Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Replicability of data collected for empirical estimation of relative pollen productivity

The effects of repeated survey and fieldwork timing on data derived from a recently proposed standard field methodology for empirical estimation of Relative Pollen Productivity have been tested. Seasonal variations in vegetation and associated pollen assemblages were studied in three contrasting cultural habitat types; semi-natural ancient woodlands, lowland heaths, and unimproved, traditionally managed hay meadows. Results show that in woodlands and heathlands the standard method generates vegetation data with a reasonable degree of similarity throughout the field season, though in some instances additional recording of woodland canopy cover should be undertaken, and differences were greater for woodland understorey taxa than for arboreal taxa. Large differences in vegetation cover were observed over the field season in the grassland community, and matching the phenological timing of surveys within and between studies is clearly important if RPP estimates from these sites are to be comparable. Pollen assemblages from closely co-located moss polsters collected on different visits are shown to be variable in all communities, to a greater degree than can be explained by the sampling error associated with pollen counting, and further study of moss polsters as pollen traps is recommended.

Data mining approach identifies research priorities and data requirements for resolving the red algal tree of life

Background. The assembly of the tree of life has seen significant progress in recent years but algae and protists have been largely overlooked in this effort. Many groups of algae and protists have ancient roots and it is unclear how much data will be required to resolve their phylogenetic relationships for incorporation in the tree of life. The red algae, a group of primary photosynthetic eukaryotes of more than a billion years old, provide the earliest fossil evidence for eukaryotic multicellularity and sexual reproduction. Despite this evolutionary significance, their phylogenetic relationships are understudied. This study aims to infer a comprehensive red algal tree of life at the family level from a supermatrix containing data mined from GenBank. We aim to locate remaining regions of low support in the topology, evaluate their causes and estimate the amount of data required to resolve them. Results. Phylogenetic analysis of a supermatrix of 14 loci and 98 red algal families yielded the most complete red algal tree of life to date. Visualization of statistical support showed the presence of five poorly supported regions. Causes for low support were identified with statistics about the age of the region, data availability and node density, showing that poor support has different origins in different parts of the tree. Parametric simulation experiments yielded optimistic estimates of how much data will be needed to resolve the poorly supported regions (ca. 103 to ca. 104 nucleotides for the different regions). Nonparametric simulations gave a markedly more pessimistic image, some regions requiring more than 2.8 105 nucleotides or not achieving the desired level of support at all. The discrepancies between parametric and nonparametric simulations are discussed in light of our dataset and known attributes of both approaches. Conclusions. Our study takes the red algae one step closer to meaningful inclusion in the tree of life. In addition to the recovery of stable relationships, the recognition of five regions in need of further study is a significant outcome of this work. Based on our analyses of current availability and future requirements of data, we make clear recommendations for forthcoming research.

Regression analysis of spatial data

Many of the most interesting questions ecologists ask lead to analyses of spatial data. Yet, perhaps confused by the large number of statistical models and fitting methods available, many ecologists seem to believe this is best left to specialists. Here, we describe the issues that need consideration when analysing spatial data and illustrate these using simulation studies. Our comparative analysis involves using methods including generalized least squares, spatial filters, wavelet revised models, conditional autoregressive models and generalized additive mixed models to estimate regression coefficients from synthetic but realistic data sets, including some which violate standard regression assumptions. We assess the performance of each method using two measures and using statistical error rates for model selection. Methods that performed well included generalized least squares family of models and a Bayesian implementation of the conditional auto-regressive model. Ordinary least squares also performed adequately in the absence of model selection, but had poorly controlled Type I error rates and so did not show the improvements in performance under model selection when using the above methods. Removing large-scale spatial trends in the response led to poor performance. These are empirical results; hence extrapolation of these findings to other situations should be performed cautiously. Nevertheless, our simulation-based approach provides much stronger evidence for comparative analysis than assessments based on single or small numbers of data sets, and should be considered a necessary foundation for statements of this type in future.

A comparison of self-report and health care provider data to assess surveillance definitions of influenza-like illness in outpatients

Objective: Several surveillance definitions of influenza-like illness (ILI) have been proposed, based on the presence of symptoms. Symptom data can be obtained from patients, medical records, or both. Past research has found that agreements between health record data and self-report are variable depending on the specific symptom. Therefore, we aimed to explore the implications of using data on influenza symptoms extracted from medical records, similar data collected prospectively from outpatients, and the combined data from both sources as predictors of laboratory-confirmed influenza. Methods: Using data from the Hutterite Influenza Prevention Study, we calculated: 1) the sensitivity, specificity and predictive values of individual symptoms within surveillance definitions; 2) how frequently surveillance definitions correlated to laboratory-confirmed influenza; and 3) the predictive value of surveillance definitions. Results: Of the 176 participants with reports from participants and medical records, 142 (81%) were tested for influenza and 37 (26%) were PCR positive for influenza. Fever (alone) and fever combined with cough and/or sore throat were highly correlated with being PCR positive for influenza for all data sources. ILI surveillance definitions, based on symptom data from medical records only or from both medical records and self-report, were better predictors of laboratory-confirmed influenza with higher odds ratios and positive predictive values. Discussion: The choice of data source to determine ILI will depend on the patient population, outcome of interest, availability of data source, and use for clinical decision making, research, or surveillance. © Canadian Public Health Association, 2012.

