Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

The dialectic of silence and remembrance in Lily Brett’s ''Things could be worse''

The dynamics of silence and remembrance in Australian writer Lily Brett’s autobiographic fiction Things Could Be Worse reflects the crisis of memory and understanding experienced by both first and second-generation Holocaust survivors within the diasporic space of contemporary Australia. It leads to issues of handling traumatic and transgenerational memory, the latter also known as postmemory (M. Hirsch), in the long aftermath of atrocities, and problematises the role of forgetting in shielding displaced identities against total dissolution of the self. This paper explores the mechanisms of remembrance and forgetting in L. Brett’s narrative by mainly focusing on two female characters, mother and daughter, whose coming to terms with (the necessary) silence, on the one hand, and articulated memories, on the other, reflects different modes of comprehending and eventually coping with individual trauma. By differentiating between several types of silence encountered in Brett’s prose (that of the voiceless victims, of survivors and their offspring, respectively), I argue that silence can equally voice and hush traumatic experience, that it is never empty, but invested with individual and collective meaning. Essentially, I contend that beside the (self-)damaging effects of silence, there are also beneficial consequences of it, in that it plays a crucial role in emplacing the displaced, rebuilding their shattered self, and contributing to their reintegration, survival and even partial healing.

In vitro cumulative gas production techniques: History, methodological considerations and challenges

Methodology used to measure in vitro gas production is reviewed to determine impacts of sources of variation on resultant gas production profiles (GPP). Current methods include measurement of gas production at constant pressure (e.g., use of gas tight syringes), a system that is inexpensive, but may be less sensitive than others thereby affecting its suitability in some situations. Automated systems that measure gas production at constant volume allow pressure to accumulate in the bottle, which is recorded at different times to produce a GPP, and may result in sufficiently high pressure that solubility of evolved gases in the medium is affected, thereby resulting in a recorded volume of gas that is lower than that predicted from stoichiometric calculations. Several other methods measure gas production at constant pressure and volume with either pressure transducers or sensors, and these may be manual, semi-automated or fully automated in operation. In these systems, gas is released as pressure increases, and vented gas is recorded. Agitating the medium does not consistently produce more gas with automated systems, and little or no effect of agitation was observed with manual systems. The apparatus affects GPP, but mathematical manipulation may enable effects of apparatus to be removed. The amount of substrate affects the volume of gas produced, but not rate of gas production, provided there is sufficient buffering capacity in the medium. Systems that use a very small amount of substrate are prone to experimental error in sample weighing. Effect of sample preparation on GPP has been found to be important, but further research is required to determine the optimum preparation that mimics animal chewing. Inoculum is the single largest source of variation in measuring GPP, as rumen fluid is variable and sampling schedules, diets fed to donor animals and ratios of rumen fluid/medium must be selected such that microbial activity is sufficiently high that it does not affect rate and extent of fermentation. Species of donor animal may also cause differences in GPP. End point measures can be mathematically manipulated to account for species differences, but rates of fermentation are not related. Other sources of inocula that have been used include caecal fluid (primarily for investigating hindgut fermentation in monogastrics), effluent from simulated rumen fermentation (e.g., 'Rusitec', which was as variable as rumen fluid), faeces, and frozen or freeze-dried rumen fluid (which were both less active than fresh rumen fluid). Use of mixtures of cell-free enzymes, or pure cultures of bacteria, may be a way of increasing GPP reproducibility, while reducing reliance on surgically modified animals. However, more research is required to develop these inocula. A number of media have been developed which buffer the incubation and provide relevant micro-nutrients to the microorganisms. To date, little research has been completed on relationships between the composition of the medium and measured GPP. However, comparing GPP from media either rich in N or N-free, allows assessment of contributions of N containing compounds in the sample. (c) 2005 Published by Elsevier B.V.

A dual role for integrin-linked kinase in platelets: regulating integrin function and alpha-granule secretion

Integrin-linked kinase (ILK) has been implicated in the regulation of a range of fundamental biological processes such as cell survival, growth, differentiation, and adhesion. In platelets ILK associates with beta 1- and beta 3-containing integrins, which are of paramount importance for the function of platelets. Upon stimulation of platelets this association with the integrins is increased and ILK kinase activity is up-regulated, suggesting that ILK may be important for the coordination of platelet responses. In this study a conditional knockout mouse model was developed to examine the role of ILK in platelets. The ILK-deficient mice showed an increased bleeding time and volume, and despite normal ultrastructure the function of ILK-deficient platelets was decreased significantly. This included reduced aggregation, fibrinogen binding, and thrombus formation under arterial flow conditions. Furthermore, although early collagen stimulated signaling such as PLC gamma 2 phosphorylation and calcium mobilization were unaffected in ILK-deficient platelets, a selective defect in alpha-granule, but not dense-granule, secretion was observed. These results indicate that as well as involvement in the control of integrin affinity, ILK is required for alpha-granule secretion and therefore may play a central role in the regulation of platelet function. (Blood. 2008; 112: 4523-4531)

