Fractal Profit Landscape of the Stock Market

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.Comment: 12 pages, 4 figure

A simple scheme for allocating capital in a foreign exchange proprietary trading firm

We present a model of capital allocation in a foreign exchange proprietary trading firm. The owner allocates capital to individual traders, who operate within strict risk limits. Traders specialize in individual currencies, but are given discretion over their choice of trading rule. The owner provides the simple formula that determines position sizes – a formula that does not require estimation of the firm-level covariance matrix. We provide supporting empirical evidence of excess risk-adjusted returns to the firm-level portfolio, and we discuss a modification of the model in which the owner dictates the choice of trading rule

Stretching the Rules: Monocentric Chromosomes with Multiple Centromere Domains

The centromere is a functional chromosome domain that is essential for faithful chromosome segregation during cell division and that can be reliably identified by the presence of the centromere-specific histone H3 variant CenH3. In monocentric chromosomes, the centromere is characterized by a single CenH3-containing region within a morphologically distinct primary constriction. This region usually spans up to a few Mbp composed mainly of centromere-specific satellite DNA common to all chromosomes of a given species. In holocentric chromosomes, there is no primary constriction; the centromere is composed of many CenH3 loci distributed along the entire length of a chromosome. Using correlative fluorescence light microscopy and high-resolution electron microscopy, we show that pea (Pisum sativum) chromosomes exhibit remarkably long primary constrictions that contain 3-5 explicit CenH3-containing regions, a novelty in centromere organization. In addition, we estimate that the size of the chromosome segment delimited by two outermost domains varies between 69 Mbp and 107 Mbp, several factors larger than any known centromere length. These domains are almost entirely composed of repetitive DNA sequences belonging to 13 distinct families of satellite DNA and one family of centromeric retrotransposons, all of which are unevenly distributed among pea chromosomes. We present the centromeres of Pisum as novel ``meta-polycentric'' functional domains. Our results demonstrate that the organization and DNA composition of functional centromere domains can be far more complex than previously thought, do not require single repetitive elements, and do not require single centromere domains in order to segregate properly. Based on these findings, we propose Pisum as a useful model for investigation of centromere architecture and the still poorly understood role of repetitive DNA in centromere evolution, determination, and function

Planet Populations as a Function of Stellar Properties

Exoplanets around different types of stars provide a window into the diverse environments in which planets form. This chapter describes the observed relations between exoplanet populations and stellar properties and how they connect to planet formation in protoplanetary disks. Giant planets occur more frequently around more metal-rich and more massive stars. These findings support the core accretion theory of planet formation, in which the cores of giant planets form more rapidly in more metal-rich and more massive protoplanetary disks. Smaller planets, those with sizes roughly between Earth and Neptune, exhibit different scaling relations with stellar properties. These planets are found around stars with a wide range of metallicities and occur more frequently around lower mass stars. This indicates that planet formation takes place in a wide range of environments, yet it is not clear why planets form more efficiently around low mass stars. Going forward, exoplanet surveys targeting M dwarfs will characterize the exoplanet population around the lowest mass stars. In combination with ongoing stellar characterization, this will help us understand the formation of planets in a large range of environments.Comment: Accepted for Publication in the Handbook of Exoplanet

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

Reducing anemia prevalence in Afghanistan: socioeconomic correlates and the particular role of agricultural assets

This research aims to examine the socio-economic correlates of anemia in women, and potential sources of iron in household diets in Afghanistan. It also examines whether ownership of agricultural (particularly livestock) assets and their use in food production has a role in alleviating anaemia, especially where local markets may be inadequate. We analyse data from the 2010/11 Afghanistan Multiple Indicator Cluster Survey, estimating a logistic regression to examine how anemia status of women is associated with socio-economic covariates. A key result found is that sheep ownership has a protective effect in reducing anemia (prevalence odds ratio of sheep ownership on anemia of 0.83, 95% confidence interval (CI): 0.73–0.94) after controlling for wealth and other covariates. This association is found to be robust to alternative model specifications. Given the central role of red meat in heme iron provision and absorption of non-heme iron, we hypothesise that sheep ownership promotes mutton consumption from own-production in a setting where market-sourced provision of nutritious food is a challenge. We then use the 2011/12 National Risk and Vulnerability Assessment household data to understand the Afghan diet from the perspective of dietary iron provision, and to understand interactions between own-production, market sourcing and mutton consumption. Sheep ownership is found to increase the likelihood that a household consumed mutton (odds ratio of 1.27, 95% CI: 1.15–1.42), the number of days in the week that mutton was consumed (prevalence rate ratio of 1.24. 95% CI: 1.12–1.37) and the quantity of mutton consumed (7 grams/person/week). In the subsample of mutton consumers, households sourcing mutton mostly from own production consumed mutton 1.5 days more frequently on average than households relying on market purchase, resulting in 100 grams per person per week higher mutton intake. Thus this analysis lends support to the notion that the linkage between sheep ownership and anemia risk is at least partly due to consumption arising from own-production in the presence of market incompleteness

Six years beyond pediatric trauma: child and parental ratings of children’s health-related quality of life in relation to parental mental health

Purpose: To examine the relationship between child self-report and parent proxy report of health-related quality of life (HRQL) and how parents’ mental health status relates to the HRQL ratings 6 years after minor to severe injury of the child. Materials and methods: This cross-sectional cohort study was performed at a regional pediatric trauma center in Stockholm, Sweden. The PedsQL 4.0 versions for ages 5–7, 8–12, and 13–18 years were completed by 177 child–parent dyads 6 years after injury to the child. The parents also rated their own mental health through the mental health domain (MH) in the SF-36 Health Survey. Results: The children’s median age was 13 years (IQR 10–16 years), 54 % were males, and the median ISS was 5 (IQR 2–9). Most of the parents were female (77 %), born in Sweden (79 %), and half had university degrees. There was no statistically significant difference between child self-report and parent proxy report in any of the PedsQL 4.0 scales or summary scales. The levels of agreement between child self-report and parent proxy reports were excellent (ICC ≥ 0.80) for all scales with the exception of emotional functioning (ICC 0.53) which also was the scale with the lowest internal consistency in child self-report (α 0.60). Multiple regression analyses showed that worse parental mental health status correlated with worse child self-report and parent proxy report of children’s HRQL. Conclusions: Children and their parents’ reports on child’s HRQL were in agreement. Decreased mental health in parents was associated with lower scores on parent proxy reports and child self-reports of HRQL after injury. The current investigation highlights the possible relationship between parent’s mental health status and children’s HRQL long after an injury, which should be considered in future investigations and in clinical care

Epigenetic regulation of centromeric chromatin: old dogs, new tricks?

The assembly of just a single kinetochore at the centromere of each sister chromatid is essential for accurate chromosome segregation during cell division. Surprisingly, despite their vital function, centromeres show considerable plasticity with respect to their chromosomal locations and activity. The establishment and maintenance of centromeric chromatin, and therefore the location of kinetochores, is epigenetically regulated. The histone H3 variant CENP-A is the key determinant of centromere identity and kinetochore assembly. Recent studies have identified many factors that affect CENP-A localization, but their precise roles in this process are unknown. We build on these advances and on new information about the timing of CENP-A assembly during the cell cycle to propose new models for how centromeric chromatin is established and propagated