Impact of Macroeconomic Announcements on Implied Volatility Slope of SPX Options and VIX

Cataloged from PDF version of article.This paper examines the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX. We document that macroeconomic announcements affect VIX significantly and slope at a lesser extent. We also find evidence that good and bad announcements significantly and asymmetrically change implied volatility slope and VIX. 2014 Elsevier Inc. All rights reserved

Generalised Decision Level Ensemble Method for Classifying Multi-media Data

In recent decades, multimedia data have been commonly generated and used in various domains, such as in healthcare and social media due to their ability of capturing rich information. But as they are unstructured and separated, how to fuse and integrate multimedia datasets and then learn from them eectively have been a main challenge to machine learning. We present a novel generalised decision level ensemble method (GDLEM) that combines the multimedia datasets at decision level. After extracting features from each of multimedia datasets separately, the method trains models independently on each media dataset and then employs a generalised selection function to choose the appropriate models to construct a heterogeneous ensemble. The selection function is dened as a weighted combination of two criteria: the accuracy of individual models and the diversity among the models. The framework is tested on multimedia data and compared with other heterogeneous ensembles. The results show that the GDLEM is more exible and eective

Decision level ensemble method for classifying multi-media data

In the digital era, the data, for a given analytical task, can be collected in different formats, such as text, images and audio etc. The data with multiple formats are called multimedia data. Integrating and fusing multimedia datasets has become a challenging task in machine learning and data mining. In this paper, we present heterogeneous ensemble method that combines multi-media datasets at the decision level. Our method consists of several components, including extracting the features from multimedia datasets that are not represented by features, modelling independently on each of multimedia datasets, selecting models based on their accuracy and diversity and building the ensemble at the decision level. Hence our method is called decision level ensemble method (DLEM). The method is tested on multimedia data and compared with other heterogeneous ensemble based methods. The results show that the DLEM outperformed these methods significantly

Insights from triggers and prodromal symptoms on how migraine attacks start: The threshold hypothesis

Background: The prodrome or premonitory phase is the initial phase of a migraine attack, and it is considered as a symptomatic phase in which prodromal symptoms may occur. There is evidence that attacks start 24-48 hours before the headache phase. Individuals with migraine also report several potential triggers for their attacks, which may be mistaken for premonitory symptoms and hinder migraine research. Methods: This review aims to summarize published studies that describe contributions to understanding the fine difference between prodromal/premonitory symptoms and triggers, give insights for research, and propose a way forward to study these phenomena. We finally aim to formulate a theory to unify migraine triggers and prodromal symptoms. For this purpose, a comprehensive narrative review of the published literature on clinical, neurophysiological and imaging evidence on migraine prodromal symptoms and triggers was conducted using the PubMed database. Results: Brain activity and network connectivity changes occur during the prodromal phase. These changes give rise to prodromal/premonitory symptoms in some individuals, which may be falsely interpreted as triggers at the same time as representing the early manifestation of the beginning of the attack. By contrast, certain migraine triggers, such as stress, hormone changes or sleep deprivation, acting as a catalyst in reducing the migraine threshold, might facilitate these changes and increase the chances of a migraine attack. Migraine triggers and prodromal/premonitory symptoms can be confused and have an intertwined relationship with the hypothalamus as the central hub for integrating external and internal body signals. Conclusions: Differentiating migraine triggers and prodromal symptoms is crucial for shedding light on migraine pathophysiology and improve migraine management

Elective cancer surgery in COVID-19-free surgical pathways during the SARS-CoV-2 pandemic: An international, multicenter, comparative cohort study

PURPOSE As cancer surgery restarts after the first COVID-19 wave, health care providers urgently require data to determine where elective surgery is best performed. This study aimed to determine whether COVID-19–free surgical pathways were associated with lower postoperative pulmonary complication rates compared with hospitals with no defined pathway. PATIENTS AND METHODS This international, multicenter cohort study included patients who underwent elective surgery for 10 solid cancer types without preoperative suspicion of SARS-CoV-2. Participating hospitals included patients from local emergence of SARS-CoV-2 until April 19, 2020. At the time of surgery, hospitals were defined as having a COVID-19–free surgical pathway (complete segregation of the operating theater, critical care, and inpatient ward areas) or no defined pathway (incomplete or no segregation, areas shared with patients with COVID-19). The primary outcome was 30-day postoperative pulmonary complications (pneumonia, acute respiratory distress syndrome, unexpected ventilation). RESULTS Of 9,171 patients from 447 hospitals in 55 countries, 2,481 were operated on in COVID-19–free surgical pathways. Patients who underwent surgery within COVID-19–free surgical pathways were younger with fewer comorbidities than those in hospitals with no defined pathway but with similar proportions of major surgery. After adjustment, pulmonary complication rates were lower with COVID-19–free surgical pathways (2.2% v 4.9%; adjusted odds ratio [aOR], 0.62; 95% CI, 0.44 to 0.86). This was consistent in sensitivity analyses for low-risk patients (American Society of Anesthesiologists grade 1/2), propensity score–matched models, and patients with negative SARS-CoV-2 preoperative tests. The postoperative SARS-CoV-2 infection rate was also lower in COVID-19–free surgical pathways (2.1% v 3.6%; aOR, 0.53; 95% CI, 0.36 to 0.76). CONCLUSION Within available resources, dedicated COVID-19–free surgical pathways should be established to provide safe elective cancer surgery during current and before future SARS-CoV-2 outbreaks

Elective Cancer Surgery in COVID-19-Free Surgical Pathways During the SARS-CoV-2 Pandemic: An International, Multicenter, Comparative Cohort Study.

