Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

The emergence of automated high-frequency flow cytometry: revealing temporal and spatial phytoplankton variability

Phytoplankton observation is the product of a number of trade-offs related to sampling processes, required level of diversity and size spectrum analysis capabilities of the techniques involved. Instruments combining the morphological and high-frequency analysis for phytoplankton cells are now available. This paper presents an application of the automated high-resolution flow cytometer Cytosub as a tool for analysing phytoplanktonic cells in their natural environment. High resolution data from a temporal study in the Bay of Marseille (analysis every 30 min over 1 month) and a spatial study in the Southern Indian Ocean (analysis every 5 min at 10 knots over 5 days) are presented to illustrate the capabilities and limitations of the instrument. Automated high-frequency flow cytometry revealed the spatial and temporal variability of phytoplankton in the size range 1−∼50 μm that could not be resolved otherwise. Due to some limitations (instrumental memory, volume analysed per sample), recorded counts could be statistically too low. By combining high-frequency consecutive samples, it is possible to decrease the counting error, following Poisson’s law, and to retain the main features of phytoplankton variability. With this technique, the analysis of phytoplankton variability combines adequate sampling frequency and effective monitoring of community changes.

High-frequency oscillations in a solar active region observed with the RAPID DUAL IMAGER

High-cadence, synchronized, multiwavelength optical observations of a solar active region (NOAA 10794) are presented. The data were obtained with the Dunn Solar Telescope at the National Solar Observatory/Sacramento Peak using a newly developed camera system: the rapid dual imager. Wavelet analysis is undertaken to search for intensity related oscillatory signatures, and periodicities ranging from 20 to 370 s are found with significance levels exceeding 95%. Observations in the H-α blue wing show more penumbral oscillatory phenomena when compared to simultaneous G-band observations. The H-α oscillations are interpreted as the signatures of plasma motions with a mean velocity of 20 km s-1. The strong oscillatory power over H-α blue-wing and G-band penumbral bright grains is an indication of the Evershed flow with frequencies higher than previously reported.

Inference for nonparametric high-frequency estimators with an application to time variation in betas

We consider the problem of conducting inference on nonparametric high-frequency estimators without knowing their asymptotic variances. We prove that a multivariate subsampling method achieves this goal under general conditions that were not previously available in the literature. We suggest a procedure for a data-driven choice of the bandwidth parameters. Our simulation study indicates that the subsampling method is much more robust than the plug-in method based on the asymptotic expression for the variance. Importantly, the subsampling method reliably estimates the variability of the Two Scale estimator even when its parameters are chosen to minimize the finite sample Mean Squared Error; in contrast, the plugin estimator substantially underestimates the sampling uncertainty. By construction, the subsampling method delivers estimates of the variance-covariance matrices that are always positive semi-definite. We use the subsampling method to study the dynamics of financial betas of six stocks on the NYSE. We document significant variation in betas within year 2006, and find that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. To capture this variation we estimate a simple dynamic model for betas. The variance estimation is also important for the correction of the errors-in-variables bias in such models. We find that the bias corrections are substantial, and that betas are more persistent than the naive estimators would lead one to believe.

Mechatronic design of a high frequency probe for haptic interaction

Current force feedback, haptic interface devices are generally limited to the display of low frequency, high amplitude spatial data. A typical device consists of a low impedance framework of one or more degrees-of-freedom (dof), allowing a user to explore a pre-defined workspace via an end effector such as a handle, thimble, probe or stylus. The movement of the device is then constrained using high gain positional feedback, thus reducing the apparent dof of the device and conveying the illusion of hard contact to the user. Such devices are, however, limited to a narrow bandwidth of frequencies, typically below 30Hz, and are not well suited to the display of surface properties, such as object texture. This paper details a device to augment an existing force feedback haptic display with a vibrotactile display, thus providing a means of conveying low amplitude, high frequency spatial information of object surface properties. 1. Haptics and Haptic Interfaces Haptics is the study of human touch and interaction with the external environment via touch. Information from the human sense of touch can be classified in to two categories, cutaneous and kinesthetic. Cutaneous information is provided via the mechanoreceptive nerve endings in the glabrous skin of the human hand. It is primarily a means of relaying information regarding small-scale details in the form of skin stretch, compression and vibration.

Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Does high-frequency repetitive transcranial magnetic stimulation produce residual and/or cumulative effects within an experimental session?

A common procedure for studying the effects on cognition of repetitive transcranial magnetic stimulation (rTMS) is to deliver rTMS concurrent with task performance, and to compare task performance on these trials versus on trials without rTMS. Recent evidence that TMS can have effects on neural activity that persist longer than the experimental session itself, however, raise questions about the assumption of the transient nature of rTMS that underlies many concurrent (or "online") rTMS designs. To our knowledge, there have been no studies in the cognitive domain examining whether the application of brief trains of rTMS during specific epochs of a complex task may have effects that spill over into subsequent task epochs, and perhaps into subsequent trials. We looked for possible immediate spill-over and longer-term cumulative effects of rTMS in data from two studies of visual short-term delayed recognition. In 54 subjects, 10-Hz rTMS trains were applied to five different brain regions during the 3-s delay period of a spatial task, and in a second group of 15 subjects, electroencephalography (EEG) was recorded while 10-Hz rTMS was applied to two brain areas during the 3-s delay period of both spatial and object tasks. No evidence for immediate effects was found in the comparison of the memory probe-evoked response on trials that were vs. were not preceded by delay-period rTMS. No evidence for cumulative effects was found in analyses of behavioral performance, and of EEG signal, as a function of task block. The implications of these findings, and their relation to the broader literature on acute vs. long-lasting effects of rTMS, are considered.

The signature of ENSO in the Northern Hemisphere midlatitude seasonal mean flow and high-frequency intraseasonal variability

The impact of pronounced positive and negative sea surface temperature (STT) anomalies in the tropical Pacific associated with the El Niño/Southern Oscillation (ENSO) phenomenon on the atmospheric circulation in the Northern Hemisphere extratropics during the boreal winter season is investigated. This includes both the impact on the seasonal mean flow and on the intraseasonal variability on synoptic time scales. Moreover, the interaction between the transient fluctuations on these times scales and the mean circulation is examined. Both data from an ensemble of five simulations with the ECHAM3 atmospheric general circulation model at a horizontal resolution of T42 each covering the period from 1979 through 1992 and operational analyses from ECMWF for the corresponding period are examined. In each of the simulations observed SSTs for the period of investigation are given as lower boundary forcing, but different atmospheric initial conditions are prescribed. The simulations with ECHAM3 reveal a distinct impact of the pronounced SST-anomalies in the tropical Pacific on the atmospheric circulation in the Northern Hemisphere extratropics during El Niño as well as during La Niña events. These changes in the atmospheric circulation, which are found to be highly significant in the Pacific/North American as well as in the Atlantic/European region, are consistent with the essential results obtained from the analyses. The pronounced SST-anomalies in the tropical Pacific lead to changes in the mean circulation, which are characterized by typical circulation patterns. These changes in the mean circulation are accompanied by marked variations of the activity of the transient fluctuations on synoptic time scales, that are changes in both the kinetic energy on these time scales and the atmospheric transports of momentum and heat accomplished by the short baroclinic waves. The synoptic disturbances, on the other hand, play also an important role in controlling the changes in the mean circulation associated with the ENSO phenomenon. They maintain these typical circulation patterns via barotropic, but counteract them via baroclinic processes. The hypothesis of an impact of the ENSO phenomenon in the Atlantic/European region can be supported. As the determining factor the intensification (reduction) of the Aleutian low and the simultaneous reduction (intensification) of the Icelandic low during El Niño and during La Niña events respectively, is identified. The changes in the intensity of the Aleutian low during the ENSO-events are accompanied by an alteration of the transport of momentum caused by the short baroclinic waves over the North American continent in such a way that the changes in the intensity of the Icelandic low during El Niño as well as during La Niña events are maintained.

