Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts

In this paper we propose a novel empirical extension of the standard market microstructure order flow model. The main idea is that heterogeneity of beliefs in the foreign exchange market can cause model instability and such instability has not been fully accounted for in the existing empirical literature. We investigate this issue using two di¤erent data sets and focusing on out- of-sample forecasts. Forecasting power is measured using standard statistical tests and, additionally, using an alternative approach based on measuring the economic value of forecasts after building a portfolio of assets. We nd there is a substantial economic value on conditioning on the proposed models.

Optimal Universal and Categorical Benefits with Classification Errors and Imperfect Enforcement

We determine he optimal combination of a universal benefit, B, and categorical benefit, C, for an economy in which individuals differ in both their ability to work - modelled as an exogenous zero quantity constraint on labour supply - and, conditional on being able to work, their productivity at work. C is targeted at those unable to work, and is conditioned in two dimensions: ex-ante an individual must be unable to work and be awarded the benefit, whilst ex-post a recipient must not subsequently work. However, the ex-ante conditionality may be imperfectly enforced due to Type I (false rejection) and Type II (false award) classification errors, whilst, in addition, the ex-post conditionality may be imperfectly enforced. If there are no classification errors - and thus no enforcement issues - it is always optimal to set C>0, whilst B=0 only if the benefit budget is sufficiently small. However, when classification errors occur, B=0 only if there are no Type I errors and the benefit budget is sufficiently small, while the conditions under which C>0 depend on the enforcement of the ex-post conditionality. We consider two discrete alternatives. Under No Enforcement C>0 only if the test administering C has some discriminatory power. In addition, social welfare is decreasing in the propensity to make each type error. However, under Full Enforcement C>0 for all levels of discriminatory power. Furthermore, whilst social welfare is decreasing in the propensity to make Type I errors, there are certain conditions under which it is increasing in the propensity to make Type II errors. This implies that there may be conditions under which it would be welfare enhancing to lower the chosen eligibility threshold - support the suggestion by Goodin (1985) to "err on the side of kindness".

Optimal exponent heat balance and refined integral methods applied to Stefan problems

When using a polynomial approximating function the most contentious aspect of the Heat Balance Integral Method is the choice of power of the highest order term. In this paper we employ a method recently developed for thermal problems, where the exponent is determined during the solution process, to analyse Stefan problems. This is achieved by minimising an error function. The solution requires no knowledge of an exact solution and generally produces significantly better results than all previous HBI models. The method is illustrated by first applying it to standard thermal problems. A Stefan problem with an analytical solution is then discussed and results compared to the approximate solution. An ablation problem is also analysed and results compared against a numerical solution. In both examples the agreement is excellent. A Stefan problem where the boundary temperature increases exponentially is analysed. This highlights the difficulties that can be encountered with a time dependent boundary condition. Finally, melting with a time-dependent flux is briefly analysed without applying analytical or numerical results to assess the accuracy.

Active mitral ring for post-surgical remote correction of residual mitral regurgitation on the beating heart.

OBJECTIVES: Residual mitral regurgitation after valve repair worsens patients' clinical outcome. Postimplant adjustable mitral rings potentially address this issue, allowing the reshaping of the annulus on the beating heart under echocardiography control. We developed an original mitral ring allowing valve geometry remodelling after the implantation and designed an animal study to assess device effectiveness in correcting residual mitral regurgitation. METHODS: The device consists of two concentric rings: one internal and flexible, sutured to the mitral annulus and a second external and rigid. A third conic element slides between the two rings, modifying the shape of the flexible ring. This sliding element is remotely activated with a rotating tool. Animal model: in adult swine, under cardio pulmonary bypass and cardiac arrest, we shortened the primary chordae of P2 segment to reproduce Type III regurgitation and implanted the active ring. We used intracardiac ultrasound to assess mitral regurgitation and the efficacy of the active ring to correct it. RESULTS: Severe mitral regurgitation (3+ and 4+) was induced in eight animals, 54 ± 6 kg in weight. Vena contracta width decreased from 0.8 ± 0.2 to 0.1 cm; proximal isovelocity surface area radius decreased from 0.8 ± 0.2 to 0.1 cm and effective regurgitant orifice area decreased from 0.50 ± 0.1 to 0.1 ± 0.1 cm(2). Six animals had a reversal of systolic pulmonary flow that normalized following the activation of the device. All corrections were reversible. CONCLUSIONS: Postimplant adjustable mitral ring corrects severe mitral regurgitation through the reversible modification of the annulus geometry on the beating heart. It addresses the frequent and morbid issue of recurrent mitral valve regurgitation.

