Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

A metabolite-derived protein modification integrates glycolysis with KEAP1-NRF2 signalling.

Mechanisms that integrate the metabolic state of a cell with regulatory pathways are necessary to maintain cellular homeostasis. Endogenous, intrinsically reactive metabolites can form functional, covalent modifications on proteins without the aid of enzymes1,2, and regulate cellular functions such as metabolism3-5 and transcription6. An important 'sensor' protein that captures specific metabolic information and transforms it into an appropriate response is KEAP1, which contains reactive cysteine residues that collectively act as an electrophile sensor tuned to respond to reactive species resulting from endogenous and xenobiotic molecules. Covalent modification of KEAP1 results in reduced ubiquitination and the accumulation of NRF27,8, which then initiates the transcription of cytoprotective genes at antioxidant-response element loci. Here we identify a small-molecule inhibitor of the glycolytic enzyme PGK1, and reveal a direct link between glycolysis and NRF2 signalling. Inhibition of PGK1 results in accumulation of the reactive metabolite methylglyoxal, which selectively modifies KEAP1 to form a methylimidazole crosslink between proximal cysteine and arginine residues (MICA). This posttranslational modification results in the dimerization of KEAP1, the accumulation of NRF2 and activation of the NRF2 transcriptional program. These results demonstrate the existence of direct inter-pathway communication between glycolysis and the KEAP1-NRF2 transcriptional axis, provide insight into the metabolic regulation of the cellular stress response, and suggest a therapeutic strategy for controlling the cytoprotective antioxidant response in several human diseases

Cluster Lenses

Clusters of galaxies are the most recently assembled, massive, bound structures in the Universe. As predicted by General Relativity, given their masses, clusters strongly deform space-time in their vicinity. Clusters act as some of the most powerful gravitational lenses in the Universe. Light rays traversing through clusters from distant sources are hence deflected, and the resulting images of these distant objects therefore appear distorted and magnified. Lensing by clusters occurs in two regimes, each with unique observational signatures. The strong lensing regime is characterized by effects readily seen by eye, namely, the production of giant arcs, multiple-images, and arclets. The weak lensing regime is characterized by small deformations in the shapes of background galaxies only detectable statistically. Cluster lenses have been exploited successfully to address several important current questions in cosmology: (i) the study of the lens(es) - understanding cluster mass distributions and issues pertaining to cluster formation and evolution, as well as constraining the nature of dark matter; (ii) the study of the lensed objects - probing the properties of the background lensed galaxy population - which is statistically at higher redshifts and of lower intrinsic luminosity thus enabling the probing of galaxy formation at the earliest times right up to the Dark Ages; and (iii) the study of the geometry of the Universe - as the strength of lensing depends on the ratios of angular diameter distances between the lens, source and observer, lens deflections are sensitive to the value of cosmological parameters and offer a powerful geometric tool to probe Dark Energy. In this review, we present the basics of cluster lensing and provide a current status report of the field.Comment: About 120 pages - Published in Open Access at: http://www.springerlink.com/content/j183018170485723/ . arXiv admin note: text overlap with arXiv:astro-ph/0504478 and arXiv:1003.3674 by other author

Distinguishing Asthma Phenotypes Using Machine Learning Approaches.

Asthma is not a single disease, but an umbrella term for a number of distinct diseases, each of which are caused by a distinct underlying pathophysiological mechanism. These discrete disease entities are often labelled as asthma endotypes. The discovery of different asthma subtypes has moved from subjective approaches in which putative phenotypes are assigned by experts to data-driven ones which incorporate machine learning. This review focuses on the methodological developments of one such machine learning technique-latent class analysis-and how it has contributed to distinguishing asthma and wheezing subtypes in childhood. It also gives a clinical perspective, presenting the findings of studies from the past 5 years that used this approach. The identification of true asthma endotypes may be a crucial step towards understanding their distinct pathophysiological mechanisms, which could ultimately lead to more precise prevention strategies, identification of novel therapeutic targets and the development of effective personalized therapies

Comparison of two high-throughput semiconductor chip sequencing platforms in noninvasive prenatal testing for Down syndrome in early pregnancy

Background: Noninvasive prenatal testing (NIPT) to detect fetal aneuploidy using next-generation sequencing on ion semiconductor platforms has become common. There are several sequencers that can generate sufficient DNA reads for NIPT. However, the approval criteria vary among platforms and countries. This can delay the introduction of such devices and systems to clinics. A comparison of the sensitivity and specificity of two different platforms using the same sequencing chemistry could be useful in NIPT for fetal chromosomal aneuploidies. This would improve healthcare authorities' confidence in decision-making on sequencing-based tests. Methods: One hundred and one pregnant women who were predicted at high risk of fetal defects using conventional prenatal screening tests, and who underwent definitive diagnosis by full karyotyping, were enrolled from three hospitals in Korea. Most of the pregnant women (69.79 %) received NIPT during weeks 11-13 of gestation and 30.21 % during weeks 14-18. We used Ion Torrent PGM and Proton semi-conductor-based sequencers with 0.3x sequencing coverage depth. The average total reads of 101 samples were approximately 4.5 and 7.6 M for PGM and Proton, respectively. A Burrows-Wheeler Aligner (BWA) algorithm was used for the alignment, and a z-score was used to decide fetal trisomy 21. Interactive dot diagrams from the sequencing data showed minimal z-score values of 2.07 and 2.10 to discriminate negative versus positive cases of fetal trisomy 21 for the two different sequencing systems. Results: Our z-score-based discrimination method resulted in 100 % positive and negative prediction values for both ion semiconductor PGM and Proton sequencers, regardless of their sequencing chip and chemistry differences. Both platforms performed well at an early stage (11-13 weeks of gestation) compared with previous studies. Conclusions: These results suggested that, using two different sequencers, NIPT to detect fetal trisomy 21 in early pregnancy is accurate and platform-independent. The data suggested that the amount of sequencing and the application of common, simple, and robust statistical analyses are more important than sequencing chemistry and platform types. This result has practical implications in countries where PGM is approved for NIPT but the Proton system is not.ope

