Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Model based control for closed loop testing of 1-D engine simulation models

1-D engine simulation models are widely used for the analysis and verification of air-path design concepts and prediction of the resulting engine transient response. The latter often requires closed loop control over the model to ensure operation within physical limits and tracking of reference signals. For this purpose, a particular implementation of Model Predictive Control (MPC) based on a corresponding Mean Value Engine Model (MVEM) is reported here. The MVEM is linearised on-line at each operating point to allow for the formulation of quadratic programming (QP) problems, which are solved as the part of the proposed MPC algorithm. The MPC output is used to control a 1-D engine model. The closed loop performance of such a system is benchmarked against the solution of a related optimal control problem (OCP). As an example this study is focused on the transient response of a light-duty car Diesel engine. For the cases examined the proposed controller implementation gives a more systematic procedure than other ad-hoc approaches that require considerable tuning effort. © 2012 IFAC.

Effects of Naotan Pill on repair of neural cells and cognitive disorders in juvenile rats following hypoxia and ischemia

BACKGROUND: Hypoxia and ischemia induce neuronal damage, decreased neuronal numbers and synaptophysin levels, and deficits in learning and memory functions. Previous studies have shown that lycium barbarum polysaccharide, the most effective component of barbary wolfberry fruit, has protective effects on neural cells in hypoxia-ischemia. OBJECTIVE: To investigate the effects of Naotan Pill on glutamate-treated neural cells and on cognitive function in juvenile rats following hypoxia-ischemia. DESIGN, TIME AND SETTING: The randomized, controlled, in vivo study was performed at the Cell Laboratory of Lanzhou University, Lanzhou Institute of Modern Physics of Chinese Academy of Sciences, and Department of Traditional Chinese Medicine of Gansu Provincial Rehabilitation Center Hospital, China from December 2005 to August 2006. The cellular neurobiology, in vitro experiment was conducted at the Institute of Human Anatomy, Histology, Embryology and Neuroscience, School of Basic Medical Sciences, Lanzhou University, and Department of Traditional Chinese Medicine of Gansu Provincial Rehabilitation Center Hospital, China from March 2007 to January 2008. MATERIALS: Naotan Pill, composed of barbary wolfberry fruit, danshen root, grassleaf sweetflag rhizome, and glossy privet fruit, was prepared by Gansu Provincial Rehabilitation Center, China. Rabbit anti-synaptophysin, choline acetyl transferase polyclonal antibody, streptavidin-biotin complex kit and diaminobenzidine kit (Boster, Wuhan, China), as well as glutamate (Hualian, Shanghai, China) were used in this study. METHODS: Cortical neural cells were isolated from neonatal Wistar rats. Neural cell damage models were induced using glutamate, and administered Naotan Pill prior to and following damage. A total of 54 juvenile Wistar rats were equally and randomly assigned into model, Naotan Pill, and sham operation groups. The left common carotid artery was ligated, and then rat models of hypoxic-ischemic injury were assigned to the model and Naotan Pill groups. At 2 days following model induction, rats in the Naotan Pill group were administered Naotan Pill suspension for 21 days. In the model and sham operation groups, rats received an equal volume of saline. MAIN OUTCOME MEASURES: Neural cell morphology was observed using an inverted phase contrast microscope. Survival rate of neural cells was measured by MTT assay. Synaptophysin and choline acetyl transferase expression was observed in the hippocampal CA1 region of juvenile rats using immunohistochemistry. Cognitive function was tested by the Morris water maze. RESULTS: Pathological changes were detected in glutamate-treated neural cells. Neural cell morphology remained normal after Naotan Pill intervention. Absorbance and survival rate of neural cells were significantly greater following Naotan Pill intervention, compared to glutamate-treated neural cells (P < 0.05). Synaptophysin and choline acetyl transferase expression was lowest in the hippocampal CA1 region in the model group and highest in the sham operation group. Significant differences among groups were observed (P < 0.05). Escape latency and swimming distance were significantly longer in the model group compared to the Naotan Pill group (P < 0.05). CONCLUSION: Naotan Pill exhibited protective and repair effects on glutamate-treated neural cells. Naotan Pill upregulated synaptophysin and choline acetyl transferase expression in the hippocampus and improved cognitive function in rats following hypoxia-ischemia.