Oligo-Miocene extensional tectonics and fluid flow across the Northern Snake Range detachment system, Nevada

The Northern Snake Range (Nevada) represents a spectacular example of a metamorphic core complex and exposes a complete section from the mylonitic footwall into the hanging wall of a fossil detachment system. Paired geochronological and stable isotopic data of mylonitic quartzite within the detachment footwall reveal that ductile deformation and infiltration of meteoric fluids occurred between 27 and 23 Ma. Ar-40/Ar-39 ages display complex recrystallization-cooling relationships but decrease systematically from 26.9 +/- 0.2 Ma at the top to 21.3 +/- 0.2 Ma at the bottom of footwall mylonite. Hydrogen isotope (delta D) values in white mica are very low (-150 to -145 %) within the top 80-90 m of detachment footwall, in contrast to values obtained from the deeper part of the section where values range from -77 to -64 %, suggesting that time-integrated interaction between rock and meteoric fluid was restricted to the uppermost part of the mylonitic footwall. Pervasive mica-water hydrogen isotope exchange is difficult to reconcile with models of Ar-40 loss during mylonitization solely by volume diffusion. Rather, we interpret the Ar-40/Ar-39 ages of white mica with low-delta D values to date syn-mylonitic hydrogen and argon isotope exchange, and we conclude that the hydrothermal system of the Northern Snake Range was active during late Oligocene (27-23 Ma) and has been exhumed by the combined effects of ductile strain, extensional detachment faulting, and erosion.

The composition of mineral waters sourced from Europe and North America in respect to bone health: composition of mineral water optimal for bone.

The consumption of mineral waters is increasing in industrialised countries. High intakes of Ca and other alkalising cations as well as a low acid intake are beneficial to bone. We examined which components of mineral waters are conditioning their Ca content and their alkalinising power, in order to define the optimal profile. European mineral waters were randomly selected on the Internet: 100 waters with less than 200 mg Ca/l (9.98 mEq/l) and fifty with more than 200 mg/l, all with complete data for SO4, P, Cl, Na, K, Mg and Ca, and most also for HCO3. For comparison, forty North American mineral waters were randomly chosen. The potential renal acid load (PRAL) was calculated for each mineral water. North American waters did not reveal significant results because of their low mineralisation. We performed correlations between all eight components in order to explore the properties of the mineral waters. In the European waters, twenty-six out of twenty-eight correlations showed a P value of <or= 0.01. In waters with PRAL >0 (acidifying waters), PRAL was positively correlated with SO4, Ca, K and Mg (P < 0.001). In those with PRAL < 0 (alkalinising waters), PRAL was negatively correlated with HCO3, Na, Mg, Ca, K, Cl and SO4 (P < 0.001). SO4 and HCO3 were not found together in high quantities in the same water for geochemical reasons. A high Ca content is associated with either a high SO4 or a high HCO3 content. SO4 theoretically increases Ca excretion, while HCO3 and low PRAL values are associated with positive effects on bone. Therefore, the best waters for bone health are rich in both HCO3 and Ca, and by consequence low in SO4.

Combined Use of Mycobacterium tuberculosis-Specific CD4 and CD8 T-Cell Responses Is a Powerful Diagnostic Tool of Active Tuberculosis.

Immune-based assays are promising tools to help to formulate diagnosis of active tuberculosis. A multiparameter flow cytometry assay assessing T-cell responses specific to Mycobacterium tuberculosis and the combination of both CD4 and CD8 T-cell responses accurately discriminated between active tuberculosis and latent infection.

Stochastic optimal bid to electricity markets with environmental risk constraints

There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.

Lack of correlation between the optimal glycaemic control and coronary micro vascular dysfunction in patients with diabetes mellitus: a cross sectional study.

Background Coronary microvascular dysfunction (CMD) is associated with cardiovascular events in type 2 diabetes mellitus (T2DM). Optimal glycaemic control does not always preclude future events. We sought to assess the effect of the current target of HBA1c level on the coronary microcirculatory function and identify predictive factors for CMD in T2DM patients. Methods We studied 100 patients with T2DM and 214 patients without T2DM. All of them with a history of chest pain, non-obstructive angiograms and a direct assessment of coronary blood flow increase in response to adenosine and acetylcholine coronary infusion, for evaluation of endothelial independent and dependent CMD. Patients with T2DM were categorized as having optimal (HbA1c < 7 %) vs. suboptimal (HbA1c ≥ 7 %) glycaemic control at the time of catheterization. Results Baseline characteristics and coronary endothelial function parameters differed significantly between T2DM patients and control group. The prevalence of endothelial independent CMD (29.8 vs. 39.6 %, p = 0.40) and dependent CMD (61.7 vs. 62.2 %, p = 1.00) were similar in patients with optimal vs. suboptimal glycaemic control. Age (OR 1.10; CI 95 % 1.04–1.18; p < 0.001) and female gender (OR 3.87; CI 95 % 1.45–11.4; p < 0.01) were significantly associated with endothelial independent CMD whereas glomerular filtrate (OR 0.97; CI 95 % 0.95–0.99; p < 0.05) was significantly associated with endothelial dependent CMD. The optimal glycaemic control was not associated with endothelial independent (OR 0.60, CI 95 % 0.23–1.46; p 0.26) or dependent CMD (OR 0.99, CI 95 % 0.43–2.24; p = 0.98). Conclusions The current target of HBA1c level does not predict a better coronary microcirculatory function in T2DM patients. The appropriate strategy for prevention of CMD in T2DM patients remains to be addressed. Keywords: Endothelial dysfunction; Diabetes mellitus; Coronary microcirculation

