Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

Bridging the gap between different statistical approaches: An integrated framework for modelling

This paper proposes a template for modelling complex datasets that integrates traditional statistical modelling approaches with more recent advances in statistics and modelling through an exploratory framework. Our approach builds on the well-known and long standing traditional idea of 'good practice in statistics' by establishing a comprehensive framework for modelling that focuses on exploration, prediction, interpretation and reliability assessment, a relatively new idea that allows individual assessment of predictions. The integrated framework we present comprises two stages. The first involves the use of exploratory methods to help visually understand the data and identify a parsimonious set of explanatory variables. The second encompasses a two step modelling process, where the use of non-parametric methods such as decision trees and generalized additive models are promoted to identify important variables and their modelling relationship with the response before a final predictive model is considered. We focus on fitting the predictive model using parametric, non-parametric and Bayesian approaches. This paper is motivated by a medical problem where interest focuses on developing a risk stratification system for morbidity of 1,710 cardiac patients given a suite of demographic, clinical and preoperative variables. Although the methods we use are applied specifically to this case study, these methods can be applied across any field, irrespective of the type of response.

Effect of changing data collection parameters on statistical motor unit number estimates

The effect of number of samples and selection of data for analysis on the calculation of surface motor unit potential (SMUP) size in the statistical method of motor unit number estimates (MUNE) was determined in 10 normal subjects and 10 with amyotrophic lateral sclerosis (ALS). We recorded 500 sequential compound muscle action potentials (CMAPs) at three different stable stimulus intensities (10–50% of maximal CMAP). Estimated mean SMUP sizes were calculated using Poisson statistical assumptions from the variance of 500 sequential CMAP obtained at each stimulus intensity. The results with the 500 data points were compared with smaller subsets from the same data set. The results using a range of 50–80% of the 500 data points were compared with the full 500. The effect of restricting analysis to data between 5–20% of the CMAP and to standard deviation limits was also assessed. No differences in mean SMUP size were found with stimulus intensity or use of different ranges of data. Consistency was improved with a greater sample number. Data within 5% of CMAP size gave both increased consistency and reduced mean SMUP size in many subjects, but excluded valid responses present at that stimulus intensity. These changes were more prominent in ALS patients in whom the presence of isolated SMUP responses was a striking difference from normal subjects. Noise, spurious data, and large SMUP limited the Poisson assumptions. When these factors are considered, consistent statistical MUNE can be calculated from a continuous sequence of data points. A 2 to 2.5 SD or 10% window are reasonable methods of limiting data for analysis. Muscle Nerve 27: 320–331, 2003

Linkage and Association Analysis of Radiation Damage Repair Genes XRCC3 and XRCC5 with Nevus Density in Adolescent Twins

Previous studies have shown that a deficiency in DNA damage repair is associated with increased cancer risk, and exposure to UV radiation is a major risk factor for the development of malignant melanoma. High density of common nevi (moles) is a major risk factor for cutaneous melanoma. A nevus may result from a mutation in a single UV-exposed melanocyte which failed to repair DNA damage in one or more critical genes. XRCC3 and XRCC5 may have an effect on nevus count through their function as components of DNA repair processes that may be involved directly or indirectly in the repair of DNA damage due to UV radiation. This study aims to test the hypothesis that the frequency of flat or raised moles is associated with polymorphism at or near these DNA repair genes, and that certain alleles are associated with less efficient DNA repair, and greater nevus density. Twins were recruited from schools in south eastern Queensland and were examined close to their 12th birthday. Nurses examined each individual and counted all moles on the entire body surface. A 10cM genome scan of 274 families (642 individuals) was performed and microsatellite polymorphisms in XRCC3 and adjacent to XRCC5 were also typed. Linkage and association of nevus count to these loci were tested simultaneously using a structural-equation modeling approach implemented in MX. There is weak evidence for linkage of XRCC5 to a QTL influencing raised mole count, and also weak association. There is also weak evidence for association between flat mole count and XRCC3. No tests were significant after correction for testing multiple alleles, nor were any of the tests for total association significant. If variation in XRCC3 or XRCC5 influences UV sensitivity, and indirectly affects nevus density, then the effects are small.

Tool support for testing concurrent Java components

Concurrent programs are hard to test due to the inherent nondeterminism. This paper presents a method and tool support for testing concurrent Java components. Too[ support is offered through ConAn (Concurrency Analyser), a too] for generating drivers for unit testing Java classes that are used in a multithreaded context. To obtain adequate controllability over the interactions between Java threads, the generated driver contains threads that are synchronized by a clock. The driver automatically executes the calls in the test sequence in the prescribed order and compares the outputs against the expected outputs specified in the test sequence. The method and tool are illustrated in detail on an asymmetric producer-consumer monitor. Their application to testing over 20 concurrent components, a number of which are sourced from industry and were found to contain faults, is presented and discussed.

