Multi-Period Trading via Convex Optimization

We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. We then describe a multi-period version of the trading method, where optimization is used to plan a sequence of trades, with only the first one executed, using estimates of future quantities that are unknown when the trades are chosen. The single-period method traces back to Markowitz; the multi-period methods trace back to model predictive control. Our contribution is to describe the single-period and multi-period methods in one simple framework, giving a clear description of the development and the approximations made. In this paper we do not address a critical component in a trading algorithm, the predictions or forecasts of future quantities. The methods we describe in this paper can be thought of as good ways to exploit predictions, no matter how they are made. We have also developed a companion open-source software library that implements many of the ideas and methods described in the paper

PI3-kinase mutation linked to insulin and growth factor resistance in vivo

The phosphatidylinositol 3-kinase (PI3K) signaling pathway is central to the action of insulin and many growth factors. Heterozygous mutations in the gene encoding the p85alpha regulatory subunit of PI3K (PIK3R1) have been identified in patients with SHORT syndrome - a disorder characterized by short stature, partial lipodystrophy, and insulin resistance. Here, we evaluated whether SHORT syndrome-associated PIK3R1 mutations account for the pathophysiology that underlies the abnormalities by generating knockin mice that are heterozygous for the Pik3r1Arg649Trp mutation, which is homologous to the mutation found in the majority of affected individuals. Similar to the patients, mutant mice exhibited a reduction in body weight and length, partial lipodystrophy, and systemic insulin resistance. These derangements were associated with a reduced capacity of insulin and other growth factors to activate PI3K in liver, muscle, and fat; marked insulin resistance in liver and fat of mutation-harboring animals; and insulin resistance in vitro in cells derived from these mice. In addition, mutant mice displayed defective insulin secretion and GLP-1 action on islets in vivo and in vitro. These data demonstrate the ability of this heterozygous mutation to alter PI3K activity in vivo and the central role of PI3K in insulin/growth factor action, adipocyte function, and glucose metabolism

Class IA Phosphatidylinositol 3-Kinase in Pancreatic β Cells Controls Insulin Secretion by Multiple Mechanisms

SummaryType 2 diabetes is characterized by insulin resistance and pancreatic β cell dysfunction, the latter possibly caused by a defect in insulin signaling in β cells. Inhibition of class IA phosphatidylinositol 3-kinase (PI3K), using a mouse model lacking the pik3r1 gene specifically in β cells and the pik3r2 gene systemically (βDKO mouse), results in glucose intolerance and reduced insulin secretion in response to glucose. β cells of βDKO mice had defective exocytosis machinery due to decreased expression of soluble N-ethylmaleimide attachment protein receptor (SNARE) complex proteins and loss of cell-cell synchronization in terms of Ca2+ influx. These defects were normalized by expression of a constitutively active form of Akt in the islets of βDKO mice, preserving insulin secretion in response to glucose. The class IA PI3K pathway in β cells in vivo is important in the regulation of insulin secretion and may be a therapeutic target for type 2 diabetes

Status of Muon Collider Research and Development and Future Plans

The status of the research on muon colliders is discussed and plans are outlined for future theoretical and experimental studies. Besides continued work on the parameters of a 3-4 and 0.5 TeV center-of-mass (CoM) energy collider, many studies are now concentrating on a machine near 0.1 TeV (CoM) that could be a factory for the s-channel production of Higgs particles. We discuss the research on the various components in such muon colliders, starting from the proton accelerator needed to generate pions from a heavy-Z target and proceeding through the phase rotation and decay ($\pi \to \mu \nu_{\mu}$) channel, muon cooling, acceleration, storage in a collider ring and the collider detector. We also present theoretical and experimental R & D plans for the next several years that should lead to a better understanding of the design and feasibility issues for all of the components. This report is an update of the progress on the R & D since the Feasibility Study of Muon Colliders presented at the Snowmass'96 Workshop [R. B. Palmer, A. Sessler and A. Tollestrup, Proceedings of the 1996 DPF/DPB Summer Study on High-Energy Physics (Stanford Linear Accelerator Center, Menlo Park, CA, 1997)].Comment: 95 pages, 75 figures. Submitted to Physical Review Special Topics, Accelerators and Beam

Prevalence of complications of male circumcision in Anglophone Africa: a systematic review

BACKGROUND: There is growing evidence that male circumcision (MC) prevents heterosexual acquisition of HIV by males in sub-Saharan Africa, the region of the world heavily affected by the HIV pandemic. While there is growing support for wide-spread availability and accessibility of MC in Africa, there is limited discussion about the prevalence of physical complications of male circumcision on the continent. METHODS: A systematic literature search and review of articles in indexed journals and conference abstracts was conducted to collect and analyze prevalence of complications of MC in Anglophone sub-Saharan Africa. Information extracted included: indications for MC, complications reported, age of patients and category of circumcisers. RESULTS: There were 8 articles and 2 abstracts that were suitable for the analysis. The studies were not strictly comparable as some reported on a wide range of complications while others reported just a limited list of possible complications. Prevalence of reported complications of MC ranged from 0% to 50.1%. Excluding the study with 50.1%, which was on a series of haemophilia patients, the next highest prevalence of complications was 24.1%. Most of the complications were minor. There was no firm evidence to suggest that MCs performed by physician surgeons were associated with lower prevalence of complications when compared with non-physician health professionals. CONCLUSION: The available data are inadequate to obtain a reasonable assessment of the prevalence of complications of MC in sub-Saharan Africa. Some of the available studies however report potentially significant prevalence of complications, though of minor clinical significance. This should be considered as public health policy makers consider whether to scale-up MC as an HIV preventative measure. Decision for the scale-up will depend on a careful cost-benefit assessment of which physical complications are certainly an important aspect. There is need for standardized reporting of complications of male circumcision

