water levels due to water capture by agriculture and possibly climate change. These threats to the ecosystem and its services are augmented by increasing human population, pollution by agricultural pesticides, poaching, human encroachment and infrastructure development, and illegal fisheries. Despite these challenges, here is a dearth of information on erosion hotspots and to date soil erosion and siltation problems in LMB have been interpreted largely in qualitative terms, and no coherent interpretative framework of these records exists. Despite concerns that modern sediment fluxes to the Lake may exceed long-term fluxes, little is known about erosion sources, how erosion rates and processes vary across the landscape and how erosion rates are influenced by the strong climate gradients in the basin. This contribution describes a soil erosion and sediment management project that aims to deliver a demonstration dataset generated from inter-disciplinary sediment-source tracing technologies and approaches to assess erosion hotspots, processes and spatial patterns of erosion in the area. The work focuses on a sub basin, the Monduli Sub catchment, located within the greater LMB. This is part of efforts to establish an understanding of soil erosion and landscape degradation in the basin as a pathway for generating and developing knowledge, building capacity to assist conservationists, farmers and pastoralists, agro-entrepreneurs, and their support agents to address the problems while feeding the information into the national development policies in Tanzania and the entire East African region

Incommensurate atomic and magnetic modulations in the spin-frustrated β−NaMnO2β-NaMnO_2 triangular lattice

The layered $β-NaMnO_2$, a promising Na-ion energy-storage material, has been investigated for its triangular lattice capability to promote complex magnetic configurations that may release symmetry restrictions for the coexistence of ferroelectric and magnetic orders. The complexity of the neutron powder diffraction patterns underlines that the routinely adopted commensurate structural models are inadequate. Instead, a single-phase superspace symmetry description is necessary, demonstrating that the material crystallizes in a compositionally modulated q = (0.077(1), 0, 0) structure. Here $Mn^{3+}$ Jahn-Teller distorted $MnO_6$ octahedra form corrugated layer stacking sequences of the $β-NaMnO_2$ type, which are interrupted by flat sheets of the α-like oxygen topology. Spontaneous long-range collinear antiferromagnetic order, defined by the propagation vector $k = (_{1/2,1/2,1/2})$, appears below $T_{N1} = 200 K$. Moreover, a second transition into a spatially modulated properscrew magnetic state (k ± q) is established at $T_{N2} = 95 K$, with an antiferromagnetic order parameter resembling that of a two-dimensional (2D) system. The evolution of $^{23}Na$ NMR spin-lattice relaxation identifies a magnetically inhomogeneous state in the intermediate $T$ region $(T_{N2} <T <T_{N1})$, while its strong suppression below $T_{N2}$ indicates that a spin gap opens in the excitation spectrum. High-resolution neutron inelastic scattering confirms that the magnetic dynamics are indeed gapped (Δ∼5 meV) in the low-temperature magnetic phase, while simulations on the basis of the single-mode approximation suggest that Mn spins residing on adjacent antiferromagnetic chains, establish sizable 2D correlations. Our analysis points out that novel structural degrees of freedom promote cooperative magnetism and emerging dielectric properties in this nonperovskite type of manganite

Permanent 125I-seed prostate brachytherapy: early prostate specific antigen value as a predictor of PSA bounce occurrence

<p>Abstract</p> <p>Purpose</p> <p>To evaluate predictive factors for PSA bounce after ¹²⁵I permanent seed prostate brachytherapy and identify criteria that distinguish between benign bounces and biochemical relapses.</p> <p>Materials and methods</p> <p>Men treated with exclusive permanent ¹²⁵I seed brachytherapy from November 1999, with at least a 36 months follow-up were included. Bounce was defined as an increase ≥ 0.2 ng/ml above the nadir, followed by a spontaneous return to the nadir. Biochemical failure (BF) was defined using the criteria of the Phoenix conference: nadir +2 ng/ml.</p> <p>Results</p> <p>198 men were included. After a median follow-up of 63.9 months, 21 patients experienced a BF, and 35.9% had at least one bounce which occurred after a median period of 17 months after implantation (4-50). Bounce amplitude was 0.6 ng/ml (0.2-5.1), and duration was 13.6 months (4.0-44.9). In 12.5%, bounce magnitude exceeded the threshold defining BF. Age at the time of treatment and high PSA level assessed at 6 weeks were significantly correlated with bounce but not with BF. Bounce patients had a higher BF free survival than the others (100% versus 92%, p = 0,007). In case of PSA increase, PSA doubling time and velocity were not significantly different between bounce and BF patients. Bounces occurred significantly earlier than relapses and than nadir + 0.2 ng/ml in BF patients (17 vs 27.8 months, p < 0.0001).</p> <p>Conclusion</p> <p>High PSA value assessed 6 weeks after brachytherapy and young age were significantly associated to a higher risk of bounces but not to BF. Long delays between brachytherapy and PSA increase are more indicative of BF.</p

A computational model of perception and action for cognitive robotics

Robots are increasingly expected to perform tasks in complex environments. To this end, engineers provide them with processing architectures that are based on models of human information processing. In contrast to traditional models, where information processing is typically set up in stages (i.e., from perception to cognition to action), it is increasingly acknowledged by psychologists and robot engineers that perception and action are parts of an interactive and integrated process. In this paper, we present HiTEC, a novel computational (cognitive) model that allows for direct interaction between perception and action as well as for cognitive control, demonstrated by task-related attentional influences. Simulation results show that key behavioral studies can be readily replicated. Three processing aspects of HiTEC are stressed for their importance for cognitive robotics: (1) ideomotor learning of action control, (2) the influence of task context and attention on perception, action planning, and learning, and (3) the interaction between perception and action planning. Implications for the design of cognitive robotics are discussed

