A simple scheme for allocating capital in a foreign exchange proprietary trading firm

We present a model of capital allocation in a foreign exchange proprietary trading firm. The owner allocates capital to individual traders, who operate within strict risk limits. Traders specialize in individual currencies, but are given discretion over their choice of trading rule. The owner provides the simple formula that determines position sizes – a formula that does not require estimation of the firm-level covariance matrix. We provide supporting empirical evidence of excess risk-adjusted returns to the firm-level portfolio, and we discuss a modification of the model in which the owner dictates the choice of trading rule

Heritage Futures

Heritage Futures is a four-year collaborative international research programme (2015–2019) funded by a UK Arts and Humanities Research Council (AHRC) ‘Care for the Future’ Theme Large Grant, and supported additionally by its host universities and partner organisations. The research programme involves ambitious interdisciplinary research to explore the potential for innovation and creative exchange across a broad range of heritage and related fields, in partnership with a number of academic and non-academic institutions and interest groups. It is distinctive in its comparative approach which aims to bring heritage conservation practices of various forms into closer dialogue with the management of other material and virtual legacies such as nuclear waste management. It is also distinctive in its exploration of different forms of heritage as future-making practices. This brief paper provides an introduction to the research programme and its aims and methods

Heritage Futures

Preservation of natural and cultural heritage is often said to be something that is done for the future, or on behalf of future generations, but the precise relationship of such practices to the future is rarely reflected upon. Heritage Futures draws on research undertaken over four years by an interdisciplinary, international team of 16 researchers and more than 25 partner organisations to explore the role of heritage and heritage-like practices in building future worlds. Engaging broad themes such as diversity, transformation, profusion and uncertainty, Heritage Futures aims to understand how a range of conservation and preservation practices across a number of countries assemble and resource different kinds of futures, and the possibilities that emerge from such collaborative research for alternative approaches to heritage in the Anthropocene. Case studies include the cryopreservation of endangered DNA in frozen zoos, nuclear waste management, seed biobanking, landscape rewilding, social history collecting, space messaging, endangered language documentation, built and natural heritage management, domestic keeping and discarding practices, and world heritage site management. 'I suspect this book will prove to be a revolutionary addition to the field of heritage studies, flipping the gaze from the past to the future. Heritage Futures reveals the deep uncertainties and precarities that shape both everyday and political life today: accumulation and waste, care and hope, the natural and the toxic. It represents a uniquely impressive intellectual and empirical roadmap for both anticipating and questioning future trajectories, and the strange, unfamiliar places heritage will take us.’ - Tim Winter, University of Western Australi

Heritage Futures

Preservation of natural and cultural heritage is often said to be something that is done for the future, or on behalf of future generations, but the precise relationship of such practices to the future is rarely reflected upon. Heritage Futures draws on research undertaken over four years by an interdisciplinary, international team of 16 researchers and more than 25 partner organisations to explore the role of heritage and heritage-like practices in building future worlds. Engaging broad themes such as diversity, transformation, profusion and uncertainty, Heritage Futures aims to understand how a range of conservation and preservation practices across a number of countries assemble and resource different kinds of futures, and the possibilities that emerge from such collaborative research for alternative approaches to heritage in the Anthropocene. Case studies include the cryopreservation of endangered DNA in frozen zoos, nuclear waste management, seed biobanking, landscape rewilding, social history collecting, space messaging, endangered language documentation, built and natural heritage management, domestic keeping and discarding practices, and world heritage site management. 'I suspect this book will prove to be a revolutionary addition to the field of heritage studies, flipping the gaze from the past to the future. Heritage Futures reveals the deep uncertainties and precarities that shape both everyday and political life today: accumulation and waste, care and hope, the natural and the toxic. It represents a uniquely impressive intellectual and empirical roadmap for both anticipating and questioning future trajectories, and the strange, unfamiliar places heritage will take us.’ - Tim Winter, University of Western Australi

Market ecologies: The effect of information on the interaction and profitability of technical trading strategies

Technical trading strategies make profits by identifying and exploiting patterns in market prices—patterns generated by the interaction of market participants. Using a model market populated by individuals using a range of trading rules we show that the presence of technical traders may be beneficial, in some cases reducing volatility and increasing price efficiency. In particular, contrarian traders who base their decisions on high frequency data have the largest positive effect. It is also found that if technical traders condition their actions using ‘real time’ information, they partially emulate arbitrageurs and make positive profits

Investigating the uptake, effectiveness and safety of COVID-19 vaccines : protocol for an observational study using linked UK national data

