937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.


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This paper describes a variety of statistical methods for obtaining precise quantitative estimates of the similarities and differences in the structures of semantic domains in different languages. The methods include comparing mean correlations within and between groups, principal components analysis of interspeaker correlations, and analysis of variance of speaker by question data. Methods for graphical displays of the results are also presented. The methods give convergent results that are mutually supportive and equivalent under suitable interpretation. The methods are illustrated on the semantic domain of emotion terms in a comparison of the semantic structures of native English and native Japanese speaking subjects. We suggest that, in comparative studies concerning the extent to which semantic structures are universally shared or culture-specific, both similarities and differences should be measured and compared rather than placing total emphasis on one or the other polar position.

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We are conducting a genome scan at an average resolution of 10 centimorgans (cM) for type 2 diabetes susceptibility genes in 716 affected sib pairs from 477 Finnish families. To date, our best evidence for linkage is on chromosome 20 with potentially separable peaks located on both the long and short arms. The unweighted multipoint maximum logarithm of odds score (MLS) was 3.08 on 20p (location, x = 19.5 cM) under an additive model, whereas the weighted MLS was 2.06 on 20q (x = 57 cM, recurrence risk, s = 1.25, P = 0.009). Weighted logarithm of odds scores of 2.00 (x = 69.5 cM, P = 0.010) and 1.92 (x = 18.5 cM, P = 0.013) were also observed. Ordered subset analyses based on sibships with extreme mean values of diabetes-related quantitative traits yielded sets of families who contributed disproportionately to the peaks. Two-hour glucose levels in offspring of diabetic individuals gave a MLS of 2.12 (P = 0.0018) at 9.5 cM. Evidence from this and other studies suggests at least two diabetes-susceptibility genes on chromosome 20. We have also screened the gene for maturity-onset diabetes of the young 1, hepatic nuclear factor 4-a (HNF-4) in 64 affected sibships with evidence for high chromosomal sharing at its location on chromosome 20q. We found no evidence that sequence changes in this gene accounted for the linkage results we observed.

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A statistical modeling approach is proposed for use in searching large microarray data sets for genes that have a transcriptional response to a stimulus. The approach is unrestricted with respect to the timing, magnitude or duration of the response, or the overall abundance of the transcript. The statistical model makes an accommodation for systematic heterogeneity in expression levels. Corresponding data analyses provide gene-specific information, and the approach provides a means for evaluating the statistical significance of such information. To illustrate this strategy we have derived a model to depict the profile expected for a periodically transcribed gene and used it to look for budding yeast transcripts that adhere to this profile. Using objective criteria, this method identifies 81% of the known periodic transcripts and 1,088 genes, which show significant periodicity in at least one of the three data sets analyzed. However, only one-quarter of these genes show significant oscillations in at least two data sets and can be classified as periodic with high confidence. The method provides estimates of the mean activation and deactivation times, induced and basal expression levels, and statistical measures of the precision of these estimates for each periodic transcript.

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Understanding the mechanism of protein secondary structure formation is an essential part of the protein-folding puzzle. Here, we describe a simple statistical mechanical model for the formation of a -hairpin, the minimal structural element of the antiparallel -pleated sheet. The model accurately describes the thermodynamic and kinetic behavior of a 16-residue, -hairpin-forming peptide, successfully explaining its two-state behavior and apparent negative activation energy for folding. The model classifies structures according to their backbone conformation, defined by 15 pairs of dihedral angles, and is further simplified by considering only the 120 structures with contiguous stretches of native pairs of backbone dihedral angles. This single sequence approximation is tested by comparison with a more complete model that includes the 215 possible conformations and 15 215 possible kinetic transitions. Finally, we use the model to predict the equilibrium unfolding curves and kinetics for several variants of the -hairpin peptide.

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We present an approach for assessing the significance of sequence and structure comparisons by using nearly identical statistical formalisms for both sequence and structure. Doing so involves an all-vs.-all comparison of protein domains [taken here from the Structural Classification of Proteins (scop) database] and then fitting a simple distribution function to the observed scores. By using this distribution, we can attach a statistical significance to each comparison score in the form of a P value, the probability that a better score would occur by chance. As expected, we find that the scores for sequence matching follow an extreme-value distribution. The agreement, moreover, between the P values that we derive from this distribution and those reported by standard programs (e.g., blast and fasta validates our approach. Structure comparison scores also follow an extreme-value distribution when the statistics are expressed in terms of a structural alignment score (essentially the sum of reciprocated distances between aligned atoms minus gap penalties). We find that the traditional metric of structural similarity, the rms deviation in atom positions after fitting aligned atoms, follows a different distribution of scores and does not perform as well as the structural alignment score. Comparison of the sequence and structure statistics for pairs of proteins known to be related distantly shows that structural comparison is able to detect approximately twice as many distant relationships as sequence comparison at the same error rate. The comparison also indicates that there are very few pairs with significant similarity in terms of sequence but not structure whereas many pairs have significant similarity in terms of structure but not sequence.

