Pricing Rainfall Based Futures Using Genetic Programming

Rainfall derivatives are in their infancy since starting trading on the Chicago Mercantile Exchange (CME) since 2011. Being a relatively new class of financial instruments there is no generally recognised pricing framework used within the literature. In this paper, we propose a novel framework for pricing contracts using Genetic Programming (GP). Our novel framework requires generating a risk-neutral density of our rainfall predictions generated by GP supported by Markov chain Monte Carlo and Esscher transform. Moreover, instead of having a single rainfall model for all contracts, we propose having a separate rainfall model for each contract. We compare our novel framework with and without our proposed contract-specific models for pricing against the pricing performance of the two most commonly used methods, namely Markov chain extended with rainfall prediction (MCRP), and burn analysis (BA) across contracts available on the CME. Our goal is twofold, (i) to show that by improving the predictive accuracy of the rainfall process, the accuracy of pricing also increases. (ii) contract-specific models can further improve the pricing accuracy. Results show that both of the above goals are met, as GP is capable of pricing rainfall futures contracts closer to the CME than MCRP and BA. This shows that our novel framework for using GP is successful, which is a significant step forward in pricing rainfall derivatives

Behavioural Risk Factors in Mid-Life Associated with Successful Ageing, Disability, Dementia and Frailty in Later Life: A Rapid Systematic Review.

BACKGROUND: Smoking, alcohol consumption, poor diet and low levels of physical activity significantly contribute to the burden of illness in developed countries. Whilst the links between specific and multiple risk behaviours and individual chronic conditions are well documented, the impact of these behaviours in mid-life across a range of later life outcomes has yet to be comprehensively assessed. This review aimed to provide an overview of behavioural risk factors in mid-life that are associated with successful ageing and the primary prevention or delay of disability, dementia, frailty and non-communicable chronic conditions. METHODS: A literature search was conducted to identify cohort studies published in English since 2000 up to Dec 2014. Multivariate analyses and a minimum follow-up of five years were required for inclusion. Two reviewers screened titles, abstracts and papers independently. Studies were assessed for quality. Evidence was synthesised by mid-life behavioural risk for a range of late life outcomes. FINDINGS: This search located 10,338 individual references, of which 164 are included in this review. Follow-up data ranged from five years to 36 years. Outcomes include dementia, frailty, disability and cardiovascular disease. There is consistent evidence of beneficial associations between mid-life physical activity, healthy ageing and disease outcomes. Across all populations studied there is consistent evidence that mid-life smoking has a detrimental effect on health. Evidence specific to alcohol consumption was mixed. Limited, but supportive, evidence was available relating specifically to mid-life diet, leisure and social activities or health inequalities. CONCLUSIONS: There is consistent evidence of associations between mid-life behaviours and a range of late life outcomes. The promotion of physical activity, healthy diet and smoking cessation in all mid-life populations should be encouraged for successful ageing and the prevention of disability and chronic disease.This work was funded by the National Institute for Health and Care Excellence (NICE), invitation to tender reference DDER 42013, and supported by the National Institute for Health Research School for Public Health Research. The scope of the work was defined by NICE and the protocol was agreed with NICE prior to the start of work. The funders had no role in data analysis, preparation of the manuscript or decision to publish.This is the final version of the article. It first appeared from PLOS via http://dx.doi.org/10.1371/journal.pone.014440

Search for new physics in the multijet and missing transverse momentum final state in proton-proton collisions at √s=8 Tev

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Study of hadronic event-shape variables in multijet final states in pp collisions at √s=7 TeV

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Measurement of Higgs boson production and properties in the WW decay channel with leptonic final states

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Constraints on parton distribution functions and extraction of the strong coupling constant from the inclusive jet cross section in pp collisions at √s=7 TeV

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Combined Tevatron upper limit on gg->H->W+W- and constraints on the Higgs boson mass in fourth-generation fermion models

Report number: FERMILAB-PUB-10-125-EWe combine results from searches by the CDF and D0 collaborations for a standard model Higgs boson (H) in the process gg->H->W+W- in p=pbar collisions at the Fermilab Tevatron Collider at sqrt{s}=1.96 TeV. With 4.8 fb-1 of integrated luminosity analyzed at CDF and 5.4 fb-1 at D0, the 95% Confidence Level upper limit on \sigma(gg->H) x B(H->W+W-) is 1.75 pb at m_H=120 GeV, 0.38 pb at m_H=165 GeV, and 0.83 pb at m_H=200 GeV. Assuming the presence of a fourth sequential generation of fermions with large masses, we exclude at the 95% Confidence Level a standard-model-like Higgs boson with a mass between 131 and 204 GeV.We combine results from searches by the CDF and D0 collaborations for a standard model Higgs boson (H) in the process gg→H→W+W- in pp̅ collisions at the Fermilab Tevatron Collider at √s=1.96  TeV. With 4.8  fb-1 of integrated luminosity analyzed at CDF and 5.4  fb-1 at D0, the 95% confidence level upper limit on σ(gg→H)×B(H→W+W-) is 1.75 pb at mH=120  GeV, 0.38 pb at mH=165  GeV, and 0.83 pb at mH=200  GeV. Assuming the presence of a fourth sequential generation of fermions with large masses, we exclude at the 95% confidence level a standard-model-like Higgs boson with a mass between 131 and 204 GeV.Peer reviewe

Detection and characteristics of microvascular obstruction in reperfused acute myocardial infarction using an optimized protocol for contrast-enhanced cardiovascular magnetic resonance imaging

Several cardiovascular magnetic resonance imaging (CMR) techniques are used to detect microvascular obstruction (MVO) after acute myocardial infarction (AMI). To determine the prevalence of MVO and gain more insight into the dynamic changes in appearance of MVO, we studied 84 consecutive patients with a reperfused AMI on average 5 and 104 days after admission, using an optimised single breath-hold 3D inversion recovery gradient echo pulse sequence (IR-GRE) protocol. Early MVO (2 min post-contrast) was detected in 53 patients (63%) and late MVO (10 min post-contrast) in 45 patients (54%; p = 0.008). The extent of MVO decreased from early to late imaging (4.3 ± 3.2% vs. 1.8 ± 1.8%, p < 0.001) and showed a heterogeneous pattern. At baseline, patients without MVO (early and late) had a higher left ventricular ejection fraction (LVEF) than patients with persistent late MVO (56 ± 7% vs. 48 ± 7%, p < 0.001) and LVEF was intermediate in patients with early MVO but late MVO disappearance (54 ± 6%). During follow-up, LVEF improved in all three subgroups but remained intermediate in patients with late MVO disappearance. This optimised single breath-hold 3D IR-GRE technique for imaging MVO early and late after contrast administration is fast, accurate and allows detection of patients with intermediate remodelling at follow-up

Study of double parton scattering using W+2-jet events in proton-proton collisions at √s=7 TeV

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Search for Dark Matter and Supersymmetry with a Compressed Mass Spectrum in the Vector Boson Fusion Topology in Proton-Proton Collisions at root s=8 TeV

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