Dynamic modeling of mean-reverting spreads for statistical arbitrage

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed, including a co-integration relationship involving two exchange-traded funds.Comment: 34 pages, 6 figures. Submitte

Superfund, Hedonics, and the Scales of Environmental Justice

Environmental justice (EJ) is prominent in environmental policy, yet EJ research is plagued by debates over methodological procedures. A well-established economic approach, the hedonic price method, can offer guidance on one contentious aspect of EJ research: the choice of the spatial unit of analysis. Environmental managers charged with preventing or remedying inequities grapple with these framing problems. This article reviews the theoretical and empirical literature on unit choice in EJ, as well as research employing hedonic pricing to assess the spatial extent of hazardous waste site impacts. The insights from hedonics are demonstrated in a series of EJ analyses for a national inventory of Superfund sites. First, as evidence of injustice exhibits substantial sensitivity to the choice of spatial unit, hedonics suggests some units conform better to Superfund impacts than others. Second, hedonic estimates for a particular site can inform the design of appropriate tests of environmental inequity for that site. Implications for policymakers and practitioners of EJ analyses are discussed

Effects of Laser Source Parameters on the Generation of Narrow Band and Directed Laser Ultrasound

The successful application of laser techniques for ultrasonic testing depends on the efficient coupling of optical energy into elastic energy so that laser probe detection sensitivity may be maximized. Through optimization of the laser source which is used to generate ultrasonic waves, the overall performance of laser ultrasonic systems may be enhanced by improving the efficiency with which optical energy is converted to elastic energy. This optimization depends primarily on the source laser wavelength which governs the physical interaction of the optical energy with the material of interest. For a given laser source wavelength, several techniques have been demonstrated which modify the laser source to enhance the detectability of laser ultrasonic waves and include the repetitively pulsed laser source [1,2], or temporal array, and the phased array laser source [3],or phased array. These techniques directly address the wave detectability issue by controlling the amplitude and/or the frequency content of the laser ultrasonic wave. Even though the overall conversion efficiency of optical energy to elastic energy is not improved primarily by repetitive pulsing or phasing laser arrays, the detectability of a given laser ultrasonic wave may be enhanced beyond that obtained using a single laser source

Is U.S. health care an appropriate system? A strategic perspective from systems science

<p>Abstract</p> <p>Context</p> <p>Systems science provides organizational principles supported by biologic findings that can be applied to any organization; any incongruence indicates an incomplete or an already failing system. U.S. health care is commonly referred to as a system that consumes an ever- increasing percentage of the gross domestic product and delivers seemingly diminishing value.</p> <p>Objective</p> <p>To perform a comparative study of U.S. health care with the principles of systems science and, if feasible, propose solutions.</p> <p>Design</p> <p>General systems theory provides the theoretical foundation for this observational research.</p> <p>Main Outcome Measures</p> <p>A degree of compliance of U.S. health care with systems principles and its space-time functional location within the dynamic systems model.</p> <p>Results of comparative analysis</p> <p>U.S. health care is an incomplete system further threatened by the fact that it functions in the zone of chaos within the dynamic systems model.</p> <p>Conclusion</p> <p>Complying with systems science principles and the congruence of pertinent cycles, U.S. health care would likely dramatically improve its value creation for all of society as well as its resiliency and long-term sustainability.</p> <p>Immediate corrective steps could be taken: Prioritize and incentivize <it>health </it>over <it>care</it>; restore fiscal soundness by combining health and life insurance for the benefit of the insured and the payer; rebalance horizontal/providers and vertical/government hierarchies.</p

The Amphibian Genomics Consortium: advancing genomic and genetic resources for amphibian research and conservation

Amphibians represent a diverse group of tetrapods, marked by deep divergence times between their three systematic orders and families. Studying amphibian biology through the genomics lens increases our understanding of the features of this animal class and that of other terrestrial vertebrates. The need for amphibian genomic resources is more urgent than ever due to the increasing threats to this group. Amphibians are one of the most imperiled taxonomic groups, with approximately 41% of species threatened with extinction due to habitat loss, changes in land use patterns, disease, climate change, and their synergistic effects. Amphibian genomic resources have provided a better understanding of ontogenetic diversity, tissue regeneration, diverse life history and reproductive modes, anti-predator strategies, and resilience and adaptive responses. They also serve as essential models for studying broad genomic traits, such as evolutionary genome expansions and contractions, as they exhibit the widest range of genome sizes among all animal taxa and possess multiple mechanisms of genetic sex determination. Despite these features, genome sequencing of amphibians has significantly lagged behind that of other vertebrates, primarily due to the challenges of assembling their large, repeat-rich genomes and the relative lack of societal support. The emergence of long-read sequencing technologies, combined with advanced molecular and computational techniques that improve scaffolding and reduce computational workloads, is now making it possible to address some of these challenges. To promote and accelerate the production and use of amphibian genomics research through international coordination and collaboration, we launched the Amphibian Genomics Consortium (AGC, https://mvs.unimelb.edu.au/amphibian-genomics-consortium) in early 2023. This burgeoning community already has more than 282 members from 41 countries. The AGC aims to leverage the diverse capabilities of its members to advance genomic resources for amphibians and bridge the implementation gap between biologists, bioinformaticians, and conservation practitioners. Here we evaluate the state of the field of amphibian genomics, highlight previous studies, present challenges to overcome, and call on the research and conservation communities to unite as part of the AGC to enable amphibian genomics research to “leap” to the next level

