Dynamic modeling of mean-reverting spreads for statistical arbitrage

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed, including a co-integration relationship involving two exchange-traded funds.Comment: 34 pages, 6 figures. Submitte

Paracetamol, NSAIDS and opioid analgesics for chronic low back pain: A network meta-analysis

This is a protocol for a Cochrane Review (Intervention). The objectives are as follows: To answer the clinical question: ‘what analgesic medicine shall I prescribe this patient with chronic low back pain to reduce their pain?’. The objectives are to determine the analgesic effects, safety, effect on function, and relative rank according to analgesic effect, safety and effect on function of a single course of opioid analgesics, NSAIDs or paracetamol or combinations of these medicines

Atom Optics Quantum Pendulum

We explain the dynamics of cold atoms, initially trapped and cooled in a magneto-optic trap, in a monochromatic stationary standing electromagnetic wave field. In the large detuning limit the system is modeled as a nonlinear quantum pendulum. We show that wave packet evolution of the quantum particle probes parametric regimes in the quantum pendulum which support classical period, quantum mechanical revival and super revival phenomena. Interestingly, complete reconstruction in particular parametric regime at quantum revival times is independent of potential height.Comment: 14 pages, 7 figure

Environmental chemical stressors as epigenome modifiers:a new horizon in assessment of toxicological effects

In eukaryotic cells, chromatin transformation from euchromatin into heterochromatin as a means of controlling gene expression and replication has been known as the ?accessibility hypothesis?. The interplay of epigenetic changes including histone modifications, DNA methylation, RNA interference (RNAi) and other functional epigenetic components are intricate. It is believed that these changes are well-programmed, inherited and can be modified by environmental contaminant stressors. Environmentally-driven epigenetic alterations during development, e.g. embryonic, foetal or neonatal stage, may influence disease susceptibility in adulthood. Therefore, understanding how epigenome modifications develop in response to environmental chemicals and, how epigenetic-xenobiotic interactions influence human health will shed new insights into gene-environment interactions in the epidemiology of several diseases including cancer. In this review, we consider studies of chemical modifiers including nutritional and xenobiotic effects on epigenetic components in vitro or in vivo. By examining the most-studied epigenome modifications and how their respective roles are interlinked, we highlight the central role of xenbiotic-modified epigenetic mechanisms. A major requirement will be to study and understand effects following environmentally-relevant exposures. We suggest that the study of epigenetic toxicology will open up new opportunities to devise strategies for the prevention or treatment of at-risk populations

Current issues in medically assisted reproduction and genetics in Europe: research, clinical practice, ethics, legal issues and policy. European Society of Human Genetics and European Society of Human Reproduction and Embryology.

In March 2005, a group of experts from the European Society of Human Genetics and European Society of Human Reproduction and Embryology met to discuss the interface between genetics and assisted reproductive technology (ART), and published an extended background paper, recommendations and two Editorials. Seven years later, in March 2012, a follow-up interdisciplinary workshop was held, involving representatives of both professional societies, including experts from the European Union Eurogentest2 Coordination Action Project. The main goal of this meeting was to discuss developments at the interface between clinical genetics and ARTs. As more genetic causes of reproductive failure are now recognised and an increasing number of patients undergo testing of their genome before conception, either in regular health care or in the context of direct-to-consumer testing, the need for genetic counselling and preimplantation genetic diagnosis (PGD) may increase. Preimplantation genetic screening (PGS) thus far does not have evidence from randomised clinical trials to substantiate that the technique is both effective and efficient. Whole-genome sequencing may create greater challenges both in the technological and interpretational domains, and requires further reflection about the ethics of genetic testing in ART and PGD/PGS. Diagnostic laboratories should be reporting their results according to internationally accepted accreditation standards (International Standards Organisation - ISO 15189). Further studies are needed in order to address issues related to the impact of ART on epigenetic reprogramming of the early embryo. The legal landscape regarding assisted reproduction is evolving but still remains very heterogeneous and often contradictory. The lack of legal harmonisation and uneven access to infertility treatment and PGD/PGS fosters considerable cross-border reproductive care in Europe and beyond. The aim of this paper is to complement previous publications and provide an update of selected topics that have evolved since 2005

Laparoscopy in management of appendicitis in high-, middle-, and low-income countries: a multicenter, prospective, cohort study.

