高頻度注文板データの統計解析: 異市場・同一株式価格間の先行遅行関係

要旨あり高頻度金融データに基づく統計的推測とモデリング原著論

Inverse regioselectivity in the silylstannylation of alkynes and allenes: copper-catalyzed three-component coupling with a silylborane and a tin alkoxide

Silylstannylation of alkynes and allenes has been found to proceed by three-component coupling using a silylborane and a tin alkoxide in the presence of a Cu(I) catalyst. The regioselectivities are completely inverse to those of the conventional silylstannylation under palladium catalysis

On the Evaluation of Intraday Market Quality in the Limit-Order Book Markets : A Collaborative Filtering Approach

This study proposes a methodology for evaluating market quality of individual stocks in the high-frequency domain (short term) by applying a recommender system that has become ubiquitous in our daily lives, especially when running internet apps.In the first place, it is not easy to evaluate market quality such as the “true” liquidity of individual stocks. In particular, in situations where liquidity for a short-time period is to be evaluated using high-frequency data, the lack of observations can become severe for numerous stocks. Since stocks that have exhibited similar behavior in the past are expected to perform so in the future as well, one can expect that collaborative filtering, which is nowadays the main approach of recommender systems, can work effectively for the market quality measure “estimation” problem for stocks. However, in some occasions, “standard-type” collaborative filtering methods may not work well, especially when data sparsity (or scarcity) is severe.Specifically, in this paper we adopt a regression-based latent factor model (RLFM), a “hybrid-type” collaborative filtering proposed by Agarwal and Chen (2009). It has a hierarchical linear structure designed to address the so-called “cold-start problem” in the recommender systems literature.In this study we take on liquidity and volatility as market quality measures. The liquidity measure used in this paper is the ILOBS (Inverse Limit Order Book Slope) proposed by Deuskar and Johnson (2011). For volatility, we adopt the realized volatility based on tick-by-tick mid-quote prices.In order to investigate the effectiveness of the method in consideration, empirical analysis was performed using high-frequency limit-order book data from the Tokyo Stock Exchange. The data period is the first three months of the year 2019, with which regularly-spaced five-minute aggregate datasets were formed. The explanatory variables in the regression term are six variables related to observed market activities of individual stocks such as logarithmic return and share volume, three variables related to the static attributes of individual stocks such as whether it is an ingredient of the Nikkei 225 Index, and the industry category it belongs to. There are also time polynomial terms up to the order of 6 to capture the average movements of the whole market along the time axis. As a result of the empirical analysis, various characteristics that characterize market quality were identified from the estimated regression coefficients obtained by fitting the RLFM model to the training dataset. The results suggest that our approach is robust to the degree of sparsity (or scarcity) and flexible enough to deal with various data environments. There was room for improvement of the methodology in terms of prediction accuracy

Case Report Case Report of Atlantoaxial Rotatory Fixation after Cochlear Implantation

Atlantoaxial rotatory fixation (AARF) is a relatively rare condition and is mainly seen in children. We report of a 7-year-old girl suffering from AARF after cochlear implantation (CI). Fortunately, early diagnosis based on three-dimensional computed tomography (3DCT) was made, and the patient was cured with conservative therapy. Nontraumatic AARF, which is also known as Grisel's syndrome and occurs subsequent to neck infections or ear, nose, and throat (ENT) surgery, represents only a small fraction of AARF cases. Two factors are mainly thought to contribute to the pathogenesis of the condition estimated, namely, (i) neck immaturity in children and (ii) infiltration by inflammatory mediators around the upper neck joint, easily permitted by the neck vasculature. AARF should be suspected in case of torticollis developing after ENT surgery

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

C-arm Cone-beam CT-guided Needle Biopsies through the Erector Spinal Muscle for Posterior Thoracic Pulmonary Lesions

This study investigated retrospectively the diagnostic yield and complication rate of transthoracic needle biopsies for posterior thoracic pulmonary lesions using C-arm cone-beam computed tomography （CBCT）. The risk factors for pulmonary hemorrhage were evaluated. Our study included 113 patients with 113 posterior pulmonary lesions （mean longest diameter: 30.6mm, and mean depth: 4.7mm） through the erector spinal muscles using a 19/20-gauge coaxial system. The diagnostic performances of procedures for malignant lesions and the incidence of complications after biopsies were also assessed. The patient-related and procedure-related variables were investigated. Risk factors for pulmonary hemorrhage were analyzed with a multivariate logistic regression analysis. Findings revealed 99 malignant, 13 benign, and one intermediate lesion. Sensitivity, specificity, and diagnostic accuracy rates were 100％ （99/99）, 92.3％ （12/13）, and 99.1％ （111/112）, respectively. Air embolization, hemothorax, hemoptysis, pneumothorax, and pulmonary hemorrhage, occurred in 0, 2, 12, 48, and 70 procedures. The averaged spinous process-pleura depth and the traversed lung parenchyma depth achieved by the introducer needles were 54.2mm and 27.4mm, respectively. The needle position at the pleural puncture site within the intercostal space was in middle （31％） and inferior （69％） areas. The incidence of pulmonary hemorrhage was significantly higher in smaller lesions （p＝0.001）. Manual evacuation was performed in five procedures for patients with pneumothorax. The chest tube placement （trocar＞8 Fr） was performed in two procedures in patients with hemothorax and pneumothorax. In conclusion, the biopsy method with a posterior intercostal approach for posterior thoracic pulmonary lesions yielded high diagnostic accuracy and few major complications

Alternative Starting Position for CT Coronary Angiography

We examined whether the superior margin of the left main bronchus is the best landmark for the starting position of computed tomography coronary angiography（CTCA）. We retrospectively evaluated 693 consecutive CTCAs. From the scout scanogram, the superior margin of the left main bronchus was noted. The relationships among and distance between the superior margin of the left main bronchus and the left coronary system were analyzed. The superior margin of the left main bronchus extended caudally to the superior margin of the left coronary system in 13 patients（1.9％）. The addition of 1cm to the superior margin of the left main bronchus kept it caudal to the superior margin of the left coronary system in only one patient（0.1％）. On the scout scanogram, 1cm above the superior margin of the left main bronchus is the most appropriate starting position for CTCA