Biased ART: A Neural Architecture that Shifts Attention Toward Previously Disregarded Features Following an Incorrect Prediction

Memories in Adaptive Resonance Theory (ART) networks are based on matched patterns that focus attention on those portions of bottom-up inputs that match active top-down expectations. While this learning strategy has proved successful for both brain models and applications, computational examples show that attention to early critical features may later distort memory representations during online fast learning. For supervised learning, biased ARTMAP (bARTMAP) solves the problem of over-emphasis on early critical features by directing attention away from previously attended features after the system makes a predictive error. Small-scale, hand-computed analog and binary examples illustrate key model dynamics. Twodimensional simulation examples demonstrate the evolution of bARTMAP memories as they are learned online. Benchmark simulations show that featural biasing also improves performance on large-scale examples. One example, which predicts movie genres and is based, in part, on the Netflix Prize database, was developed for this project. Both first principles and consistent performance improvements on all simulation studies suggest that featural biasing should be incorporated by default in all ARTMAP systems. Benchmark datasets and bARTMAP code are available from the CNS Technology Lab Website: http://techlab.bu.edu/bART/.

Interaction strengths and net effects in food web models

Understanding how dynamic ecological communities respond to anthropogenic drivers of change such as habitat loss and fragmentation, climate change and the introduction of alien species requires that there is a theoretical framework able to predict community dynamics. At present there is a lack of empirical data that can be used to inform and test predictive models, which means that much of our knowledge regarding the response of ecological communities to perturbations is obtained from theoretical analyses and simulations. This thesis is composed of two strands of research: an empirical experiment conducted to inform the scaling of intraspecific and interspecific interaction strengths in a three species food chain and a series of theoretical analyses on the changes to equilibrium biomass abundances following press perturbations. The empirical experiment is a consequence of the difficulties faced when parameterising the intraspecific interaction strengths in a Lotka-Volterra model. A modification of the dynamic index is used alongside the original dynamic index to estimate intraspecific interactions and interspecific interaction strengths in a three species food. The theoretical analyses focused on the effect of press perturbations to focal species on the equilibrium biomass densities of all species in the community; these perturbations allow for the quantification of a species total net effect. It was found that there is a strong and consistent positive relationship between a species body size and its total net effect for a set of 97 synthetic food webs and also for the Ythan Estuary and Tuesday Lake food webs (empirically described food webs). It is shown that ecological constraints (due to allometric scaling) on the magnitude of entries in the community matrix cause the patterns observed in the inverse community matrix and thus explain the relationship between a species body mass and its total net effect in a community.

Prediction in dynamic models with time-dependent conditional variances

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Postoperative statin use and risk of biochemical recurrence following radical prostatectomy: results from the Shared Equal Access Regional Cancer Hospital (SEARCH) database.

OBJECTIVE: To investigate the effect of statin use after radical prostatectomy (RP) on biochemical recurrence (BCR) in patients with prostate cancer who never received statins before RP. PATIENTS AND METHODS: We conducted a retrospective analysis of 1146 RP patients within the Shared Equal Access Regional Cancer Hospital (SEARCH) database. Multivariable Cox proportional hazards analyses were used to examine differences in risk of BCR between post-RP statin users vs nonusers. To account for varying start dates and duration of statin use during follow-up, post-RP statin use was treated as a time-dependent variable. In a secondary analysis, models were stratified by race to examine the association of post-RP statin use with BCR among black and non-black men. RESULTS: After adjusting for clinical and pathological characteristics, post-RP statin use was significantly associated with 36% reduced risk of BCR (hazard ratio [HR] 0.64, 95% confidence interval [CI] 0.47-0.87; P = 0.004). Post-RP statin use remained associated with reduced risk of BCR after adjusting for preoperative serum cholesterol levels. In secondary analysis, after stratification by race, this protective association was significant in non-black (HR 0.49, 95% CI 0.32-0.75; P = 0.001) but not black men (HR 0.82, 95% CI 0.53-1.28; P = 0.384). CONCLUSION: In this retrospective cohort of men undergoing RP, post-RP statin use was significantly associated with reduced risk of BCR. Whether the association between post-RP statin use and BCR differs by race requires further study. Given these findings, coupled with other studies suggesting that statins may reduce risk of advanced prostate cancer, randomised controlled trials are warranted to formally test the hypothesis that statins slow prostate cancer progression.

Effect of phytoplankton size classes on bio-optical properties of phytoplankton in the Western Iberian coast: Application of models

Chlorophyll-a satellite products are routinely used in oceanography, providing a synoptic and global view of phytoplankton abundance. However, these products lack information on the community structure of the phytoplankton, which is crucial for ecological modelling and ecosystem studies. To assess the usefulness of existing methods to differentiate phytoplankton functional types (PFT) or phytoplankton size classes from satellite data, in-situ phytoplankton samples collected in the Western Iberian coast, on the North-East Atlantic, were analysed for pigments and absorption spectra. Water samples were collected in five different locations, four of which were located near the shore and another in an open-ocean, seamount region. Three different modelling approaches for deriving phytoplankton size classes were applied to the in situ data. Approaches tested provide phytoplankton size class information based on the input of pigments data (Brewin et al., 2010), absorption spectra data (Ciotti et al., 2002) or both (Uitz et al., 2008). Following Uitz et al. (2008), results revealed high variability in microphytoplankton chlorophyll-specific absorption coefficients, ranging from 0.01 to 0.09 m2 (mg chl)− 1 between 400 and 500 nm. This spectral analysis suggested, in one of the regions, the existence of small cells (< 20 μm) in the fraction of phytoplankton presumed to be microphytoplankton (based on diagnostic pigments). Ciotti et al. (2002) approach yielded the highest differences between modelled and measured absorption spectra for the locations where samples had high variability in community structure and cell size. The Brewin et al. (2010) pigment-based model was adjusted and a set of model coefficients are presented and recommended for future studies in offshore water of the Western Iberian coast.

