Computational Models of Algorithmic Trading in Financial Markets.

Today's trading landscape is a fragmented and complex system of interconnected electronic markets in which algorithmic traders are responsible for the majority of trading activity. Questions about the effects of algorithmic trading naturally lend themselves to a computational approach, given the nature of the algorithms involved and the electronic systems in place for processing and matching orders. To better understand the economic implications of algorithmic trading, I construct computational agent-based models of scenarios with investors interacting with various algorithmic traders. I employ the simulation-based methodology of empirical game-theoretic analysis to characterize trader behavior in equilibrium under different market conditions. I evaluate the impact of algorithmic trading and market structure within three different scenarios. First, I examine the impact of a market maker on trading gains in a variety of environments. A market maker facilitates trade and supplies liquidity by simultaneously maintaining offers to buy and sell. I find that market making strongly tends to increase total welfare and the market maker is itself profitable. Market making may or may not benefit investors, however, depending on market thickness, investor impatience, and the number of trading opportunities. Second, I investigate the interplay between market fragmentation and latency arbitrage, a type of algorithmic trading strategy in which traders exercise superior speed in order to exploit price disparities between exchanges. I show that the presence of a latency arbitrageur degrades allocative efficiency in continuous markets. Periodic clearing at regular intervals, as in a frequent call market, not only eliminates the opportunity for latency arbitrage but also significantly improves welfare. Lastly, I study whether frequent call markets could potentially coexist alongside the continuous trading mechanisms employed by virtually all modern exchanges. I examine the strategic behavior of fast and slow traders who submit orders to either a frequent call market or a continuous double auction. I model this as a game of market choice, and I find strong evidence of a predator-prey relationship between fast and slow traders: the fast traders prefer to be with slower agents regardless of market, and slow traders ultimately seek the protection of the frequent call market.PhDComputer Science and EngineeringUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/120811/1/ewah_1.pd

Selection mechanisms affect volatility in evolving markets

Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving zero-intelligence agents and a frequent batch auction price-discovery mechanism as substrate, we analyze the role played by evolutionary selection mechanisms in determining macro-observable market statistics. In particular, we show that selection mechanisms incorporating a local fitness-proportionate component are associated with high correlation between a micro, risk-aversion parameter and a commonly-used macro-volatility statistic, while a purely quantile-based selection mechanism shows significantly less correlation.Comment: 9 pages, 7 figures, to appear in proceedings of GECCO 2019 as a full pape

Idarucizumab for Dabigatran Reversal - Full Cohort Analysis.

BACKGROUND: Idarucizumab, a monoclonal antibody fragment, was developed to reverse the anticoagulant effect of dabigatran. METHODS: We performed a multicenter, prospective, open-label study to determine whether 5 g of intravenous idarucizumab would be able to reverse the anticoagulant effect of dabigatran in patients who had uncontrolled bleeding (group A) or were about to undergo an urgent procedure (group B). The primary end point was the maximum percentage reversal of the anticoagulant effect of dabigatran within 4 hours after the administration of idarucizumab, on the basis of the diluted thrombin time or ecarin clotting time. Secondary end points included the restoration of hemostasis and safety measures. RESULTS: A total of 503 patients were enrolled: 301 in group A, and 202 in group B. The median maximum percentage reversal of dabigatran was 100% (95% confidence interval, 100 to 100), on the basis of either the diluted thrombin time or the ecarin clotting time. In group A, 137 patients (45.5%) presented with gastrointestinal bleeding and 98 (32.6%) presented with intracranial hemorrhage; among the patients who could be assessed, the median time to the cessation of bleeding was 2.5 hours. In group B, the median time to the initiation of the intended procedure was 1.6 hours; periprocedural hemostasis was assessed as normal in 93.4% of the patients, mildly abnormal in 5.1%, and moderately abnormal in 1.5%. At 90 days, thrombotic events had occurred in 6.3% of the patients in group A and in 7.4% in group B, and the mortality rate was 18.8% and 18.9%, respectively. There were no serious adverse safety signals. CONCLUSIONS: In emergency situations, idarucizumab rapidly, durably, and safely reversed the anticoagulant effect of dabigatran. (Funded by Boehringer Ingelheim; RE-VERSE AD ClinicalTrials.gov number, NCT02104947 .)

