19 resultados para trend following mean reversion

em QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast


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Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

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BACKGROUND: Vaginal ring devices are being developed to provide sustained release of HIV microbicides. To date, only limited pharmacokinetic data is available from animal or human studies. Here we report the effect of Depo-Provera (DP) pre- treatment, commonly used to thin the vaginal epithelium in challenge experiments, on the pharmacokinetic profile of CMPD167 (a small molecule CCR5 co-receptor antagonist) in rhesus macaques following vaginal ring administration.

METHODS: A single 400mg CMPD167 silicone elastomer vaginal ring was inserted into each of twelve female rhesus macaques. Six macaques were treated with (DP) 30 days before ring placement; the other six macaques were untreated. Blood, vaginal fluid and vaginal biopsies were collected prior to and at various times during 28 days of ring placement and assayed for CMPD167 levels by HPLC. Rings were assayed for residual CMPD167 at the end of the study and the calculated amount of CMPD167 released in vivo compared with in vitro release data.

RESULTS: Vaginal fluid, plasma and tissue levels of CMPD167 were detectable throughout ring placement. Significant differences were observed in mean daily vaginal fluid levels between the DP-treated (16–56 mcg/mL) and untreated groups (48–181 mcg/mL). Plasma CMPD167 levels were significantly higher peaking at 4 ng/mL and maintaining levels of 1–2 nM throughout the 14 days of testing in animals pre-treated with DP compared to non DP-treated macaques (<1 ng/mL maintained). Tissue levels were varied between 2–10 g/mL CMPD167 with no significant difference between the DP-treated and untreated macaques.

CONCLUSIONS: The study demonstrates that clinically relevant, and possibly protective doses of CMPD167 are released in the vaginal vault of rhesus macaques from vaginal rings through 28 days duration. DP is known to induce vaginal epithelial thinning and lower vaginal fluid levels, which accounts for the increased plasma levels of CMPD167. In contrast, macaques not treated with DP had minimal absorption into plasma compartments and significantly higher levels of CMPD167 in the vagina, similar to those previously shown to be protective against vaginal challenge.

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Background Policies suggest that primary care should be more involved in delivering cardiac rehabilitation. However, there is a lack of information about what is known in primary care regarding patients' invitation or attendance. Aim To determine, within primary care, how many patients are invited to and attend rehabilitation after myocardial infarction (MI), examine sociodemographic factors related to invitation, and compare quality of life between those who do and do not attend. Design of study Review of primary care paper and computer records; cross-sectional questionnaire. Setting Northern Ireland general practices (38); stratified sample, based on practice size and health board area. Method Patients, identified from primary care records, 12-16?weeks after a confirmed diagnosis of MI, were posted questionnaires, including a validated MacNew post-MI quality-of-life questionnaire. Practices returned anonymised data for non-responders. Results Information about rehabilitation was available for 332 of the 432 patients identified (76.9%): 162 (37.5%) returned questionnaires. Of the total sample, 54.4% (235/432) were invited and 37.0% (160/432) attended; of those invited, 68.1% (160/235) attended. Invited patients were younger than those not invited (mean age 63?years [standard deviation SD 16] versus 68.5?years [SD 16]); mean difference 5.5?years (95% confidence interval [CI] = 1.7 to 9.3). Among questionnaire responders, those who attended were younger and reported better emotional, physical, and social functioning than non-attenders (P = 0.01; mean differences 0.44 (95% CI = 0.11 to 0.77), 0.48 (95% CI = 0.10 to 0.85) and 0.54 (95% CI = 0.15 to 0.94) respectively). Conclusion Innovative strategies are needed to improve cardiac rehabilitation uptake, integration of hospital and primary care services, and healthcare professionals' awareness of patients' potential for health gain after MI.