Wheat protein quality in relation to baking performance evaluated by the Chorleywood bread process and a hearth bread baking test

The relationships between wheat protein quality and baking properties of 20 flour samples were studied for two breadmaking processes; a hearth bread test and the Chorleywood Bread Process (CBP). The strain hardening index obtained from dough inflation measurements, the proportion of unextractable polymeric protein, and mixing properties were among the variables found to be good indicators of protein quality and suitable for predicting potential baking quality of wheat flours. By partial least squares regression, flour and dough test variables were able to account for 71-93% of the variation in crumb texture, form ratio and volume of hearth loaves made using optimal mixing and fixed proving times. These protein quality variables were, however, not related to the volume of loaves produced by the CBP using mixing to constant work input and proving to constant height. On the other hand, variation in crumb texture of CBP loaves (54-55%) could be explained by protein quality. The results underline that the choice of baking procedure and loaf characteristics is vital in assessing the protein quality of flours. (C) 2003 Elsevier Ltd. All rights reserved.

Imagery rescripting as a brief stand-alone treatment for depressed patients with intrusive memories

Many depressed patients report intrusive and distressing memories of specific events in their lives. Where present, these memories are believed to act as a maintaining factor. A series of ten patients with major depressive disorder and intrusive memories, many of them reporting severe, chronic, or recurrent episodes of depression, were given an average of 8.1 sessions of imagery rescripting as a stand-alone treatment. Hierarchical linear modelling demonstrated large treatment effects that were well maintained at one year follow-up. Seven patients showed reliable improvement, and six patients clinically significant improvement. These gains were achieved entirely by working through patients' visual imagination and without verbal challenging of negative beliefs. Spontaneous changes in beliefs, rumination, and behaviour were nevertheless observed. (C) 2009 Elsevier Ltd. All rights reserved.

A three-compartment model of the hemodynamic response and oxygen delivery to brain

We describe a mathematical model linking changes in cerebral blood flow, blood volume and the blood oxygenation state in response to stimulation. The model has three compartments to take into account the fact that the cerebral blood flow and volume as measured concurrently using laser Doppler flowmetry and optical imaging spectroscopy have contributions from the arterial, capillary as well as the venous compartments of the vasculature. It is an extension to previous one-compartment hemodynamic models which assume that the measured blood volume changes are from the venous compartment only. An important assumption of the model is that the tissue oxygen concentration is a time varying state variable of the system and is driven by the changes in metabolic demand resulting from changes in neural activity. The model takes into account the pre-capillary oxygen diffusion by flexibly allowing the saturation of the arterial compartment to be less than unity. Simulations are used to explore the sensitivity of the model and to optimise the parameters for experimental data. We conclude that the three-compartment model was better than the one-compartment model at capturing the hemodynamics of the response to changes in neural activation following stimulation.

Pan-Arctic and regional sea ice predictability: initialization month dependence

Seasonal-to-interannual predictions of Arctic sea ice may be important for Arctic communities and industries alike. Previous studies have suggested that Arctic sea ice is potentially predictable but that the skill of predictions of the September extent minimum, initialized in early summer, may be low. The authors demonstrate that a melt season “predictability barrier” and two predictability reemergence mechanisms, suggested by a previous study, are robust features of five global climate models. Analysis of idealized predictions with one of these models [Hadley Centre Global Environment Model, version 1.2 (HadGEM1.2)], initialized in January, May and July, demonstrates that this predictability barrier exists in initialized forecasts as well. As a result, the skill of sea ice extent and volume forecasts are strongly start date dependent and those that are initialized in May lose skill much faster than those initialized in January or July. Thus, in an operational setting, initializing predictions of extent and volume in July has strong advantages for the prediction of the September minimum when compared to predictions initialized in May. Furthermore, a regional analysis of sea ice predictability indicates that extent is predictable for longer in the seasonal ice zones of the North Atlantic and North Pacific than in the regions dominated by perennial ice in the central Arctic and marginal seas. In a number of the Eurasian shelf seas, which are important for Arctic shipping, only the forecasts initialized in July have continuous skill during the first summer. In contrast, predictability of ice volume persists for over 2 yr in the central Arctic but less in other regions.

Towards the computer-aided diagnosis of dementia based on the geometric and network connectivity of structural MRI data

We present an intuitive geometric approach for analysing the structure and fragility of T1-weighted structural MRI scans of human brains. Apart from computing characteristics like the surface area and volume of regions of the brain that consist of highly active voxels, we also employ Network Theory in order to test how close these regions are to breaking apart. This analysis is used in an attempt to automatically classify subjects into three categories: Alzheimer’s disease, mild cognitive impairment and healthy controls, for the CADDementia Challenge.