Funding: This research is part of the Data and Connectivity National Core Study, led by Health Data Research UK in partnership with the Office for National Statistics and funded by UK Research and Innovation (HDRUK2020.146). EAVE II is funded by the Medical Research Council (MC_PC_19075) and supported by the Scottish Government. This work is supported by BREATHE - The Health Data Research Hub for Respiratory Health (MC_PC_19004). BREATHE is funded through the UK Research and Innovation Industrial Strategy Challenge Fund and delivered through Health Data Research UK. ConCOV is supported by the Medical Research Council (MR/V028367/1); Health Data Research UK (HDR-9006) which receives its funding from the UK Medical Research Council, Engineering and Physical Sciences Research Council, Economic and Social Research Council, Department of Health and Social Care (England), Chief Scientist Office of the Scottish Government Health and Social Care Directorates, Health and Social Care Research and Development Division (Welsh Government), Public Health Agency (Northern Ireland), British Heart Foundation (BHF) and the Wellcome Trust; and Administrative Data Research UK which is funded by the Economic and Social Research Council (grant ES/S007393/1).Introduction : The novel coronavirus SARS-CoV-2, which emerged in December 2019, has caused millions of deaths and severe illness worldwide. Numerous vaccines are currently under development of which a few have now been authorised for population-level administration by several countries. As of 20 September 2021, over 48 million people have received their first vaccine dose and over 44 million people have received their second vaccine dose across the UK. We aim to assess the uptake rates, effectiveness, and safety of all currently approved COVID-19 vaccines in the UK. Methods and analysis : We will use prospective cohort study designs to assess vaccine uptake, effectiveness and safety against clinical outcomes and deaths. Test-negative case–control study design will be used to assess vaccine effectiveness (VE) against laboratory confirmed SARS-CoV-2 infection. Self-controlled case series and retrospective cohort study designs will be carried out to assess vaccine safety against mild-to-moderate and severe adverse events, respectively. Individual-level pseudonymised data from primary care, secondary care, laboratory test and death records will be linked and analysed in secure research environments in each UK nation. Univariate and multivariate logistic regression models will be carried out to estimate vaccine uptake levels in relation to various population characteristics. VE estimates against laboratory confirmed SARS-CoV-2 infection will be generated using a generalised additive logistic model. Time-dependent Cox models will be used to estimate the VE against clinical outcomes and deaths. The safety of the vaccines will be assessed using logistic regression models with an offset for the length of the risk period. Where possible, data will be meta-analysed across the UK nations. Ethics and dissemination : We obtained approvals from the National Research Ethics Service Committee, Southeast Scotland 02 (12/SS/0201), the Secure Anonymised Information Linkage independent Information Governance Review Panel project number 0911. Concerning English data, University of Oxford is compliant with the General Data Protection Regulation and the National Health Service (NHS) Digital Data Security and Protection Policy. This is an approved study (Integrated Research Application ID 301740, Health Research Authority (HRA) Research Ethics Committee 21/HRA/2786). The Oxford-Royal College of General Practitioners Clinical Informatics Digital Hub meets NHS Digital’s Data Security and Protection Toolkit requirements. In Northern Ireland, the project was approved by the Honest Broker Governance Board, project number 0064. Findings will be made available to national policy-makers, presented at conferences and published in peer-reviewed journals.Publisher PDFPeer reviewe

First dose ChAdOx1 and BNT162b2 COVID-19 vaccinations and cerebral venous sinus thrombosis : a pooled self-controlled case series study of 11.6 million individuals in England, Scotland, and Wales

