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

Fractal Profit Landscape of the Stock Market

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.Comment: 12 pages, 4 figure

Electrical impedance tomography system: an open access circuit design

BACKGROUND: This paper reports a simple 2-D system for electrical impedance tomography EIT, which works efficiently and is low cost. The system has been developed in the Sharif University of Technology Tehran-Iran (for the author's MSc Project). METHODS: The EIT system consists of a PC in which an I/O card is installed with an external current generator, a multiplexer, a power supply and a phantom with an array of electrodes. The measurement system provides 12-bit accuracy and hence, suitable data acquisition software has been prepared accordingly. The synchronous phase detection method has been implemented for voltage measurement. Different methods of image reconstruction have been used with this instrument to generate electrical conductivity images. RESULTS: The results of simulation and real measurement of the system are presented. The reconstruction programs were written in MATLAB and the data acquisition software in C++. The system has been tested with both static and dynamic mode in a 2-D domain. Better results have been produced in the dynamic mode of operation, due to the cancellation of errors. CONCLUSION: In the spirit of open access publication the design details of this simple EIT system are made available here

Variability in EIT Images of Lung Ventilation as a Function of Electrode Planes and Body Positions

This study is aimed at investigating the variability in resistivity changes in the lung region as a function of air volume, electrode plane and body position. Six normal subjects (33.8 ± 4.7 years, range from 26 to 37 years) were studied using the Sheffield Electrical Impedance Tomography (EIT) portable system. Three transverse planes at the level of second intercostal space, the level of the xiphisternal joint, and midway between upper and lower locations were chosen for measurements. For each plane, sixteen electrodes were uniformly positioned around the thorax. Data were collected with the breath held at end expiration and after inspiring 0.5, 1.0, or 1.5 liters of air from end expiration, with the subject in both the supine and sitting position. The average resistivity change in five regions, two 8x8 pixel local regions in the right lung, entire right, entire left and total lung regions, were calculated. The results show the resistivity change averaged over electrode positions and subject positions was 7-9% per liter of air, with a slightly larger resistivity change of 10 % per liter air in the lower electrode plane. There was no significant difference (p\u3e0.05) between supine and sitting. The two 8x8 regions show a larger inter individual variability (coefficient of variation, CV, is from 30% to 382%) compared to the entire left, entire right and total lung (CV is from 11% to 51%). The results for the global regions are more consistent. The large inter individual variability appears to be a problem for clinical applications of EIT, such as regional ventilation. The variability may be mitigated by choosing appropriate electrode plane, body position and region of interest for the analysis

Juvenile obesity and its association with utilisation and costs of pharmaceuticals - results from the KiGGS study

<p>Abstract</p> <p>Background</p> <p>According to a national reference, 15% of German children and adolescents are overweight (including obese) and 6.3% are obese. An earlier study analysed the impact of childhood overweight and obesity on different components of direct medical costs (physician, hospital and therapists). To complement the existing literature for Germany, this study aims to explore the association of body mass index (BMI) with utilisation of pharmaceuticals and related costs in German children and adolescents.</p> <p>Methods</p> <p>Based on data from 14, 836 respondents aged 3-17 years in the German Interview and Examination Survey for Children and Adolescents (KiGGS), drug intake and associated costs were estimated using a bottom-up approach. To investigate the association of BMI with utilisation and costs, univariate analyses and multivariate generalised mixed models were conducted.</p> <p>Results</p> <p>There was no significant difference between BMI groups regarding the probability of drug utilisation. However, the number of pharmaceuticals used was significantly higher (14%) for obese children than for normal weight children. Furthermore, there was a trend for more physician-prescribed medication in obese children and adolescents. Among children with pharmaceutical intake, estimated costs were 24% higher for obese children compared with the normal weight group.</p> <p>Conclusions</p> <p>This is the first study to estimate excess drug costs for obesity based on a representative cross-sectional sample of the child and adolescent population in Germany. The results suggest that obese children should be classified as a priority group for prevention. This study complements the existing literature and provides important information concerning the relevance of childhood obesity as a health problem.</p

