Informed traders

This article is available open access through the publisher’s website at the link below. Copyright @ 2008 The Royal Society.An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whereas the informed trader has access to a further information source which is obscured by an additional noise that may be correlated with the market noise. The informed trader uses the extraneous information source to seek statistical arbitrage opportunities, while at the same time accommodating the additional risk. The amount of information available to the general market participant concerning the asset return is measured by the mutual information of the asset price and the associated cash flow. The worth of the additional information source is then measured in terms of the difference of mutual information between the general market participant and the informed trader. This difference is shown to be non-negative when the signal-to-noise ratio of the information flow is known in advance. Explicit trading strategies leading to statistical arbitrage opportunities, taking advantage of the additional information, are constructed, illustrating how excess information can be translated into profit

Validation of chronic obstructive pulmonary disease recording in the Clinical Practice Research Datalink (CPRD-GOLD)

Objectives: The optimal method of identifying people with chronic obstructive pulmonary disease (COPD) from electronic primary care records is not known. We assessed the accuracy of different approaches using the Clinical Practice Research Datalink, a UK electronic health record database. Setting: 951 participants registered with a CPRD practice in the UK between 1 January 2004 and 31 December 2012. Individuals were selected for ≥1 of 8 algorithms to identify people with COPD. General practitioners were sent a brief questionnaire and additional evidence to support a COPD diagnosis was requested. All information received was reviewed independently by two respiratory physicians whose opinion was taken as the gold standard. Primary outcome measure: The primary measure of accuracy was the positive predictive value (PPV), the proportion of people identified by each algorithm for whom COPD was confirmed. Results: 951 questionnaires were sent and 738 (78%) returned. After quality control, 696 (73.2%) patients were included in the final analysis. All four algorithms including a specific COPD diagnostic code performed well. Using a diagnostic code alone, the PPV was 86.5% (77.5-92.3%) while requiring a diagnosis plus spirometry plus specific medication; the PPV was slightly higher at 89.4% (80.7-94.5%) but reduced case numbers by 10%. Algorithms without specific diagnostic codes had low PPVs (range 12.2-44.4%). Conclusions: Patients with COPD can be accurately identified from UK primary care records using specific diagnostic codes. Requiring spirometry or COPD medications only marginally improved accuracy. The high accuracy applies since the introduction of an incentivised disease register for COPD as part of Quality and Outcomes Framework in 2004

Highlights of OH, H2SO4, and methane sulfonic acid measurements made aboard the NASA P-3B during Transport and Chemical Evolution over the Pacific

Measurements of hydroxyl radical (OH), sulfuric acid (H2SO4), and methane sulfonic acid (MSA) were performed aboard the NASA P-3B using the selected ion chemical ionization mass spectrometry technique during the Transport and Chemical Evolution over the Pacific (TRACE-P) study. Photochemical box model calculations of OH concentrations yielded generally good agreement with an overall tendency to overestimate the measured OH by ∼20%. Further analysis reveals that this overestimation is present only at altitudes greater than ∼1.5 km, with the model underestimating OH measurements at lower altitudes. Boundary layer H2SO4 measurements, performed in a volcanic plume off the southern coast of Japan, revealed some of the largest marine boundary layer H2SO4 concentrations ever observed and were accompanied by new particle formation. Nighttime measurements of OH, H2SO4, and MSA in the remote pacific off Midway Island revealed significant boundary layer concentrations of H2SO4 and MSA, indicating evidence of nighttime boundary layer oxidation processes but in the absence of OH. A cursory exploration of the sources of production of the H2SO4 and MSA observed at night is presented

An investigation of South Pole HOx chemistry: Comparison of model results with ISCAT observations

Unexpected high levels of OH and NO were recorded at the South Pole (SP) Atmospheric Research Observatory during the 1998-99 ISCAT field study. Model simulations suggest a major photochemical linkage between observed OH and NO. A detailed comparison of the observations with model predictions revealed good agreement for OH at NO levels between 120 and 380 pptv. However, the model tended to overestimate OH for NO levels < 120 pptv, while it underestimated OH at levels > 380 pptv. The reasons for these deviations appear not to involve NO directly but rather HOx radical scavenging for the low NO conditions and additional HOx sources for the high NO conditions. Because of the elevated levels of NO and highly activated HOx photochemistry, the SP was found to be a strong net source of surface ozone. It is quite likely that the strong oxidizing environment found at the South Pole extends over the entire polar plateau

An efficient semiparametric maxima estimator of the extremal index

The extremal index $\theta$, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate $\theta$ semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpler and substantially more efficient than their parametric counterparts. We seek to improve efficiency further using maxima over sliding blocks. A simulation study shows that the semiparametric estimators are competitive with the leading estimators. An application to sea-surge heights combines inferences about $\theta$ with a standard extreme value analysis of block maxima to estimate marginal quantiles.Comment: 17 pages, 7 figures. Minor edits made to version 1 prior to journal publication. The final publication is available at Springer via http://dx.doi.org/10.1007/s10687-015-0221-

A large radio nebula around P Cygni

We present a large set of radio observations of the luminous blue variable P Cygni. These include two 6-cm images obtained with MERLIN which spatially resolve the 6-cm photosphere, monitoring observations obtained at Jodrell Bank every few days over a period of two months, and VLA observations obtained every month for seven years. This combination of data shows that the circumstellar environment of P Cyg is highly inhomogeneous, that there is a radio nebula extending to almost an arcminute from the star at 2 and 6 cm, and that the radio emission is variable on a time-scale no longer than one month, and probably as short as a few days. This short-time-scale variability is difficult to explain. We present a model for the radio emission with which we demonstrate that the star has probably been losing mass at a significant rate for at least a few thousand years, and that it has undergone at least two major outbursts of increased mass loss during the past two millenia