Forecasting financial markets using linear, nonlinear & model combination methods

In this thesis we investigate the question of asset price predictability. The two major themes that we focus on are firstly; whether machine learning and statistical modelling techniques, which impose less restrictive assumptions on asset price dynamics than do classical linear methods, can be used to forecast and trade financial markets to a degree greater than that which traditional asset pricing models would lead us to expect and secondly; to what extent model combination/ensemble strategies can add value in this pursuit. The approaches used include support vector regression (SVR), k-nearest neighbours (KNN), trading rules, linear regression (LR) and the random subspace ensemble method. We investigate these two themes using inherently data-driven models across datasets of sufficient size to render statistically meaningful results in three self-contained contexts. The first piece of empirical work compares the relative forecasting performance of SVR, KNN and LR models when applied to predicting daily returns of 58 UK stocks in the FTSE 100 over 4000 days. Bootstrap simulations are used to shed further statistical light on model performance. Secondly, we investigate the extent to which model combinations can improve forecasting performance with the use of the random subspace ensemble method for constructing ensembles of linear regression models to predict the returns of a portfolio of FTSE 100 stocks. The primary ensemble consists of 62500 component models estimated by randomly sampling subsets of the feature set and the final result combined via a majority vote. Lastly, we conduct an in-depth study of the channel break-out trading rule over a portfolio of 37 futures markets. We borrow a page from the book of modern portfolio theory where it is the performance of individual markets in the context of a portfolio that is ultimately of interest rather than on an individual basis. This approach is rarely used in the literature but is able to shed more light on the question of trading rule efficacy. Bootstrap resampling is employed to derive robust performance statistics. Our results show the Sharpe Ratio of the portfolio to be three times greater than of individual markets as a result of diversification in addition to being greater than that of S&P500 benchmark. We did not set out in an attempt to refute the weak form of Fama's (1970) classic taxonomy of information sets or, colloquially, "to beat the market"; nonetheless, some of our results suggest economically significant returns

Normal levels of p27Xic1 are necessary for somite segmentation and determining pronephric organ size

The Xenopus laevis cyclin dependent kinase inhibitor p27Xic1 has been shown to be involved in exit from the cell cycle and differentiation of cells into a quiescent state in the nervous system, muscle tissue, heart and retina. We show that p27Xic1 is expressed in the developing kidney in the nephrostomal regions. Using over-expression and morpholino oligonucleotide (MO) knock-down approaches we show normal levels of p27Xic1 regulate pronephros organ size by regulating cell cycle exit. Knock-down of p27Xic1 expression using a MO prevented myogenesis, as previously reported; an effect that subsequently inhibits pronephrogenesis. Furthermore, we show that normal levels of p27Xic1 are required for somite segmentation also through its cell cycle control function. Finally, we provide evidence to suggest correct paraxial mesoderm segmentation is not necessary for pronephric induction in the intermediate mesoderm. These results indicate novel developmental roles for p27Xic1, and reveal its differentiation function is not universally utilised in all developing tissues

M5-branes from gauge theories on the 5-sphere

We use the 5-sphere partition functions of supersymmetric Yang-Mills theories to explore the (2,0) superconformal theory on S^5 x S^1. The 5d theories can be regarded as Scherk-Schwarz reductions of the 6d theory along the circle. In a special limit, the perturbative partition function takes the form of the Chern-Simons partition function on S^3. With a simple non-perturbative completion, it becomes a 6d index which captures the degeneracy of a sector of BPS states as well as the index version of the vacuum Casimir energy. The Casimir energy exhibits the N^3 scaling at large N. The large N index for U(N) gauge group also completely agrees with the supergravity index on AdS_7 x S^4.Comment: 44 pages, 1 figure, v4: ref added, clarified weak/strong coupling behaviors of large N free energy, minor improvements, version to be published in JHE

Marjolin's ulcers: theories, prognostic factors and their peculiarities in spina bifida patients

<p>Abstract</p> <p>Background</p> <p>Due to improved care, more and more children born with spina bifida in rural Kenya are surviving into adulthood. This improved survival has led to significant challenges in their lifestyles, especially the need to ensure pressure ulcer prevention and treatment. Malignant degeneration of pressure ulcers in spina bifida patients is very rare. The author describes the clinical presentation of two pressure ulcer carcinomas that are at variance from classical descriptions.</p> <p>Materials and methods</p> <p>An internet/Medline/PubMed search of English literature for theories on Marjolin's ulcer evolution and prognostic features of Marjolin's ulcers was performed.</p> <p>A chart review of two young adults with spina bifida who had presented to the author's hospital between 2004 and August 2010 with chronic pressure ulcers found to be Marjolin's ulcers on histo-pathological examination was performed, and the clinical features are reported.</p> <p>Results</p> <p>The two ulcers appeared clinically benign: one was a deep ulcer, while the other was shallow; both had normal, benign-appearing edges, and a foul smelling discharge. The two ulcers were surrounded by induration and multiple communicating sinuses, with no evidence of chronic osteomyelitis. The internet search revealed a total of nine theories on Marjolin's ulcer development, as well as seven clinical and four histological prognostic features.</p> <p>Discussion</p> <p>The multifactorial theory, a coalescence of a number of proposed theories, best explains the evolution of Marjolin's ulcers. Poor prognostic features include pressure ulcer carcinomas, lesions and location in the lower limbs/trunks, all present in the two patients making their prognosis dim: this is despite the surgical margins being clear of tumor. Benign appearance, induration and presence of multiple communicating sinuses are features that have not been previously described as presenting features of pressure ulcers carcinomas.</p> <p>Conclusion</p> <p>There is need for spina bifida patients and their guardians/caretakers to receive a close follow-up throughout life; health education focused on pressure ulcer prevention as well as early treatment of pressure ulcers when they occur, will avert the development of Marjolin's ulcers, and save lives.</p

