Optimal trading strategies - a time series approach

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which - for a given return - is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data

Spectral properties of the trap model on sparse networks

One of the simplest models for the slow relaxation and aging of glasses is the trap model by Bouchaud and others, which represents a system as a point in configuration-space hopping between local energy minima. The time evolution depends on the transition rates and the network of allowed jumps between the minima. We consider the case of sparse configuration-space connectivity given by a random graph, and study the spectral properties of the resulting master operator. We develop a general approach using the cavity method that gives access to the density of states in large systems, as well as localisation properties of the eigenvectors, which are important for the dynamics. We illustrate how, for a system with sparse connectivity and finite temperature, the density of states and the average inverse participation ratio have attributes that arise from a non-trivial combination of the corresponding mean field (fully connected) and random walk (infinite temperature) limits. In particular, we find a range of eigenvalues for which the density of states is of mean-field form but localisation properties are not, and speculate that the corresponding eigenvectors may be concentrated on extensively many clusters of network sites.Comment: 41 pages, 15 figure

Computing the eigenvalues of symmetric H2-matrices by slicing the spectrum

The computation of eigenvalues of large-scale matrices arising from finite element discretizations has gained significant interest in the last decade. Here we present a new algorithm based on slicing the spectrum that takes advantage of the rank structure of resolvent matrices in order to compute m eigenvalues of the generalized symmetric eigenvalue problem in $\mathcal{O}(n m \log^\alpha n)$ operations, where $\alpha>0$ is a small constant

Impact of Autologous and Allogeneic Stem Cell Transplantation in Peripheral T-Cell Lymphomas

Peripheral T/NK-cell lymphomas (PTCLs) are rare malignancies characterized by poor prognosis. So far, no standard therapy has been established, due to the lack of randomised studies. High-dose therapy and autologous stem cell transplantation (HDT-autoSCT) have shown good feasibility with low toxicity in retrospective studies. In relapsing and refractory PTCL several comparison analyses suggest similar efficacy for PTCL when compared with aggressive B-cell lymphoma. In the upfront setting, prospective data show promising results with a long-lasting overall survival in a relevant subset of patients. Achieving a complete remission at transplantation seems to be the most important prognostic factor. Allogeneic stem cell transplantation (alloSCT) has been investigated only as salvage treatment. Especially when using reduced intensity conditioning regimen, eligible patients seem to benefit from this approach. To define the role for upfront stem cell transplantation a randomised trial by the German High-Grade Non-Hodgkin Lymphoma Study Group comparing HDT-autoSCT and alloSCT will be initiated this year

Fast neutron induced reactions leading to activation products: selected cases relevant to development of low activation materials, transmutation and hazard assessment of nuclear wastes

Neutron induced cross sections are of interest for practical applications and for testing nuclear models. In this work(n,p),(n,np),(n,$\alpha$),(n,n$\alpha$),(n,n'$\gamma$), (n,2n) and (n,3n) reactions on vanadium, molybdenum, technetium and lead have been measured in the energy range of 0.5 to 20.6 MeV using the activation technique. The radioactive reaction products with half-lives between 58 seconds and 20300 years have been measured offline via high-resolution $\gamma$-ray-spectrometry and Liquid Scintillation Counting, the latter in combination with radiochemical separation. Irradiations with neutron energies in the range of 0.5 to 6 MeV were done using the $^{3}$H(p,n)$^{3}$He reaction with a solid-state Ti/T target while energies between 7.4 and 12.5 MeV were covered with the $^{2}$H(d,n)$^{3}$He reaction utilizing a D$_{2}$ gas target. Irradiations in the energy range from 13.4 to 20.6 MeV were performed using the $^{3}$H(d,n)$^{4}$He reaction, again with a solid Ti/T target. Most of the reactions were investigated using a light mass setup to minimise scattering effects, but for short half-lives a pneumatic sample transport system was used as well. A special sample holder was developed for the measurement of the $^{nat}$Mo(n,x)$^{94}$Nb reaction. All cross sections were measured relative to the $^{27}$Al(n,$\alpha$)$^{24}$Na standard cross section and all necesarry corrections due to their radiation process and the measurement of the induced activity have been applied. Nuclear model calculations were performed for all investigated reactions. For reactions on $^{99}$Tc and Pb the original STAPRE code was used, while for reactions on V and Mo a modified version STAPRE-H was employed. As a result of this thesis work an extended database for neutron induced cross sections on four elements was obtained. It was possible to establish first excitation functions for reactions on a radioactive target nucleus, one very long-lived product and one purely $\beta^{-}$ emitting product. It was found that existing evaluations are not always reliable in the prediction of unknown cross sections. Although the experimental results of this work helped to considerably improve the calculations, some deficiencies still exist in case of complex particle emission (like d,t,$\alpha$) and second chance emission (n,np) or (n,pn) etc

