Dynamic hedging using the realized minimum-variance hedge ratio approach - examination of the CSI 300 index futures

Includes bibliographical references (pages 26-29).Published as: Pacific-Basin Finance Journal, vol. 57, October 2019, 101048, https://doi.org/10.1016/j.pacfin.2018.08.002.This paper investigates the dynamic hedging performance of the high frequency data based realized minimum-variance hedge ratio (RMVHR) approach. We comprehensively examine a number of popular time-series models to forecast the RMVHR for the CSI 300 index futures, and evaluate the out-of-sample dynamic hedging performance in comparison to the conventional hedging models using daily prices, as well as the vector heterogeneous autoregressive model using intraday prices. Our results show that the dynamic hedging performance of the RMVHR-based methods significantly dominates that of the conventional methods in terms of both hedging effectiveness and tracking error volatility in the out-of-sample forecast period. Furthermore, the superiority of the RMVHR-based methods is robust in different market structures and different volatility regimes, including China's abnormal market fluctuations in 2015 and the US financial crisis in 2008

Label-free high-throughput photoacoustic tomography of suspected circulating melanoma tumor cells in patients in vivo

Significance: Detection and characterization of circulating tumor cells (CTCs), a key determinant of metastasis, are critical for determining risk of disease progression, understanding metastatic pathways, and facilitating early clinical intervention. Aim: We aim to demonstrate label-free imaging of suspected melanoma CTCs. Approach: We use a linear-array-based photoacoustic tomography system (LA-PAT) to detect melanoma CTCs, quantify their contrast-to-noise ratios (CNRs), and measure their flow velocities in most of the superficial veins in humans. Results: With LA-PAT, we successfully imaged suspected melanoma CTCs in patients in vivo, with a CNR >9. CTCs were detected in 3 of 16 patients with stage III or IV melanoma. Among the three CTC-positive patients, two had disease progression; among the 13 CTC-negative patients, 4 showed disease progression. Conclusions: We suggest that LA-PAT can detect suspected melanoma CTCs in patients in vivo and has potential clinical applications for disease monitoring in melanoma

Subdomain Adaptation with Manifolds Discrepancy Alignment

Reducing domain divergence is a key step in transfer learning problems. Existing works focus on the minimization of global domain divergence. However, two domains may consist of several shared subdomains, and differ from each other in each subdomain. In this paper, we take the local divergence of subdomains into account in transfer. Specifically, we propose to use low-dimensional manifold to represent subdomain, and align the local data distribution discrepancy in each manifold across domains. A Manifold Maximum Mean Discrepancy (M3D) is developed to measure the local distribution discrepancy in each manifold. We then propose a general framework, called Transfer with Manifolds Discrepancy Alignment (TMDA), to couple the discovery of data manifolds with the minimization of M3D. We instantiate TMDA in the subspace learning case considering both the linear and nonlinear mappings. We also instantiate TMDA in the deep learning framework. Extensive experimental studies demonstrate that TMDA is a promising method for various transfer learning tasks

Timing the Transient Execution: A New Side-Channel Attack on Intel CPUs

The transient execution attack is a type of attack leveraging the vulnerability of modern CPU optimization technologies. New attacks surface rapidly. The side-channel is a key part of transient execution attacks to leak data. In this work, we discover a vulnerability that the change of the EFLAGS register in transient execution may have a side effect on the Jcc (jump on condition code) instruction after it in Intel CPUs. Based on our discovery, we propose a new side-channel attack that leverages the timing of both transient execution and Jcc instructions to deliver data. This attack encodes secret data to the change of register which makes the execution time of context slightly slower, which can be measured by the attacker to decode data. This attack doesn't rely on the cache system and doesn't need to reset the EFLAGS register manually to its initial state before the attack, which may make it more difficult to detect or mitigate. We implemented this side-channel on machines with Intel Core i7-6700, i7-7700, and i9-10980XE CPUs. In the first two processors, we combined it as the side-channel of the Meltdown attack, which could achieve 100\% success leaking rate. We evaluate and discuss potential defenses against the attack. Our contributions include discovering security vulnerabilities in the implementation of Jcc instructions and EFLAGS register and proposing a new side-channel attack that does not rely on the cache system

