Bayesian Analysis of the Stochastic Conditional Duration Model

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms, with the latent vector sampled in blocks. The suggested approach is shown to be preferable to the quasi-maximum likelihood approach, and its mixing speed faster than that of an alternative single-move algorithm. The methodology is illustrated with an application to Australian intraday stock market data.Transaction data, Latent factor model, Non-Gaussian state space model, Kalman filter and simulation smoother.

Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models

The impact of parameterisation on the simulation efficiency of Bayesian Markov chain Monte Carlo (MCMC) algorithms for two non-Gaussian state space models is examined. Specifically, focus is given to particular forms of the stochastic conditional duration (SCD) model and the stochastic volatility (SV) model, with four alternative parameterisations of each model considered. A controlled experiment using simulated data reveals that relationships exist between the simulation efficiency of the MCMC sampler, the magnitudes of the population parameters and the particular parameterisation of the state space model. Results of an empirical analysis of two separate transaction data sets for the SCD model, as well as equity and exchange rate data sets for the SV model, are also reported. Both the simulation and empirical results reveal that substantial gains in simulation efficiency can be obtained from simple reparameterisations of both types of non-Gaussian state space models.Bayesian methodology, stochastic volatility, durations, non-centred in location, non-centred in scale, inefficiency factors.

BHPR research: qualitative1. Complex reasoning determines patients' perception of outcome following foot surgery in rheumatoid arhtritis

Background: Foot surgery is common in patients with RA but research into surgical outcomes is limited and conceptually flawed as current outcome measures lack face validity: to date no one has asked patients what is important to them. This study aimed to determine which factors are important to patients when evaluating the success of foot surgery in RA Methods: Semi structured interviews of RA patients who had undergone foot surgery were conducted and transcribed verbatim. Thematic analysis of interviews was conducted to explore issues that were important to patients. Results: 11 RA patients (9 ♂, mean age 59, dis dur = 22yrs, mean of 3 yrs post op) with mixed experiences of foot surgery were interviewed. Patients interpreted outcome in respect to a multitude of factors, frequently positive change in one aspect contrasted with negative opinions about another. Overall, four major themes emerged. Function: Functional ability & participation in valued activities were very important to patients. Walking ability was a key concern but patients interpreted levels of activity in light of other aspects of their disease, reflecting on change in functional ability more than overall level. Positive feelings of improved mobility were often moderated by negative self perception ("I mean, I still walk like a waddling duck”). Appearance: Appearance was important to almost all patients but perhaps the most complex theme of all. Physical appearance, foot shape, and footwear were closely interlinked, yet patients saw these as distinct separate concepts. Patients need to legitimize these feelings was clear and they frequently entered into a defensive repertoire ("it's not cosmetic surgery; it's something that's more important than that, you know?”). Clinician opinion: Surgeons' post operative evaluation of the procedure was very influential. The impact of this appraisal continued to affect patients' lasting impression irrespective of how the outcome compared to their initial goals ("when he'd done it ... he said that hasn't worked as good as he'd wanted to ... but the pain has gone”). Pain: Whilst pain was important to almost all patients, it appeared to be less important than the other themes. Pain was predominately raised when it influenced other themes, such as function; many still felt the need to legitimize their foot pain in order for health professionals to take it seriously ("in the end I went to my GP because it had happened a few times and I went to an orthopaedic surgeon who was quite dismissive of it, it was like what are you complaining about”). Conclusions: Patients interpret the outcome of foot surgery using a multitude of interrelated factors, particularly functional ability, appearance and surgeons' appraisal of the procedure. While pain was often noted, this appeared less important than other factors in the overall outcome of the surgery. Future research into foot surgery should incorporate the complexity of how patients determine their outcome Disclosure statement: All authors have declared no conflicts of interes

The James Webb Space Telescope Mission

Twenty-six years ago a small committee report, building on earlier studies, expounded a compelling and poetic vision for the future of astronomy, calling for an infrared-optimized space telescope with an aperture of at least $4m$. With the support of their governments in the US, Europe, and Canada, 20,000 people realized that vision as the $6.5m$ James Webb Space Telescope. A generation of astronomers will celebrate their accomplishments for the life of the mission, potentially as long as 20 years, and beyond. This report and the scientific discoveries that follow are extended thank-you notes to the 20,000 team members. The telescope is working perfectly, with much better image quality than expected. In this and accompanying papers, we give a brief history, describe the observatory, outline its objectives and current observing program, and discuss the inventions and people who made it possible. We cite detailed reports on the design and the measured performance on orbit.Comment: Accepted by PASP for the special issue on The James Webb Space Telescope Overview, 29 pages, 4 figure

The Science Performance of JWST as Characterized in Commissioning

This paper characterizes the actual science performance of the James Webb Space Telescope (JWST), as determined from the six month commissioning period. We summarize the performance of the spacecraft, telescope, science instruments, and ground system, with an emphasis on differences from pre-launch expectations. Commissioning has made clear that JWST is fully capable of achieving the discoveries for which it was built. Moreover, almost across the board, the science performance of JWST is better than expected; in most cases, JWST will go deeper faster than expected. The telescope and instrument suite have demonstrated the sensitivity, stability, image quality, and spectral range that are necessary to transform our understanding of the cosmos through observations spanning from near-earth asteroids to the most distant galaxies.Comment: 5th version as accepted to PASP; 31 pages, 18 figures; https://iopscience.iop.org/article/10.1088/1538-3873/acb29

A blood atlas of COVID-19 defines hallmarks of disease severity and specificity.

Treatment of severe COVID-19 is currently limited by clinical heterogeneity and incomplete description of specific immune biomarkers. We present here a comprehensive multi-omic blood atlas for patients with varying COVID-19 severity in an integrated comparison with influenza and sepsis patients versus healthy volunteers. We identify immune signatures and correlates of host response. Hallmarks of disease severity involved cells, their inflammatory mediators and networks, including progenitor cells and specific myeloid and lymphocyte subsets, features of the immune repertoire, acute phase response, metabolism, and coagulation. Persisting immune activation involving AP-1/p38MAPK was a specific feature of COVID-19. The plasma proteome enabled sub-phenotyping into patient clusters, predictive of severity and outcome. Systems-based integrative analyses including tensor and matrix decomposition of all modalities revealed feature groupings linked with severity and specificity compared to influenza and sepsis. Our approach and blood atlas will support future drug development, clinical trial design, and personalized medicine approaches for COVID-19

Efficient Bayesian estimation of multivariate state space models

A Bayesian Markov chain Monte Carlo methodology is developed for the estimation of multivariate linear Gaussian state space models. In particular, an efficient simulation smoothing algorithm is proposed that makes use of the univariate representation of the state space model. Substantial gains over existing algorithms in computational efficiency are achieved using the new simulation smoother for the analysis of high dimensional multivariate time series. The methodology is used to analyse a multivariate timeseries dataset of the Normalised Difference Vegetation Index (NDVI), which is a proxy for the level of live vegetation, for a particular grazing property located in Queensland, Australia