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A phantom was designed and implemented for the delivery of treatment plans to cells in vitro. Single beam, 3D-conformal radiotherapy (3D-CRT) plans, inverse planned five-field intensity-modulated radiation therapy (IMRT), nine-field IMRT, single-arc volumetric modulated arc therapy (VMAT) and dual-arc VMAT plans were created on a CT scan of the phantom to deliver 3 Gy to the cell layer and verified using a Farmer chamber, 2D ionization chamber array and gafchromic film. Each plan was delivered to a 2D ionization chamber array to assess the temporal characteristics of the plan including delivery time and 'cell's eye view' for the central ionization chamber. The effective fraction time, defined as the percentage of the fraction time where any dose is delivered to each point examined, was also assessed across 120 ionization chambers. Each plan was delivered to human prostate cancer DU-145 cells and normal primary AGO-1522b fibroblast cells. Uniform beams were delivered to each cell line with the delivery time varying from 0.5 to 20.54 min. Effective fraction time was found to increase with a decreasing number of beams or arcs. For a uniform beam delivery, AGO-1552b cells exhibited a statistically significant trend towards increased survival with increased delivery time. This trend was not repeated when the different modulated clinical delivery methods were used. Less sensitive DU-145 cells did not exhibit a significant trend towards increased survival with increased delivery time for either the uniform or clinical deliveries. These results confirm that dose rate effects are most prevalent in more radiosensitive cells. Cell survival data generated from uniform beam deliveries over a range of dose rates and delivery times may not always be accurate in predicting response to more complex delivery techniques, such as IMRT and VMAT.

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Lambs infected with the Cullompton triclabendazole (ICBZ)-susceptible isolate of Fasciola hepatica were treated with TCBZ at a dosage of 10 mg/kg at 16 weeks post-infection. Adult flukes were recovered from the liver at 3 h, 24 h, 48 h and 60 h post-treatment (pt). They were processed for histological analysis of the uterus, Mehlis' gland, vitellaria, ovary and testis. At 3 h pt, the flukes were essentially similar to the controls and were producing normal eggs. Egg production had ceased by 24 h pt. At this time period, the cells of the Mehlis' gland showed some evidence of vacuolation, but otherwise were relatively normal. A shift in the population of vitelline cells towards mature cells was observed at 24 h pt, and this trend continued at later time-periods. It was accompanied by a breakdown of the cells and the presence of apoptotic bodies. Marked changes to the ovary were first noted at 48 h Pt, as evidenced by vacuolation and the presence of apoptotic bodies. Some disruption to the testis was seen at 24 h pt, with a reduction in the population of spermatogenic cells, the appearance of apoptotic bodies and some peripheral vacuolation of the tubules. These abnormalities increased in severity with longer time periods pt. The results bring forward the time-line of cessation of egg production by 24 h, demonstrating that this process is affected very rapidly pt. (C) 2011 Elsevier B.V. All rights reserved.

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We have investigated the relationship between erythropoietin (Epo) and pH, PaO2 and haematocrit in 100 cord blood samples obtained at Caesarean section prior to labour. Of 82 term (> 37 weeks) infants, 64 were appropriately grown (10th-90th centiles), and their mean cord serum Epo and cord blood Epo was 23 +/- 8 mU/ml (mean +/- SD). Strong inverse correlations were found between cord serum Epo and cord blood pH (r = -0.74; p <0.0001), and between cord serum Epo and cord blood PaO2 (r = -0.55; p <0.0001), but not between cord serum Epo and cord haematocrit (r = 0.02; p <0.9). For the 18 preterm babies (gestation 32.4 +/- 4.1 weeks, birth weight 1,820 +/- 476 g), the Epo level was 36 +/- 8 mU/ml, which was not significantly greater than for the term babies. Strong inverse correlations were again found between Epo and pH (r = -0.87; p <0.0001) and Epo and PaO2 (r = -0.69; p <0.002). Babies from complicated pregnancies (intra-uterine growth retardation, pre-eclampsia, antepartum haemorrhage, diabetes mellitus and fetal distress) tended to have higher Epo levels. Thirteen babies had Epo levels > 40 mU/ml, and 11 (85%) of these required neonatal intensive care. Cord serum Epo correlates better with oxygen tension and pH at birth than with fetal growth and haematocrit, which are measures of chronic stress to the fetus.

