Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Control of bimanual rhythmic movements: Trading efficiency for robustness depending on the context

This paper investigates how the efficiency and robustness of a skilled rhythmic task compete against each other in the control of a bimanual movement. Human subjects juggled a puck in 2D through impacts with two metallic arms, requiring rhythmic bimanual actuation. The arms kinematics were only constrained by the position, velocity and time of impacts while the rest of the trajectory did not influence the movement of the puck. In order to expose the task robustness, we manipulated the task context in two distinct manners: the task tempo was assigned at four different values (hence manipulating the time available to plan and execute each impact movement individually); and vision was withdrawn during half of the trials (hence reducing the sensory inflows). We show that when the tempo was fast, the actuation was rhythmic (no pause in the trajectory) while at slow tempo, the actuation was discrete (with pause intervals between individual movements). Moreover, the withdrawal of visual information encouraged the rhythmic behavior at the four tested tempi. The discrete versus rhythmic behavior give different answers to the efficiency/robustness trade-off: discrete movements result in energy efficient movements, while rhythmic movements impact the puck with negative acceleration, a property preserving robustness. Moreover, we report that in all conditions the impact velocity of the arms was negatively correlated with the energy of the puck. This correlation tended to stabilize the task and was influenced by vision, revealing again different control strategies. In conclusion, this task involves different modes of control that balance efficiency and robustness, depending on the context. © 2008 Springer-Verlag.

Surface attachment of protein fibrils via covalent modification strategies.

Chemical control of surface functionality and topography is an essential requirement for many technological purposes. In particular, the covalent attachment of monomeric proteins to surfaces has been the object of intense studies in recent years, for applications as varied as electrochemistry, immuno-sensing, and the production of biocompatible coatings. Little is known, however, about the characteristics and requirements underlying surface attachment of supramolecular protein nanostructures. Amyloid fibrils formed by the self-assembly of peptide and protein molecules represent one important class of such structures. These highly organized beta-sheet-rich assemblies are a hallmark of a range of neurodegenerative disorders, including Alzheimer's disease and type II diabetes, but recent findings suggest that they have much broader significance, potentially representing the global free energy minima of the energy landscapes of proteins and having potential applications in material science. In this paper, we describe strategies for attaching amyloid fibrils formed from different proteins to gold surfaces under different solution conditions. Our methods involve the reaction of sulfur containing small molecules (cystamine and 2-iminothiolane) with the amyloid fibrils, enabling their covalent linkage to gold surfaces. We demonstrate that irreversible attachment using these approaches makes possible quantitative analysis of experiments using biosensor techniques, such as quartz crystal microbalance (QCM) assays that are revolutionizing our understanding of the mechanisms of amyloid growth and the factors that determine its kinetic behavior. Moreover, our results shed light on the nature and relative importance of covalent versus noncovalent forces acting on protein superstructures at metal surfaces.

Innovation processes within the healthcare industry: Determining critical success factors aligned to product strategies

The impact of differing product strategies on product innovation processes pursued by healthcare firms is discussed. The critical success factors aligned to product strategies are presented. A definite split between pioneering product strategies and late entrant product strategies is also recognised.