The water quality of the River Enborne, UK: observations from high-frequency Monitoring in a rural, lowland river system

This paper reports the results of a 2-year study of water quality in the River Enborne, a rural river in lowland England. Concentrations of nitrogen and phosphorus species and other chemical determinands were monitored both at high-frequency (hourly), using automated in situ instrumentation, and by manual weekly sampling and laboratory analysis. The catchment land use is largely agricultural, with a population density of 123 persons km−2. The river water is largely derived from calcareous groundwater, and there are high nitrogen and phosphorus concentrations. Agricultural fertiliser is the dominant source of annual loads of both nitrogen and phosphorus. However, the data show that sewage effluent discharges have a disproportionate effect on the river nitrogen and phosphorus dynamics. At least 38% of the catchment population use septic tank systems, but the effects are hard to quantify as only 6% are officially registered, and the characteristics of the others are unknown. Only 4% of the phosphorus input and 9% of the nitrogen input is exported from the catchment by the river, highlighting the importance of catchment process understanding in predicting nutrient concentrations. High-frequency monitoring will be a key to developing this vital process understanding.

Characterising phosphorus and nitrate inputs to a rural river using high-frequency concentration-flow relationships

The total reactive phosphorus (TRP) and nitrate concentrations of the River Enborne, southern England, were monitored at hourly interval between January 2010 and December 2011. The relationships between these high-frequency nutrient concentration signals and flow were used to infer changes in nutrient source and dynamics through the annual cycle and each individual storm event, by studying hysteresis patterns. TRP concentrations exhibited strong dilution patterns with increasing flow, and predominantly clockwise hysteresis through storm events. Despite the Enborne catchment being relatively rural for southern England, TRP inputs were dominated by constant, non-rain-related inputs from sewage treatment works (STW) for the majority of the year, producing the highest phosphorus concentrations through the spring–summer growing season. At higher river flows, the majority of the TRP load was derived from within-channel remobilisation of phosphorus from the bed sediment, much of which was also derived from STW inputs. Therefore, future phosphorus mitigation measures should focus on STW improvements. Agricultural diffuse TRP inputs were only evident during storms in the May of each year, probably relating to manure application to land. The nitrate concentration–flow relationship produced a series of dilution curves, indicating major inputs from groundwater and to a lesser extent STW. Significant diffuse agricultural inputs with anticlockwise hysteresis trajectories were observed during the first major storms of the winter period. The simultaneous investigation of high-frequency time series data, concentration–flow relationships and hysteresis behaviour through multiple storms for both phosphorus and nitrate offers a simple and innovative approach for providing new insights into nutrient sources and dynamics.

High-frequency water quality monitoring in an urban catchment: hydrochemical dynamics, primary production and implications for the Water Framework Directive

This paper describes the hydrochemistry of a lowland, urbanised river-system, The Cut in England, using in situ sub-daily sampling. The Cut receives effluent discharges from four major sewage treatment works serving around 190,000 people. These discharges consist largely of treated water, originally abstracted from the River Thames and returned via the water supply network, substantially increasing the natural flow. The hourly water quality data were supplemented by weekly manual sampling with laboratory analysis to check the hourly data and measure further determinands. Mean phosphorus and nitrate concentrations were very high, breaching standards set by EU legislation. Though 56% of the catchment area is agricultural, the hydrochemical dynamics were significantly impacted by effluent discharges which accounted for approximately 50% of the annual P catchment input loads and, on average, 59% of river flow at the monitoring point. Diurnal dissolved oxygen data demonstrated high in-stream productivity. From a comparison of high frequency and conventional monitoring data, it is inferred that much of the primary production was dominated by benthic algae, largely diatoms. Despite the high productivity and nutrient concentrations, the river water did not become anoxic and major phytoplankton blooms were not observed. The strong diurnal and annual variation observed showed that assessments of water quality made under the Water Framework Directive (WFD) are sensitive to the time and season of sampling. It is recommended that specific sampling time windows be specified for each determinand, and that WFD targets should be applied in combination to help identify periods of greatest ecological risk. This article is protected by copyright. All rights reserved.