High rate of detection of primary aldosteronism, including surgically treatable forms, after 'non-selective' screening of hypertensive patients

Background Wide testing of the aldosterone: renin ratio among hypertensive individuals has revealed primary aldosteronism to be common, with most patients normokalaemic. Some investigators, however, have reported aldosterone-producing adenoma to be rare among patients so detected. Objective To test the hypothesis that differences among reported studies in the rate of detection of aldosterone-producing adenoma (as opposed to bilateral adrenal hyperplasia) reflect differences in the procedures used for diagnosis of primary aldosteronism, and the methods used to identify aldosterone-producing adenomas. Methods In the newly established Princess Alexandra Hospital Hypertension Unit (PAHHU), we used procedures developed by Greenslopes Hospital Hypertension Unit (which reports that more than 30% of patients with primary aldosteronism have aldosterone-producing adenomas) to diagnose primary aldosteronism and determine the subtype. All patients with an increased aldosterone: renin ratio (measured after correction for hypokalaemia and while the patient was not receiving interfering medications) underwent fludrocortisone suppression testing to confirm or exclude primary aldosteronism; if they were positive, they underwent genetic testing to exclude glucocorticoid-remediable aldosteronism before adrenal venous sampling was used to differentiate lateralizing from bilateral primary aldosteronism. Results This approach allowed PAHHU to diagnose, within 2 years, 54 patients [only seven (13%) hypokalaemic] with primary aldosteronism. All tested negative for glucocorticoid-remediable aldosteronism. Aldosterone production was lateralized to one adrenal in 15 patients (31%; only six hypokalaemic) and was bilateral in 34 (69%; all normokalaemic) of 49 patients who underwent adrenal venous sampling. Among patients with lateralizing adrenal hyperplasia, computed tomography revealed an ipsilateral mass in only six and a contralateral lesion in one. Fourteen patients underwent unilateral adrenalectomy, which cured the hypertension in seven and improved it in the remainder. In patients with bilateral primary aldlosteronism, hypertension responded to spironolactone (112.5-50 mg/ day) or amiloride (2.5-10 mg/day). Conclusion When performed with careful regard to confounding factors, measurement of the aldosterone: renin ratio in all hypertensive individuals, followed by fludrocortisone suppression testing to confirm or exclude primary aldosteronism and adrenal venous sampling to determine the subtype, can result in the detection of significant numbers of patients with specifically treatable or potentially curable hypertension. (C) 2003 Lippincott Williams Wilkins.

In situ characterization of stickiness of sugar-rich foods using a linear actuator driven stickiness testing device

A stickiness testing device based on the probe tack test has been designed and tested. It was used to perform in situ characterization of drying hemispherical drops with an initial radius 3.5 mm. Tests were carried out in two drying temperatures, 63 and 95 degreesC. Moisture and temperature histories of the drying drops of fructose, honey, sucrose, maltodextrin and sucrose-maltodextrin mixtures were determined. The rates of moisture evaporation of the fructose solution was the fastest while those of the maltodextrin solution was the lowest. A profile reversal was observed when the temperature profiles of these materials were compared. Different modes of failure were observed during the stickiness tests. Pure fructose and honey solutions remained completely sticky and failed cohesively until the end of drying. Pure sucrose solution remained sticky and failed cohesively until complete crystallization occurred. The surface of the maltodextrin drops formed a skin shortly after the start of drying. It exhibited adhesive failure and reached a state of non-adhesion. Addition of maltodextrin significantly altered the stickiness of sucrose solution. (C) 2002 Elsevier Science Ltd. All rights reserved.

Tympanometry and TEOAE testing of children with Down Syndrome in Special Schools

Despite widespread awareness that children with Down syndrome are particularly susceptible to hearing pathologies, the audiological status of students with Down syndrome in special schools is all too often unknown. Unfortunately, hearing screening for this population is unable to rely on standard, behavioural test batteries. To facilitate future improvements in screening protocols, this study investigated the results of tympanometry and transient evoked otoacoustic emission (TEOAE) testing for a group of children with Down syndrome. Assessments were not conducted in the artificial context of a clinic or laboratory, but within the school environment. Outcomes are reported for 27 subjects with a mean age of 10 years 5 months (SD = 4;11). Tympanometry testing was failed in at least one ear by 41.7% of subjects, while a failure rate of 81.5% of subjects was observed for TEOAE testing. Therefore, it is concluded that immediate review of hearing screening programs for students with Down syndrome is highly advisable.

