Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

The development of an algorithm to track blood pressure accurately based on the pulse transit time method

Oscillometric blood pressure (BP) monitors are currently used to diagnose hypertension both in home and clinical settings. These monitors take BP measurements once every 15 minutes over a 24 hour period and provide a reliable and accurate system that is minimally invasive. Although intermittent cuff measurements have proven to be a good indicator of BP, a continuous BP monitor is highly desirable for the diagnosis of hypertension and other cardiac diseases. However, no such devices currently exist. A novel algorithm has been developed based on the Pulse Transit Time (PTT) method, which would allow non-invasive and continuous BP measurement. PTT is defined as the time it takes the BP wave to propagate from the heart to a specified point on the body. After an initial BP measurement, PTT algorithms can track BP over short periods of time, known as calibration intervals. After this time has elapsed, a new BP measurement is required to recalibrate the algorithm. Using the PhysioNet database as a basis, the new algorithm was developed and tested using 15 patients, each tested 3 times over a period of 30 minutes. The predicted BP of the algorithm was compared to the arterial BP of each patient. It has been established that this new algorithm is capable of tracking BP over 12 minutes without the need for recalibration, using the BHS standard, a 100% improvement over what has been previously identified. The algorithm was incorporated into a new system based on its requirements and was tested using three volunteers. The results mirrored those previously observed, providing accurate BP measurements when a 12 minute calibration interval was used. This new system provides a significant improvement to the existing method allowing BP to be monitored continuously and non-invasively, on a beat-to-beat basis over 24 hours, adding major clinical and diagnostic value.