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Fumonisins are mycotoxins produced by Fusarium spp. and commonly contaminate maize and maize products worldwide. Fumonisins are rodent carcinogens and have been associated with human esophageal cancer. However, the lack of a valid exposure biomarker has hindered both the assessment of human exposure and the evaluation of disease risk. A sensitive liquid chromatography-mass spectrometry method to measure urinary fumonisin B1 (FB1) following extraction on Oasis MAX cartridges was established and applied to urine samples from women in a cohort recruited in Morelos County, Mexico. Urinary FB1 was compared with dietary information on tortilla consumption. FB1 recovery in spiked samples averaged 94% as judged by deuterium-labeled FB1 internal standard. Urinary FB1 was determined in 75 samples from women selected based on low, medium, or high consumption of maize-based tortillas. The geometric mean (95% confidence interval) of urinary FB1 was 35.0 (18.8-65.2), 63.1 (36.8-108.2), and 147.4 (87.6-248.0) pg/mL and the frequency of samples above the detection limit (set at 20 pg FB1/mL urine) was 45%, 80%, and 96% for the low, medium, and high groups, respectively. Women with high intake had a 3-fold higher average FB1 levels compared with the "low intake" group (F = 7.3; P = 0.0015). Urinary FB1 was correlated with maize intake (P-trend = 0.001); the correlation remained significant after adjusting for age, education, and place of residence. This study suggests that measurement of urinary FB1 is sufficiently sensitive for fumonisin exposure assessment in human populations and could be a valuable tool in investigating the associated health effects of exposure.

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BACKGROUND: To compare the ability of Glaucoma Progression Analysis (GPA) and Threshold Noiseless Trend (TNT) programs to detect visual-field deterioration.

METHODS: Patients with open-angle glaucoma followed for a minimum of 2 years and a minimum of seven reliable visual fields were included. Progression was assessed subjectively by four masked glaucoma experts, and compared with GPA and TNT results. Each case was judged to be stable, deteriorated or suspicious of deterioration

RESULTS: A total of 56 eyes of 42 patients were followed with a mean of 7.8 (SD 1.0) tests over an average of 5.5 (1.04) years. Interobserver agreement to detect progression was good (mean kappa = 0.57). Progression was detected in 10-19 eyes by the experts, in six by GPA and in 24 by TNT. Using the consensus expert opinion as the gold standard (four clinicians detected progression), the GPA sensitivity and specificity were 75% and 83%, respectively, while the TNT sensitivity and specificity was 100% and 77%, respectively.

CONCLUSION: TNT showed greater concordance with the experts than GPA in the detection of visual-field deterioration. GPA showed a high specificity but lower sensitivity, mainly detecting cases of high focality and pronounced mean defect slopes.

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Nutrient loss from agricultural land following organic fertilizer spreading can lead to eutrophication and poor water quality. The risk of pollution is partly related to the soil water status during and after spreading. In response to these issues, a decision support system (DSS) for nutrient management has been developed to predict when soil and weather conditions are suitable for slurry spreading. At the core of the DSS, the Hybrid Soil Moisture Deficit (HSMD) model estimates soil water status relative to field capacity (FC) for three soil classes (well, moderately and poorly drained) and has potential to predict the occurrence of a transport vector when the soil is wetter than FC. Three years of field observation of volumetric water content was used to validate HSMD model predictions of water status and to ensure correct use and interpretation of the drainage classes. Point HSMD model predictions were validated with respect to the temporal and spatial variations in volumetric water content and soil strength properties. It was found that the HSMD model predictions were well related to topsoil water content through time, but a new class intermediate between poor and moderate, perhaps ‘imperfectly drained’, was needed. With correct allocations of a field into a drainage class, the HSMD model predictions reflect field scale trends in water status and therefore the model is suitable for use at the core of a DSS.