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Two objects with homologous landmarks are said to be of the same shape if the configurations of landmarks of one object can be exactly matched with that of the other by translation, rotation/reflection, and scaling. The observations on an object are coordinates of its landmarks with reference to a set of orthogonal coordinate axes in an appropriate dimensional space. The origin, choice of units, and orientation of the coordinate axes with respect to an object may be different from object to object. In such a case, how do we quantify the shape of an object, find the mean and variation of shape in a population of objects, compare the mean shapes in two or more different populations, and discriminate between objects belonging to two or more different shape distributions. We develop some methods that are invariant to translation, rotation, and scaling of the observations on each object and thereby provide generalizations of multivariate methods for shape analysis.

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In the Monte Carlo simulation of both lattice field theories and of models of statistical mechanics, identities verified by exact mean values, such as Schwinger-Dyson equations, Guerra relations, Callen identities, etc., provide well-known and sensitive tests of thermalization bias as well as checks of pseudo-random-number generators. We point out that they can be further exploited as control variates to reduce statistical errors. The strategy is general, very simple, and almost costless in CPU time. The method is demonstrated in the twodimensional Ising model at criticality, where the CPU gain factor lies between 2 and 4.

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For non-negative random variables with finite means we introduce an analogous of the equilibrium residual-lifetime distribution based on the quantile function. This allows us to construct new distributions with support (0, 1), and to obtain a new quantile-based version of the probabilistic generalization of Taylor's theorem. Similarly, for pairs of stochastically ordered random variables we come to a new quantile-based form of the probabilistic mean value theorem. The latter involves a distribution that generalizes the Lorenz curve. We investigate the special case of proportional quantile functions and apply the given results to various models based on classes of distributions and measures of risk theory. Motivated by some stochastic comparisons, we also introduce the expected reversed proportional shortfall order, and a new characterization of random lifetimes involving the reversed hazard rate function.

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Soupy and mousse-like fabrics are disturbance sedimentary features that result from the dissociation of gas hydrate, a process that releases water. During the core retrieval process, soupy and mousse-like fabrics are produced in the gas hydrate-bearing sediments due to changes in pressure and temperature conditions. Therefore, the identification of soupy and mousse-like fabrics can be used as a proxy for the presence of gas hydrate in addition to other evidence, such as pore water freshening or anomalously cool temperature. We present here grain-size results, mineralogical composition and magnetic susceptibility data of soupy and mousse-like samples from the southern Hydrate Ridge (Cascadia accretionary complex) acquired during Leg 204 of the Ocean Drilling Program. In order to study the relationship between sedimentary texture and the presence of gas hydrates, we have compared these results with the main textural and compositional data available from the same area. Most of the disturbed analyzed samples from the summit and the western flank of southern Hydrate Ridge show a mean grain size coarser than the average mean grain size of the hemipelagic samples from the same area. The depositional features of the sediments are not recognised due to disturbance. However, their granulometric statistical parameters and distribution curves, and magnetic susceptibility logs indicate that they correspond to a turbidite facies. These results suggest that gas hydrates in the southern Hydrate Ridge could form preferentially in coarser grain-size layers that could act as conduits feeding gas from below the BSR. Two samples from the uppermost metres near the seafloor at the summit of the southern Hydrate Ridge show a finer mean grain-size value than the average of hemipelagic samples. They were located where the highest amount of gas hydrates was detected, suggesting that in this area the availability of methane gas was high enough to generate gas hydrates, even within low-permeability layers. The mineralogical composition of the soupy and mousse-like sediments does not show any specific characteristic with respect to the other samples from the southern Hydrate Ridge.

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We studied an in vitro model of continuous venous-venous haemofiltration (CVVH), into which levofloxacin 100 mg was infused, to determine levofloxacin adsorption and to determine the effect of filter material and point of dilution (pre- or post-filter) on sieving coefficient. Mean (standard deviation; S.D.) adsorption was 18.7 (5.3) mg for the polyamide filter and 40.2 (2.0) mg for the polyacrylonitrile (PAN) filter (P < 0.001). Post-dilution resulted in a minor, but statistically significant, decrease in sieving coefficient (pre-dilution 0.96 (S.D. 0.10), post-dilution 0.88 (S.D. 0.11) with the PAN filter. These data indicate that the variability in published values for levofloxacin sieving coefficient are not due to variation in point of dilution or membrane type (PAN or polyamide). Significant adsorption of levofloxacin onto PAN filters occurs. (C) 2004 Elsevier B.V. and the International Society of Chemotherapy. All rights reserved.