High frequency of immature dendritic cells and altered in situ production of interleukin-4 and tumor necrosis factor-alpha in lung cancer

Introduction Antigen-presenting cells, like dendritic cells (DCs) and macrophages, play a significant role in the induction of an immune response and an imbalance in the proportion of macrophages, immature and mature DCs within the tumor could affect significantly the immune response to cancer. DCs and macrophages can differentiate from monocytes, depending on the milieu, where cytokines, like interleukin (IL)-4 and granulocyte-macrophage colony-stimulating factor (GM-CSF) induce DC differentiation and tumor necrosis factor (TNF)-alpha induce DC maturation. Thus, the aim of this work was to analyze by immunohistochemistry the presence of DCs (S100+ or CD1a+), macrophages (CD68+), IL-4 and TNF-alpha within the microenvironment of primary lung carcinomas. Results Higher frequencies of both immature DCs and macrophages were detected in the tumor-affected lung, when compared to the non-affected lung. Also, TNF-alpha-positive cells were more frequent, while IL-4-positive cells were less frequent in neoplastic tissues. This decreased frequency of mature DCs within the tumor was further confirmed by the lower frequency of CD14-CD80+ cells in cell suspensions obtained from the same lung tissues analyzed by flow cytometry. Conclusion These data are discussed and interpreted as the result of an environment that does not oppose monocyte differentiation into DCs, but that could impair DC maturation, thus affecting the induction of effective immune responses against the tumor.

Recalled and recorded bowel habits confirm early onset and high frequency of constipation in day-care nursery children

CONTEXTO: Mães relatam início precoce de constipação em crianças atendidas em clínicas de gastroenterologia. OBJETIVOS: Estudar o hábito intestinal em crianças de baixa idade na comunidade, para avaliar se início precoce da constipação é confirmado neste contexto e se há concordância entre o hábito intestinal relatado e o registrado prospectivamente. MÉTODOS: Obtiveram-se dados sobre evacuações de 57 crianças com idade 6.0-40.7 meses, mediante relato materno (questionário sobre características fecais predominantes) e, a seguir, foram registradas 1.934 evacuações em casa e na creche. O hábito intestinal foi classificado como adequado, constipação, diarréia funcional, outro hábito intestinal, conforme frequência evacuatória e proporção das características fecais (macias, duras e/ou que escorrem). Usaram-se dois critérios para classificar o hábito intestinal registrado, devido indefinição no ponto de corte para fezes duras na identificação de constipação em crianças: critério predominante e critério adulto, respectivamente com >50% e >25% de evacuações com consistência alterada. Usou-se estatística não-paramétrica e, para concordância entre hábito intestinal relatado e registrado, o índice Kappa. RESULTADOS: Constipação ocorreu em 17.5%, 10.5%, 19.3% das crianças, respectivamente pelo relato e pelo registro segundo critérios predominante e adulto. Constipação foi o hábito intestinal mais frequentemente relatado, versus 12.3% outro hábito intestinal. Só uma criança se classificou como tendo diarréia funcional (pelo critério adulto). Concordância entre o hábito intestinal relatado e o registrado foi razoável (fair) para constipação, pelos critérios predominante e adulto (K=0.28 e 0.24, respectivamente), mas apenas leve (slight) para os demais hábito intestinal (K <0.16). Entretanto, dados individuais indicaram melhor relação entre relato de constipação com o critério adulto do que com o critério predominante. CONCLUSÕES: Confirmou-se que constipação é frequente e de início precoce. Concordância razoável entre o hábito intestinal relatado e o registrado segundo os dois critérios indica que o relato materno é razoavelmente confiável para detectar constipação.