Incremental Prognostic Value of Myocardial Blood Flow Quantification with Rb-82 Cardiac PET in Patients With Known or Suspected CAD

Rb-82cardiac PET has been used to non-invasively assess myocardial blood flow (MBF)and myocardial flow reserve (MFR). The impact of MBF and MFR for predictingmajor adverse cardiovascular events (MACE) has not been investigated in aprospective study, which was our aim. MATERIAL AND METHODS: In total, 280patients (65±10y, 36% women) with known or suspected CAD were prospectivelyenrolled. They all underwent both a rest and adenosine stress Rb-82 cardiacPET/CT. Dynamic acquisitions were processed with the FlowQuant 2.1.3 softwareand analyzed semi-quantitatively (SSS, SDS) and quantitatively (MBF, MFR) andreported using the 17-segment AHA model. Patients were stratified based on SDS,stress MBF and MFR and allocated into tertiles. For each group, annualizedevent rates were computed by dividing the number of annualized MACE (cardiacdeath, myocardial infarction, revascularisation or hospitalisation forcardiac-related event) by the sum of individual follow-up periods in years.Outcome were analysed for each group using Kaplan-Meier event-free survivalcurves and compared using the log-rank test. Multivariate analysis wasperformed in a stepwise fashion using Cox proportional hazards regressionmodels (p<0.05 for model inclusion). RESULTS: In a median follow-up of 256days (range 168-440d), 44 MACE were observed. Ischemia (SDS≥2) was observed in95 patients who had higher annualized MACE rate as compared to those without(55% vs. 9.8%, p<0.0001). The group with the lowest MFR tertile (MFR<1.76)had higher MACE rate than the two highest tertiles (51% vs. 9% and 14%,p<0.0001). Similarly, the group with the lowest stress MBF tertile(MBF<1.78mL/min/g) had the highest annualized MACE rate (41% vs. 26% and 6%,p=0.0002). On multivariate analysis, the addition of MFR or stress MBF to SDSsignificantly increased the global χ2 (from 56 to 60, p=0.04; and from56 to 63, p=0.01). The best prognostic power was obtained in a model combiningSDS (p<0.001) and stress MBF (p=0.01). Interestingly, the integration ofstress MBF enhanced risk stratification even in absence of ischemia.CONCLUSIONS: Quantification of MBF or MFR in Rb-82 cardiac PET/CT providesindependent and incremental prognostic information over semi-quantitativeassessment with SDS and is of value for risk stratification.

Dense Deformation Field Estimation for Atlas Registration using the Active Contour Framework

In this paper, we propose a new paradigm to carry outthe registration task with a dense deformation fieldderived from the optical flow model and the activecontour method. The proposed framework merges differenttasks such as segmentation, regularization, incorporationof prior knowledge and registration into a singleframework. The active contour model is at the core of ourframework even if it is used in a different way than thestandard approaches. Indeed, active contours are awell-known technique for image segmentation. Thistechnique consists in finding the curve which minimizesan energy functional designed to be minimal when thecurve has reached the object contours. That way, we getaccurate and smooth segmentation results. So far, theactive contour model has been used to segment objectslying in images from boundary-based, region-based orshape-based information. Our registration technique willprofit of all these families of active contours todetermine a dense deformation field defined on the wholeimage. A well-suited application of our model is theatlas registration in medical imaging which consists inautomatically delineating anatomical structures. Wepresent results on 2D synthetic images to show theperformances of our non rigid deformation field based ona natural registration term. We also present registrationresults on real 3D medical data with a large spaceoccupying tumor substantially deforming surroundingstructures, which constitutes a high challenging problem.

