Dynamic modeling of mean-reverting spreads for statistical arbitrage

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed, including a co-integration relationship involving two exchange-traded funds.Comment: 34 pages, 6 figures. Submitte

Planck intermediate results. XLI. A map of lensing-induced B-modes

The secondary cosmic microwave background (CMB) $B$-modes stem from the post-decoupling distortion of the polarization $E$-modes due to the gravitational lensing effect of large-scale structures. These lensing-induced $B$-modes constitute both a valuable probe of the dark matter distribution and an important contaminant for the extraction of the primary CMB $B$-modes from inflation. Planck provides accurate nearly all-sky measurements of both the polarization $E$-modes and the integrated mass distribution via the reconstruction of the CMB lensing potential. By combining these two data products, we have produced an all-sky template map of the lensing-induced $B$-modes using a real-space algorithm that minimizes the impact of sky masks. The cross-correlation of this template with an observed (primordial and secondary) $B$-mode map can be used to measure the lensing $B$-mode power spectrum at multipoles up to $2000$. In particular, when cross-correlating with the $B$-mode contribution directly derived from the Planck polarization maps, we obtain lensing-induced $B$-mode power spectrum measurement at a significance level of $12\,\sigma$, which agrees with the theoretical expectation derived from the Planck best-fit $\Lambda$CDM model. This unique nearly all-sky secondary $B$-mode template, which includes the lensing-induced information from intermediate to small ($10\lesssim \ell\lesssim 1000$) angular scales, is delivered as part of the Planck 2015 public data release. It will be particularly useful for experiments searching for primordial $B$-modes, such as BICEP2/Keck Array or LiteBIRD, since it will enable an estimate to be made of the lensing-induced contribution to the measured total CMB $B$-modes.Comment: 20 pages, 12 figures; Accepted for publication in A&A; The B-mode map is part of the PR2-2015 Cosmology Products; available as Lensing Products in the Planck Legacy Archive http://pla.esac.esa.int/pla/#cosmology; and described in the 'Explanatory Supplement' https://wiki.cosmos.esa.int/planckpla2015/index.php/Specially_processed_maps#2015_Lensing-induced_B-mode_ma

Clinical management of borderline tumours of the ovary: results of a multicentre survey of 323 clinics in Germany

The aim of this survey was to analyse the standard of care in diagnostic, surgery, chemotherapy and aftercare management for patients with borderline tumours of the ovary (BOTs) in Germany. A structured questionnaire comprising different dimensions was sent to all 1114 gynaecological departments. The questionnaire could be returned anonymously. The overall response rate was 29.0% (323 departments). Most departments were on secondary care (71.8%), tertiary care (23.2%) or university hospital (5.0%) level. Most clinicians performed not more than five BOT operations (89.2%) per year. Most departments (93.2%) used in addition to classical bimanual examination and vaginal ultrasound, tumour marker CA-125 detection, CT scan, MRI or PET-CT techniques. Departments in university and tertiary care hospitals performed more often a fresh frozen section (87 vs 64%). In young women, clinicians performed much seldom unilateral salpingo-oophorectomy (92%) and only in 53% biopsies of the contralateral ovary. Generally, biopsies of the contralateral ovary were performed in 4–53% of the patients. Chemotherapy was mostly favoured in ‘high-risk' patients with tumour residual, microinvasion or invasive implants. Thus, a high grade of insecurity in diagnostic and therapy of BOT exists in some gynaecological departments and underlines the need for more educational and study activities

Changes in Gene Expression and Cellular Architecture in an Ovarian Cancer Progression Model

BACKGROUND: Ovarian cancer is the fifth leading cause of cancer deaths among women. Early stage disease often remains undetected due the lack of symptoms and reliable biomarkers. The identification of early genetic changes could provide insights into novel signaling pathways that may be exploited for early detection and treatment. METHODOLOGY/PRINCIPAL FINDINGS: Mouse ovarian surface epithelial (MOSE) cells were used to identify stage-dependent changes in gene expression levels and signal transduction pathways by mouse whole genome microarray analyses and gene ontology. These cells have undergone spontaneous transformation in cell culture and transitioned from non-tumorigenic to intermediate and aggressive, malignant phenotypes. Significantly changed genes were overrepresented in a number of pathways, most notably the cytoskeleton functional category. Concurrent with gene expression changes, the cytoskeletal architecture became progressively disorganized, resulting in aberrant expression or subcellular distribution of key cytoskeletal regulatory proteins (focal adhesion kinase, α-actinin, and vinculin). The cytoskeletal disorganization was accompanied by altered patterns of serine and tyrosine phosphorylation as well as changed expression and subcellular localization of integral signaling intermediates APC and PKCβII. CONCLUSIONS/SIGNIFICANCE: Our studies have identified genes that are aberrantly expressed during MOSE cell neoplastic progression. We show that early stage dysregulation of actin microfilaments is followed by progressive disorganization of microtubules and intermediate filaments at later stages. These stage-specific, step-wise changes provide further insights into the time and spatial sequence of events that lead to the fully transformed state since these changes are also observed in aggressive human ovarian cancer cell lines independent of their histological type. Moreover, our studies support a link between aberrant cytoskeleton organization and regulation of important downstream signaling events that may be involved in cancer progression. Thus, our MOSE-derived cell model represents a unique model for in depth mechanistic studies of ovarian cancer progression

Identification of Tumor Suppressors and Oncogenes from Genomic and Epigenetic Features in Ovarian Cancer

