Pricing Rainfall Based Futures Using Genetic Programming

Rainfall derivatives are in their infancy since starting trading on the Chicago Mercantile Exchange (CME) since 2011. Being a relatively new class of financial instruments there is no generally recognised pricing framework used within the literature. In this paper, we propose a novel framework for pricing contracts using Genetic Programming (GP). Our novel framework requires generating a risk-neutral density of our rainfall predictions generated by GP supported by Markov chain Monte Carlo and Esscher transform. Moreover, instead of having a single rainfall model for all contracts, we propose having a separate rainfall model for each contract. We compare our novel framework with and without our proposed contract-specific models for pricing against the pricing performance of the two most commonly used methods, namely Markov chain extended with rainfall prediction (MCRP), and burn analysis (BA) across contracts available on the CME. Our goal is twofold, (i) to show that by improving the predictive accuracy of the rainfall process, the accuracy of pricing also increases. (ii) contract-specific models can further improve the pricing accuracy. Results show that both of the above goals are met, as GP is capable of pricing rainfall futures contracts closer to the CME than MCRP and BA. This shows that our novel framework for using GP is successful, which is a significant step forward in pricing rainfall derivatives

Detection and characteristics of microvascular obstruction in reperfused acute myocardial infarction using an optimized protocol for contrast-enhanced cardiovascular magnetic resonance imaging

Several cardiovascular magnetic resonance imaging (CMR) techniques are used to detect microvascular obstruction (MVO) after acute myocardial infarction (AMI). To determine the prevalence of MVO and gain more insight into the dynamic changes in appearance of MVO, we studied 84 consecutive patients with a reperfused AMI on average 5 and 104 days after admission, using an optimised single breath-hold 3D inversion recovery gradient echo pulse sequence (IR-GRE) protocol. Early MVO (2 min post-contrast) was detected in 53 patients (63%) and late MVO (10 min post-contrast) in 45 patients (54%; p = 0.008). The extent of MVO decreased from early to late imaging (4.3 ± 3.2% vs. 1.8 ± 1.8%, p < 0.001) and showed a heterogeneous pattern. At baseline, patients without MVO (early and late) had a higher left ventricular ejection fraction (LVEF) than patients with persistent late MVO (56 ± 7% vs. 48 ± 7%, p < 0.001) and LVEF was intermediate in patients with early MVO but late MVO disappearance (54 ± 6%). During follow-up, LVEF improved in all three subgroups but remained intermediate in patients with late MVO disappearance. This optimised single breath-hold 3D IR-GRE technique for imaging MVO early and late after contrast administration is fast, accurate and allows detection of patients with intermediate remodelling at follow-up

Variability of myocardial perfusion dark rim Gibbs artifacts due to sub-pixel shifts

<p>Abstract</p> <p>Background</p> <p>Gibbs ringing has been shown as a possible source of dark rim artifacts in myocardial perfusion studies. This type of artifact is usually described as transient, lasting a few heart beats, and localised in random segments of the myocardial wall. Dark rim artifacts are known to be unpredictably variable. This article aims to illustrate that a sub-pixel shift, i.e. a small displacement of the pixels with respect to the endocardial border, can result in different Gibbs ringing and hence different artifacts. Therefore a hypothesis for one cause of dark rim artifact variability is given based on the sub-pixel position of the endocardial border. This article also demonstrates the consequences for Gibbs artifacts when two different methods of image interpolation are applied (post-FFT interpolation, and pre-FFT zero-filling).</p> <p>Results</p> <p>Sub-pixel shifting of <it>in vivo </it>perfusion studies was shown to change the appearance of Gibbs artifacts. This effect was visible in the original uninterpolated images, and in the post-FFT interpolated images. The same shifted data interpolated by pre-FFT zero-filling exhibited much less variability in the Gibbs artifact. The <it>in vivo </it>findings were confirmed by phantom imaging and numerical simulations.</p> <p>Conclusion</p> <p>Unless pre-FFT zero-filling interpolation is performed, Gibbs artifacts are very dependent on the position of the subendocardial wall within the pixel. By introducing sub-pixel shifts relative to the endocardial border, some of the variability of the dark rim artifacts in different myocardial segments, in different patients and from frame to frame during first-pass perfusion due to cardiac and respiratory motion can be explained. Image interpolation by zero-filling can be used to minimize this dependency.</p

Automated left ventricular diastolic function evaluation from phase-contrast cardiovascular magnetic resonance and comparison with Doppler echocardiography