Evolution of a debris flow channel monitored using a 3D terrestrial laser scanner

Like numerous torrents in mountainous regions, the Illgraben creek (canton of Wallis, SW Switzerland) produces almost every year several debris flows. The total area of the active catchment is only 4.7 km², but large events ranging from 50'000 to 400'000 m³ are common (Zimmermann 2000). Consequently, the pathway of the main channel often changes suddenly. One single event can for instance fill the whole river bed and dig new several-meters-deep channels somewhere else (Bardou et al. 2003). The quantification of both, the rhythm and the magnitude of these changes, is very important to assess the variability of the bed's cross section and long profile. These parameters are indispensable for numerical modelling, as they should be considered as initial conditions. To monitor the channel evolution an Optech ILRIS 3D terrestrial laser scanner (LIDAR) was used. LIDAR permits to make a complete high precision 3D model of the channel and its surroundings by scanning it from different view points. The 3D data are treated and interpreted with the software Polyworks from Innovmetric Software Inc. Sequential 3D models allow for the determination of the variation in the bed's cross section and long profile. These data will afterwards be used to quantify the erosion and the deposition in the torrent reaches. To complete the chronological evolution of the landforms, precise digital terrain models, obtained by high resolution photogrammetry based on old aerial photographs, will be used. A 500 m long section of the Illgraben channel was scanned on 18th of August 2005 and on 7th of April 2006. These two data sets permit identifying the changes of the channel that occurred during the winter season. An upcoming scanning campaign in September 2006 will allow for the determination of the changes during this summer. Preliminary results show huge variations in the pathway of the Illgraben channel, as well as important vertical and lateral erosion of the river bed. Here we present the results of a river bank on the left (north-western) flank of the channel (Figure 1). For the August 2005 model the scans from 3 viewpoints were superposed, whereas the April 2006 3D image was obtained by combining 5 separate scans. The bank was eroded. The bank got eroded essentially on its left part (up to 6.3 m), where it is hit by the river and the debris flows (Figures 2 and 3). A debris cone has also formed (Figure 3), which suggests that a part of the bank erosion is due to shallow landslides. They probably occur when the river erosion creates an undercut slope. These geometrical data allow for the monitoring of the alluvial dynamics (i.e. aggradation and degradation) on different time scales and the influence of debris flows occurrence on these changes. Finally, the resistance against erosion of the bed's cross section and long profile will be analysed to assess the variability of these two key parameters. This information may then be used in debris flow simulation.

Predicting optimal lengths of random knots

In a thermally fluctuating long linear polymeric chain in a solution, the ends, from time to time, approach each other. At such an instance, the chain can be regarded as closed and thus will form a knot or rather a virtual knot. Several earlier studies of random knotting demonstrated that simpler knots show a higher occurrence for shorter random walks than do more complex knots. However, up to now there have been no rules that could be used to predict the optimal length of a random walk, i.e. the length for which a given knot reaches its highest occurrence. Using numerical simulations, we show here that a power law accurately describes the relation between the optimal lengths of random walks leading to the formation of different knots and the previously characterized lengths of ideal knots of a corresponding type.

Automatic generation of active coordinates for quantum dynamics calculations: application to the dynamics of benzene photochemistry

A new practical method to generate a subspace of active coordinates for quantum dynamics calculations is presented. These reduced coordinates are obtained as the normal modes of an analytical quadratic representation of the energy difference between excited and ground states within the complete active space self-consistent field method. At the Franck-Condon point, the largest negative eigenvalues of this Hessian correspond to the photoactive modes: those that reduce the energy difference and lead to the conical intersection; eigenvalues close to 0 correspond to bath modes, while modes with large positive eigenvalues are photoinactive vibrations, which increase the energy difference. The efficacy of quantum dynamics run in the subspace of the photoactive modes is illustrated with the photochemistry of benzene, where theoretical simulations are designed to assist optimal control experiments

Non-peaky signals in wideband fading channels: achievable bit rates and optimal bandwidth

In the context of fading channels it is well established that, with a constrained transmit power, the bit rates achievable by signals that are not peaky vanish as the bandwidth grows without bound. Stepping back from the limit, we characterize the highest bit rate achievable by such non-peaky signals and the approximate bandwidth where that apex occurs. As it turns out, the gap between the highest rate achievable without peakedness and the infinite-bandwidth capacity (with unconstrained peakedness) is small for virtually all settings of interest to wireless communications. Thus, although strictly achieving capacity in wideband fading channels does require signal peakedness, bit rates not far from capacity can be achieved with conventional signaling formats that do not exhibit the serious practical drawbacks associated with peakedness. In addition, we show that the asymptotic decay of bit rate in the absence of peakedness usually takes hold at bandwidths so large that wideband fading models are called into question. Rather, ultrawideband models ought to be used.