Optimal Pairs Trading Using Stochastic Control Approach---A Critical Evaluation

As of date, quantitative trading methods are a strong growing niche of trading. More and more sophisticated models are employed to chase investment opportunities. The question is whether this is over-engineering and if it adds value to practitioners. We have found an interesting quantitative pairs trading strategy that belong to the family of relative value strategies. The studied stochastic control approach has many shortcomings. Among those is pair selection method which is not defined at all. Furthermore it has not yet been applied to real market data which makes it interesting to see how well it performs against a more basic pairs trading strategy. The purpose of this thesis is to define a suitable pair selection method that supports the theoretical framework of stochastic control and to test this selection strategy against a more basic pairs trading strategy on historical market data. Through communication with hedge fund officials insight was gained on how investment strategies are applied in the market. Secondary data was gathered through the Datastream database, and the different simulations were run in MATLAB. Mathematical and economical theories were gathered through various textbooks and articles, and the direction of the study was discussed and decided with the advice of the supervisors. The method of stationarity through ADF test was found to be the best of the selection methods tested with the stochastic control approach. After finding proper time frames the stochastic control approach was benchmarked against a basic control strategy. The outcome shows that the specific quantitative strategy chosen for this study is flawed and therefore might not perform as well as it should with less assumptions made in the modeling. This is a sign of a possible over-engineering phenomenon that exists in the market in competition for investment opportunities

Characterization of neutron stray fields for residual activation estimation around high-energy accelerators using spectrometric and Monte Carlo methods

Information about the neutron spectral energy distribution is useful for various purposes, in particular for radiation protection and dosimetry or for the determination of residual neutron-induced radioactivity in shielding materials of high-energy accelerators. A suitable device for spectrometric measurements of neutron fields is the extended range Bonner Sphere spectrometer (ERBSS). During this work, an ERBSS manufactured in Paul Scherrer Institute (PSI) was characterized and calibrated. Furthermore, state of the art measurement and data evaluation techniques based on Bayesian methods were adapted and optimized for the application in specific fields. The neutron spectrum was measured with the ERBSS around the PSI high-intensity proton accelerator (HIPA). Results of these measurements were compared with results obtained by the Monte Carlo particle transport code (MCNP) to benchmark the models used for investigation of neutron radiation field properties and residual activation. For the application in a multi-source environment, the background subtraction method was developed. This method is based on the application of shadow object, Monte Carlo simulations and Bayesian data analysis. It was tested by measurements in a workplace field produced by the spent nuclear transport and storage cask in the interim storage (Zwilag)

Identification of intrinsic regulators in normal and malignant human hematopoiesis. An RNA-interference approach.

Bildandet av blodceller, hematopoesen, utgår från ett litet antal av de så kallade hematopoetiska stamceller som sitter i vår benmärg. Dessa celler har förmågan att ge upphov till alla mogna blodcellstyper av de tre hematopoetiska linjerna, samtidigt som de genom celldelning bibehåller sin egna mängd. Det har uppskattats att vi endast har några tusen hematopoetiska stamceller, men trots deras relativt lilla antal, har de den enastående förmågan att generera runt 11 miljoner mogna blodceller varje sekund, hela livet.Trots att hematopoetiska stamceller sannolikt är de stamceller det forskats mest kring, är vår förståelse kring hur de regleras på molekylär och genetisk fortfarande inkomplett. I syfte att öka vår förståelse om den genetiska regleringen av hematopoetiska stamceller både i normal och malign blodbildning (leukemi), har vi i denna avhandling använt oss av RNA interferens (RNAi) applicerat på blodstamceller från navelsträngsblod i syfte att identifiera gener som styr stamcellernas självförnyelse och celldelning. Genom att använda både ett förvalt och genetiskt komplett RNAi virusbibliotek, har vi funnit att MAPK14, cohesinkomplexet and JARID2 är negativa genetiska regulatorer av blodstamceller. Attenuering av samtliga dessa gener medförde ökad funktionalitet hos stamcellerna.Vi har också använt datan från vår RNAi screen som ett verktyg att preselektera gener i syfte att även identifiera genetiska regulator i malign hematopoes, särskilt akut myeloisk leukemi och myelodysplastiskt syndrom. Genom att sekvensera de preselekterade generna i över 400 patientprover och därefter funktionellt validera våra upptäckter i både humana och murina celler, har vi identifierat NCAPD2 och SDPR som potentiellt AML- och MDS-associerade gener.Sammanfattningsvis har vi i denna avhandling använt oss av en global, helgenomtäckande RNAi screen i mänskliga stamceller isolerade från navelsträngsblod. Vi har visat att detta är en användbar metod att hitta nya genetiska stamcellsregulator och i kombination med helgenomssekvensering att även hitta funktionellt relevanta sjukdomsassocierade gener i hematopoetiska maligniteter