PURPOSE: As cancer surgery restarts after the first COVID-19 wave, health care providers urgently require data to determine where elective surgery is best performed. This study aimed to determine whether COVID-19-free surgical pathways were associated with lower postoperative pulmonary complication rates compared with hospitals with no defined pathway. PATIENTS AND METHODS: This international, multicenter cohort study included patients who underwent elective surgery for 10 solid cancer types without preoperative suspicion of SARS-CoV-2. Participating hospitals included patients from local emergence of SARS-CoV-2 until April 19, 2020. At the time of surgery, hospitals were defined as having a COVID-19-free surgical pathway (complete segregation of the operating theater, critical care, and inpatient ward areas) or no defined pathway (incomplete or no segregation, areas shared with patients with COVID-19). The primary outcome was 30-day postoperative pulmonary complications (pneumonia, acute respiratory distress syndrome, unexpected ventilation). RESULTS: Of 9,171 patients from 447 hospitals in 55 countries, 2,481 were operated on in COVID-19-free surgical pathways. Patients who underwent surgery within COVID-19-free surgical pathways were younger with fewer comorbidities than those in hospitals with no defined pathway but with similar proportions of major surgery. After adjustment, pulmonary complication rates were lower with COVID-19-free surgical pathways (2.2% v 4.9%; adjusted odds ratio [aOR], 0.62; 95% CI, 0.44 to 0.86). This was consistent in sensitivity analyses for low-risk patients (American Society of Anesthesiologists grade 1/2), propensity score-matched models, and patients with negative SARS-CoV-2 preoperative tests. The postoperative SARS-CoV-2 infection rate was also lower in COVID-19-free surgical pathways (2.1% v 3.6%; aOR, 0.53; 95% CI, 0.36 to 0.76). CONCLUSION: Within available resources, dedicated COVID-19-free surgical pathways should be established to provide safe elective cancer surgery during current and before future SARS-CoV-2 outbreaks

KYBERNETES

Purpose - The immense quantity of available unstructured text documents serve as one of the largest source of information. Text classification can be an essential task for many purposes in information retrieval, such as document organization, text filtering and sentiment analysis. Ensemble learning has been extensively studied to construct efficient text classification schemes with higher predictive performance and generalization ability. The purpose of this paper is to provide diversity among the classification algorithms of ensemble, which is a key issue in the ensemble design. Design/methodology/approach - An ensemble scheme based on hybrid supervised clustering is presented for text classification. In the presented scheme, supervised hybrid clustering, which is based on cuckoo search algorithm and k-means, is introduced to partition the data samples of each class into clusters so that training subsets with higher diversities can be provided. Each classifier is trained on the diversified training subsets and the predictions of individual classifiers are combined by the majority voting rule. The predictive performance of the proposed classifier ensemble is compared to conventional classification algorithms (such as Naive Bayes, logistic regression, support vector machines and C4.5 algorithm) and ensemble learning methods (such as AdaBoost, bagging and random subspace) using 11 text benchmarks. Findings - The experimental results indicate that the presented classifier ensemble outperforms the conventional classification algorithms and ensemble learning methods for text classification. Originality/value - The presented ensemble scheme is the first to use supervised clustering to obtain diverse ensemble for text classificatio

A machine learning based approach to identify geo-location of Twitter users

Twitter, a popular microblogging platform, has attracted great attention. Twitter enables people from all over the world to interact in an extremely personal way. The immense quantity of user-generated text messages become available on Twitter that could potentially serve as an important source of information for researchers and practitioners. The information available on Twitter may be utilized for many purposes, such as event detection, public health and crisis management. In order to effectively coordinate such activities, the identification of Twitter users' geo-locations is extremely important. Though online social networks can provide some sort of geo-location information based on GPS coordinates, Twitter suffers from geo-location sparseness problem. The identification of Twitter users' geo-location based on the content of send out messages, becomes extremely important. In this regard, this paper presents a machine learning based approach to the problem. In this study, our corpora is represented as a word vector. To obtain a classification scheme with high predictive performance, the performance of five classification algorithms, three ensemble methods and two feature selection methods are evaluated. Among the compared algorithms, the highest results (84.85%) is achieved by AdaBoost ensemble of Random Forest, when the feature set is selected with the use of consistency-based feature selection method in conjunction with best first search