CAN STRUCTURAL CHANGE EXPLAIN THE DECREASE IN RETURNS TO TECHNICAL ANALYSIS?

Practioners Abstract: Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures price movements that could explain the reduction in fund returns. Bootstrap tests are used to test significance of a change in statistics related to daily returns, close-to-open changes, breakaway gaps, and serial correlation. Results indicate that several statistics have changed across a broad range of commodities indicating futures price fluctuations have changed. The lower price volatility, decreased price reaction time, and decreased serial correlation may partly explain the lower returns from technical analysis.Marketing,

Clinical and radiological recurrence after childhood arterial ischemic stroke

Background: Data on rates and risk factors for clinical and radiological recurrence of childhood arterial ischemic stroke (AIS) might inform secondary prevention strategies. Methods and Results: Consecutive Great Ormond Street Hospital patients with first AIS were identified retrospectively (1978–1990) and prospectively (1990–2000). Patients underwent repeat neuroimaging at the time of clinical recurrence or, if asymptomatic, at least 1 year after AIS. Cox and logistic regression analyses were used to explore the relationships between risk factors and clinical and radiological recurrence, respectively. A total of 212 patients were identified, of whom 97 had another prior diagnosis. Seventy-nine children had a clinical recurrence (29 strokes, 46 transient ischemic attacks [TIAs], 4 deaths with reinfarction 1 day to 11.5 years (median 267 days) later); after 5 years, 59% (95% confidence interval, 51% to 67%) were recurrence free. Moyamoya on angiography and low birth weight were independently associated with clinical recurrence in the whole group. Genetic thrombophilia was associated with clinical recurrence in previously healthy patients, independent of the presence of moyamoya. Sixty of 179 patients who had repeat neuroimaging had radiological reinfarction, which was clinically silent in 20. Previous TIA, bilateral infarction, prior diagnosis (specifically immunodeficiency), and leukocytosis were independently associated with reinfarction. Previous TIA and leukocytosis were also independently associated with clinically silent reinfarction. Conclusions: Clinical and radiological recurrence are common after childhood AIS. The risk of clinical recurrence is increased in children with moyamoya and, in previously healthy patients, in those with genetic thrombophilia. Preexisting pathology, including immunodeficiency, and persistent leukocytosis are risk factors for radiological recurrence, which suggests a potential role for chronic infection

Stellar magnetic field parameters from a Bayesian analysis of high-resolution spectropolarimetric observations

In this paper we describe a Bayesian statistical method designed to infer the magnetic properties of stars observed using high-resolution circular spectropolarimetry in the context of large surveys. This approach is well suited for analysing stars for which the stellar rotation period is not known, and therefore the rotational phases of the observations are ambiguous. The model assumes that the magnetic observations correspond to a dipole oblique rotator, a situation commonly encountered in intermediate and high-mass stars. Using reasonable assumptions regarding the model parameter prior probability density distributions, the Bayesian algorithm determines the posterior probability densities corresponding to the surface magnetic field geometry and strength by performing a comparison between the observed and computed Stokes V profiles. Based on the results of numerical simulations, we conclude that this method yields a useful estimate of the surface dipole field strength based on a small number (i.e. 1 or 2) of observations. On the other hand, the method provides only weak constraints on the dipole geometry. The odds ratio, a parameter computed by the algorithm that quantifies the relative appropriateness of the magnetic dipole model versus the non-magnetic model, provides a more sensitive diagnostic of the presence of weak magnetic signals embedded in noise than traditional techniques. To illustrate the application of the technique to real data, we analyse seven ESPaDOnS and Narval observations of the early B-type magnetic star LP Ori. Insufficient information is available to determine the rotational period of the star and therefore the phase of the data; hence traditional modelling techniques fail to infer the dipole strength. In contrast, the Bayesian method allows a robust determination of the dipole polar strength, $B_d=911^{+138}_{-244}$ G.Comment: Accepted for publication in Monthly Notices of the Royal Astronomical Societ