High frequency of Paracoccidioides brasiliensis infection in armadillos (Dasypus novemcinctus): an ecological study

The fungus Paracoccidioides brasiliensis has been isolated from nine-banded armadillos (Dasypus novemcinctus) in different regions where paracoccidiodomycosis (PCM) is endemic. The link between PCM and these animals has provided the first valuable clue in the effort to elucidate the ecological niche of P. brasiliensis. The present study was aimed at correlating P. brasiliensis infection in armadillos with local ecological features and, if possible, the presence of the fungus in the soil in the Botucatu hyperendemic area of PCM. In this region the mean temperature ranges from 14.8 to 25.8degreesC and the annual average precipitation is 1520 mm. The sites where 10 infected animals (positive group) were collected were studied and compared with the sites where five uninfected animals were found. The occurrence of the fungus in soil samples collected from the positive armadillos' burrows and foraging sites was investigated by the indirect method of animal inoculation. Environmental data from the sites of animal capture, such as temperature, rainfall, altitude, vegetation, soil composition, presence of water and proximity of urban areas, were recorded. All 37 soil samples collected from the sites had negative fungal cultures. Positive animals were found much more frequently in sites with disturbed vegetation, such as riparian forests and artificial Eucalyptus Or Pinus forests, in altitudes below 800 m, near water sources. The soil type of the sites of positive animals was mainly sandy, with medium to low concentrations of organic matter. The pH was mainly acidic at all the sites, although the concentrations of aluminum cations (H+Al) were lower at the sites where positive animals were found. Positive armadillos were also captured in sites very close to urban areas. Our data and previous studies indicate that P. brasiliensis occurs preferentially in humid and shady disturbed forests in a strong association with armadillos.

High frequency of osteoporosis and fractures in women with dermatomyositis/polymyositis

Bone mass was only previously studied in juvenile dermatomyositis/polymyositis (DM/PM) patients. Therefore, the objective this study was to evaluate the prevalence of osteoporosis and fractures in adult DM/PM. Forty female DM/PM and 78 age-, gender-, and BMI-matched healthy controls were studied. Medical charts and clinical interviews of all patients were evaluated for demographic and clinical data, including disease activity, cumulative doses of glucocorticoid, menarche and menopause age, and fractures. Bone mineral density (BMD) using dual X-ray absorptiometry (DXA) were measured at lumbar spine (L1-L4) and hip. A decreased BMD in lumbar spine [0.902 (0.136) vs. 0.965 (0.141) g/cm(2), P = 0.022] and femoral neck [0.729 (0.12) vs. 0.784 (0.127) g/cm(2), P = 0.027] was observed in patients compared to controls. In addition, osteoporosis was more frequent in patients than in controls in both lumbar spine (20 vs. 3.8%, P = 0.007) and the femoral neck (27.5 vs. 10.3%, P = 0.016). Moreover, a high prevalence of fractures was found in patients in comparison to healthy subjects (17.9 vs. 5.1%, P = 0.040; OR = 3.92; CI 95%: 1.07-14.33). Comparing DM/PM patients with (n = 17) and without (n = 23) osteoporosis/fractures, significant differences were observed regarding age [56.8 (11.9) vs. 48.3 (13.2) years, P = 0.042], weight [62.05 (13.56) vs. 71.51 (11.46) kg, P = 0.022] and frequency of post menopausal women (94.1 vs. 65.2%, P = 0.0002). No differences were observed concerning height, lean mass, total fat mass, disease activity, mean value of creatine kinase, cumulative glucocorticoid dose, or bisphosphonate use. Logistic regression analysis revealed a negative association between the presence of osteoporosis/fractures and weight (OR: 0.92, 95% CI: 0.85-0.98; P = 0.016). This is the first study that analyzed bone mass in adult DM/PM patients and it demonstrated that about one quarter of these patients have osteoporosis/fracture.