Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Breast cancer risk genes: association analysis in more than 113,000 women

BACKGROUNDGenetic testing for breast cancer susceptibility is widely used, but for many genes, evidence of an association with breast cancer is weak, underlying risk estimates are imprecise, and reliable subtype-specific risk estimates are lacking.METHODSWe used a panel of 34 putative susceptibility genes to perform sequencing on samples from 60,466 women with breast cancer and 53,461 controls. In separate analyses for protein-truncating variants and rare missense variants in these genes, we estimated odds ratios for breast cancer overall and tumor subtypes. We evaluated missense-variant associations according to domain and classification of pathogenicity.RESULTSProtein-truncating variants in 5 genes (ATM, BRCA1, BRCA2, CHEK2, and PALB2) were associated with a risk of breast cancer overall with a P value of less than 0.0001. Protein-truncating variants in 4 other genes (BARD1, RAD51C, RAD51D, and TP53) were associated with a risk of breast cancer overall with a P value of less than 0.05 and a Bayesian false-discovery probability of less than 0.05. For protein-truncating variants in 19 of the remaining 25 genes, the upper limit of the 95% confidence interval of the odds ratio for breast cancer overall was less than 2.0. For protein-truncating variants in ATM and CHEK2, odds ratios were higher for estrogen receptor (ER)-positive disease than for ER-negative disease; for protein-truncating variants in BARD1, BRCA1, BRCA2, PALB2, RAD51C, and RAD51D, odds ratios were higher for ER-negative disease than for ER-positive disease. Rare missense variants (in aggregate) in ATM, CHEK2, and TP53 were associated with a risk of breast cancer overall with a P value of less than 0.001. For BRCA1, BRCA2, and TP53, missense variants (in aggregate) that would be classified as pathogenic according to standard criteria were associated with a risk of breast cancer overall, with the risk being similar to that of protein-truncating variants.CONCLUSIONSThe results of this study define the genes that are most clinically useful for inclusion on panels for the prediction of breast cancer risk, as well as provide estimates of the risks associated with protein-truncating variants, to guide genetic counseling. (Funded by European Union Horizon 2020 programs and others.)Molecular tumour pathology - and tumour geneticsMTG1 - Moleculaire genetica en pathologie van borstkanke

Flow Separation Response to Unsteady External Disturbances in Dual Bell Nozzles

The dual bell nozzle belongs to the family of Altitude Compensating Nozzles (ACN), which constitutes an option of great interest to improve launcher first stage performance. The internal flow of this nozzle adapts to the external pressure by separating at the wall inflection at low altitude (first operating mode) and by full flowing at high altitude (second operating mode). Therefore the dual bell nozzle operates with a separated flow at take off and in the initial portion of the flight trajectory. This characteristic is of important concern since the external flow is neither steady nor axisymmetric, and its coupling with the internal flow separation can cause dangerous side loads. This work presents the results of a time accurate numerical analysis of the effect of unsteady ambient pressure on the separation point and on the shock system inside the dual bell nozzle, operating in the first mode. The external computational domain is characterized by an acoustically open downstream boundary. The numerical simulations show that the oscillation of the separation point is very sensitive to frequencies near the acoustic wave characteristic frequencies

Separation shock cutoff frequency in dual bell nozzles

The dual bell nozzle constitutes an option of great interest to improve launcher first stage performance. The internal flow of this nozzle adapts to the external pressure by separating at the wall inflection at low altitude (first operating mode) and by full flowing at high altitude (second operating mode). In such a way the dual bell nozzle operates with a separated flow in the initial portion of the flight trajectory. This characteristic is of important concern since the external flow is neither steady nor axisymmetric, and its coupling with the internal flow separation can cause dangerous side loads. This work presents the results of a time accurate numerical analysis of the effect of an unsteady forcing (imposed by varying the ambient static pressure) on the separation point and on the shock system inside a sub-scale cold-gas dual bell nozzle, operating in the first mode. The spectral analysis of the separation point response to the forcing reveals that the system dynamics is characterized by low-pass filter behavior, with a cutoff frequency around 600 Hz. These results are compared with analogous findings present in literature