BACKGROUND: Appendicitis is the most common abdominal surgical emergency worldwide. Differences between high- and low-income settings in the availability of laparoscopic appendectomy, alternative management choices, and outcomes are poorly described. The aim was to identify variation in surgical management and outcomes of appendicitis within low-, middle-, and high-Human Development Index (HDI) countries worldwide. METHODS: This is a multicenter, international prospective cohort study. Consecutive sampling of patients undergoing emergency appendectomy over 6 months was conducted. Follow-up lasted 30 days. RESULTS: 4546 patients from 52 countries underwent appendectomy (2499 high-, 1540 middle-, and 507 low-HDI groups). Surgical site infection (SSI) rates were higher in low-HDI (OR 2.57, 95% CI 1.33-4.99, p = 0.005) but not middle-HDI countries (OR 1.38, 95% CI 0.76-2.52, p = 0.291), compared with high-HDI countries after adjustment. A laparoscopic approach was common in high-HDI countries (1693/2499, 67.7%), but infrequent in low-HDI (41/507, 8.1%) and middle-HDI (132/1540, 8.6%) groups. After accounting for case-mix, laparoscopy was still associated with fewer overall complications (OR 0.55, 95% CI 0.42-0.71, p < 0.001) and SSIs (OR 0.22, 95% CI 0.14-0.33, p < 0.001). In propensity-score matched groups within low-/middle-HDI countries, laparoscopy was still associated with fewer overall complications (OR 0.23 95% CI 0.11-0.44) and SSI (OR 0.21 95% CI 0.09-0.45). CONCLUSION: A laparoscopic approach is associated with better outcomes and availability appears to differ by country HDI. Despite the profound clinical, operational, and financial barriers to its widespread introduction, laparoscopy could significantly improve outcomes for patients in low-resource environments. TRIAL REGISTRATION: NCT02179112

Pooled analysis of WHO Surgical Safety Checklist use and mortality after emergency laparotomy

Background The World Health Organization (WHO) Surgical Safety Checklist has fostered safe practice for 10 years, yet its place in emergency surgery has not been assessed on a global scale. The aim of this study was to evaluate reported checklist use in emergency settings and examine the relationship with perioperative mortality in patients who had emergency laparotomy. Methods In two multinational cohort studies, adults undergoing emergency laparotomy were compared with those having elective gastrointestinal surgery. Relationships between reported checklist use and mortality were determined using multivariable logistic regression and bootstrapped simulation. Results Of 12 296 patients included from 76 countries, 4843 underwent emergency laparotomy. After adjusting for patient and disease factors, checklist use before emergency laparotomy was more common in countries with a high Human Development Index (HDI) (2455 of 2741, 89.6 per cent) compared with that in countries with a middle (753 of 1242, 60.6 per cent; odds ratio (OR) 0.17, 95 per cent c.i. 0.14 to 0.21, P <0001) or low (363 of 860, 422 per cent; OR 008, 007 to 010, P <0.001) HDI. Checklist use was less common in elective surgery than for emergency laparotomy in high-HDI countries (risk difference -94 (95 per cent c.i. -11.9 to -6.9) per cent; P <0001), but the relationship was reversed in low-HDI countries (+121 (+7.0 to +173) per cent; P <0001). In multivariable models, checklist use was associated with a lower 30-day perioperative mortality (OR 0.60, 0.50 to 073; P <0.001). The greatest absolute benefit was seen for emergency surgery in low- and middle-HDI countries. Conclusion Checklist use in emergency laparotomy was associated with a significantly lower perioperative mortality rate. Checklist use in low-HDI countries was half that in high-HDI countries.Peer reviewe

Early life patterns of common infection: a latent class analysis

Early life infection has been implicated in the aetiology of many chronic diseases, most often through proxy measures. Data on ten infectious symptoms were collected by parental questionnaire when children were 6 months old as part of the Avon Longitudinal Study of Parents and Children, United Kingdom. A latent class analysis was used to identify patterns of infection and their relationship to five factors commonly used as proxies: sex, other children in the home, maternal smoking, breastfeeding and maternal education. A total of 10,032 singleton children were included in the analysis. Five classes were identified with differing infectious disease patterns and children were assigned to the class for which they had a highest probability of membership based on their infectious symptom profile: ‘general infection’ (n = 1,252, 12.5%), ‘gastrointestinal’ (n = 1,902, 19.0%), ‘mild respiratory’ (n = 3,560, 35.5%), ‘colds/ear ache’ (n = 462, 4.6%) and ‘healthy’ (n = 2,856, 28.5%). Females had a reduced risk of being in all infectious classes, other children in the home were associated with an increased risk of being in the ‘general infection’, ‘mild respiratory’ or ‘colds/ear ache’ class. Breastfeeding reduced the risk of being in the ‘general infection’ and ‘gastrointestinal’ classes whereas maternal smoking increased the risk of membership. Higher maternal education was associated with an increased risk of being in the ‘mild respiratory’ group. Other children in the home had the greatest association with infectious class membership. Latent class analysis provided a flexible method of investigating the relationship between multiple symptoms and demographic and lifestyle factors