Clinical Determinants of Response to Irinotecan-Based Therapy Derived from Cell Line Models

Purpose: In an attempt to identify genes that are involved in resistance to SN38, the active metabolite of irinotecan (also known as CPT-11), we carried out DNA microarray profiling of matched HCT116 human colon cancer parental cell lines and SN38-resistant cell lines following treatment with SN38 over time.

Evaluation of glycated glucagon-like peptide-1(7-36)amide in intestinal tissue of normal and diabetic animal models

Glucagon-like peptide-1(7-36)amide (tGLP-1) is an important insulin-releasing hormone of the enteroinsular axis which is secreted by endocrine L-cells of the small intestine following nutrient ingestion. The present study has evaluated tGLP-1 in the intestines of normal and diabetic animal models and estimated the proportion present in glycated form. Total immunoreactive tGLP-1 levels in the intestines of hyperglycaemic hydrocortisone-treated rats, streptozotocin-treated mice and ob/ob mice were similar to age-matched controls. Affinity chromatographic separation of glycated and non-glycated proteins in intestinal extracts followed by radioimmunoassay using a fully crossreacting anti-serum demonstrated the presence of glycated tGLP-1 within the intestinal extracts of all control animals (approximately 19%., of total tGLP-1 content). Chemically induced and spontaneous animal models of diabetes were found to possess significantly greater levels of glycated tGLP-1 than controls, corresponding to between 24-71% of the total content. These observations suggest that glycated tGLP-1 may be of physiological significance given that such N-terminal modification confers resistance to DPP IV inactivation and degradation, extending the very short half-life (

A Community Study of the Psychological Effects of the Omagh Car Bomb on Adults

Background: The main aims of the study were to assess psychological morbidity among adults nine months after a car bomb explosion in the town of Omagh, Northern Ireland and to identify predictors of chronic posttraumatic stress disorder symptoms.

Method: A questionnaire was sent to all adults in households in The Omagh District Council area. The questionnaire comprised established predictors of PTSD (such as pre-trauma personal characteristics, type of exposure, initial emotional response and long-term adverse physical or financial problems), predictors derived from the Ehlers and Clark (2000) cognitive model, a measure of PTSD symptoms and the General Health Questionnaire.

Results: Among respondents (n = 3131) the highest rates of PTSD symptoms and probable casesness (58.5%) were observed among people who were present in the street when the bomb exploded but elevated rates were also observed in people who subsequently attended the scene (21.8% probable caseness) and among people for whom someone close died (11.9%). People with a near miss (left the scene before the explosion) did not show elevated rates. Exposure to the bombing increased PTSD symptoms to a greater extent than general psychiatric symptoms. Previously established predictors accounted for 42% of the variance in PTSD symptoms among people directly exposed to the bombing. Predictors derived from the cognitive model accounted for 63%.

Conclusions: High rates of chronic PTSD were observed in individuals exposed to the bombing. Psychological variables that are in principle amenable to treatment were the best predictors of PTSD symptoms. Teams planning treatment interventions for victims of future bombings and other traumas may wish to take these results into account.

Observation of Postsoliton Expansion Following Laser Propagation through an Underdense Plasma

The expansion of electromagnetic postsolitons emerging from the interaction of a 30 ps, 3 x 10(18) W cm(-2) laser pulse with an underdense deuterium plasma has been observed up to 100 ps after the pulse propagation, when large numbers of postsolitons were seen to remain in the plasma. The temporal evolution of the postsolitons has been accurately characterized with a high spatial and temporal resolution. The observed expansion is compared to analytical models and three-dimensional particle-in-cell results, revealing a polarization dependence of the postsoliton dynamics.