Association of MC1R Variants and host phenotypes with melanoma risk in CDKN2A mutation carriers: a GenoMEL study

&lt;p&gt;&lt;b&gt;Background&lt;/b&gt; Carrying the cyclin-dependent kinase inhibitor 2A (CDKN2A) germline mutations is associated with a high risk for melanoma. Penetrance of CDKN2A mutations is modified by pigmentation characteristics, nevus phenotypes, and some variants of the melanocortin-1 receptor gene (MC1R), which is known to have a role in the pigmentation process. However, investigation of the associations of both MC1R variants and host phenotypes with melanoma risk has been limited.&lt;/p&gt; &lt;p&gt;&lt;b&gt;Methods&lt;/b&gt; We included 815 CDKN2A mutation carriers (473 affected, and 342 unaffected, with melanoma) from 186 families from 15 centers in Europe, North America, and Australia who participated in the Melanoma Genetics Consortium. In this family-based study, we assessed the associations of the four most frequent MC1R variants (V60L, V92M, R151C, and R160W) and the number of variants (1, &#8805;2 variants), alone or jointly with the host phenotypes (hair color, propensity to sunburn, and number of nevi), with melanoma risk in CDKN2A mutation carriers. These associations were estimated and tested using generalized estimating equations. All statistical tests were two-sided.&lt;/p&gt; &lt;p&gt;&lt;b&gt;Results&lt;/b&gt; Carrying any one of the four most frequent MC1R variants (V60L, V92M, R151C, R160W) in CDKN2A mutation carriers was associated with a statistically significantly increased risk for melanoma across all continents (1.24 × 10−6 &#8804; P &#8804; .0007). A consistent pattern of increase in melanoma risk was also associated with increase in number of MC1R variants. The risk of melanoma associated with at least two MC1R variants was 2.6-fold higher than the risk associated with only one variant (odds ratio = 5.83 [95% confidence interval = 3.60 to 9.46] vs 2.25 [95% confidence interval = 1.44 to 3.52]; Ptrend = 1.86 × 10−8). The joint analysis of MC1R variants and host phenotypes showed statistically significant associations of melanoma risk, together with MC1R variants (.0001 &#8804; P &#8804; .04), hair color (.006 &#8804; P &#8804; .06), and number of nevi (6.9 × 10−6 &#8804; P &#8804; .02).&lt;/p&gt; &lt;p&gt;&lt;b&gt;Conclusion&lt;/b&gt; Results show that MC1R variants, hair color, and number of nevi were jointly associated with melanoma risk in CDKN2A mutation carriers. This joint association may have important consequences for risk assessments in familial settings.&lt;/p&gt

Teaching Medicine to Non-English Speaking Background Learners in a Foreign Country

Teaching abroad exposes medical educators to unfamiliar teaching methods and learning styles that can enhance their overall teaching repertoire. Based on the author’s experience teaching residents for one month at a community hospital in Japan and a review of the non-English speaking background (NESB) educational literature, pedagogical principles and lessons for successful international NESB instruction are outlined. These methods include understanding the dissimilar linguistic, cultural, and academic backgrounds of the learners, emphasizing pace and clarity of speech, presenting a conceptual framework instead of detailed discourse on subjects, and regular visual reinforcement of spoken words. The limitations introduced by the language barrier and the use of interpreters are briefly discussed. As society and institutions of higher learning become more global and multicultural, clinician–educators may benefit from teaching in other countries in order to enhance their teaching skills with NESB learners, both abroad and in their own institutions

Motivation of UK school pupils towards foreign languages: a large-scale survey at Key Stage 3

Motivation is one of the most significant predictors of success in foreign language learning. While individual and governmental commitment to the learning of foreign languages is growing throughout most of Europe and across the globe, it is stuttering in the United Kingdom. An entitlement to language learning in primary school is not yet fully in place, whilst the removal of language from the core curriculum at Key Stage 4 (ages 14 to 16) has led to a dramatic fall in numbers of language learners. Among national initiatives seeking to enhance learners’ interest in languages among school pupils are Specialist Language Colleges and the Languages Ladder. The latter, by certifying achievement through its associated accreditation scheme Asset Languages, seeks to engender a sense of success and motivate continuation of language study. This article reports on a study conducted in 2005-06 of the language learning motivation of over ten thousand school pupils at Key Stage 3 – the only group currently obliged to study a foreign language. The study analyses the nature of learner motivation and its relationship with gender, level of study (Years 7, 8 and 9) and type of school, and thus provides evidence for possible measures to increase numbers of teenagers studying a foreign language, and a baseline against which the success of policy initiatives can be measured in the future

Normative values for the Foot Posture Index

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