Hawkes processes and some financial applications

Includes bibliographical references.The self-exciting point process, which is now more commonly known as the Hawkes process, is a model for a point process on the real line introduced by Hawkes (1971). The distinguishing feature of such processes is that they allow all past `events' to affect the intensity function at the current time. Over the years such processes have been applied in seismology and neurophysiology in particular, and in more recent years there have been significant financial applications. In almost all of these applications, the route used to find the maximum likelihood estimates (MLEs) is direct numerical maximisation (DNM) of the likelihood. An EM algorithm, which makes use of the Poisson cluster process interpretation of the Hawkes process, is an alternative route to the MLEs. This particular EM algorithm has received attention in the literature and has been claimed to have advantages over DNM of the likelihood. We carry out a simulation study for a simple Hawkes process to clarify statements made in the literature about these advantages. For the simple Hawkes process models that we consider, DNM of the likelihood is the preferable route to finding the MLEs. We then use DNM of the likelihood to _t marked Hawkes process models to South African asset data. These applications to South African data include the modelling of extreme asset returns and the forecasting of conditional value-at-risk (VaR) and expected shortfall (ES). The models investigated include mostly models found in the literature, but also include some variations introduced here. In a backtesting exercise, we compare the conditional VaR and ES forecasts found by using the marked Hawkes process models with those found via some nonstandard stochastic volatility (SV) models. We find that the marked Hawkes process models give mostly competitive forecasts of conditional VaR and ES when compared with the nonstandard SV models

New-New Trade Policy

When national competitiveness is invoked as a policy objective, trade experts have learned to retort that countries don`t trade, firms do. This focus on the importance of the firm in international trade is consistent with the most recent developments in trade theory, but policy needs to catch up. Recognizing the growing anomalies in observed trade patterns relative to traditional models of trade based on national comparative advantage, the "new trade theory" of the 1980s looked at industries not countries, leading Nobel prize-winner Paul Krugman, a pioneer in this literature, to suggest the need for a new trade policy. Recent work on what some call the "new-new trade theory" focuses on the trading behaviour of individual firms, making a tight link between trade and productivity. In this paper we demonstrate how focusing on firms should be the foundation for a new-new trade policy, one that creates exciting opportunities for trade and investment promotion strategies, along with the need for much more targeted consultation strategies. We also discuss the implications of the new-new theory for regulatory coordination, and on new ways to cooperate with interlocutors in developing countries on the evolution of 21st century trade policy.New-new Trade Theory, Trade Policy

Contracting Agile Developments for Mission Critical Systems in the Public Sector

Although Agile is a well established software development paradigm, major concerns arise when it comes to contracting issues between a software consumer and a software producer. How to contractualize the Agile production of software, especially for security & mission critical organizations, which typically outsource software projects, has been a major concern since the beginning of the \u201cAgile Era.\u201d In literature, little has been done, from a foundational point of view regarding the formalization of such contracts. Indeed, when the development is outsourced, the management of the contractual life is non\u2013trivial. This happens because the interests of the two parties are typically not aligned. In these situations, software houses strive for the minimization of the effort, while the customer commonly expects high quality artifacts. This structural asymmetry can hardly be overcome with traditional \u201cWaterfall\u201d contracts. In this work, we propose a foundational approach to the Law & Economics of Agile contracts. Moreover, we explore the key elements of the Italian procurement law and outline a suitable solution to merge some basic legal constraints with Agile requirements. Finally, a case study is presented, describing how Agile contracting has been concretely implemented in the Italian Defense Acquisition Process. This work is intended to be a framework for Agile contracts for the Italian public sector of critical systems, according to the new contractual law (Codice degli Appalti)

Microfluidic SAXS study of lamellar and multilamellar vesicle phases of linear sodium alkylbenzenesulfonate surfactant with intrinsic isomeric distribution