The identification of genetic and epigenetic alterations from primary tumor cells has become a common method to identify genes critical to the development and progression of cancer. We seek to identify those genetic and epigenetic aberrations that have the most impact on gene function within the tumor. First, we perform a bioinformatic analysis of copy number variation (CNV) and DNA methylation covering the genetic landscape of ovarian cancer tumor cells. We separately examined CNV and DNA methylation for 42 primary serous ovarian cancer samples using MOMA-ROMA assays and 379 tumor samples analyzed by The Cancer Genome Atlas. We have identified 346 genes with significant deletions or amplifications among the tumor samples. Utilizing associated gene expression data we predict 156 genes with altered copy number and correlated changes in expression. Among these genes CCNE1, POP4, UQCRB, PHF20L1 and C19orf2 were identified within both data sets. We were specifically interested in copy number variation as our base genomic property in the prediction of tumor suppressors and oncogenes in the altered ovarian tumor. We therefore identify changes in DNA methylation and expression for all amplified and deleted genes. We statistically define tumor suppressor and oncogenic features for these modalities and perform a correlation analysis with expression. We predicted 611 potential oncogenes and tumor suppressors candidates by integrating these data types. Genes with a strong correlation for methylation dependent expression changes exhibited at varying copy number aberrations include CDCA8, ATAD2, CDKN2A, RAB25, AURKA, BOP1 and EIF2C3. We provide copy number variation and DNA methylation analysis for over 11,500 individual genes covering the genetic landscape of ovarian cancer tumors. We show the extent of genomic and epigenetic alterations for known tumor suppressors and oncogenes and also use these defined features to identify potential ovarian cancer gene candidates

Planck 2015 results: XV. gravitational lensing

We present the most significant measurement of the cosmic microwave background (CMB) lensing potential to date (at a level of 40 sigma), using temperature and polarization data from the Planck 2015 full-mission release. Using a polarization-only estimator we detect lensing at a significance of 5 sigma. We cross-check the accuracy of our measurement using the wide frequency coverage and complementarity of the temperature and polarization measurements. Public products based on this measurement include an estimate of the lensing potential over approximately 70% of the sky, an estimate of the lensing potential power spectrum in bandpowers for the multipole range 40<L<400 and an associated likelihood for cosmological parameter constraints. We find good agreement between our measurement of the lensing potential power spectrum and that found in the best-fitting LCDM model based on the Planck temperature and polarization power spectra. Using the lensing likelihood alone we obtain a percent-level measurement of the parameter combination σ 8 Ω 0.25 m =0.591±0.021 . We combine our determination of the lensing potential with the E-mode polarization also measured by Planck to generate an estimate of the lensing B-mode. We show that this lensing B-mode estimate is correlated with the B-modes observed directly by Planck at the expected level and with a statistical significance of 10 sigma, confirming Planck's sensitivity to this known sky signal. We also correlate our lensing potential estimate with the large-scale temperature anisotropies, detecting a cross-correlation at the 3 sigma level, as expected due to dark energy in the concordance LCDM model

Height and pancreatic cancer risk: A systematic review and meta-analysis of cohort studies

Background Greater height has been associated with increased risk of several cancers, but epidemiological data on height and pancreatic cancer are inconclusive. We conducted a systematic review and meta-analysis of prospective studies to clarify these results. Methods PubMed and several other databases were searched up to September 2011. Prospective studies of height and pancreatic cancer were included. Summary relative risks were estimated by the use of a random effects model. Results We identified twelve cohort studies that were included in the meta-analysis. The summary RR per 5-cm increase in height was 1.07 (95 % CI: 1.03-1.12, I2 = 57 %). The results were similar among men and women. The summary estimate was attenuated when we included results from two pooled analyses together with these studies, summary RR = 1.03 (95 % CI: 1.00-1.07, I2 = 44 %). Conclusions This meta-analysis of cohort studies provides further evidence that greater adult attained height is associated with increased pancreatic cancer risk. However, given the unexplained heterogeneity, further studies are needed before a conclusion can be drawn

Planck 2015 results XV. Gravitational lensing

We present the most significant measurement of the cosmic microwave background (CMB) lensing potential to date (at a level of 40σ), using temperature and polarization data from the Planck 2015 full-mission release. Using a polarization-only estimator, we detect lensing at a significance of 5σ. We cross-check the accuracy of our measurement using the wide frequency coverage and complementarity of the temperature and polarization measurements. Public products based on this measurement include an estimate of the lensing potential over approximately 70% of the sky, an estimate of the lensing potential power spectrum in bandpowers for the multipole range 40 ≤ L ≤ 400, and an associated likelihood for cosmological parameter constraints. We find good agreement between our measurement of the lensing potential power spectrum and that found in the ΛCDM model that best fits the Planck temperature and polarization power spectra. Using the lensing likelihood alone we obtain a percent-level measurement of the parameter combination σ8Ω0.25m = 0.591 ± 0.021. We combine our determination of the lensing potential with the E-mode polarization, also measured by Planck, to generate an estimate of the lensing B-mode. We show that this lensing B-mode estimate is correlated with the B-modes observed directly by Planck at the expected level and with a statistical significance of 10σ, confirming Planck’s sensitivity to this known sky signal. We also correlate our lensing potential estimate with the large-scale temperature anisotropies, detecting a cross-correlation at the 3σ level, as expected because of dark energy in the concordance ΛCDM model