Linear, Deterministic, and Order-Invariant Initialization Methods for the K-Means Clustering Algorithm

Over the past five decades, k-means has become the clustering algorithm of choice in many application domains primarily due to its simplicity, time/space efficiency, and invariance to the ordering of the data points. Unfortunately, the algorithm's sensitivity to the initial selection of the cluster centers remains to be its most serious drawback. Numerous initialization methods have been proposed to address this drawback. Many of these methods, however, have time complexity superlinear in the number of data points, which makes them impractical for large data sets. On the other hand, linear methods are often random and/or sensitive to the ordering of the data points. These methods are generally unreliable in that the quality of their results is unpredictable. Therefore, it is common practice to perform multiple runs of such methods and take the output of the run that produces the best results. Such a practice, however, greatly increases the computational requirements of the otherwise highly efficient k-means algorithm. In this chapter, we investigate the empirical performance of six linear, deterministic (non-random), and order-invariant k-means initialization methods on a large and diverse collection of data sets from the UCI Machine Learning Repository. The results demonstrate that two relatively unknown hierarchical initialization methods due to Su and Dy outperform the remaining four methods with respect to two objective effectiveness criteria. In addition, a recent method due to Erisoglu et al. performs surprisingly poorly.Comment: 21 pages, 2 figures, 5 tables, Partitional Clustering Algorithms (Springer, 2014). arXiv admin note: substantial text overlap with arXiv:1304.7465, arXiv:1209.196

A search for the decay modes B+/- to h+/- tau l

We present a search for the lepton flavor violating decay modes B+/- to h+/- tau l (h= K,pi; l= e,mu) using the BaBar data sample, which corresponds to 472 million BBbar pairs. The search uses events where one B meson is fully reconstructed in one of several hadronic final states. Using the momenta of the reconstructed B, h, and l candidates, we are able to fully determine the tau four-momentum. The resulting tau candidate mass is our main discriminant against combinatorial background. We see no evidence for B+/- to h+/- tau l decays and set a 90% confidence level upper limit on each branching fraction at the level of a few times 10^-5.Comment: 15 pages, 7 figures, submitted to Phys. Rev.

Allele-specific miRNA-binding analysis identifies candidate target genes for breast cancer risk

Most breast cancer (BC) risk-associated single-nucleotide polymorphisms (raSNPs) identified in genome-wide association studies (GWAS) are believed to cis-regulate the expression of genes. We hypothesise that cis-regulatory variants contributing to disease risk may be affecting microRNA (miRNA) genes and/or miRNA binding. To test this, we adapted two miRNA-binding prediction algorithms-TargetScan and miRanda-to perform allele-specific queries, and integrated differential allelic expression (DAE) and expression quantitative trait loci (eQTL) data, to query 150 genome-wide significant ( P≤5×10-8 ) raSNPs, plus proxies. We found that no raSNP mapped to a miRNA gene, suggesting that altered miRNA targeting is an unlikely mechanism involved in BC risk. Also, 11.5% (6 out of 52) raSNPs located in 3'-untranslated regions of putative miRNA target genes were predicted to alter miRNA::mRNA (messenger RNA) pair binding stability in five candidate target genes. Of these, we propose RNF115, at locus 1q21.1, as a strong novel target gene associated with BC risk, and reinforce the role of miRNA-mediated cis-regulation at locus 19p13.11. We believe that integrating allele-specific querying in miRNA-binding prediction, and data supporting cis-regulation of expression, improves the identification of candidate target genes in BC risk, as well as in other common cancers and complex diseases.Funding Agency Portuguese Foundation for Science and Technology CRESC ALGARVE 2020 European Union (EU) 303745 Maratona da Saude Award DL 57/2016/CP1361/CT0042 SFRH/BPD/99502/2014 CBMR-UID/BIM/04773/2013 POCI-01-0145-FEDER-022184info:eu-repo/semantics/publishedVersio

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Evidence for an excess of B -> D(*) Tau Nu decays

Based on the full BaBar data sample, we report improved measurements of the ratios R(D(*)) = B(B -> D(*) Tau Nu)/B(B -> D(*) l Nu), where l is either e or mu. These ratios are sensitive to new physics contributions in the form of a charged Higgs boson. We measure R(D) = 0.440 +- 0.058 +- 0.042 and R(D*) = 0.332 +- 0.024 +- 0.018, which exceed the Standard Model expectations by 2.0 sigma and 2.7 sigma, respectively. Taken together, our results disagree with these expectations at the 3.4 sigma level. This excess cannot be explained by a charged Higgs boson in the type II two-Higgs-doublet model. We also report the observation of the decay B -> D Tau Nu, with a significance of 6.8 sigma.Comment: Expanded section on systematics, text corrections, improved the format of Figure 2 and included the effect of the change of the Tau polarization due to the charged Higg