Waiting times between orders and trades in double-auction markets

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.Comment: 19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, U

Why is order flow so persistent?

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.Comment: 42 pages, 15 figure

Cost of the Diet: a method and software to calculate the lowest cost of meeting recommended intakes of energy and nutrients from local foods

Background When food is available, the main obstacle to access is usually economic: people may not be able to afford a nutritious diet, even if they know what foods to eat. The Cost of the Diet method and software was developed to apply linear programming to better understand the extent to which poverty may affect people’s ability to meet their nutritional specifications. This paper describes the principles of the method; the mathematics underlying the linear programming; the parameters and assumptions on which the calculations are based; and then illustrates the output of the software using examples taken from assessments. Results The software contains five databases: the energy and nutrient content of foods; the energy and nutrient specifications of individuals; predefined groups of individuals in typical households; the portion sizes of foods; and currency conversion factors. Data are collected during a market survey to calculate the average cost of foods per 100 g while focus group discussions are used to assess local dietary habits and preferences. These data are presented to a linear programming solver within the software which selects the least expensive combination of local foods for four standard diets that meet specifications for: energy only; energy and macronutrients; energy, macronutrients and micronutrients; and energy, macronutrients and micronutrients but with constraints on the amounts per meal that are consistent with typical dietary habits. Most parameters in the software can be modified by users to examine the potential impact of a wide range of theoretical interventions. The output summarises for each diet the costs, quantity and proportion of energy and nutrient specifications provided by all the foods selected for a given individual or household by day, week, season and year. When the cost is expressed as a percentage of income, the affordability of the diet can be estimated. Conclusions The Cost of the Diet method and software could be used to inform programme design and behaviour change communication in the fields of nutrition, food security, livelihoods and social protection as well as to influence policies and advocacy debates on the financial cost of meeting energy and nutrient specifications

Why Are Outcomes Different for Registry Patients Enrolled Prospectively and Retrospectively? Insights from the Global Anticoagulant Registry in the FIELD-Atrial Fibrillation (GARFIELD-AF).

Background: Retrospective and prospective observational studies are designed to reflect real-world evidence on clinical practice, but can yield conflicting results. The GARFIELD-AF Registry includes both methods of enrolment and allows analysis of differences in patient characteristics and outcomes that may result. Methods and Results: Patients with atrial fibrillation (AF) and ≥1 risk factor for stroke at diagnosis of AF were recruited either retrospectively (n = 5069) or prospectively (n = 5501) from 19 countries and then followed prospectively. The retrospectively enrolled cohort comprised patients with established AF (for a least 6, and up to 24 months before enrolment), who were identified retrospectively (and baseline and partial follow-up data were collected from the emedical records) and then followed prospectively between 0-18 months (such that the total time of follow-up was 24 months; data collection Dec-2009 and Oct-2010). In the prospectively enrolled cohort, patients with newly diagnosed AF (≤6 weeks after diagnosis) were recruited between Mar-2010 and Oct-2011 and were followed for 24 months after enrolment. Differences between the cohorts were observed in clinical characteristics, including type of AF, stroke prevention strategies, and event rates. More patients in the retrospectively identified cohort received vitamin K antagonists (62.1% vs. 53.2%) and fewer received non-vitamin K oral anticoagulants (1.8% vs . 4.2%). All-cause mortality rates per 100 person-years during the prospective follow-up (starting the first study visit up to 1 year) were significantly lower in the retrospective than prospectively identified cohort (3.04 [95% CI 2.51 to 3.67] vs . 4.05 [95% CI 3.53 to 4.63]; p = 0.016). Conclusions: Interpretations of data from registries that aim to evaluate the characteristics and outcomes of patients with AF must take account of differences in registry design and the impact of recall bias and survivorship bias that is incurred with retrospective enrolment. Clinical Trial Registration: - URL: http://www.clinicaltrials.gov . Unique identifier for GARFIELD-AF (NCT01090362)

Surgical site infection after gastrointestinal surgery in high-income, middle-income, and low-income countries: a prospective, international, multicentre cohort study

Background: Surgical site infection (SSI) is one of the most common infections associated with health care, but its importance as a global health priority is not fully understood. We quantified the burden of SSI after gastrointestinal surgery in countries in all parts of the world. Methods: This international, prospective, multicentre cohort study included consecutive patients undergoing elective or emergency gastrointestinal resection within 2-week time periods at any health-care facility in any country. Countries with participating centres were stratified into high-income, middle-income, and low-income groups according to the UN's Human Development Index (HDI). Data variables from the GlobalSurg 1 study and other studies that have been found to affect the likelihood of SSI were entered into risk adjustment models. The primary outcome measure was the 30-day SSI incidence (defined by US Centers for Disease Control and Prevention criteria for superficial and deep incisional SSI). Relationships with explanatory variables were examined using Bayesian multilevel logistic regression models. This trial is registered with ClinicalTrials.gov, number NCT02662231. Findings: Between Jan 4, 2016, and July 31, 2016, 13 265 records were submitted for analysis. 12 539 patients from 343 hospitals in 66 countries were included. 7339 (58·5%) patient were from high-HDI countries (193 hospitals in 30 countries), 3918 (31·2%) patients were from middle-HDI countries (82 hospitals in 18 countries), and 1282 (10·2%) patients were from low-HDI countries (68 hospitals in 18 countries). In total, 1538 (12·3%) patients had SSI within 30 days of surgery. The incidence of SSI varied between countries with high (691 [9·4%] of 7339 patients), middle (549 [14·0%] of 3918 patients), and low (298 [23·2%] of 1282) HDI (p < 0·001). The highest SSI incidence in each HDI group was after dirty surgery (102 [17·8%] of 574 patients in high-HDI countries; 74 [31·4%] of 236 patients in middle-HDI countries; 72 [39·8%] of 181 patients in low-HDI countries). Following risk factor adjustment, patients in low-HDI countries were at greatest risk of SSI (adjusted odds ratio 1·60, 95% credible interval 1·05–2·37; p=0·030). 132 (21·6%) of 610 patients with an SSI and a microbiology culture result had an infection that was resistant to the prophylactic antibiotic used. Resistant infections were detected in 49 (16·6%) of 295 patients in high-HDI countries, in 37 (19·8%) of 187 patients in middle-HDI countries, and in 46 (35·9%) of 128 patients in low-HDI countries (p < 0·001). Interpretation: Countries with a low HDI carry a disproportionately greater burden of SSI than countries with a middle or high HDI and might have higher rates of antibiotic resistance. In view of WHO recommendations on SSI prevention that highlight the absence of high-quality interventional research, urgent, pragmatic, randomised trials based in LMICs are needed to assess measures aiming to reduce this preventable complication