Adequate Capital and Stress Testing for Operational Risks

We describe how the notion of sequential correlations naturally leads to the quantification of operational risk. Our main point is that functional dependencies between mutually supportive processes give rise to non-trivial temporal correlations, which can lead to the occurrence of collective risk events in the form of bursts and avalanches of process failures, and crashes of process networks. We show how the adequate capital for operational risk can be calculated via a stochastic dynamics defined on a topological network of interacting processes. One of the main virtues of the present model is the suitability for capital allocation and stress testing of operational risks

Intermittency in an interacting generalization of the geometric Brownian motion model

We propose a minimal interacting generalization of the geometric Brownian motion model, which turns out to be formally equivalent to a model describing the dynamics of networks of analogue neurons. For sufficiently strong interactions, such systems may have many meta-stable states. Transitions between meta-stable states are associated with macroscopic reorganizations of the system, which can be triggered by random external forcing. Such a system will exhibit intermittent dynamics within a large part of its parameter space. We propose market dynamics as a possible application of this model, in which case random external forcing would correspond to the arrival of important information. The emergence of a model of interacting prices of the type considered here can be argued to follow naturally from a general argument based on integrating out all non-price degrees of freedom from the dynamics of a hypothetical complete description of economic dependences. PACS numbers: 02.50.−r, 05.40.−a, 89.65.Gh, 89.75.Da 1

Long-term complete remission with belinostat in a patient with chemotherapy refractory peripheral t-cell lymphoma

Peripheral T/NK-cell lymphomas (PTCL) are rare malignancies with a poor prognosis. Due to the lack of randomised studies, standard therapy has not been established. First-line treatment with anthracycline-based polychemotherapy followed by consolidation with high-dose therapy and autologous stem cell transplant in responding patients has demonstrated good feasibility with low toxicity in prospective studies and is widely used in eligible patients. In relapsed and refractory patients, who are not candidates for transplant approaches, therapeutic options are limited and are usually palliative. Several new agents are currently under investigation to improve the outcome of PTCL in the first line and salvage settings. Belinostat, a histone deacetylase (HDAC) inhibitor, has demonstrated broad antineoplastic activity in preclinical studies, and promising results in advanced relapsed/refractory lymphomas. Here, we report the case of a 73 year old patient with heavily pre-treated refractory PTCL in complete remission with belinostat for 39 months

Detection and characterization of liver lesions using gadoxetic acid as a tissue-specific contrast agent

The value of cross-sectional liver imaging is evaluated by the accuracy, sensitivity, and specificity of the specific imaging technique. Magnetic resonance imaging (MRI) has become a key technique for the characterization and detection of focal and diffuse liver disease. More recently, gadoxetic acid, the hepatocyte-specific MR contrast agent, was clinically approved and introduced in many countries. Gadoxetic acid may be considered a “molecular imaging” probe because the compound is actively taken into hepatocytes via the ATP-dependent organic anion transport system in the plasma membrane for the hepatic uptake. The transport of gadoxetic acid from the cytoplasm to the bile is mainly determined by the capacity of the transport protein glutathione-S-transferase. Gadoxetic acid enhances hepatocyte-containing lesions and improves detection of lesions devoid of normal hepatocytes, such as metastases. Innovative rapid MR acquisition techniques with near isotropic 3D pulse sequences with fat saturation parallel the technical progress made by multidetector computed tomography combined with an impressive improvement in tumor–liver contrast when used for gadoxetic acid-enhanced MRI. The purpose of this review is to provide an overview of the development, clinical testing, and applications of this novel MR contrast agent