Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of Normals (SMiN CVAR) representation of Alpha-stable inter-day innovations. These results are generalized to asymmetric models for the innovation noise at inter-day boundaries allowing for skewed Alpha-stable models. Our proposed model and sampling methodology is general, incorporating the current literature on Gaussian models as a special subclass and also allowing for price series level shifts either at random estimated time points or known a priori time points. We focus analysis on regularly observed non-Gaussian level shifts that can have significant effect on estimation performance in statistical models failing to account for such level shifts, such as at the close and open of markets. We compare the estimation accuracy of our model and estimation approach to standard frequentist and Bayesian procedures for CVAR models when non-Gaussian price series level shifts are present in the individual series, such as inter-day boundaries. We fit a bi-variate Alpha-stable model to the inter-day jumps and model the effect of such jumps on estimation of matrix-variate CVAR model parameters using the likelihood based Johansen procedure and a Bayesian estimation. We illustrate our model and the corresponding estimation procedures we develop on both synthetic and actual data.Comment: 30 page

Statistical modelling for precision agriculture: A case study in optimal environmental schedules for Agaricus Bisporus production via variable domain functional regression

Quantifying the effects of environmental factors over the duration of the growing process on Agaricus Bisporus (button mushroom) yields has been difficult, as common functional data analysis approaches require fixed length functional data. The data available from commercial growers, however, is of variable duration, due to commercial considerations. We employ a recently proposed regression technique termed Variable-Domain Functional Regression in order to be able to accommodate these irregular-length datasets. In this way, we are able to quantify the contribution of covariates such as temperature, humidity and water spraying volumes across the growing process, and for different lengths of growing processes. Our results indicate that optimal oxygen and temperature levels vary across the growing cycle and we propose environmental schedules for these covariates to optimise overall yields

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

In this paper we demonstrate how to develop analytic closed form solutions to optimal multiple stopping time problems arising in the setting in which the value function acts on a compound process that is modified by the actions taken at the stopping times. This class of problem is particularly relevant in insurance and risk management settings and we demonstrate this on an important application domain based on insurance strategies in Operational Risk management for financial institutions. In this area of risk management the most prevalent class of loss process models is the Loss Distribution Approach (LDA) framework which involves modelling annual losses via a compound process. Given an LDA model framework, we consider Operational Risk insurance products that mitigate the risk for such loss processes and may reduce capital requirements. In particular, we consider insurance products that grant the policy holder the right to insure k of its annual Operational losses in a horizon of T years. We consider two insurance product structures and two general model settings, the first are families of relevant LDA loss models that we can obtain closed form optimal stopping rules for under each generic insurance mitigation structure and then secondly classes of LDA models for which we can develop closed form approximations of the optimal stopping rules. In particular, for losses following a compound Poisson process with jump size given by an Inverse-Gaussian distribution and two generic types of insurance mitigation, we are able to derive analytic expressions for the loss process modified by the insurance application, as well as closed form solutions for the optimal multiple stopping rules in discrete time (annually). When the combination of insurance mitigation and jump size distribution does not lead to tractable stopping rules we develop a principled class of closed form approximations to the optimal decision rule. These approximations are developed based on a class of orthogonal Askey polynomial series basis expansion representations of the annual loss compound process distribution and functions of this annual loss

Secure and Internet-Less Connectivity to a Blockchain Network for Limited Connectivity Bank Users

Over the past few years, we have seen the emergence of a wide range of banking architectures, technologies, and applications made possible by the significant improvements in hardware, software, and networking technologies. Nowadays, innovative solutions are being developed by banks to leverage the benefits of blockchain, to improve their business agility and performance, and to make their business operations more efficient and secure. However, there are still cases where regular access to Internet is impossible or unreliable due to saturated networks or harsh environments, hence limiting the deployment of typical blockchain based solutions. In this context, an approach using a new connectivity technology is needed in order to increase mobile Internet services for any device to reach nearly 95% of the world population, instantly, simply by drawing on existing mobile phone networks, with no additional infrastructure development. We aim to give the user full bank access from their device, even if the device is not a smart one, using ordinary mobile phone networks. However, providing efficient and secure communications over lossy and low bandwidth networks remains a challenge. The main objective of this paper will be to design an end-to-end and low overhead secure solution for the communications between mobile devices and their corresponding remote application servers that using blockchain via ordinary mobile networks

The role of statins in prevention and treatment of community acquired pneumonia: a systematic review and meta-analysis.