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Background: A relationship may exist between body iron stores, endothelial dysfunction and overall cardiovascular risk.

Aims: To compare vascular compliance, biochemical endothelial function and antioxidant status between patients with homozygous hereditary haemochromatosis and healthy controls.

Methods: Haemochromatosis patients and healthy controls were recruited. Measures of vascular compliance were assessed by applanation tonometry. Serological markers of endothelial function (plasma lipid hydroperoxides, cell adhesion molecules), antioxidant levels (ascorbate, lipid soluble antioxidants) and high-sensitivity C-reactive protein (CRP) were also measured.

Results: Thirty-five hereditary haemochromatosis patients (ten females, mean age 54.6) and 36 controls (27 female, mean age 54.0) were recruited. Haemochromatosis patients had significantly higher systolic and diastolic blood pressures. Pulse wave velocity (PWV) was significantly higher in male haemochromatosis patients (9.90 vs. 8.65 m/s, p = 0.048). Following adjustment for age and blood pressure, male haemochromatosis patients continued to have a trend for higher PWVs (+1.37 m/s, p = 0.058). Haemochromatosis patients had significantly lower levels of ascorbate (46.11 vs. 72.68 lmol/L, p = 0.011), retinol (1.17 vs. 1.81 lmol/L, p = 0.001) and g-tocopherol (2.51 vs. 3.14 lmol/L, p = 0.011). However, there was no difference in lipid hydroperoxides (0.46 vs. 0.47 nmol/L, p = 0.94), cell adhesion molecule levels (ICAM: 348.12 vs. 308.03 ng/mL, p = 0.32 and VCAM: 472.78 vs. 461.31 ng/mL, p = 0.79) or high-sensitivity CRP (225.01 vs. 207.13 mg/L, p = 0.32).

Conclusions: Haemochromatosis is associated with higher PWVs in males and diminished antioxidants across the sexes but no evidence of endothelial dysfunction or increased lipid peroxidation.

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The cost-effectiveness of novel interventions in the treatment of cancer is well researched; however, relatively little attention is paid to the cost of many aspects of routine care. Oesophageal cancer is the ninth most common cancer in the UK and sixth most common cause of cancer death. It usually presents late and has a poor prognosis. The hospital costs incurred by oesophageal cancer patients diagnosed in Northern Ireland in 2005 (n = 198) were determined by review of medical records. The average cost of hospital care per patient in the 12 months from presentation was £7847. Variations in total hospital costs by age at diagnosis, gender, cancer stage, histological type, mortality at 1 year, co-morbidity count and socio-economic status were analysed using multiple regression analyses. Higher costs were associated with earlier stages of cancer and cancer stage remained a significant predictor of costs after controlling for cancer type, patient age and mortality at 1 year. Thus, although early detection of cancer usually improves survival, this would mean increased costs in the first year. Deprivation achieved borderline significance with those from more deprived areas having lower resource consumption relative to the more affluent. © 2013 John Wiley & Sons Ltd.

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For the delivery of intensity-modulated radiation therapy (IMRT), highly modulated fields are used to achieve dose conformity across a target tumour volume. Recent in vitro evidence has demonstrated significant alterations in cell survival occurring out-of-field which cannot be accounted for on the basis of scattered dose. The radiobiological effect of area, dose and dose-rate on out-of-field cell survival responses following exposure to intensity-modulated radiation fields is presented in this study. Cell survival was determined by clonogenic assay in human prostate cancer (DU-145) and primary fibroblast (AG0-1522) cells following exposure to different modulated field configurations delivered using a X-Rad 225 kVp x-ray source. Uniform survival responses were compared to in- and out-of-field responses in which 25-99% of the cell population was shielded. Dose delivered to the out-of-field region was varied from 1.6-37.2% of that delivered to the in-field region using different levels of brass shielding. Dose rate effects were determined for 0.2-4 Gy min⁻¹ for uniform and modulated exposures with no effect seen in- or out-of-field. Survival responses showed little dependence on dose rate and area in- and out-of-field with a trend towards increased survival with decreased in-field area. Out-of-field survival responses were shown to scale in proportion to dose delivered to the in-field region and also local dose delivered out-of-field. Mathematical modelling of these findings has shown survival response to be highly dependent on dose delivered in- and out-of-field but not on area or dose rate. These data provide further insight into the radiobiological parameters impacting on cell survival following exposure to modulated irradiation fields highlighting the need for refinement of existing radiobiological models to incorporate non-targeted effects and modulated dose distributions.

