Multivariate dynamic kernels for financial time series forecasting

The final publication is available at http://link.springer.com/chapter/10.1007/978-3-319-44781-0_40We propose a forecasting procedure based on multivariate dynamic kernels, with the capability of integrating information measured at different frequencies and at irregular time intervals in financial markets. A data compression process redefines the original financial time series into temporal data blocks, analyzing the temporal information of multiple time intervals. The analysis is done through multivariate dynamic kernels within support vector regression. We also propose two kernels for financial time series that are computationally efficient without a sacrifice on accuracy. The efficacy of the methodology is demonstrated by empirical experiments on forecasting the challenging S&P500 market.Peer ReviewedPostprint (author's final draft

The stransverse mass, MT2, in special cases

This document describes some special cases in which the stransverse mass, MT2, may be calculated by non-iterative algorithms. The most notable special case is that in which the visible particles and the hypothesised invisible particles are massless -- a situation relevant to its current usage in the Large Hadron Collider as a discovery variable, and a situation for which no analytic answer was previously known. We also derive an expression for MT2 in another set of new (though arguably less interesting) special cases in which the missing transverse momentum must point parallel or anti parallel to the visible momentum sum. In addition, we find new derivations for already known MT2 solutions in a manner that maintains manifest contralinear boost invariance throughout, providing new insights into old results. Along the way, we stumble across some unexpected results and make conjectures relating to geometric forms of M_eff and H_T and their relationship to MT2.Comment: 11 pages, no figures. v2 corrects minor typos. v3 corrects an incorrect statement in footnote 8 and inserts a missing term in eq (3.9). v4 and v5 correct minor typos spotted by reader

In silico, experimental, mechanistic model for extended-release felodipine disposition exhibiting complex absorption and a highly variable food interaction

The objective of this study was to develop and explore new, in silico experimental methods for deciphering complex, highly variable absorption and food interaction pharmacokinetics observed for a modified-release drug product. Toward that aim, we constructed an executable software analog of study participants to whom product was administered orally. The analog is an object- and agent-oriented, discrete event system, which consists of grid spaces and event mechanisms that map abstractly to different physiological features and processes. Analog mechanisms were made sufficiently complicated to achieve prespecified similarity criteria. An equation-based gastrointestinal transit model with nonlinear mixed effects analysis provided a standard for comparison. Subject-specific parameterizations enabled each executed analog's plasma profile to mimic features of the corresponding six individual pairs of subject plasma profiles. All achieved prespecified, quantitative similarity criteria, and outperformed the gastrointestinal transit model estimations. We observed important subject-specific interactions within the simulation and mechanistic differences between the two models. We hypothesize that mechanisms, events, and their causes occurring during simulations had counterparts within the food interaction study: they are working, evolvable, concrete theories of dynamic interactions occurring within individual subjects. The approach presented provides new, experimental strategies for unraveling the mechanistic basis of complex pharmacological interactions and observed variability

Chronic voluntary alcohol consumption causes persistent cognitive deficits and cortical cell loss in a rodent model

Chronic alcohol use is associated with cognitive decline that impedes behavioral change during rehabilitation. Despite this, addiction therapy does not address cognitive deficits, and there is poor understanding regarding the mechanisms that underlie this decline. We established a rodent model of chronic voluntary alcohol use to measure ensuing cognitive effects and underlying pathology. Rats had intermittent access to alcohol or an isocaloric solution in their home cage under voluntary 2-bottle choice conditions. In Experiments 1 and 2 cognition was assessed using operant touchscreen chambers. We examined performance in a visual discrimination and reversal task (Experiment 1), and a 5-choice serial reaction time task (Experiment 2). For Experiment 3, rats were perfused immediately after cessation of alcohol access period, and volume, cell density and microglial populations were assessed in the prefrontal cortex and striatum. Volume was assessed using the Cavalieri probe, while cell and microglial counts were estimated using unbiased stereology with an optical fractionator. Alcohol-exposed and control rats showed comparable acquisition of pairwise discrimination; however, performance was impaired when contingencies were reversed indicating reduced behavioral flexibility. When tested in a 5-choice serial reaction time task alcohol-exposed rats showed increased compulsivity and increased attentional bias towards a reward associated cue. Consistent with these changes, we observed decreased cell density in the prefrontal cortex. These findings confirm a detrimental effect of chronic alcohol and establish a model of alcohol-induced cognitive decline following long-term voluntary intake that may be used for future intervention studies