Can Communicating Personalised Disease Risk Promote Healthy Behaviour Change? A Systematic Review of Systematic Reviews.

$\textbf{BACKGROUND}$: The assessment and communication of disease risk that is personalised to the individual is widespread in healthcare contexts. Despite several systematic reviews of RCTs, it is unclear under what circumstances that personalised risk estimates promotes change in four key health-related behaviours: smoking, physical activity, diet and alcohol consumption. $\textbf{PURPOSE}$: The present research aims to systematically identify, evaluate and synthesise the findings of existing systematic reviews. $\textbf{METHODS}$: This systematic review of systematic reviews followed published guidance. A search of four databases and two-stage screening procedure with good reliability identified nine eligible systematic reviews. $\textbf{RESULTS}$: The nine reviews each included between three and 15 primary studies, containing 36 unique studies. Methods of personalising risk feedback included imaging/visual feedback, genetic testing, and numerical estimation from risk algorithms. The reviews were generally high quality. For a broad range of methods of estimating and communicating risk, the reviews found no evidence that risk information had strong or consistent effects on health-related behaviours. The most promising effects came from interventions using visual or imaging techniques and with smoking cessation and dietary behaviour as outcomes, but with inconsistent results. Few interventions explicitly used theory, few targeted self-efficacy or response efficacy, and a limited range of Behaviour Change Techniques were used. $\textbf{CONCLUSIONS}$: Presenting risk information on its own, even when highly personalised, does not produce strong effects on health-related behaviours or changes which are sustained. Future research in this area should build on the existing knowledge base about increasing the effects of risk communication on behaviour.The present research was funded partly by Research Capability Funding from NIHR CLAHRC Greater Manchester and the charity Prevent Breast Cancer

The Amphibian Genomics Consortium: advancing genomic and genetic resources for amphibian research and conservation

\ua9 The Author(s) 2024.Amphibians represent a diverse group of tetrapods, marked by deep divergence times between their three systematic orders and families. Studying amphibian biology through the genomics lens increases our understanding of the features of this animal class and that of other terrestrial vertebrates. The need for amphibian genomic resources is more urgent than ever due to the increasing threats to this group. Amphibians are one of the most imperiled taxonomic groups, with approximately 41% of species threatened with extinction due to habitat loss, changes in land use patterns, disease, climate change, and their synergistic effects. Amphibian genomic resources have provided a better understanding of ontogenetic diversity, tissue regeneration, diverse life history and reproductive modes, anti-predator strategies, and resilience and adaptive responses. They also serve as essential models for studying broad genomic traits, such as evolutionary genome expansions and contractions, as they exhibit the widest range of genome sizes among all animal taxa and possess multiple mechanisms of genetic sex determination. Despite these features, genome sequencing of amphibians has significantly lagged behind that of other vertebrates, primarily due to the challenges of assembling their large, repeat-rich genomes and the relative lack of societal support. The emergence of long-read sequencing technologies, combined with advanced molecular and computational techniques that improve scaffolding and reduce computational workloads, is now making it possible to address some of these challenges. To promote and accelerate the production and use of amphibian genomics research through international coordination and collaboration, we launched the Amphibian Genomics Consortium (AGC, https://mvs.unimelb.edu.au/amphibian-genomics-consortium) in early 2023. This burgeoning community already has more than 282 members from 41 countries. The AGC aims to leverage the diverse capabilities of its members to advance genomic resources for amphibians and bridge the implementation gap between biologists, bioinformaticians, and conservation practitioners. Here we evaluate the state of the field of amphibian genomics, highlight previous studies, present challenges to overcome, and call on the research and conservation communities to unite as part of the AGC to enable amphibian genomics research to “leap” to the next level