Validation of digital pathology imaging for primary histopathological diagnosis

Aims: Digital pathology (DP) offers advantages over glass slide microscopy (GS), but data demonstrating a statistically valid equivalent (i.e. non-inferior) performance of DP against GS are required to permit its use in diagnosis. The aim of this study is to provide evidence of non-inferiority. Methods and results: Seventeen pathologists re-reported 3017 cases by DP. Of these, 1009 were re-reported by the same pathologist, and 2008 by a different pathologist. Re-examination of 10 138 scanned slides (2.22 terabytes) produced 72 variances between GS and DP reports, including 21 clinically significant variances. Ground truth lay with GS in 12 cases and with DP in nine cases. These results are within the 95% confidence interval for existing intraobserver and interobserver variability, proving that DP is non-inferior to GS. In three cases, the digital platform was deemed to be responsible for the variance, including a gastric biopsy, where Helicobacter pylori only became visible on slides scanned at the ×60 setting, and a bronchial biopsy and penile biopsy, where dysplasia was reported on DP but was not present on GS. Conclusions: This is one of the largest studies proving that DP is equivalent to GS for the diagnosis of histopathology specimens. Error rates are similar in both platforms, although some problems e.g. detection of bacteria, are predictable

Recurrent Fusion Genes in Gastric Cancer: CLDN18-ARHGAP26 Induces Loss of Epithelial Integrity.

Genome rearrangements, a hallmark of cancer, can result in gene fusions with oncogenic properties. Using DNA paired-end-tag (DNA-PET) whole-genome sequencing, we analyzed 15 gastric cancers (GCs) from Southeast Asians. Rearrangements were enriched in open chromatin and shaped by chromatin structure. We identified seven rearrangement hot spots and 136 gene fusions. In three out of 100 GC cases, we found recurrent fusions between CLDN18, a tight junction gene, and ARHGAP26, a gene encoding a RHOA inhibitor. Epithelial cell lines expressing CLDN18-ARHGAP26 displayed a dramatic loss of epithelial phenotype and long protrusions indicative of epithelial-mesenchymal transition (EMT). Fusion-positive cell lines showed impaired barrier properties, reduced cell-cell and cell-extracellular matrix adhesion, retarded wound healing, and inhibition of RHOA. Gain of invasion was seen in cancer cell lines expressing the fusion. Thus, CLDN18-ARHGAP26 mediates epithelial disintegration, possibly leading to stomach H(+) leakage, and the fusion might contribute to invasiveness once a cell is transformed. Cell Rep 2015 Jul 14; 12(2):272-285

Phylogenetic ctDNA analysis depicts early-stage lung cancer evolution.

The early detection of relapse following primary surgery for non-small-cell lung cancer and the characterization of emerging subclones, which seed metastatic sites, might offer new therapeutic approaches for limiting tumour recurrence. The ability to track the evolutionary dynamics of early-stage lung cancer non-invasively in circulating tumour DNA (ctDNA) has not yet been demonstrated. Here we use a tumour-specific phylogenetic approach to profile the ctDNA of the first 100 TRACERx (Tracking Non-Small-Cell Lung Cancer Evolution Through Therapy (Rx)) study participants, including one patient who was also recruited to the PEACE (Posthumous Evaluation of Advanced Cancer Environment) post-mortem study. We identify independent predictors of ctDNA release and analyse the tumour-volume detection limit. Through blinded profiling of postoperative plasma, we observe evidence of adjuvant chemotherapy resistance and identify patients who are very likely to experience recurrence of their lung cancer. Finally, we show that phylogenetic ctDNA profiling tracks the subclonal nature of lung cancer relapse and metastasis, providing a new approach for ctDNA-driven therapeutic studies

Guidelines for the use and interpretation of assays for monitoring autophagy (3rd edition)