Prostanoid receptor EP1 and Cox-2 in injured human nerves and a rat model of nerve injury: a time-course study

BACKGROUND: Recent studies show that inflammatory processes may contribute to neuropathic pain. Cyclooxygenase-2 (Cox-2) is an inducible enzyme responsible for production of prostanoids, which may sensitise sensory neurones via the EP1 receptor. We have recently reported that while macrophages infiltrate injured nerves within days of injury, they express increased Cox-2-immunoreactivity (Cox-2-IR) from 2 to 3 weeks after injury. We have now investigated the time course of EP1 and Cox-2 changes in injured human nerves and dorsal root ganglia (DRG), and the chronic constriction nerve injury (CCI) model in the rat. METHODS: Tissue sections were immunostained with specific antibodies to EP1, Cox-2, CD68 (human macrophage marker) or OX42 (rat microglial marker), and neurofilaments (NF), prior to image analysis, from the following: human brachial plexus nerves (21 to 196 days post-injury), painful neuromas (9 days to 12 years post-injury), avulsion injured DRG, control nerves and DRG, and rat CCI model tissues. EP1 and NF-immunoreactive nerve fibres were quantified by image analysis. RESULTS: EP1:NF ratio was significantly increased in human brachial plexus nerve fibres, both proximal and distal to injury, in comparison with uninjured nerves. Sensory neurones in injured human DRG showed a significant acute increase of EP1-IR intensity. While there was a rapid increase in EP1-fibres and CD-68 positive macrophages, Cox-2 increase was apparent later, but was persistent in human painful neuromas for years. A similar time-course of changes was found in the rat CCI model with the above markers, both in the injured nerves and ipsilateral dorsal spinal cord. CONCLUSION: Different stages of infiltration and activation of macrophages may be observed in the peripheral and central nervous system following peripheral nerve injury. EP1 receptor level increase in sensory neurones, and macrophage infiltration, appears to precede increased Cox-2 expression by macrophages. However, other methods for detecting Cox-2 levels and activity are required. EP1 antagonists may show therapeutic effects in acute and chronic neuropathic pain, in addition to inflammatory pain

Sediment source fingerprinting: benchmarking recent outputs, remaining challenges and emerging themes

Abstract: Purpose: This review of sediment source fingerprinting assesses the current state-of-the-art, remaining challenges and emerging themes. It combines inputs from international scientists either with track records in the approach or with expertise relevant to progressing the science. Methods: Web of Science and Google Scholar were used to review published papers spanning the period 2013–2019, inclusive, to confirm publication trends in quantities of papers by study area country and the types of tracers used. The most recent (2018–2019, inclusive) papers were also benchmarked using a methodological decision-tree published in 2017. Scope: Areas requiring further research and international consensus on methodological detail are reviewed, and these comprise spatial variability in tracers and corresponding sampling implications for end-members, temporal variability in tracers and sampling implications for end-members and target sediment, tracer conservation and knowledge-based pre-selection, the physico-chemical basis for source discrimination and dissemination of fingerprinting results to stakeholders. Emerging themes are also discussed: novel tracers, concentration-dependence for biomarkers, combining sediment fingerprinting and age-dating, applications to sediment-bound pollutants, incorporation of supportive spatial information to augment discrimination and modelling, aeolian sediment source fingerprinting, integration with process-based models and development of open-access software tools for data processing. Conclusions: The popularity of sediment source fingerprinting continues on an upward trend globally, but with this growth comes issues surrounding lack of standardisation and procedural diversity. Nonetheless, the last 2 years have also evidenced growing uptake of critical requirements for robust applications and this review is intended to signpost investigators, both old and new, towards these benchmarks and remaining research challenges for, and emerging options for different applications of, the fingerprinting approach

Potential of Core-Collapse Supernova Neutrino Detection at JUNO

JUNO is an underground neutrino observatory under construction in Jiangmen, China. It uses 20kton liquid scintillator as target, which enables it to detect supernova burst neutrinos of a large statistics for the next galactic core-collapse supernova (CCSN) and also pre-supernova neutrinos from the nearby CCSN progenitors. All flavors of supernova burst neutrinos can be detected by JUNO via several interaction channels, including inverse beta decay, elastic scattering on electron and proton, interactions on C12 nuclei, etc. This retains the possibility for JUNO to reconstruct the energy spectra of supernova burst neutrinos of all flavors. The real time monitoring systems based on FPGA and DAQ are under development in JUNO, which allow prompt alert and trigger-less data acquisition of CCSN events. The alert performances of both monitoring systems have been thoroughly studied using simulations. Moreover, once a CCSN is tagged, the system can give fast characterizations, such as directionality and light curve

Detection of the Diffuse Supernova Neutrino Background with JUNO

As an underground multi-purpose neutrino detector with 20 kton liquid scintillator, Jiangmen Underground Neutrino Observatory (JUNO) is competitive with and complementary to the water-Cherenkov detectors on the search for the diffuse supernova neutrino background (DSNB). Typical supernova models predict 2-4 events per year within the optimal observation window in the JUNO detector. The dominant background is from the neutral-current (NC) interaction of atmospheric neutrinos with 12C nuclei, which surpasses the DSNB by more than one order of magnitude. We evaluated the systematic uncertainty of NC background from the spread of a variety of data-driven models and further developed a method to determine NC background within 15\% with {\it{in}} {\it{situ}} measurements after ten years of running. Besides, the NC-like backgrounds can be effectively suppressed by the intrinsic pulse-shape discrimination (PSD) capabilities of liquid scintillators. In this talk, I will present in detail the improvements on NC background uncertainty evaluation, PSD discriminator development, and finally, the potential of DSNB sensitivity in JUNO