Distinction between semantic and episodic memory: The underlying mechanisms for autonoetic consciousness

In 1972, episodic and semantic memories were considered to reflect different types of knowledge (Tulving, 1972). However, these early definitions encountered many difficulties. Now, Episodic and semantic memories are discussed in terms of awareness associated with retrieval (Wheeler, Stuss, & Tulving, 1997): Autonoetic consciousness (i.e., feeling of remembering) is considered associated with retrieval from the episodic memory system, while noetic consciousness (i.e., feeling of knowing) is considered characterized by retrieval from the semantic memory system. The present article investigated determinants of autonoetic consciousness in order to clarify characteristics of perceptual knowledge that is being recalled, the more strongly the individual feels autonoetic consciousness during retrieval, and that autonoetic consciousness is based on rich sensory-perceptual knowledge. Furthermore, we suggested that the parietal and frontal lobes mediate the process of generating autonoetic consciousness. This suggested that sensory-perceptual knowledge, the parietal lobe and the frontal lobe are important factors for discriminating episodic memory afrom semantic memory.

Effects of Cobalt Chloride in Junctional Epithelium and Reduced Enamel Epithelium of the Rat Maxillary First Molar

Cobalt is one of the main components of cast metal alloys broadly used in dentistry. It is the constituent of 45 to 70% of numerous prosthetic works. There are evidences that metal elements cause systemic and local toxicity. The purpose of the present study was to evaluate the effects of cobalt on the junctional epithelium and reduced enamel epithelium of the first superior molar in rats, during lactation. To do this, 1-day old rats were used, whose mothers received 300mg of cobalt chloride per liter of distilled water in the drinker, during lactation. After 21 days, the rat pups were killed with an anesthetic overdose. The heads were separated, fixed in ""alfac"", decalcified and embedded in paraffin. Frontal sections stained with hematoxylin and eosin were employed. Karyometric methods allowed to estimate the following parameters: biggest, smallest and mean diameters, D/d ratio, perimeter, area, volume, volume/area ratio, eccentricity, form coefficient and contour index. Stereologic methods allow to evaluate: cytoplasm/nucleus ratio, cell and cytoplasm volume, cell number density, external surface/basal membrane ratio, thickness of the epithelial layers and surface density. All the collected data were subjected to statistic analysis by the non-parametric Wilcoxon-Mann-Whitney test. The nuclei of the studied tissues showed smaller values after karyometry for: diameters; perimeter, area, volume and volume/area ratio. Stereologically, it was observed, in the junctional epithelium and in the reduced enamel epithelium, smaller cells with scarce cytoplasm, reflected in the greater number of cells per mm3 of tissue. In this study, cobalt caused epithelial atrophy, indicating a direct action on the junctional and enamel epithelium.

Effects of single or repeated amphetamine treatment and withdrawal on lung allergic inflammation in rats

The effects of single or repeated amphetamine (AMPH) treatment and those of AMPH withdrawals on immune-mediated lung inflammatory response were studied in rats. Two experiments were done. In the first, rats egg-albumin (OVA) sensitized were singularly or repeatedly (21 days, once daily) treated with AMPH (1.0 mg/kg) or with a similar number and volume of 0.9% NaCl. The OVA aerosol challenge was performed 12 h after the single or last repeated AMPH treatment and also 72 and 120 h after AMPH withdrawal. In the second experiment, the effects of reserpine (1.0 mg/kg/day for 5 consecutive days) on single AMPH actions on lung allergic response of rats were analyzed. Single and repeated AMPH treatment induced opposite actions on Bronchoalveolar lavage fluid (BAL) cellularity of allergic rats: single treatment decreased and repeated treatment increased the total number of cells as well as those of macrophages, neutrophils and eosinophils. Our data also showed that single but not repeated AMPH treatment decreased the number of neutrophils, monocytes and lymphocytes in the peripheral blood, and increased the total number of bone marrow cells in rats sensitized and challenged with OVA. Furthermore, it was shown that reserpine treatment precluded the effects of single AMPH treatment on cellular migration to the lung of OVA-sensitized and challenged rats. It was concluded that AMPH effects on lung inflammatory response and cell recruitment to the lung in allergic rats rely at least partially on corticosterone serum levels. The possible involvement of vesicular monoamine transporter type 2 (VMAT2) with these observed effects was discussed. (c) 2008 Elsevier B.V. All rights reserved.