Computational Micromodel for Epigenetic Mechanisms

Characterization of the epigenetic profile of humans since the initial breakthrough on the human genome project has strongly established the key role of histone modifications and DNA methylation. These dynamic elements interact to determine the normal level of expression or methylation status of the constituent genes in the genome. Recently, considerable evidence has been put forward to demonstrate that environmental stress implicitly alters epigenetic patterns causing imbalance that can lead to cancer initiation. This chain of consequences has motivated attempts to computationally model the influence of histone modification and DNA methylation in gene expression and investigate their intrinsic interdependency. In this paper, we explore the relation between DNA methylation and transcription and characterize in detail the histone modifications for specific DNA methylation levels using a stochastic approach

IL-21 signaling is essential for optimal host resistance against Mycobacterium tuberculosis infection

IL-21 is produced predominantly by activated CD4(+) T cells and has pleiotropic effects on immunity via the IL-21 receptor (IL-21R), a member of the common gamma chain (gamma(c)) cytokine receptor family. We show that IL-21 signaling plays a crucial role in T cell responses during Mycobacterium tuberculosis infection by augmenting CD8(+) T cell priming, promoting T cell accumulation in the lungs, and enhancing T cell cytokine production. In the absence of IL-21 signaling, more CD4(+) and CD8(+) T cells in chronically infected mice express the T cell inhibitory molecules PD-1 and TIM-3. We correlate these immune alterations with increased susceptibility of IL-21R(-/-) mice, which have increased lung bacterial burden and earlier mortality compared to WT mice. Finally, to causally link the immune defects with host susceptibility, we use an adoptive transfer model to show that IL-21R(-/-) T cells transfer less protection than WT T cells. These results prove that IL-21 signaling has an intrinsic role in promoting the protective capacity of T cells. Thus, the net effect of IL-21 signaling is to enhance host resistance to M. tuberculosis. These data position IL-21 as a candidate biomarker of resistance to tuberculosis.This work was supported by National Institutes of Health Grants R21 AI100766, R01 AI106725, and P01 AI073748

Identification of alternative splice variants in Aspergillus flavus through comparison of multiple tandem MS search algorithms

<p>Abstract</p> <p>Background</p> <p>Database searching is the most frequently used approach for automated peptide assignment and protein inference of tandem mass spectra. The results, however, depend on the sequences in target databases and on search algorithms. Recently by using an alternative splicing database, we identified more proteins than with the annotated proteins in <it>Aspergillus flavus</it>. In this study, we aimed at finding a greater number of eligible splice variants based on newly available transcript sequences and the latest genome annotation. The improved database was then used to compare four search algorithms: Mascot, OMSSA, X! Tandem, and InsPecT.</p> <p>Results</p> <p>The updated alternative splicing database predicted 15833 putative protein variants, 61% more than the previous results. There was transcript evidence for 50% of the updated genes compared to the previous 35% coverage. Database searches were conducted using the same set of spectral data, search parameters, and protein database but with different algorithms. The false discovery rates of the peptide-spectrum matches were estimated < 2%. The numbers of the total identified proteins varied from 765 to 867 between algorithms. Whereas 42% (1651/3891) of peptide assignments were unanimous, the comparison showed that 51% (568/1114) of the RefSeq proteins and 15% (11/72) of the putative splice variants were inferred by all algorithms. 12 plausible isoforms were discovered by focusing on the consensus peptides which were detected by at least three different algorithms. The analysis found different conserved domains in two putative isoforms of UDP-galactose 4-epimerase.</p> <p>Conclusions</p> <p>We were able to detect dozens of new peptides using the improved alternative splicing database with the recently updated annotation of the <it>A. flavus </it>genome. Unlike the identifications of the peptides and the RefSeq proteins, large variations existed between the putative splice variants identified by different algorithms. 12 candidates of putative isoforms were reported based on the consensus peptide-spectrum matches. This suggests that applications of multiple search engines effectively reduced the possible false positive results and validated the protein identifications from tandem mass spectra using an alternative splicing database.</p