The structure and flow behaviour of a concentrated aqueous solution (45 w.t. %) of the ubiquitous linear sodium alkylbenzene sulfonate (NaLAS) surfactant is investigated by microfluidic small-angle X-ray scatterong (SAXS) at 70 ⁰C. NaLAS is an intrinsically complex mixture of over 20 surfactant molecules, presenting coexisting micellar (L1) and lamellar (Lα) phases. Novel microfluidic devices were fabricated to ensure pressure and thermal resistance, ability to handle viscous fluids, and low SAXS background. Polarized light optical microscopy showed that the NaLAS solution exhibits wall slip in microchannels, with velocity profiles approaching plug flow. Microfluidic SAXS demonstrated the structural spatial heterogeneity of the system with a characteristic lengthscale of 50 nL. Using a statistical flow-SAXS analysis we identified the micellar phase and multiple coexisting lamellar phases with a continuous distribution of d spacings between 37.5 Å - 39.5 Å. Additionally, we showed that the orientation of NaLAS lamellar phases is strongly affected by a single microfluidic constriction. The bilayers align parallel to the velocity field upon entering a constriction and perpendicular to it upon exiting. On the other hand, multi-lamellar vesicle phases are not affected under the same flow conditions. Our results demonstrate that, despite the compositional complexity inherent to NaLAS, microfluidic SAXS can rigorously elucidate its structure and flow response

Primary Care Physicians’ Views on Medical Error and Disclosure in Cancer Care

Introduction: Effective physician-patient communication is critical in cancer care. Breakdowns in communication may follow an actual or suspected medical error because of various professional or medicolegal concerns about those events. We examined views of primary care physicians (PCPs) regarding two hypothetical medical errors, their perceptions of responsibility and intent to communicate these events to patients. Objectives: To describe PCPs views on medical errors, perceived responsibility and communication after errors during cancer care. Methods: We surveyed 630 PCPs at 3 healthcare organizations participating in the Cancer Research Network. Questionnaires included two vignettes describing possible medical errors: a delayed diagnosis of breast cancer and; preventable complications of colon cancer treatment. Questions assessed perceived responsibility and intent to communicate with the patient after the event. Results: A total of 333 PCPs responded (response rate =53%). Eighty-one percent felt that the delayed diagnosis vignette described a serious error; (60%) believed that the preventable complications of colon cancer treatment vignette represented a serious medical error. Few would offer no apology at all for the delayed diagnosis (4%) or the colon cancer complications complications (7%). The most common expression of regret was “I am sorry about what happened to you” without elaboration (48% delayed diagnosis; 56% complications). Just over half (51%) would not volunteer the cause of the delayed diagnosis; compared to 25% in the complications vignette. Perception of the error as serious, and of greater personal responsibility were both predictive of being more forthcoming when communicating to patient after the event; perceived self-efficacy in communication and the belief that one’s organization values good communication were not. Conclusion: PCPs vary in their attitudes towards medical errors, and their perceptions of responsibility. These attitudes and perceptions are predictive of how physicians intend to communicate with patients after such events, at least in response to two hypothetical cases

Focused Fluid Flow along the Nootka Fault Zone and Continental slope, Explorer‐Juan de Fuca Plate Boundary

Key Points: - Fluid flow is focused along Nootka Fault traces resulting in shallow bright spots - Two seafloor mounds are the result of basaltic intrusions in the Nootka Fault zone - Gas hydrates occur at the Nootka Slope and are imaged seismically as bottom- simulating reflectors suggesting a regional heat-flow of ~80 mW/m2 along the slope Abstract Geophysical and geochemical data indicate there is abundant fluid expulsion in the Nootka fault zone (NFZ) between the Juan de Fuca and Explorer plates and the Nootka continental slope. Here we combine observations from > 20 years of investigations to demonstrate the nature of fluid‐flow along the NFZ, which is the seismically most active region off Vancouver Island. Seismicity reaching down to the upper mantle is linked to near‐seafloor manifestation of fluid flow through a network of faults. Along the two main fault traces, seismic reflection data imaged bright spots 100 – 300 m below seafloor that lie above changes in basement topography. The bright spots are conformable to sediment layering, show opposite‐to‐seafloor reflection polarity, and are associated with frequency‐reduction and velocity push‐down indicating the presence of gas in the sediments. Two seafloor mounds ~15 km seaward of the Nootka slope are underlain by deep, non‐conformable high amplitude reflective zones. Measurements in the water column above one mound revealed a plume of warm water, and bottom‐video observations imaged hydrothermal vent system biota. Pore fluids from a core at this mound contain predominately microbial methane (C1) with a high proportion of ethane (C2) yielding C1/C2 ratios < 500 indicating a possible slight contribution from a deep source. We infer the reflective zones beneath the two mounds are basaltic intrusions that create hydrothermal circulation within the overlying sediments. Across the Nootka continental slope, gas hydrate related bottom‐simulating reflectors are widespread and occur at depths indicating heat‐flow values of 80 – 90 mW/m2