An Examination of Transformation Techniques to Investigate and Interpret Multivariate Geochemical Data Analysis: Tellus Case Study

This research aims to use the multivariate geochemical dataset, generated by the Tellus project, to investigate the appropriate use of transformation methods to maintain the integrity of geochemical data and inherent constrained behaviour in multivariate relationships. The widely used normal score transform is compared with the use of a stepwise conditional transform technique. The Tellus Project, managed by GSNI and funded by the Department of Enterprise Trade and Development and the EU’s Building Sustainable Prosperity Fund, involves the most comprehensive geological mapping project ever undertaken in Northern Ireland. Previous study has demonstrated spatial variability in the Tellus data but geostatistical analysis and interpretation of the datasets requires use of an appropriate methodology that reproduces the inherently complex multivariate relations. Previous investigation of the Tellus geochemical data has included use of Gaussian-based techniques. However, earth science variables are rarely Gaussian, hence transformation of data is integral to the approach. The multivariate geochemical dataset generated by the Tellus project provides an opportunity to investigate the appropriate use of transformation methods, as required for Gaussian-based geostatistical analysis. In particular, the stepwise conditional transform is investigated and developed for the geochemical datasets obtained as part of the Tellus project. The transform is applied to four variables in a bivariate nested fashion due to the limited availability of data. Simulation of these transformed variables is then carried out, along with a corresponding back transformation to original units. Results show that the stepwise transform is successful in reproducing both univariate statistics and the complex bivariate relations exhibited by the data. Greater fidelity to multivariate relationships will improve uncertainty models, which are required for consequent geological, environmental and economic inferences.

Autonomic scheduling of tasks from data parallel patterns to CPU/GPU core mixes

We propose a methodology for optimizing the execution of data parallel (sub-)tasks on CPU and GPU cores of the same heterogeneous architecture. The methodology is based on two main components: i) an analytical performance model for scheduling tasks among CPU and GPU cores, such that the global execution time of the overall data parallel pattern is optimized; and ii) an autonomic module which uses the analytical performance model to implement the data parallel computations in a completely autonomic way, requiring no programmer intervention to optimize the computation across CPU and GPU cores. The analytical performance model uses a small set of simple parameters to devise a partitioning-between CPU and GPU cores-of the tasks derived from structured data parallel patterns/algorithmic skeletons. The model takes into account both hardware related and application dependent parameters. It computes the percentage of tasks to be executed on CPU and GPU cores such that both kinds of cores are exploited and performance figures are optimized. The autonomic module, implemented in FastFlow, executes a generic map (reduce) data parallel pattern scheduling part of the tasks to the GPU and part to CPU cores so as to achieve optimal execution time. Experimental results on state-of-the-art CPU/GPU architectures are shown that assess both performance model properties and autonomic module effectiveness. © 2013 IEEE.

Evaluation of information extraction techniques to label extracted data from e-commerce web page

Automatically determining and assigning shared and meaningful text labels to data extracted from an e-Commerce web page is a challenging problem. An e-Commerce web page can display a list of data records, each of which can contain a combination of data items (e.g. product name and price) and explicit labels, which describe some of these data items. Recent advances in extraction techniques have made it much easier to precisely extract individual data items and labels from a web page, however, there are two open problems: 1. assigning an explicit label to a data item, and 2. determining labels for the remaining data items. Furthermore, improvements in the availability and coverage of vocabularies, especially in the context of e-Commerce web sites, means that we now have access to a bank of relevant, meaningful and shared labels which can be assigned to extracted data items. However, there is a need for a technique which will take as input a set of extracted data items and assign automatically to them the most relevant and meaningful labels from a shared vocabulary. We observe that the Information Extraction (IE) community has developed a great number of techniques which solve problems similar to our own. In this work-in-progress paper we propose our intention to theoretically and experimentally evaluate different IE techniques to ascertain which is most suitable to solve this problem.

Individual Participant Data (IPD) Meta-analyses of Randomised Controlled Trials: Guidance on Their Use

Jayne Tierney and colleagues offer guidance on how to spot a well-designed and well-conducted individual participant data meta-analysis.

Summary Points 

• Systematic reviews are most commonly based on aggregate data extracted from publications or obtained from trial investigators. 

• Systematic reviews involving the central collection and analysis of individual participant data (IPD) usually are larger-scale, international, collaborative projects that can bring about substantial improvements to the quantity and quality of data, give greater scope in the analyses, and provide more detailed and robust results. 

• The process of collecting, checking, and analysing IPD is more complex than for aggregate data, and not all IPD meta-analyses are done to the same standard, making it difficult for researchers, clinicians, patients, policy makers, funders, and publishers to judge their quality. 

• Following our step-by-step guide will help reviewers and users of IPD meta-analyses to understand them better and recognise those that are well designed and conducted and so help ensure that policy, practice, and research are informed by robust evidence about the effects of interventions.

Evidence of syntactic working memory usage in MEG data

While reading times are often used to measure working memory load, frequency effects (such as surprisal or n-gram frequencies) also have strong confounding effects on reading times. This work uses a naturalistic audio corpus with magnetoencephalographic (MEG) annotations to measure working memory load during sentence processing. Alpha oscillations in posterior regions of the brain have been found to correlate with working memory load in non-linguistic tasks (Jensen et al., 2002), and the present study extends these findings to working memory load caused by syntactic center embeddings. Moreover, this work finds that frequency effects in naturally-occurring stimuli do not significantly contribute to neural oscillations in any frequency band, which suggests that many modeling claims could be tested on this sort of data even without controlling for frequency effects.