Estimation of rare disaster concerns from option prices : An arbitrage‐free RND‐based smile construction approach

This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are affected by microstructure noise. We extrapolate implied volatilities of far out-of-the-money options by modeling the tails of the risk-neutral return distribution (RND) ensuring that option prices do not admit arbitrage. Our numerical analysis and empirical application show that the RND-based approach consistently outperforms standard techniques. It substantially reduces estimation errors resulting in considerably higher estimates of the rare disaster concern index (RIX) when event risk is high

An LLVM Instrumentation Plug-in for Score-P

Reducing application runtime, scaling parallel applications to higher numbers of processes/threads, and porting applications to new hardware architectures are tasks necessary in the software development process. Therefore, developers have to investigate and understand application runtime behavior. Tools such as monitoring infrastructures that capture performance relevant data during application execution assist in this task. The measured data forms the basis for identifying bottlenecks and optimizing the code. Monitoring infrastructures need mechanisms to record application activities in order to conduct measurements. Automatic instrumentation of the source code is the preferred method in most application scenarios. We introduce a plug-in for the LLVM infrastructure that enables automatic source code instrumentation at compile-time. In contrast to available instrumentation mechanisms in LLVM/Clang, our plug-in can selectively include/exclude individual application functions. This enables developers to fine-tune the measurement to the required level of detail while avoiding large runtime overheads due to excessive instrumentation.Comment: 8 page

LexOnto: A Model for Ontology Lexicons for Ontology-based NLP

Cimiano P, Haase P, Herold M, Mantel M, Buitelaar P. LexOnto: A Model for Ontology Lexicons for Ontology-based NLP. In: Proceedings of the OntoLex07 Workshop held in conjunction with ISWC’07. 2007

Attacking Key Performance Indicators in Soccer: Current Practice and Perceptions from the Elite to Youth Academy Level

Key Performance Indicators (KPIs) are used to evaluate the offensive success of a soccer team (e.g. penalty box entries) or player (e.g. pass completion rate). However, knowledge transfer from research to applied practice is understudied. The current study queried practitioners (n = 145, mean ± SD age: 36 ± 9 years) from 42 countries across different roles and levels of competition (National Team Federation to Youth Academy levels) on various forms of data collection, including an explicit assessment of twelve attacking KPIs. 64.3% of practitioners use data tools and applications weekly (predominately) to gather KPIs during matches. 83% of practitioners use event data compared to only 52% of practitioners using positional data, with a preference for shooting related KPIs. Differences in the use and value of metrics derived from positional tracking data (including Ball Possession Metrics) were evident between job role and level of competition. These findings demonstrate that practitioners implement KPIs and gather tactical information in a variety of ways with a preference for simpler metrics related to shots. The low perceived value of newer KPIs afforded by positional data could be explained by low buy-in, a lack of education across practitioners, or insufficient translation of findings by experts towards practice

Shortcomings of applying data science to improve professional football performance:Takeaways from a pilot intervention study

Positional tracking data allows football practitioners to derive features that describe patterns of player behavior and quantify performance. Existing research using tracking data has mostly focused on what occurred on the pitch, such as the determinants of effective passing. There have yet to be studies attempting to use findings from data science to improve performance. Therefore, 24 professional players (mean age = 21.6 years, SD = 5.7) were divided into a control team and an intervention team which competed against each other in a pre-test match. Metrics were gathered via notational analysis (number of passes, penalty box entries, shots on goal), and positional tracking data including pass length, pass velocity, defensive disruption (D-Def), and the number of outplayed opponents (NOO). D-Def and NOO were used to extract video clips from the pre-test that were shown to the intervention team as a teaching tool for 2 weeks prior to the post-test match. The results in the post-test showed no significant improvements from the pre-test between the Intervention Team and the Control Team for D-Def (F = 1.100, p = 0.308, η2 = 0.058) or NOO (F = 0.347, p = 0.563, η2 = 0.019). However, the Intervention Team made greater numerical increases for number of passes, penalty box entries, and shots on goal in the post-test match. Despite a positive tendency from the intervention, results indicate the transfer of knowledge from data science to performance was lacking. Future studies should aim to include coaches' input and use the metrics to design training exercises that encourage the desired behavior

Elevated levels of IL-6 and CRP predict the need for mechanical ventilation in COVID-19

Background: Coronavirus disease 2019 (COVID-19) can manifest as a viral-induced hyperinflammation with multiorgan involvement. Such patients often experience rapid deterioration and need for mechanical ventilation. Currently, no prospectively validated biomarker of impending respiratory failure is available.Objective: We aimed to identify and prospectively validate biomarkers that allow the identification of patients in need of impending mechanical ventilation.Methods: Patients with COVID-19 who were hospitalized from February 29 to April 9, 2020, were analyzed for baseline clinical and laboratory findings at admission and during the disease. Data from 89 evaluable patients were available for the purpose of analysis comprising an initial evaluation cohort (n = 40) followed by a temporally separated validation cohort (n = 49).Results: We identified markers of inflammation, lactate dehydrogenase, and creatinine as the variables most predictive of respiratory failure in the evaluation cohort. Maximal IL-6 level before intubation showed the strongest association with the need for mechanical ventilation, followed by maximal CRP level. The respective AUC values for IL-6 and CRP levels in the evaluation cohort were 0.97 and 0.86, and they were similar in the validation cohort (0.90 and 0.83, respectively). The calculated optimal cutoff values during the course of disease from the evaluation cohort (IL-6 level > 80 pg/mL and CRP level > 97 mg/L) both correctly classified 80% of patients in the validation cohort regarding their risk of respiratory failure.Conclusion: The maximal level of IL-6, followed by CRP level, was highly predictive of the need for mechanical ventilation. This suggests the possibility of using IL-6 or CRP level to guide escalation of treatment in patients with COVID-19-related hyperinflammatory syndrome