Clinical validation of a targeted methylation-based multi-cancer early detection test using an independent validation set

BACKGROUND: A multi-cancer early detection (MCED) test used to complement existing screening could increase the number of cancers detected through population screening, potentially improving clinical outcomes. The Circulating Cell-free Genome Atlas study (CCGA; NCT02889978) was a prospective, case-controlled, observational study and demonstrated that a blood-based MCED test utilizing cell-free DNA (cfDNA) sequencing in combination with machine learning could detect cancer signals across multiple cancer types and predict cancer signal origin (CSO) with high accuracy. The objective of this third and final CCGA substudy was to validate an MCED test version further refined for use as a screening tool. PATIENTS AND METHODS: This pre-specified substudy included 4077 participants in an independent validation set (cancer: n = 2823; non-cancer: n = 1254, non-cancer status confirmed at year-one follow-up). Specificity, sensitivity, and CSO prediction accuracy were measured. RESULTS: Specificity for cancer signal detection was 99.5% [95% confidence interval (CI): 99.0% to 99.8%]. Overall sensitivity for cancer signal detection was 51.5% (49.6% to 53.3%); sensitivity increased with stage [stage I: 16.8% (14.5% to 19.5%), stage II: 40.4% (36.8% to 44.1%), stage III: 77.0% (73.4% to 80.3%), stage IV: 90.1% (87.5% to 92.2%)]. Stage I-III sensitivity was 67.6% (64.4% to 70.6%) in 12 pre-specified cancers that account for approximately two-thirds of annual USA cancer deaths and was 40.7% (38.7% to 42.9%) in all cancers. Cancer signals were detected across >50 cancer types. Overall accuracy of CSO prediction in true positives was 88.7% (87.0% to 90.2%). CONCLUSION: In this pre-specified, large-scale, clinical validation substudy, the MCED test demonstrated high specificity and accuracy of CSO prediction and detected cancer signals across a wide diversity of cancers. These results support the feasibility of this blood-based MCED test as a complement to existing single-cancer screening tests. CLINICAL TRIAL NUMBER: NCT02889978

Cellulose acetate phthalate, a common pharmaceutical excipient, inactivates HIV-1 and blocks the coreceptor binding site on the virus envelope glycoprotein gp120

BACKGROUND: Cellulose acetate phthalate (CAP), a pharmaceutical excipient used for enteric film coating of capsules and tablets, was shown to inhibit infection by the human immunodeficiency virus type 1 (HIV-1) and several herpesviruses. CAP formulations inactivated HIV-1, herpesvirus types 1 (HSV-1) and 2 (HSV-2) and the major nonviral sexually transmitted disease (STD) pathogens and were effective in animal models for vaginal infection by HSV-2 and simian immunodeficiency virus. METHODS: Enzyme-linked immunoassays and flow cytometry were used to demonstrate CAP binding to HIV-1 and to define the binding site on the virus envelope. RESULTS: 1) CAP binds to HIV-1 virus particles and to the envelope glycoprotein gp120; 2) this leads to blockade of the gp120 V3 loop and other gp120 sites resulting in diminished reactivity with HIV-1 coreceptors CXCR4 and CCR5; 3) CAP binding to HIV-1 virions impairs their infectivity; 4) these findings apply to both HIV-1 IIIB, an X4 virus, and HIV-1 BaL, an R5 virus. CONCLUSIONS: These results provide support for consideration of CAP as a topical microbicide of choice for prevention of STDs, including HIV-1 infection