Ethics and practice of trials within cohorts: An emerging pragmatic trial design

BACKGROUND: With increasing emphasis on pragmatic trials, new randomized clinical trial designs are being proposed to enhance the "real world" nature of the data generated. We describe one such design, appropriate for unmasked pragmatic clinical trials in which the control arm receives usual care, called "Trials within Cohorts" that is increasingly used in various countries because of its efficiency in recruitment, advantages in reducing subject burden, and ability to better mimic real-world consent processes. METHODS: Descriptive, ethical, and US regulatory analysis of the Trials within Cohorts design. RESULTS: Trials within Cohorts design involves, after recruitment into a cohort, randomization of eligible subjects, followed by an asymmetric treatment of the two arms: those selected for the experimental arm provide informed consent for the intervention trial, while the data from the control arm are used based on prior broad permission. Thus, unlike the traditional Zelen post-randomization consent design, the cohort participants are informed about future research within the cohort; however, the extent of this disclosure currently varies among studies. Thus, ethical analysis is provided for two types of situations: when the pre-randomization disclosure and consent regarding the embedded trials are fairly explicit and detailed versus when they consist of only general statements about future data use. These differing ethical situations could have implications for how ethics review committees apply US research rules regarding waivers and alterations of informed consent. CONCLUSION: Trials within Cohorts is a promising new pragmatic randomized controlled trial design that is being increasingly used in various countries. Although the asymmetric consent procedures for the experimental versus control arm subjects can initially raise ethical concerns, it is ethically superior to previous post-randomization consent designs and can have important advantages over traditional trial designs

Rejection of multivisceral allografts in rats: A sequential analysis with comparison to isolated orthotopic small-bowel and liver grafts

Multivisceral isografts and allografts were transplanted to Lewis rats, and the histopathologic changes were studied in the liver, intestine, and other constituent organs. Rats receiving isografts had indefinite survival with maintenance of weight. With multivisceral allografts (from Brown-Norway donors), the intestinal component was rejected more severely than the companion liver and with about the same severity as when intestinal transplantation was performed alone. Intestinal rejection in either circumstance was a lethal event, causing death in 10 to 12 days. The earliest (by day 4) and most intense cellular rejection was in the Peyer's patches and mesenteric lymph nodes. This was associated with or followed by cryptitis, epithelial cell necrosis, focal abscess formation, mural necrosis, and eventual perforation. Liver allografts transplanted alone or as part of multivisceral grafts also had histopathologic evidence of rejection, but this was self-limiting and spontaneously reversible when the liver was transplanted alone. Thus the Achille's heel of multivisceral grafts is the intestinal component that is not protected by the presence of the liver in the organ complex. Better immunosuppression should permit successful experimental and clinical transplantation of such grafts. © 1990

An avalanche-photodiode-based photon-number-resolving detector

Avalanche photodiodes are widely used as practical detectors of single photons.1 Although conventional devices respond to one or more photons, they cannot resolve the number in the incident pulse or short time interval. However, such photon number resolving detectors are urgently needed for applications in quantum computing,2-4 communications5 and interferometry,6 as well as for extending the applicability of quantum detection generally. Here we show that, contrary to current belief,3,4 avalanche photodiodes are capable of detecting photon number, using a technique to measure very weak avalanches at the early stage of their development. Under such conditions the output signal from the avalanche photodiode is proportional to the number of photons in the incident pulse. As a compact, mass-manufactured device, operating without cryogens and at telecom wavelengths, it offers a practical solution for photon number detection.Comment: 12 pages, 4 figure