BACKGROUND: Emerging epidemiological evidence suggests that statins may reduce the risk of community-acquired pneumonia (CAP) and its complications. PURPOSE: Performed a systematic review to address the role of statins in the prevention or treatment of CAP. DATA SOURCE: Ovid MEDLINE, Cochrane, EMBASE, ISI Web of Science, and Scopus from inception through December 2011 were searched for randomized clinical trials, cohort and case-control studies. STUDY SELECTION: Two authors independently reviewed studies that examined the role of statins in CAP. DATA EXTRACTION: Data about study characteristics, adjusted effect-estimates and quality characteristics was extracted. DATA SYNTHESIS: Eighteen studies corresponding to 21 effect-estimates (eight and 13 of which addressed the preventive and therapeutic roles of statins, respectively) were included. All studies were of good methodological quality. Random-effects meta-analyses of adjusted effect-estimates were used. Statins were associated with a lower risk of CAP, 0.84 (95% CI, 0.74-0.95), I(2) = 90.5% and a lower short-term mortality in patients with CAP, 0.68 (95% CI, 0.59-0.78), I(2) = 75.7%. Meta-regression did not identify sources of heterogeneity. A funnel plot suggested publication bias in the treatment group, which was adjusted by a novel regression method with a resultant effect-estimate of 0.85 (95% CI, 0.77-0.93). Sensitivity analyses using the rule-out approach showed that it is unlikely that the results were due to an unmeasured confounder. CONCLUSIONS: Our meta-analysis reveals a beneficial role of statins for the risk of development and mortality associated with CAP. However, the results constitute very low quality evidence as per the GRADE framework due to observational study design, heterogeneity and publication bias

What a difference a term makes:the effect of educational attainment on marital outcomes in the UK

Abstract In the past, students in England and Wales born within the first 5 monthsof the academic year could leave school one term earlier than those born later inthe year. Focusing on women, those who were required to stay on an extra termmore frequently hold some academic qualification. Using having been required tostay on as an exogenous factor affecting academic attainment, we find that holding alow-level academic qualification has no effect on the probability of being currentlymarried for women aged 25 or above, but increases the probability of the husbandholding some academic qualification and being economically active.33 Halama

Applying blockchain to improve the integrity of the software development process

Software development is a complex endeavor that encompasses application and implementation layers with functional (refers to what is done) and non-functional (how is done) aspects. The efforts to scale agile software development practices are not wholly able to address issues such as integrity, which is a crucial non-functional aspect of the software development process. However, if we consider most software failures are Byzantine failures (i.e., where components may fail and there is imperfect information on which a component has failed.) that might impair the operation but do not completely disable the production line. In this paper, we assume software practitioners who cause defects as Byzantine participants and claim that most software failures can be mitigated by viewing software development as the Byzantine Generals Problem. Consequently, we propose a test-driven incentive mechanism based on a blockchain concept to orchestrate the software development process where production is controlled by a similar infrastructure based on the working principles of blockchain. We discuss the model that integrates blockchain with the software development process, and provide some recommendations for future work to address the issues while orchestrating software productio