In 2008 we published the first set of guidelines for standardizing research in autophagy. Since then, research on this topic has continued to accelerate, and many new scientists have entered the field. Our knowledge base and relevant new technologies have also been expanding. Accordingly, it is important to update these guidelines for monitoring autophagy in different organisms. Various reviews have described the range of assays that have been used for this purpose. Nevertheless, there continues to be confusion regarding acceptable methods to measure autophagy, especially in multicellular eukaryotes. For example, a key point that needs to be emphasized is that there is a difference between measurements that monitor the numbers or volume of autophagic elements (e.g., autophagosomes or autolysosomes) at any stage of the autophagic process versus those that measure fl ux through the autophagy pathway (i.e., the complete process including the amount and rate of cargo sequestered and degraded). In particular, a block in macroautophagy that results in autophagosome accumulation must be differentiated from stimuli that increase autophagic activity, defi ned as increased autophagy induction coupled with increased delivery to, and degradation within, lysosomes (inmost higher eukaryotes and some protists such as Dictyostelium ) or the vacuole (in plants and fungi). In other words, it is especially important that investigators new to the fi eld understand that the appearance of more autophagosomes does not necessarily equate with more autophagy. In fact, in many cases, autophagosomes accumulate because of a block in trafficking to lysosomes without a concomitant change in autophagosome biogenesis, whereas an increase in autolysosomes may reflect a reduction in degradative activity. It is worth emphasizing here that lysosomal digestion is a stage of autophagy and evaluating its competence is a crucial part of the evaluation of autophagic flux, or complete autophagy. Here, we present a set of guidelines for the selection and interpretation of methods for use by investigators who aim to examine macroautophagy and related processes, as well as for reviewers who need to provide realistic and reasonable critiques of papers that are focused on these processes. These guidelines are not meant to be a formulaic set of rules, because the appropriate assays depend in part on the question being asked and the system being used. In addition, we emphasize that no individual assay is guaranteed to be the most appropriate one in every situation, and we strongly recommend the use of multiple assays to monitor autophagy. Along these lines, because of the potential for pleiotropic effects due to blocking autophagy through genetic manipulation it is imperative to delete or knock down more than one autophagy-related gene. In addition, some individual Atg proteins, or groups of proteins, are involved in other cellular pathways so not all Atg proteins can be used as a specific marker for an autophagic process. In these guidelines, we consider these various methods of assessing autophagy and what information can, or cannot, be obtained from them. Finally, by discussing the merits and limits of particular autophagy assays, we hope to encourage technical innovation in the field

Targeted gene sanger sequencing should remain the first-tier genetic test for children suspected to have the five common X-linked inborn errors of immunity

DATA AVAILABILITY STATEMENT : The original contributions presented in the study are included in the article/Supplementary Material. Further inquiries can be directed to the corresponding author.To address inborn errors of immunity (IEI) which were underdiagnosed in resource-limited regions, our centre developed and offered free genetic testing for the most common IEI by Sanger sequencing (SS) since 2001. With the establishment of The Asian Primary Immunodeficiency (APID) Network in 2009, the awareness and definitive diagnosis of IEI were further improved with collaboration among centres caring for IEI patients from East and Southeast Asia. We also started to use whole exome sequencing (WES) for undiagnosed cases and further extended our collaboration with centres from South Asia and Africa. With the increased use of Next Generation Sequencing (NGS), we have shifted our diagnostic practice from SS to WES. However, SS was still one of the key diagnostic tools for IEI for the past two decades. Our centre has performed 2,024 IEI SS genetic tests, with in-house protocol designed specifically for 84 genes, in 1,376 patients with 744 identified to have disease-causing mutations (54.1%). The high diagnostic rate after just one round of targeted gene SS for each of the 5 common IEI (X-linked agammaglobulinemia (XLA) 77.4%, Wiskott–Aldrich syndrome (WAS) 69.2%, X-linked chronic granulomatous disease (XCGD) 59.5%, X-linked severe combined immunodeficiency (XSCID) 51.1%, and X-linked hyper-IgM syndrome (HIGM1) 58.1%) demonstrated targeted gene SS should remain the first-tier genetic test for the 5 common X-linked IEI.The Hong Kong Society for Relief of Disabled Children and Jeffrey Modell Foundation.http://www.frontiersin.org/Immunologyam2023Paediatrics and Child Healt