Funding: This research is part of the Data and Connectivity National Core Study, led by Health Data Research UK in partnership with the Office for National Statistics and funded by UK Research and Innovation (grant ref MC_PC_20029, AS). EAVE II is funded by the Medical Research Council (https://mrc.ukri.org/) (UKRI MC_PC 19075, AS) with the support of BREATHE, The Health Data Research Hub for Respiratory Health (MC_PC_19004, AS), which is funded through the UK Research and Innovation Industrial Strategy Challenge Fund and delivered through Health Data Research UK. This work was supported by the Con-COV team funded by the Medical Research Council (grant number: MR/V028367/1, RL). This work was supported by Health Data Research UK, which receives its funding from HDR UK Ltd (HDR-9006, RL) funded by the UK Medical Research Council, Engineering and Physical Sciences Research Council, Economic and Social Research Council, Department of Health and Social Care (England), Chief Scientist Office of the Scottish Government Health and Social Care Directorates, Health and Social Care Research and Development Division (Welsh Government), Public Health Agency (Northern Ireland), British Heart Foundation (BHF) and the Wellcome Trust. This work was supported by the ADR Wales programme of work (https://www.adruk.org/). ADR Wales is part of the Economic and Social Research Council (part of UK Research and Innovation) funded ADR UK (grant ES/S007393/1, RL). SVK acknowledges funding from NHS Research Scotland Senior Clinical Fellowship (SCAF/15/02, SVK), the MRC (MC_UU_00022/2, SVK), and the Scottish Government Chief Scientist Office (SPHSU17, SVK).Background : Several countries restricted the administration of ChAdOx1 to older age groups in 2021 over safety concerns following case reports and observed versus expected analyses suggesting a possible association with cerebral venous sinus thrombosis (CVST). Large datasets are required to precisely estimate the association between Coronavirus Disease 2019 (COVID-19) vaccination and CVST due to the extreme rarity of this event. We aimed to accomplish this by combining national data from England, Scotland, and Wales. Methods and findings : We created data platforms consisting of linked primary care, secondary care, mortality, and virological testing data in each of England, Scotland, and Wales, with a combined cohort of 11,637,157 people and 6,808,293 person years of follow-up. The cohort start date was December 8, 2020, and the end date was June 30, 2021. The outcome measure we examined was incident CVST events recorded in either primary or secondary care records. We carried out a self-controlled case series (SCCS) analysis of this outcome following first dose vaccination with ChAdOx1 and BNT162b2. The observation period consisted of an initial 90-day reference period, followed by a 2-week prerisk period directly prior to vaccination, and a 4-week risk period following vaccination. Counts of CVST cases from each country were tallied, then expanded into a full dataset with 1 row for each individual and observation time period. There was a combined total of 201 incident CVST events in the cohorts (29.5 per million person years). There were 81 CVST events in the observation period among those who a received first dose of ChAdOx1 (approximately 16.34 per million doses) and 40 for those who received a first dose of BNT162b2 (approximately 12.60 per million doses). We fitted conditional Poisson models to estimate incidence rate ratios (IRRs). Vaccination with ChAdOx1 was associated with an elevated risk of incident CVST events in the 28 days following vaccination, IRR = 1.93 (95% confidence interval (CI) 1.20 to 3.11). We did not find an association between BNT162b2 and CVST in the 28 days following vaccination, IRR = 0.78 (95% CI 0.34 to 1.77). Our study had some limitations. The SCCS study design implicitly controls for variables that are constant over the observation period, but also assumes that outcome events are independent of exposure. This assumption may not be satisfied in the case of CVST, firstly because it is a serious adverse event, and secondly because the vaccination programme in the United Kingdom prioritised the clinically extremely vulnerable and those with underlying health conditions, which may have caused a selection effect for individuals more prone to CVST. Although we pooled data from several large datasets, there was still a low number of events, which may have caused imprecision in our estimates. Conclusions : In this study, we observed a small elevated risk of CVST events following vaccination with ChAdOx1, but not BNT162b2. Our analysis pooled information from large datasets from England, Scotland, and Wales. This evidence may be useful in risk–benefit analyses of vaccine policies and in providing quantification of risks associated with vaccination to the general public.Publisher PDFPeer reviewe

Analysis of a wild mouse promoter variant reveals a novel role for FcγRIIb in the control of the germinal center and autoimmunity.

Genetic variants of the inhibitory Fc receptor FcγRIIb have been associated with systemic lupus erythematosus in humans and mice. The mechanism by which Fcgr2b variants contribute to the development of autoimmunity is unknown and was investigated by knocking in the most commonly conserved wild mouse Fcgr2b promoter haplotype, also associated with autoimmune-prone mouse strains, into the C57BL/6 background. We found that in the absence of an AP-1-binding site in its promoter, FcγRIIb failed to be up-regulated on activated and germinal center (GC) B cells. This resulted in enhanced GC responses, increased affinity maturation, and autoantibody production. Accordingly, in the absence of FcγRIIb activation-induced up-regulation, mice developed more severe collagen-induced arthritis and spontaneous glomerular immune complex deposition. Our data highlight how natural variation in Fcgr2b drives the development of autoimmune disease. They also show how the study of such variants using a knockin approach can provide insight into immune mechanisms not possible using conventional genetic manipulation, in this case demonstrating an unexpected critical role for the activation-induced up-regulation of FcγRIIb in controlling affinity maturation, autoantibody production, and autoimmunity