How the other half lives: CRISPR-Cas's influence on bacteriophages

CRISPR-Cas is a genetic adaptive immune system unique to prokaryotic cells used to combat phage and plasmid threats. The host cell adapts by incorporating DNA sequences from invading phages or plasmids into its CRISPR locus as spacers. These spacers are expressed as mobile surveillance RNAs that direct CRISPR-associated (Cas) proteins to protect against subsequent attack by the same phages or plasmids. The threat from mobile genetic elements inevitably shapes the CRISPR loci of archaea and bacteria, and simultaneously the CRISPR-Cas immune system drives evolution of these invaders. Here we highlight our recent work, as well as that of others, that seeks to understand phage mechanisms of CRISPR-Cas evasion and conditions for population coexistence of phages with CRISPR-protected prokaryotes.Comment: 24 pages, 8 figure

Correlation between 5-fluorouracil metabolism and treatment response in two variants of C26 murine colon carcinoma

Following an i.p. dose of 150 mg x kg(-1) 5-fluorouracil (5-FU), drug uptake and metabolism over a 2-h period were studied by in vivo (19)F magnetic resonance spectroscopy (MRS) for the murine colon carcinoma lines C26-B (5-FU-insensitive; n=11) and C26-10 (5-FU-sensitive; n=15) implanted s.c. in Balb/C mice. Time courses for tumour growth, intracellular levels of FdUMP, thymidylate synthase (TS) activity, and 5-FU in RNA were also determined, and the effects of a 9.5-min period of carbogen breathing, starting 1 min before drug administration, on MRS-detected 5-FU metabolism and tumour growth curves were examined. Both tumour variants generated MRS-detectable 5-FU nucleotides and showed similar initial growth inhibition after treatment. However, the growth rate of C26-B tumours returned to normal, while the sensitive C26-10 tumours, which produced larger fluoronucleotide pools, still showed moderate growth inhibition. Carbogen breathing did not significantly influence 5-FU uptake or fluoronucleotide production but did significantly enhance growth inhibition in C26-10 tumours. While both tumour variants exhibited incorporation of 5-FU into RNA and inhibition of TS via FdUMP, clearance of 5-FU from RNA and recovery of TS activity were greater for the insensitive C26-B line, indicating that these processes, in addition to 5-FU uptake and metabolism, may be important determinants of drug sensitivity and treatment respons

Broad Spectrum Antiviral Activity of Favipiravir (T-705): Protection from Highly Lethal Inhalational Rift Valley Fever

Background:Development of antiviral drugs that have broad-spectrum activity against a number of viral infections would be of significant benefit. Due to the evolution of resistance to currently licensed antiviral drugs, development of novel anti-influenza drugs is in progress, including Favipiravir (T-705), which is currently in human clinical trials. T-705 displays broad-spectrum in vitro activity against a number of viruses, including Rift Valley Fever virus (RVFV). RVF is an important neglected tropical disease that causes human, agricultural, and economic losses in endemic regions. RVF has the capacity to emerge in new locations and also presents a potential bioterrorism threat. In the current study, the in vivo efficacy of T-705 was evaluated in Wistar-Furth rats infected with the virulent ZH501 strain of RVFV by the aerosol route.Methodology/Principal Findings:Wistar-Furth rats are highly susceptible to a rapidly lethal disease after parenteral or inhalational exposure to the pathogenic ZH501 strain of RVFV. In the current study, two experiments were performed: a dose-determination study and a delayed-treatment study. In both experiments, all untreated control rats succumbed to disease. Out of 72 total rats infected with RVFV and treated with T-705, only 6 succumbed to disease. The remaining 66 rats (92%) survived lethal infection with no significant weight loss or fever. The 6 treated rats that succumbed survived significantly longer before succumbing to encephalitic disease.Conclusions/Significance:Currently, there are no licensed antiviral drugs for treating RVF. Here, T-705 showed remarkable efficacy in a highly lethal rat model of Rift Valley Fever, even when given up to 48 hours post-infection. This is the first study to show protection of rats infected with the pathogenic ZH501 strain of RVFV. Our data suggest that T-705 has potential to be a broad-spectrum antiviral drug. © 2014 Caroline et al