International audienceBACKGROUND: Early detection of diastolic dysfunction is crucial for patients with incipient heart failure. Although this evaluation could be performed from phase-contrast (PC) cardiovascular magnetic resonance (CMR) data, its usefulness in clinical routine is not yet established, mainly because the interpretation of such data remains mostly based on manual post-processing. Accordingly, our goal was to develop a robust process to automatically estimate velocity and flow rate-related diastolic parameters from PC-CMR data and to test the consistency of these parameters against echocardiography as well as their ability to characterize left ventricular (LV) diastolic dysfunction. RESULTS: We studied 35 controls and 18 patients with severe aortic valve stenosis and preserved LV ejection fraction who had PC-CMR and Doppler echocardiography exams on the same day. PC-CMR mitral flow and myocardial velocity data were analyzed using custom software for semi-automated extraction of diastolic parameters. Inter-operator reproducibility of flow pattern segmentation and functional parameters was assessed on a sub-group of 30 subjects. The mean percentage of overlap between the transmitral flow segmentations performed by two independent operators was 99.7 ± 1.6%, resulting in a small variability ( 0.71) and receiver operating characteristic (ROC) analysis revealed their ability to separate patients from controls, with sensitivity > 0.80, specificity > 0.80 and accuracy > 0.85. Slight superiority in terms of correlation with echocardiography (r = 0.81) and accuracy to detect LV abnormalities (sensitivity > 0.83, specificity > 0.91 and accuracy > 0.89) was found for the PC-CMR flow-rate related parameters. CONCLUSIONS: A fast and reproducible technique for flow and myocardial PC-CMR data analysis was successfully used on controls and patients to extract consistent velocity-related diastolic parameters, as well as flow rate-related parameters. This technique provides a valuable addition to established CMR tools in the evaluation and the management of patients with diastolic dysfunction

Transforming growth factor β receptor 1 is a new candidate prognostic biomarker after acute myocardial infarction

<p>Abstract</p> <p>Background</p> <p>Prediction of left ventricular (LV) remodeling after acute myocardial infarction (MI) is clinically important and would benefit from the discovery of new biomarkers.</p> <p>Methods</p> <p>Blood samples were obtained upon admission in patients with acute ST-elevation MI who underwent primary percutaneous coronary intervention. Messenger RNA was extracted from whole blood cells. LV function was evaluated by echocardiography at 4-months.</p> <p>Results</p> <p>In a test cohort of 32 MI patients, integrated analysis of microarrays with a network of protein-protein interactions identified subgroups of genes which predicted LV dysfunction (ejection fraction ≤ 40%) with areas under the receiver operating characteristic curve (AUC) above 0.80. Candidate genes included transforming growth factor beta receptor 1 (TGFBR1). In a validation cohort of 115 MI patients, TGBFR1 was up-regulated in patients with LV dysfunction (P < 0.001) and was associated with LV function at 4-months (P = 0.003). TGFBR1 predicted LV function with an AUC of 0.72, while peak levels of troponin T (TnT) provided an AUC of 0.64. Adding TGFBR1 to the prediction of TnT resulted in a net reclassification index of 8.2%. When added to a mixed clinical model including age, gender and time to reperfusion, TGFBR1 reclassified 17.7% of misclassified patients. TGFB1, the ligand of TGFBR1, was also up-regulated in patients with LV dysfunction (P = 0.004), was associated with LV function (P = 0.006), and provided an AUC of 0.66. In the rat MI model induced by permanent coronary ligation, the TGFB1-TGFBR1 axis was activated in the heart and correlated with the extent of remodeling at 2 months.</p> <p>Conclusions</p> <p>We identified TGFBR1 as a new candidate prognostic biomarker after acute MI.</p

VEGF receptors on PC12 cells mediate transient activation of ERK1/2 and Akt: comparison of nerve growth factor and vascular endothelial growth factor

Vascular endothelial growth factor (VEGF) and endostatin are angiogenic and anti-angiogenic molecules, respectively, that have been implicated in neurogenesis and neuronal survival. Using alkaline phosphatase fusion proteins, we show that the PC12 neuronal cell line contains cell membrane receptors for VEGF but not for endostatin and the collagen XV endostatin homologue. Immunocytochemistry confirmed that proliferating and differentiated PC12 cells express VEGF receptors 1, 2 and neuropilin-1. While no functional effects of VEGF on PC12 cell proliferation and differentiation could be observed, a slight VEGF-induced reduction of caspase-3 activity in differentiated apoptotic PC12 cells was paralleled by transient activation of ERK1/2 and Akt. In direct comparison, nerve growth factor proved to be a strikingly more potent neuroprotective agent than VEGF

Molybdenum and Phosphorus Interact to Constrain Asymbiotic Nitrogen Fixation in Tropical Forests