Cohesin in haematopoiesis and leukaemia

Purpose of review Disturbance of the delicate balance between self-renewal and differentiation in haematopoietic stem cells (HSCs) can lead to both leukaemia and bone marrow failure. The regulation of this balance in HSC biology has been intensely investigated in several model systems, and lately the importance of epigenetic modifications as well as the organization and architecture of chromatin has become increasingly recognized. In this review, we will focus on the role of the chromatin organizing protein complex cohesin in regulation of normal and malignant haematopoiesis. Recent findings Several functional studies in both mouse and human systems have implicated cohesin as a critical regulator of self-renewal and differentiation in HSCs. Together with the discovery of recurrent mutations of cohesin genes in myeloid malignancies, this points towards a direct role of perturbed cohesin function in leukemogenesis. Summary The work reviewed here provides new insights about the role of the cohesin complex and chromatin architecture in normal and malignant HSCs, and indicates how cohesin may be specifically targeted for therapeutic benefit in the future

RNAi screen identifies MAPK14 as a druggable suppressor of human hematopoietic stem cell expansion.

We report on a forward RNAi screen in primary human hematopoietic stem and progenitor cells, using pooled lentiviral shRNA libraries deconvoluted by next generation sequencing. We identify MAPK14/p38α as a modulator of ex vivo stem cell proliferation and show that pharmacological inhibition of p38 dramatically enhances the stem cell activity of cultured umbilical cord blood derived hematopoietic cells. p38 inhibitors should thus be considered in strategies aiming at expanding stem cells for clinical benefit

RNAi Screen Identifies MTA1 as an Epigenetic Modifier of Differentiation Commitment in Human HSPCs

The molecular mechanisms regulating key fate decisions of hematopoietic stem cells (HSCs) remain incompletely understood. Here, we targeted global shRNA libraries to primary human hematopoietic stem and progenitor cells (HSPCs) to screen for modifiers of self-renewal and differentiation, and identified metastasis-associated 1 (MTA1) as a negative regulator of human HSPC propagation in vitro. Knockdown of MTA1 by independent shRNAs in primary human cord blood (CB) HSPCs led to a cell expansion during culture and a relative accumulation of immature CD34 +CD90 + cells with perturbed in vitro differentiation potential. Transplantation experiments in immunodeficient mice revealed a significant reduction in human chimerism in both blood and bone marrow from HSPCs with knockdown of MTA1, possibly caused by reduced maturation of blood cells. We further found that MTA1 associates with the nucleosome remodeling deacetylase (NuRD) complex in human HSPCs, and on knockdown of MTA1, we observed an increase in H3K27Ac marks coupled with a downregulation of genes linked to differentiation toward the erythroid lineage. Together, our findings identify MTA1 as a novel regulator of human HSPCs in vitro and in vivo with critical functions for differentiation commitment

Sister chromatid cohesion defects are associated with chromosomal copy number heterogeneity in high hyperdiploid childhood acute lymphoblastic leukemia

High hyperdiploid acute lymphoblastic leukemia (ALL) is one of the most common malignancies in children. The main driver event of this disease is a nonrandom aneuploidy consisting of gains of whole chromosomes but without overt evidence of chromosomal instability (CIN). Here, we investigated the frequency and severity of defective sister chromatid cohesion—a phenomenon related to CIN—in primary pediatric ALL. We found that a large proportion (86%) of hyperdiploid cases displayed aberrant cohesion, frequently severe, to compare with 49% of ETV6/RUNX1-positive ALL, which mostly displayed mild defects. In hyperdiploid ALL, cohesion defects were associated with increased chromosomal copy number heterogeneity, which could indicate increased CIN. Furthermore, cohesion defects correlated with RAD21 and NCAPG mRNA expression, suggesting a link to reduced cohesin and condensin levels in hyperdiploid ALL. Knockdown of RAD21 in an ALL cell line led to sister chromatid cohesion defects, aberrant mitoses, and increased heterogeneity in chromosomal copy numbers, similar to what was seen in primary hyperdiploid ALL. In summary, our study shows that aberrant sister chromatid cohesion is frequent but heterogeneous in pediatric high hyperdiploid ALL, ranging from mild to very severe defects, and possibly due to low cohesin or condensin levels. Cases with high levels of aberrant chromosome cohesion displayed increased chromosomal copy number heterogeneity, possibly indicative of increased CIN. These abnormalities may play a role in the clonal evolution of hyperdiploid pediatric ALL