A top-down approach to factor models

I propose choosing factors based on the maximum squared Sharpe ratio (Sh2) of the model. The model then provides a description of anomalies, but anomalies do not drive the choice of factors. I introduce a five-factor model of market, size, value, momentum, and profitability factors with a Sh2 of 0.316. The Sh2 is higher than competing models and mispricing is reduced for common anomalies. Value and momentum subsume the popular investment factor through their ability to forecast changes in book equity. The model struggles to price sorts on momentum and volatility. The model’s description of these anomalies, small, unprofitable stocks with poor recent returns, point to problems with firm size beyond illiquidity. In particular, I find that problems arise from the interaction of size, volatility, and value.

The Response to Poverty in Three English Towns, 1560-1640: A Comparative Approach

This article compares poverty and poor relief in the Kentish towns of New Romney, Faversham and Sandwich. Each adopted quite distinct approaches and attitudes to the problems of urban indigence. In order to determine why these responses differed so markedly, three main variables are examined: economies and civic finances, religious inclinations and internal politics. Political variables, it is concluded, had the greatest impact on social welfare policies. Good relations between corporate authorities and those they ruled were essential to effective social relief. Cet article compare la pauvreté et l’assistance aux pauvres dans les trois villes du Kent, de New Romney, Faversham et Sandwich, chacune d’elles ayant adopté des attitudes et des approches très différentes face aux problèmes de l’indigence en milieu urbain. Afin de préciser les raisons pour lesquelles les réponses différaient si nettement, trois variables principales ont été examinées au niveau urbain : l’économie et les finances, les tendances religieuses et les politiques internes. Il en résulte que les variables de nature politique ont eu le plus d’impact sur les politiques d’assistance sociale. En effet, de bonnes relations entre les autorités municipales et ceux qu’elles gouvernaient étaient essentielles à la mise sur pied d’un système d’assistance sociale efficace. On peut espérer que ces conclusions sont largement applicables à d’autres communautés anglaises

The Epithelium of the Buccal Mucosa

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Modeling X-chromosome inactivation and reactivation during human development

Stem-cell-based embryo models generate much excitement as they offer a window into an early phase of human development that has remained largely inaccessible to scientific investigation. An important epigenetic phenomenon during early embryogenesis is the epigenetic silencing of one of the two X chromosomes in female embryos, which ensures an equal output of X-linked gene expression between the sexes. X-chromosome inactivation (XCI) is thought to be established within the first three weeks of human development, although the inactive X-chromosome is reactivated in primordial germ cells (PGCs) that migrate to the embryonic gonads. Here, we summarize our current understanding of X-chromosome dynamics during human development and comment on the potential of recently established stem-cell-based models to reveal the underlying mechanisms

ZMYM2 inhibits NANOG-mediated reprogramming.

Background: NANOG is a homeodomain-containing transcription factor which forms one of the hubs in the pluripotency network and plays a key role in the reprogramming of somatic cells and epiblast stem cells to naïve pluripotency.  Studies have found that NANOG has many interacting partners and some of these were shown to play a role in its ability to mediate reprogramming. In this study, we set out to analyse the effect of NANOG interactors on the reprogramming process. Methods: Epiblast stem cells and somatic cells were reprogrammed to naïve pluripotency using MEK/ERK inhibitor PD0325901, GSK3β inhibitor CHIR99021 and Leukaemia Inhibitory Factor (together termed 2i Plus LIF). Zmym2 was knocked out using the CRISPR/Cas9 system or overexpressed using the PiggyBac system. Reprogramming was quantified after ZMYM2 deletion or overexpression, in diverse reprogramming systems. In addition, embryonic stem cell self renewal was quantified in differentiation assays after ZMYM2 removal or overexpression. Results: In this work, we identified ZMYM2/ZFP198, which physically associates with NANOG as a key negative regulator of NANOG-mediated reprogramming of both epiblast stem cells and somatic cells. In addition, ZMYM2 impairs the self renewal of embryonic stem cells and its overexpression promotes differentiation. Conclusions: We propose that ZMYM2 curtails NANOG's actions during the reprogramming of both somatic cells and epiblast stem cells and impedes embryonic stem cell self renewal, promoting differentiation.This study was supported by the Wellcome Trust through a Wellcome Trust Fellowship to J.C.R.S. [101861], Wellcome Trust Studentship to M.L. [079249], and a core funding grant jointly with the Medical Research Council (MRC) to the Wellcome-MRC Cambridge Stem Cell Institute [079249]

Machine Learning for Galactic Archaeology: A chemistry-based neural network method for identification of accreted disc stars

We develop a method ('Galactic Archaeology Neural Network', GANN) based on neural network models (NNMs) to identify accreted stars in galactic discs by only their chemical fingerprint and age, using a suite of simulated galaxies from the Auriga Project. We train the network on the target galaxy's own local environment defined by the stellar halo and the surviving satellites. We demonstrate that this approach allows the detection of accreted stars that are spatially mixed into the disc. Two performance measures are defined - recovery fraction of accreted stars, and the probability that a star with a positive (accreted) classification is a true-positive result, P(TP). As the NNM output is akin to an assigned probability, we are able to determine positivity based on flexible threshold values that can be adjusted easily to refine the selection of presumed-accreted stars. We find that GANN identifies accreted disc stars within simulated galaxies, with high recovery fraction and/or high P(TP). We also find that stars in Gaia-Enceladus-Sausage (GES) mass systems are over 50% recovered by our NNMs in the majority (18/24) of cases. Additionally, nearly every individual source of accreted stars is detected at 10% or more of its peak stellar mass in the disc. We also demonstrate that a conglomerated NNM, trained on the halo and satellite stars from all of the Auriga galaxies provides the most consistent results, and could prove to be an intriguing future approach as our observational capabilities expand.Comment: 19 pages, 12 figure