Common Polymorphisms in MTNR1B, G6PC2 and GCK Are Associated with Increased Fasting Plasma Glucose and Impaired Beta-Cell Function in Chinese Subjects

BACKGROUND: Previous studies identified melatonin receptor 1B (MTNR1B), islet-specific glucose 6 phosphatase catalytic subunit-related protein (G6PC2), glucokinase (GCK) and glucokinase regulatory protein (GCKR) as candidate genes for type 2 diabetes (T2D) acting through elevated fasting plasma glucose (FPG). We examined the associations of the reported common variants of these genes with T2D and glucose homeostasis in three independent Chinese cohorts. METHODOLOGY/PRINCIPAL FINDINGS: Five single nucleotide polymorphisms (SNPs), MTNR1B rs10830963, G6PC2 rs16856187 and rs478333, GCK rs1799884 and GCKR rs780094, were genotyped in 1644 controls (583 adults and 1061 adolescents) and 1342 T2D patients. The G-allele of MTNR1B rs10830963 and the C-alleles of both G6PC2 rs16856187 and rs478333 were associated with higher FPG (0.0034<P<6.6x10(-5)) in healthy controls. In addition to our previous report for association with FPG, the A-allele of GCK rs1799884 was also associated with reduced homeostasis model assessment of beta-cell function (HOMA-B) (P=0.0015). Together with GCKR rs780094, the risk alleles of these SNPs exhibited dosage effect in their associations with increased FPG (P=2.9x10(-9)) and reduced HOMA-B (P=1.1x10(-3)). Meta-analyses strongly supported additive effects of MTNR1B rs10830963 and G6PC2 rs16856187 on FPG. CONCLUSIONS/SIGNIFICANCE: Common variants of MTNR1B, G6PC2 and GCK are associated with elevated FPG and impaired insulin secretion, both individually and jointly, suggesting that these risk alleles may precipitate or perpetuate hyperglycemia in predisposed individuals

N-acetylcysteine reduces oxidative stress in sickle cell patients

Oxidative stress is of importance in the pathophysiology of sickle cell disease (SCD). In this open label randomized pilot study the effects of oral N-acetylcysteine (NAC) on phosphatidylserine (PS) expression as marker of cellular oxidative damage (primary end point), and markers of hemolysis, coagulation and endothelial activation and NAC tolerability (secondary end points) were studied. Eleven consecutive patients (ten homozygous [HbSS] sickle cell patients, one HbSβ0-thalassemia patient) were randomly assigned to treatment with either 1,200 or 2,400 mg NAC daily during 6 weeks. The data indicate an increment in whole blood glutathione levels and a decrease in erythrocyte outer membrane phosphatidylserine exposure, plasma levels of advanced glycation end-products (AGEs) and cell-free hemoglobin after 6 weeks of NAC treatment in both dose groups. One patient did not tolerate the 2,400 mg dose and continued with the 1,200 mg dose. During the study period, none of the patients experienced painful crises or other significant SCD or NAC related complications. These data indicate that N-acetylcysteine treatment of sickle cell patients may reduce SCD related oxidative stress

Why do banks promise to pay par on demand?

We survey the theories of why banks promise to pay par on demand and examine evidence about the conditions under which banks have promised to pay the par value of deposits and banknotes on demand when holding only fractional reserves. The theoretical literature can be broadly divided into four strands: liquidity provision, asymmetric information, legal restrictions, and a medium of exchange. We assume that it is not zero cost to make a promise to redeem a liability at par value on demand. If so, then the conditions in the theories that result in par redemption are possible explanations of why banks promise to pay par on demand. If the explanation based on customers’ demand for liquidity is correct, payment of deposits at par will be promised when banks hold assets that are illiquid in the short run. If the asymmetric-information explanation based on the difficulty of valuing assets is correct, the marketability of banks’ assets determines whether banks promise to pay par. If the legal restrictions explanation of par redemption is correct, banks will not promise to pay par if they are not required to do so. If the transaction explanation is correct, banks will promise to pay par value only if the deposits are used in transactions. After the survey of the theoretical literature, we examine the history of banking in several countries in different eras: fourth-century Athens, medieval Italy, Japan, and free banking and money market mutual funds in the United States. We find that all of the theories can explain some of the observed banking arrangements, and none explain all of them

Insulin signalling and the regulation of glucose and lipid metabolism

The epidemic of type 2 diabetes and impaired glucose tolerance is one of the main causes of morbidity and mortality worldwide. In both disorders, tissues such as muscle, fat and liver become less responsive or resistant to insulin. This state is also linked to other common health problems, such as obesity, polycystic ovarian disease, hyperlipidaemia, hypertension and atherosclerosis. The pathophysiology of insulin resistance involves a complex network of signalling pathways, activated by the insulin receptor, which regulates intermediary metabolism and its organization in cells. But recent studies have shown that numerous other hormones and signalling events attenuate insulin action, and are important in type 2 diabetes.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/62568/1/414799a.pd