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Changes in arterial distensibility have been widely used to identify the presence of cardiovascular abnormalities like hypertension. Pulse wave velocity (PWV) has shown to be related to arterial distensibility. However, the lack of suitable techniques to measure PWV nonintrusively has impeded its clinical usefulness. Pulse transit time (PTT) is a noninvasive technique derived from the principle of PWV. PTT has shown its capabilities in cardiovascular and cardiorespiratory studies in adults. However, no known study has been conducted to understand the suitability and utility of PTT to estimate PWV in children. Two computational methods to derive PWV from PTT values obtained from 23 normotensive Caucasian children (19 males, aged 5-12 years old) from their finger and toe were conducted. Furthermore, the effects of adopting different postures on the PWV derivations were investigated. Statistical analyses were performed in comparison with two previous PWV studies conducted on children. Results revealed that PWV derived from the upper limb correlated significantly (P

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Background Regression to the mean (RTM) is a statistical phenomenon that can make natural variation in repeated data look like real change. It happens when unusually large or small measurements tend to be followed by measurements that are closer to the mean. Methods We give some examples of the phenomenon, and discuss methods to overcome it at the design and analysis stages of a study. Results The effect of RTM in a sample becomes more noticeable with increasing measurement error and when follow-up measurements are only examined on a sub-sample selected using a baseline value. Conclusions RTM is a ubiquitous phenomenon in repeated data and should always be considered as a possible cause of an observed change. Its effect can be alleviated through better study design and use of suitable statistical methods.

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The aim of the study was to perform a genetic linkage analysis for eye color, for comparative data. Similarity in eye color of mono- and dizygotic twins was rated by the twins' mother, their father and/or the twins themselves. For 4748 twin pairs the similarity in eye color was available on a three point scale (not at all alike-somewhat alike-completely alike), absolute eye color on individuals was not assessed. The probability that twins were alike for eye color was calculated as a weighted average of the different responses of all respondents on several different time points. The mean probability of being alike for eye color was 0.98 for MZ twins (2167 pairs), whereas the mean probability for DZ twins was 0.46 (2537 pairs), suggesting very high heritability for eye color. For 294 DZ twin pairs genome-wide marker data were available. The probability of being alike for eye color was regressed on the average amount of IBD sharing. We found a peak LOD-score of 2.9 at chromosome 15q, overlapping with the region recently implicated for absolute ratings of eye color in Australian twins [Zhu, G., Evans, D. M., Duffy, D. L., Montgomery, G. W., Medland, S. E., Gillespie, N. A., Ewen, K. R., Jewell, M., Liew, Y. W., Hayward, N. K., Sturm, R. A., Trent, J. M., and Martin, N. G. (2004). Twin Res. 7:197-210] and containing the OCA2 gene, which is the major candidate gene for eye color [Sturm, R. A. Teasdale, R. D, and Box, N. F. (2001). Gene 277:49-62]. Our results demonstrate that comparative measures on relatives can be used in genetic linkage analysis.

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Whilst financial markets are not strangers to academic and professional scrutiny, they still remain epistemologically contested. For individuals trying to profit by trading shares, this uncertainty is manifested in the varying trading styles which they are able to utilize. This paper examines one trading style commonly used by non-professional share traders-technical analysis. Using research data obtained from individuals who identify themselves as technical analysts, this paper seeks to explain the ways in which individuals understand and use the technique in an attempt to make trading profits. In particular, four distinct subcategories or ideal types of technical analysis can be identified, each providing an alternative perceptual form for participating in financial markets. Each of these types relies upon a particular method for seeing the market, these visualization techniques highlighting the existence of forms of professional vision (as originally identified by Goodwin (1994)) in the way the trading styles are comprehended and acted upon.

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Diagnosis of a major depressive episode by the Diagnostic and Statistical Manual of Mental Disorders of the American Psychiatric Association requires 5 out of 9 symptoms to be present. Therefore, individuals may differ in the specific symptoms they experience and reach a diagnosis of depression via different pathways. It has been suggested that depressed women more often report symptoms of sleep disturbance, appetite or weight disturbance, fatigue, feelings of guilt/worthlessness and psychomotor retardation than depressed men. In the current study, we investigate whether depressed men and women differ in the symptoms they report. Two samples were selected from a sample of Dutch and Australian twins and siblings. First, Dutch and Australian unrelated depressed individuals were selected. Second, a matched epidemiological sample was created consisting of opposite-sex twin and sibling pairs in which both members were depressed. No sex differences in prevalence rates for symptoms were found, with the exception of decreased weight in women in the sample of unrelated individuals. In general, the similarities in symptoms seem to far outweigh the differences in symptoms between men and women. This signifies that men and women are alike in their symptom profiles for major depression and genes for depression are probably expressed in the same way in the two sexes.