A direct synthesis of atractylodinol, a potent inhibitor of PRRSV, and its biological evaluation

A direct synthesis of atractylodinol from 2-furylbutenyne and bromoacetylene 6 is reported. Both compounds 1 and 8 showed greater than 99% virus inhibition

Soliton generation in CaF2_2 crystalline whispering gallery mode resonators with negative thermal-optical effects

Calcium fluoride (CaF$_2$) crystalline whispering gallery mode resonators (WGMRs) exhibit ultrahigh intrinsic quality factors and a low power anomalous dispersion in the communication and mid-infrared bands, making them attractive platforms for microresonator-based comb generation. However, their unique negative thermo-optic effects pose challenges when achieving thermal equilibrium. To our knowledge, our experiments serve as the first demonstration of soliton microcombs in Q > 109 CaF$_2$ WGMRs. We observed soliton mode-locking and bidirectional switching of soliton numbers caused by the negative thermo-optic effects. Additionally, various soliton formation dynamics are shown, including breathing and vibrational solitons, which can be attributed to thermo-photomechanical oscillations. Thus, our results enrich the soliton generation platform and provide a reference for generating solitons from WGMRs that comprise other materials with negative thermo-optic effects. In the future, the ultrahigh quality factor of CaF$_2$ crystal cavities may enable the generation of sub-milliwatt-level broad-spectrum soliton combs.Comment: 4 pages,5 pictures,description of soliton generation in a calcium fluoride whisper gallery mode microresonators with negative thermo-optical effect,ready for publication in optics lette

Unsupervised Video Domain Adaptation for Action Recognition: A Disentanglement Perspective

Unsupervised video domain adaptation is a practical yet challenging task. In this work, for the first time, we tackle it from a disentanglement view. Our key idea is to handle the spatial and temporal domain divergence separately through disentanglement. Specifically, we consider the generation of cross-domain videos from two sets of latent factors, one encoding the static information and another encoding the dynamic information. A Transfer Sequential VAE (TranSVAE) framework is then developed to model such generation. To better serve for adaptation, we propose several objectives to constrain the latent factors. With these constraints, the spatial divergence can be readily removed by disentangling the static domain-specific information out, and the temporal divergence is further reduced from both frame- and video-levels through adversarial learning. Extensive experiments on the UCF-HMDB, Jester, and Epic-Kitchens datasets verify the effectiveness and superiority of TranSVAE compared with several state-of-the-art methods. The code with reproducible results is publicly accessible.Comment: 18 pages, 9 figures, 7 tables. Code at https://github.com/ldkong1205/TranSVA

Towards a compact soliton microcomb fully referenced on atomic reference

A fully stabilized soliton microcomb is critical for many applications of optical frequency comb based on microresonators. However, the current approaches for full frequency stabilization require either external acousto-optic or electro-optic devices or auxiliary lasers and multiple phase-locked loops, which compromises the convenience of the system. This study explores a compact atomic referenced fully stabilized soliton microcomb that directly uses a rubidium atomic optical frequency reference as the pump source, and complements the repetition rate (7.3 GHz) of the soliton microcomb was phase-locked to an atomic-clock-stabilized radio frequency (RF) reference by mechanically tuning the resonance of the optical resonator. The results demonstrate that the stability of the comb line (0.66 THz away from the pump line) is consistent with that of the Rb87 optical reference, attaining a level of approximately 4 Hz @100 s, corresponding to the frequency stability of 2E-14 @100 s. Furthermore,the frequency reproducibility of the comb line was evaluated over six days and it was discovered that the standard deviation (SD) of the frequency of the comb line is 10 kHz, resulting in a corresponding absolute deviation uncertainty of 1.3E-10, which is technically limited by the locking range of the soliton repetition rate. The proposed method gives a low-power and compact solution for fully stabilized soliton micorcombs.Comment: 6 pages, 5 figure