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This paper investigates sub-integer implementations of the adaptive Gaussian mixture model (GMM) for background/foreground segmentation to allow the deployment of the method on low cost/low power processors that lack Floating Point Unit (FPU). We propose two novel integer computer arithmetic techniques to update Gaussian parameters. Specifically, the mean value and the variance of each Gaussian are updated by a redefined and generalised "round'' operation that emulates the original updating rules for a large set of learning rates. Weights are represented by counters that are updated following stochastic rules to allow a wider range of learning rates and the weight trend is approximated by a line or a staircase. We demonstrate that the memory footprint and computational cost of GMM are significantly reduced, without significantly affecting the performance of background/foreground segmentation.

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Background: Skeletal muscle wasting and weakness are significant complications of critical illness, associated with the degree of illness severity and periods of reduced mobility during mechanical ventilation. They contribute to the profound physical and functional deficits observed in survivors. These impairments may persist for many years following discharge from the intensive care unit (ICU) and may markedly influence health-related quality of life. Rehabilitation is a key strategy in the recovery of patients following critical illness. Exercise based interventions are aimed at targeting this muscle wasting and weakness. Physical rehabilitation delivered during ICU admission has been systematically evaluated and shown to be beneficial. However its effectiveness when initiated after ICU discharge has yet to be established. Objectives: To assess the effectiveness of exercise rehabilitation programmes, initiated after ICU discharge, on functional exercise capacity and health-related quality of life in adult ICU survivors who have been mechanically ventilated for more than 24 hours. Search methods:We searched the following databases: the Cochrane Central Register of Controlled Trials (CENTRAL) (The Cochrane Library), OvidSP MEDLINE, Ovid SP EMBASE, and CINAHL via EBSCO host to 15th May 2014. We used a specific search strategy for each database. This included synonyms for ICU and critical illness, exercise training and rehabilitation. We searched the reference lists of included studies and contacted primary authors to obtain further information regarding potentially eligible studies. We also searched major clinical trials registries (Clinical Trials and Current Controlled Trials) and the personal libraries of the review authors. We applied no language or publication restriction. We reran the search in February 2015. We will deal with any studies of interest when we update the review.  Selection criteria:We included randomized controlled trials (RCTs), quasi-RCTs, and controlled clinical trials (CCTs) that compared an exercise interventioninitiated after ICU discharge to any other intervention or a control or ‘usual care’ programme in adult (≥18years) survivors ofcritical illness. Data collection and analysis:We used standard methodological procedures expected by The Cochrane Collaboration. Main results:We included six trials (483 adult ICU participants). Exercise-based interventions were delivered on the ward in two studies; both onthe ward and in the community in one study; and in the community in three studies. The duration of the intervention varied according to the length of stay in hospital following ICU discharge (up to a fixed duration of 12 weeks).Risk of bias was variable for all domains across all trials. High risk of bias was evident in all studies for performance bias, although blinding of participants and personnel in therapeutic rehabilitation trials can be pragmatically challenging. Low risk of bias was at least 50% for all other domains across all trials, although high risk of bias was present in one study for random sequence generation (selection bias), incomplete outcome data (attrition bias) and other sources. Risk of bias was unclear for remaining studies across the domains.All six studies measured effect on the primary outcome of functional exercise capacity, although there was wide variability in natureof intervention, outcome measures and associated metrics, and data reporting. Overall quality of the evidence was very low. Only two studies using the same outcome measure for functional exercise capacity, had the potential for pooling of data and assessment of heterogeneity. On statistical advice, this was considered inappropriate to perform this analysis and study findings were therefore qualitatively described. Individually, three studies reported positive results in favour of the intervention. A small benefit (versus. control)was evident in anaerobic threshold in one study (mean difference, MD (95% confidence interval, CI), 1.8 mlO2/kg/min (0.4 to 3.2),P value = 0.02), although this effect was short-term, and in a second study, both incremental (MD 4.7 (95% CI 1.69 to 7.75) Watts, P value = 0.003) and endurance (MD 4.12 (95% CI 0.68 to 7.56) minutes, P value = 0.021) exercise testing demonstrated improvement.Finally self-reported physical function increased significantly following a rehabilitation manual (P value = 0.006). Remaining studies found no effect of the intervention.Similar variability in with regard findings for the primary outcome of health-related quality of life were also evident. Only two studies evaluated this outcome. Following statistical advice, these data again were considered inappropriate for pooling to determine overall effect and assessment of heterogeneity. Qualitative description of findings was therefore undertaken. Individually, neither study reported differences between intervention and control groups for health-related quality of life as a result of the intervention. Overall quality of the evidence was very low.Mortality was reported by all studies, ranging from 0% to 18.8%. Only one non-mortality adverse event was reported across all patients in all studies (a minor musculoskeletal injury). Withdrawals, reported in four studies, ranged from 0% to 26.5% in control groups,and 8.2% to 27.6% in intervention groups. Loss to follow-up, reported in all studies, ranged from 0% to 14% in control groups, and 0% to 12.5% in intervention groups. Authors’ conclusions:We are unable, at this time, to determine an overall effect on functional exercise capacity, or health-related quality of life, of an exercise based intervention initiated after ICU discharge in survivors of critical illness. Meta-analysis of findings was not appropriate. This was due to insufficient study number and data. Individual study findings were inconsistent. Some studies reported a beneficial effect of the intervention on functional exercise capacity, and others not. No effect was reported on health-related quality of life. Methodological rigour was lacking across a number of domains influencing quality of the evidence. There was also wide variability in the characteristics of interventions, outcome measures and associated metrics, and data reporting.If further trials are identified, we may be able to determine the effect of exercise-based interventions following ICU discharge, on functional exercise capacity and health-related quality of life in survivors of critical illness.

