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

Circumstellar disks and planets. Science cases for next-generation optical/infrared long-baseline interferometers

We present a review of the interplay between the evolution of circumstellar disks and the formation of planets, both from the perspective of theoretical models and dedicated observations. Based on this, we identify and discuss fundamental questions concerning the formation and evolution of circumstellar disks and planets which can be addressed in the near future with optical and infrared long-baseline interferometers. Furthermore, the importance of complementary observations with long-baseline (sub)millimeter interferometers and high-sensitivity infrared observatories is outlined.Comment: 83 pages; Accepted for publication in "Astronomy and Astrophysics Review"; The final publication is available at http://www.springerlink.co

TRY plant trait database - enhanced coverage and open access

Plant traits-the morphological, anatomical, physiological, biochemical and phenological characteristics of plants-determine how plants respond to environmental factors, affect other trophic levels, and influence ecosystem properties and their benefits and detriments to people. Plant trait data thus represent the basis for a vast area of research spanning from evolutionary biology, community and functional ecology, to biodiversity conservation, ecosystem and landscape management, restoration, biogeography and earth system modelling. Since its foundation in 2007, the TRY database of plant traits has grown continuously. It now provides unprecedented data coverage under an open access data policy and is the main plant trait database used by the research community worldwide. Increasingly, the TRY database also supports new frontiers of trait-based plant research, including the identification of data gaps and the subsequent mobilization or measurement of new data. To support this development, in this article we evaluate the extent of the trait data compiled in TRY and analyse emerging patterns of data coverage and representativeness. Best species coverage is achieved for categorical traits-almost complete coverage for 'plant growth form'. However, most traits relevant for ecology and vegetation modelling are characterized by continuous intraspecific variation and trait-environmental relationships. These traits have to be measured on individual plants in their respective environment. Despite unprecedented data coverage, we observe a humbling lack of completeness and representativeness of these continuous traits in many aspects. We, therefore, conclude that reducing data gaps and biases in the TRY database remains a key challenge and requires a coordinated approach to data mobilization and trait measurements. This can only be achieved in collaboration with other initiatives

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

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Search for R-parity-violating supersymmetry in events with four or more leptons in sqrt(s) =7 TeV pp collisions with the ATLAS detector

A search for new phenomena in final states with four or more leptons (electrons or muons) is presented. The analysis is based on 4.7 fb−1 of $\sqrt{s}=7\;\mathrm{TeV}$ proton-proton collisions delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in two signal regions: one that requires moderate values of missing transverse momentum and another that requires large effective mass. The results are interpreted in a simplified model of R-parity-violating supersymmetry in which a 95% CL exclusion region is set for charged wino masses up to 540 GeV. In an R-parity-violating MSUGRA/CMSSM model, values of m 1/2 up to 820 GeV are excluded for 10 < tan β < 40

Antihypertensive, antidyslipidemic and endothelial modulating activities of Orchis mascula

The objective of this study was to investigate the possible mode(s) of action for the medicinal use of Orchis mascula (OM) (family Orchidaceae) in hypertension and dyslipidemia. In spontaneously hypertensive rats (SHRs), OM significantly (

Connectivity-based parcellation of the human frontal polar cortex

The frontal pole corresponds to Brodmann area (BA) 10, the largest single architectonic area in the human frontal lobe. Generally, BA10 is thought to contain two or three subregions that subserve broad functions such as multitasking, social cognition, attention, and episodic memory. However, there is a substantial debate about the functional and structural heterogeneity of this large frontal region. Previous connectivity-based parcellation studies have identified two or three subregions in the human frontal pole. Here, we used diffusion tensor imaging to assess structural connectivity of BA10 in 35 healthy subjects and delineated subregions based on this connectivity. This allowed us to determine the correspondence of structurally based subregions with the scheme previously defined functionally. Three subregions could be defined in each subject. However, these three subregions were not spatially consistent between subjects. Therefore, we accepted a solution with two subregions that encompassed the lateral and medial frontal pole. We then examined resting-state functional connectivity of the two subregions and found significant differences between their connectivities. The medial cluster was connected to nodes of the default-mode network, which is implicated in internally focused, self-related thought, and social cognition. The lateral cluster was connected to nodes of the executive control network, associated with directed attention and working memory. These findings support the concept that there are two major anatomical subregions of the frontal pole related to differences in functional connectivity

Molecular modelling of the GIR1 branching ribozyme gives new insight into evolution of structurally related ribozymes

Twin-ribozyme introns contain a branching ribozyme (GIR1) followed by a homing endonuclease (HE) encoding sequence embedded in a peripheral domain of a group I splicing ribozyme (GIR2). GIR1 catalyses the formation of a lariat with 3 nt in the loop, which caps the HE mRNA. GIR1 is structurally related to group I ribozymes raising the question about how two closely related ribozymes can carry out very different reactions. Modelling of GIR1 based on new biochemical and mutational data shows an extended substrate domain containing a GoU pair distinct from the nucleophilic residue that dock onto a catalytic core showing a different topology from that of group I ribozymes. The differences include a core J8/7 region that has been reduced and is complemented by residues from the pre-lariat fold. These findings provide the basis for an evolutionary mechanism that accounts for the change from group I splicing ribozyme to the branching GIR1 architecture. Such an evolutionary mechanism can be applied to other large RNAs such as the ribonuclease P

Evidence of Increased Muscle Atrophy and Impaired Quality of Life Parameters in Patients with Uremic Restless Legs Syndrome

BACKGROUND: Restless Legs Syndrome is a very common disorder in hemodialysis patients. Restless Legs Syndrome negatively affects quality of life; however it is not clear whether this is due to mental or physical parameters and whether an association exists between the syndrome and parameters affecting survival. METHOD#ENTITYSTARTX003BF;LOGY/PRINCIPAL FINDINGS: Using the Restless Legs Syndrome criteria and the presence of Periodic Limb Movements in Sleep (PLMS/h >15), 70 clinically stable hemodialysis patients were assessed and divided into the RLS (n = 30) and non-RLS (n = 40) groups. Physical performance was evaluated by a battery of tests: body composition by dual energy X ray absorptiometry, muscle size and composition by computer tomography, while depression symptoms, perception of sleep quality and quality of life were assessed through validated questionnaires. In this cross sectional analysis, the RLS group showed evidence of thigh muscle atrophy compared to the non-RLS group. Sleep quality and depression score were found to be significantly impaired in the RLS group. The mental component of the quality of life questionnaire appeared significantly diminished in the RLS group, reducing thus the overall quality of life score. In contrast, there were no significant differences between groups in any of the physical performance tests, body and muscle composition. CONCLUSIONS: The low level of quality of life reported by the HD patients with Restless Legs Syndrome seems to be due mainly to mental health and sleep related aspects. Increased evidence of muscle atrophy is also observed in the RLS group and possibly can be attributed to the lack of restorative sleep