COMPARISON BETWEEN LINEAR AND DAILY UNDULATING PERIODIZED RESISTANCE TRAINING TO INCREASE STRENGTH

Prestes, J, Frollini, AB, De Lima, C, Donatto, FF, Foschini, D, de Marqueti, RC, Figueira Jr, A, and Fleck, SJ. Comparison between linear and daily undulating periodized resistance training to increase strength. J Strength Cond Res 23(9): 2437-2442, 2009-To determine the most effective periodization model for strength and hypertrophy is an important step for strength and conditioning professionals. The aim of this study was to compare the effects of linear (LP) and daily undulating periodized (DUP) resistance training on body composition and maximal strength levels. Forty men aged 21.5 +/- 8.3 and with a minimum 1-year strength training experience were assigned to an LP (n = 20) or DUP group (n = 20). Subjects were tested for maximal strength in bench press, leg press 45 degrees, and arm curl (1 repetition maximum [RM]) at baseline (T1), after 8 weeks (T2), and after 12 weeks of training (T3). Increases of 18.2 and 25.08% in bench press 1 RM were observed for LP and DUP groups in T3 compared with T1, respectively (p <= 0.05). In leg press 45 degrees, LP group exhibited an increase of 24.71% and DUP of 40.61% at T3 compared with T1. Additionally, DUP showed an increase of 12.23% at T2 compared with T1 and 25.48% at T3 compared with T2. For the arm curl exercise, LP group increased 14.15% and DUP 23.53% at T3 when compared with T1. An increase of 20% was also found at T2 when compared with T1, for DUP. Although the DUP group increased strength the most in all exercises, no statistical differences were found between groups. In conclusion, undulating periodized strength training induced higher increases in maximal strength than the linear model in strength-trained men. For maximizing strength increases, daily intensity and volume variations were more effective than weekly variations.

Brazil’s 2014 presidential elections: the interconnection between election news and stock market behavior

This study researches whether there has been abnormal stock market behaviour in Brazil as a consequence of election news (observed via opinion polls), regarding the last Brazilian presidential election, held in October 2014. Via applying event study methodology, the research on the Ibovespa and Petrobras suggests that events in which Rousseff was gaining in share have been subject to negative abnormal returns, and events where Rousseff was loosing in share have led to positive abnormal returns. Moreover, volatility has been significantly elevated during the election period and volume has been found to have slightly increased.

Efeitos do período e volume de aplicação na segurança dos tratoristas aplicando herbicidas na cultura de cana-de-açúcar (Saccharum spp.)

O objetivo deste trabalho foi avaliar os efeitos do período e volume de aplicação na segurança da atividade de tratoristas aplicando herbicidas na cultura de cana-de-açúcar com o pulverizador de barra montado em trator e a eficiência de equipamentos de proteção individual (EPIs) e de uma cabina acoplada ao trator. As exposições dérmicas de 13 condições de trabalho foram avaliadas e analisadas estatisticamente por meio do delineamento inteiramente ao acaso e do esquema fatorial 3 x 2 x 2 + 1. O fator A foi a condição de exposição: 1) exposição dérmica potencial (EDP) - sem nenhuma medida de segurança; 2) exposição com cabina no trator (Cabina); e 3) exposição com as vestimentas (EPI). O fator B foi o volume de aplicação: 1) 200 L ha-1 e 2) 100 L ha-1; e o fator C foi o período de aplicação: 1) diurno e 2) noturno. Como testemunha foi avaliada a EDP do tratorista aplicando na atividade usual de 300 L de calda ha-1, no período diurno. As exposições dérmicas (EDs) aos herbicidas considerados nessas condições de trabalho foram estimadas por meio de dados substitutos das EDs avaliadas ao cátion Cu+2 adicionado como traçador nas caldas aplicadas. O pulverizador utilizado foi do modelo PJ 600, com barra de 12 m de comprimento e 24 bicos de jato plano TT 110 04 ou TT 110 02. As 13 condições de trabalho avaliadas foram classificadas como seguras (MS>1) para o tratorista aplicando os herbicidas glyphosate (48% i.a.), MSMA (48%), diuron (46,8%) + hexazinone (13,2%), clomazone (50%), sulfentrazone (50%), ametryne (50%), diuron (50%), isoxaflutole (75%), metribuzin (48%), 2,4-D (80,6%), ametryne (30%) + clomazone (20%), ametryne (73,25%) + trifloxysulfuron (1,85%) e tebuthiuron (80 %) e inseguras para o herbicida atrazine (50%), nos dois períodos e nos três volumes de aplicação, e ametryne (50%), na aplicação diurna e 100 L de calda ha-1. As aplicações noturnas e os volumes de aplicação reduzidos tornaram as condições de trabalho mais seguras, exceto para o atrazine. A eficiência dos EPIs para a aplicação de 300 L ha-1 variou de 69,5 a 89,3%, e a da cabina do trator variou entre 76,4 e 83,3%, em relação aos volumes reduzidos de 100 e 200 L ha-1.