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Introduction: Many cancer patients experience sleeping difficulties which can persist several years after the completion of cancer treatment. Previous research suggests that acupuncture, and variants of acupuncture (acupressure, auricular therapy) may be effective treatment options for sleep disturbance. However, current evidence is limited for cancer patients.

Methods: Feasibility study with 3 arms. Seven cancer patients with insomnia randomised to receive either auricular therapy (attaching semen vaccariae seeds to ear acupoints) (n=4), self-acupressure (n=1) or no treatment (n=2). Participants assigned to receive auricular therapy or self-acupressure stimulated the acupoints each night an hour before retiring to bed. The duration of participant involvement was 5 weeks. Subjective sleep quality was measured at baseline and post-treatment using the Pittsburgh Sleep Quality Index (PSQI). The impact of treatment on concerns of importance to the participants themselves was measured using the Measure Yourself Concerns and Wellbeing (MYCaW). Each participant also completed a treatment log book.

Results: All participants completed their treatment. All auricular therapy and self-acupressure participants recorded clinically significant improvements in global PSQI scores. In the auricular therapy arm mean global PSQI reduced from 12.5 at baseline to 8 following completion of treatment. In the self-acupressure arm PSQI reduced from 15 to 11. While in the no treatment arm the mean PSQI score was 14.5 at both baseline and follow up.

Conclusions: Despite the limited sample size, both auricular therapy and self-acupressure may represent potentially effective treatments for cancer patients with insomnia. The positive findings suggest further research is warranted into both treatment modalities.