Economic analysis of alternative nutritional management of dual-purpose cow herds in central coastal Veracruz, Mexico

Market information was combined with predicted input–output relationships in an economic analysis of alternative nutritional management for dual-purpose member herds of the Genesis farmer organization of central coastal Veracruz, Mexico. Cow productivity outcomes for typical management and alternative feeding scenarios were obtained from structured sets of simulations in a companion study of productivity limitations and potentials using the Cornell Net Carbohydrate and Protein System model (Version 6.0). Partial budgeting methods and sensitivity analysis were used to identify economically viable alternatives based on expected change in milk income over feed cost (change in revenues from milk sales less change in feed costs). Herd owners in coastal Veracruz have large economic incentives, from $584 to$1,131 in predicted net margin, to increase milk sales by up to 74% across a three-lactation cow lifetime by improving diets based on good quality grass and legume forages. This increment is equal to, or exceeds, in value the total yield from at least one additional lactation per cow lifetime. Furthermore, marginal rates of return (change in milk income over feed costs divided by change in variable costs when alternative practices are used) of 3.3 ± 0.8 indicate clear economic incentives to remove fundamental productivity vulnerabilities due to chronic energy deficits and impeded growth of immature cows under typical management. Sensitivity analyses indicate that the economic outcomes are robust for a variety of market conditions

Death anxiety in patients with metastatic non-small cell lung cancer with and without brain metastases

Context: Death anxiety is common in patients with metastatic cancer, but its relationship to brain metastases and cognitive decline is unknown. Early identification of death anxiety and its determinants allows proactive interventions to be offered to those in need. Objectives: To identify psychological, physical, and disease-related (including brain metastases and cognitive impairment) factors associated with death anxiety in metastatic non-small cell lung cancer (mNSCLC) patients. Methods: A cross-sectional pilot study with mNSCLC outpatients completing standardized neuropsychological tests and validated questionnaires measuring death anxiety, cognitive concerns, illness intrusiveness, depression, demoralization, self-esteem, and common cancer symptoms. We constructed a composite for objective cognitive function (mean neuropsychological tests z-scores). Results: Study measures were completed by 78 patients (50% females; median age 62 years [range 37–82]). Median time since mNSCLC diagnosis was 11 months (range 0–89); 53% had brain metastases. At least moderate death anxiety was reported by 43% (n = 33). Objective cognitive impairment was present in 41% (n = 32) and perceived cognitive impairment in 27% (n = 21). Death anxiety, objective, and perceived cognitive impairment did not significantly differ between patients with and without brain metastases. In univariate analysis, death anxiety was associated with demoralization, depression, self-esteem, illness intrusiveness, common physical cancer symptoms, and perceived cognitive impairment. In multivariate analysis, demoralization (P < 0.001) and illness intrusiveness (P = 0.001) were associated with death anxiety. Conclusion: Death anxiety and brain metastases are common in patients with mNSCLC but not necessarily linked. The association of death anxiety with both demoralization and illness intrusiveness highlights the importance of integrated psychological and symptom management. Further research is needed on the psychological impact of brain metastases

Limitations and potentials of dual-purpose cow herds in Central Coastal Veracruz, Mexico

Feed chemical and kinetic composition and animal performance information was used to evaluate productivity limitations and potentials of dual-purpose member herds of the Genesis farmer organization of central coastal Veracruz, Mexico. The Cornell Net Carbohydrate and Protein System model (Version 6.0) was systematically applied to specific groups of cows in structured simulations to establish probable input–output relationships for typical management, and to estimate probable outcomes from alternative management based on forage-based dietary improvements. Key herd vulnerabilities were pinpointed: chronic energy deficits among dry cows of all ages in late gestation and impeded growth for immature cows. Regardless of the forage season of calving, most cows, if not all, incur energy deficits in the final trimester of gestation; thus reducing the pool of tissue energy and constraining milking performance. Under typical management, cows are smaller and underweight for their age, which limits feed intake capacity, milk production and the probability of early postpartum return to ovarian cyclicity. The substitution of good-quality harvested forage for grazing increased predicted yields by about one-third over typical scenarios for underweight cows. When diets from first parturition properly supported growth and tissue repletion, milk production in second and third lactations was predicted to improve about 60%. Judiciously supplemented diets based on good quality grass and legume forages from first calving were predicted to further increase productivity by about 80% across a three-lactation cow lifetime. These dual-purpose herd owners have large incentives to increase sales income by implementing nutritional strategies like those considered in this study