Out-of-field cell survival following exposure to intensity-modulated radiation fields

PURPOSE:
To determine the in-field and out-of-field cell survival of cells irradiated with either primary field or scattered radiation in the presence and absence of intercellular communication.
METHODS AND MATERIALS:
Cell survival was determined by clonogenic assay in human prostate cancer (DU145) and primary fibroblast (AGO1552) cells following exposure to different field configurations delivered using a 6-MV photon beam produced with a Varian linear accelerator.
RESULTS:
Nonuniform dose distributions were delivered using a multileaf collimator (MLC) in which half of the cell population was shielded. Clonogenic survival in the shielded region was significantly lower than that predicted from the linear quadratic model. In both cell lines, the out-of-field responses appeared to saturate at 40%-50% survival at a scattered dose of 0.70 Gy in DU-145 cells and 0.24 Gy in AGO1522 cells. There was an approximately eightfold difference in the initial slopes of the out-of-field response compared with the a-component of the uniform field response. In contrast, cells in the exposed part of the field showed increased survival. These observations were abrogated by direct physical inhibition of cellular communication and by the addition of the inducible nitric oxide synthase inhibitor aminoguanidine known to inhibit intercellular bystander effects. Additional studies showed the proportion of cells irradiated and dose delivered to the shielded and exposed regions of the field to impact on response.
CONCLUSIONS:
These data demonstrate out-of-field effects as important determinants of cell survival following exposure to modulated irradiation fields with cellular communication between differentially irradiated cell populations playing an important role. Validation of these observations in additional cell models may facilitate the refinement of existing radiobiological models and the observations considered important determinants of cell survival.

Abeta oligomer toxicity inhibitor protects memory in models of synaptic toxicity

BACKGROUND AND PURPOSE:

Amyloid-ß (Aß) aggregation into synaptotoxic, prefibrillar oligomers is a major pathogenic event underlying the neuropathology of Alzheimer's disease (AD). The pharmacological and neuroprotective properties of a novel Aß aggregation inhibitor, SEN1269, were investigated on aggregation and cell viability and in test systems relevant to synaptic function and memory, using both synthetic Aß(1-42) and cell-derived Aß oligomers.
EXPERIMENTAL APPROACH:

Surface plasmon resonance studies measured binding of SEN1269 to Aß(1-42) . Thioflavin-T fluorescence and MTT assays were used to measure its ability to block Aß(1-42) -induced aggregation and reduction in cell viability. In vitro and in vivo long-term potentiation (LTP) experiments measured the effect of SEN1269 on deficits induced by synthetic Aß(1-42) and cell-derived Aß oligomers. Following i.c.v. administration of the latter, a complex (alternating-lever cyclic ratio) schedule of operant responding measured effects on memory in freely moving rats.
KEY RESULTS:

SEN1269 demonstrated direct binding to monomeric Aß(1-42) , produced a concentration-related blockade of Aß(1-42) aggregation and protected neuronal cell lines exposed to Aß(1-42) . In vitro, SEN1269 alleviated deficits in hippocampal LTP induced by Aß(1-42) and cell-derived Aß oligomers. In vivo, SEN1269 reduced the deficits in LTP and memory induced by i.c.v. administration of cell-derived Aß oligomers.
CONCLUSIONS AND IMPLICATIONS:

SEN1269 protected cells exposed to Aß(1-42) , displayed central activity with respect to reducing Aß-induced neurotoxicity and was neuroprotective in electrophysiological and behavioural models of memory relevant to Aß-induced neurodegeneration. It represents a promising lead for designing inhibitors of Aß-mediated synaptic toxicity as potential neuroprotective agents for treating AD.

In-vitro investigation of out-of-field cell survival following the delivery of conformal, intensity-modulated radiation therapy (IMRT) and volumetric modulated arc therapy (VMAT) plans

The aim of this work is to determine the out-of-field survival of cells irradiated with either the primary field or scattered radiation in the presence and absence of intercellular communication following delivery of conformal, IMRT and VMAT treatment plans. Single beam, conformal, IMRT and VMAT plans were created to deliver 3 Gy to half the area of a T80 flask containing either DU-145 or AGO-1522 cells allowing intercellular communication between the in-and out-of-field cell populations. The same plans were delivered to a similar custom made phantom used to hold two T25 culture flasks, one flask in-field and one out-of-field to allow comparison of cell survival responses when intercellular communication is physically inhibited. Plans were created for the delivery of 8 Gy to the more radio-resistant DU-145 cells only in the presence and absence of intercellular communication. Cell survival was determined by clonogenic assay. In both cell lines, the out-of-field survival was not statistically different between delivery techniques for either cell line or dose. There was however, a statistically significant difference between survival out-of-field when intercellular communication was intact (single T80 culture flask) or inhibited (multiple T25 culture flasks) to in-field for all plans. No statistically significant difference was observed in-field with or without cellular communication to out-of-field for all plans. These data demonstrate out-of-field effects as important determinants of cell survival following exposure to modulated irradiation fields when cellular communication between differentially irradiated cell populations is present. This data is further evidence that refinement of existing radiobiological models to include indirect cell killing effects is required.