Entropy and Efficiency of the ETF Market

We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol discretisations of the data. Analysing 1-min and 5-min price time series of 55 Exchange Traded Funds traded at the New York Stock Exchange, we develop a methodology to isolate residual inefficiencies from other sources of regularities, such as the intraday pattern, the volatility clustering and the microstructure effects. The first two are modelled as multiplicative factors, while the microstructure is modelled as an ARMA noise process. Following an analytical and empirical combined approach, we find a strong relationship between low entropy and high relative tick size and that volatility is responsible for the largest amount of regularity, averaging 62% of the total regularity against 18% of the intraday pattern regularity and 20% of the microstructure

Gender differences in the use of cardiovascular interventions in HIV-positive persons; the D:A:D Study

Peer reviewe

Direct generation of human naive induced pluripotent stem cells from somatic cells in microfluidics

Induced pluripotent stem cells (iPSCs) are generated via the expression of the transcription factors OCT4 (also known as POU5F1), SOX2, KLF4 and cMYC (OSKM) in somatic cells. In contrast to murine naive iPSCs, conventional human iPSCs are in a more developmentally advanced state called primed pluripotency. Here, we report that human naive iPSCs (niPSCs) can be generated directly from fewer than 1,000 primary human somatic cells, without requiring stable genetic manipulation, via the delivery of modified messenger RNAs using microfluidics. Expression of the OSKM factors in combination with NANOG for 12 days generates niPSCs that are free of transgenes, karyotypically normal and display transcriptional, epigenetic and metabolic features indicative of the naive state. Importantly, niPSCs efficiently differentiate into all three germ layers. While niPSCs can be generated at low frequency under conventional conditions, our microfluidics approach enables the robust and cost-effective production of patient-specific niPSCs for regenerative medicine applications, including disease modelling and drug screening