Biological di-nitrogen fixation (N2) is the dominant natural source of new nitrogen to land ecosystems. Phosphorus (P) is thought to limit N2 fixation in many tropical soils, yet both molybdenum (Mo) and P are crucial for the nitrogenase reaction (which catalyzes N2 conversion to ammonia) and cell growth. We have limited understanding of how and when fixation is constrained by these nutrients in nature. Here we show in tropical forests of lowland Panama that the limiting element on asymbiotic N2 fixation shifts along a broad landscape gradient in soil P, where Mo limits fixation in P-rich soils while Mo and P co-limit in P-poor soils. In no circumstance did P alone limit fixation. We provide and experimentally test a mechanism that explains how Mo and P can interact to constrain asymbiotic N2 fixation. Fixation is uniformly favored in surface organic soil horizons - a niche characterized by exceedingly low levels of available Mo relative to P. We show that soil organic matter acts to reduce molybdate over phosphate bioavailability, which, in turn, promotes Mo limitation in sites where P is sufficient. Our findings show that asymbiotic N2 fixation is constrained by the relative availability and dynamics of Mo and P in soils. This conceptual framework can explain shifts in limitation status across broad landscape gradients in soil fertility and implies that fixation depends on Mo and P in ways that are more complex than previously thought

Novel Exon of Mammalian ADAR2 Extends Open Reading Frame

Background: The post-transcriptional processing of pre-mRNAs by RNA editing contributes significantly to the complexity of the mammalian transcriptome. RNA editing by site-selective A-to-I modification also regulates protein function through recoding of genomically specified sequences. The adenosine deaminase ADAR2 is the main enzyme responsible for recoding editing and loss of ADAR2 function in mice leads to a phenotype of epilepsy and premature death. Although A-to-I RNA editing is known to be subject to developmental and cell-type specific regulation, there is little knowledge regarding the mechanisms that regulate RNA editing in vivo. Therefore, the characterization of ADAR expression and identification of alternative ADAR variants is an important prerequisite for understanding the mechanisms for regulation of RNA editing and the causes for deregulation in disease. Methodology/Principal Findings: Here we present evidence for a new ADAR2 splice variant that extends the open reading frame of ADAR2 by 49 amino acids through the utilization of an exon located 18 kilobases upstream of the previously annotated first coding exon and driven by a candidate alternative promoter. Interestingly, the 49 amino acid extension harbors a sequence motif that is closely related to the R-domain of ADAR3 where it has been shown to function as a basic, single-stranded RNA binding domain. Quantitative expression analysis shows that expression of the novel ADAR2 splice variant is tissue specific being highest in the cerebellum

Feasibility and safety of high-dose adenosine perfusion cardiovascular magnetic resonance

<p>Abstract</p> <p>Introduction</p> <p>Adenosine is the most widely used vasodilator stress agent for Cardiovascular Magnetic Resonance (CMR) perfusion studies. With the standard dose of 140 mcg/kg/min some patients fail to demonstrate characteristic haemodynamic changes: a significant increase in heart rate (HR) and mild decrease in systolic blood pressure (SBP). Whether an increase in the rate of adenosine infusion would improve peripheral and, likely, coronary vasodilatation in those patients is unknown. The aim of the present study was to assess the tolerance and safety of a high-dose adenosine protocol in patients with inadequate haemodynamic response to the standard adenosine protocol when undergoing CMR perfusion imaging.</p> <p>Methods</p> <p>98 consecutive patients with known or suspected coronary artery disease (CAD) underwent CMR perfusion imaging at 1.5 Tesla. Subjects were screened for contraindications to adenosine, and an electrocardiogram was performed prior to the scan. All patients initially received the standard adenosine protocol (140 mcg/kg/min for at least 3 minutes). If the haemodynamic response was inadequate (HR increase < 10 bpm or SBP decrease < 10 mmHg) then the infusion rate was increased up to a maximum of 210 mcg/kg/min (maximal infusion duration 7 minutes).</p> <p>Results</p> <p>All patients successfully completed the CMR scan. Of a total of 98 patients, 18 (18%) did not demonstrate evidence of a significant increase in HR or decrease in SBP under the standard adenosine infusion rate. Following the increase in the rate of infusion, 16 out of those 18 patients showed an adequate haemodynamic response. One patient of the standard infusion group and two patients of the high-dose group developed transient advanced AV block. Significantly more patients complained of chest pain in the high-dose group (61% vs. 29%, p = 0.009). On multivariate analysis, age > 65 years and ejection fraction < 57% were the only independent predictors of blunted haemodynamic responsiveness to adenosine.</p> <p>Conclusions</p> <p>A substantial number of patients do not show adequate peripheral haemodynamic response to standard-dose adenosine stress during perfusion CMR imaging. Age and reduced ejection fraction are predictors of inadequate response to standard dose adenosine. A high-dose adenosine protocol (up to 210 mcg/kg/min) is well tolerated and results in adequate haemodynamic response in nearly all patients.</p