Controle estatístico de processo aplicado no monitoramento da absorção de água por carcaças de frango durante a etapa de pré-resfriamento

A absorção de água por carcaças de frango na etapa de pré-resfriamento da linha abate representa uma característica de qualidade importante relacionada ao rendimento do produto final. Uma forma de manter o padrão de qualidade de um produto é garantir que as etapas do processo sejam estáveis e replicáveis. Ao empregar o Controle Estatístico de Processo (CEP) é possível obter estabilidade e melhorias nos processos, por meio da redução da variabilidade. Neste contexto, o objetivo deste trabalho foi a aplicação de gráficos de controle, análise de correlação, estatística descritiva, testes de hipóteses e regressão linear múltipla na linha de abate de um abatedouro-frigorífico de aves para monitorar a variabilidade da absorção de água pelas carcaças de frango após a etapa de pré-resfriamento. Como resultado, verificou-se que o teor de absorção de água das carcaças de frango apresentou elevada variabilidade, sendo que 10% (8/80) das carcaças apresentaram absorção de água superior ao limite de 8% definido pela legislação brasileira. Do total de 16 variáveis de entrada analisadas, as mais impactantes no teor de absorção de água foram o “tempo de retenção da carcaça no pré-chiller” e o “tempo de espera da carcaça após a etapa de gotejamento”. Entretanto, o modelo de regressão obtido apresentou baixa correlação (R²=0,16) que foi associada à elevada variabilidade da variável-resposta. Os resultados da estatística descritiva demonstraram que as variáveis de entrada também apresentaram elevada variabilidade, com coeficiente de variação entre 7,95 e 63,5%. Verificou-se, pela análise dos gráficos de controle de medida individual e da amplitude móvel, que 15 das 16 variáveis de entrada se apresentaram fora de controle estatístico assim como a variável-resposta. Baseado no fluxograma e na descrição das etapas da linha de abate, previamente realizados, atribuiu-se à falta de padronização na condução das etapas e de procedimentos para o controle de qualidade das operações na linha de abate como fatores relevantes que poderiam estar associados à presença de causas especiais no processo. Concluiu-se que para reduzir a elevada variabilidade das variáveis e eliminar as causas especiais presentes são necessários ajustes operacionais para, dessa forma, obter um processo mais estável e mais uniforme garantindo o padrão de qualidade das carcaças de frango em relação ao teor de absorção de água.

Qualidade da água da lagoa Juara (Serra/ES) : avaliações físicas, químicas e respostas fisiológicas e citogenéticas em plantas

A gestão dos recursos hídricos necessita da integração entre os critérios físicos e químicos, e os aspectos bióticos, os quais possibilitam identificar os efeitos combinados de substâncias e avaliar suas influências. Os sistemas testes Allium cepa e Tradescantia pallida, são utilizados para o estudo da poluição aquática a partir de aspectos citogenéticos. Além destes biomarcadores, os teores de clorofila também são utilizados em estudos de estresse devido ao reflexo a múltiplos fatores. Assim, o objetivo deste trabalho foi avaliar a qualidade da água da lagoa Juara (Município de Serra/ES) pela análise integrada de aspectos físicos, químicos e ecotoxicológicos a partir de estudos citogenéticos em A. cepa e T. pallida, e fotossintéticos nesta última espécie. Foram definidas três estações amostrais ao longo da lagoa e a partir de amostras de água foram analisados parâmetros tais como condutividade, oxigênio dissolvido, concentração de nutrientes e metais. A determinação dos metais ocorreu por análises de espectrometria de massa. O teste do A. cepa foi realizado a partir sementes germinadas em amostras de água da lagoa. Com plantas de T. pallida, foi realizado o ensaio da mitose em ponta de raiz de T. pallida e dosado os teores de pigmentos cloroplastídicos em folhas totalmente expandidas. Para tanto, foi realizado ensaio utilizando-se a água da lagoa como solvente para solução de Hoagland onde estacas previamente enraizadas de T. pallida foram expostas durante 24 horas e 40 dias para as avaliações citogenéticas e fotossintéticas, respectivamente. Foi realizado novo teste do A. cepa nas águas da lagoa após os 40 dias de ensaio para aferir a manutenção das propriedades químicas das amostras. A avaliação citogenética nas duas espécies envolveu a análise dos índice mitótico (IM), índice de aberrações cromossômicas (AC) e frequência de micronúcleos (MN). Para a análise estatística foi utilizada a análise de variância seguida pelo teste de Tukey (p < 0.05) para a comparação dos tratamentos durante a mesma campanha, e teste de Bonferroni (p < 0,05) para a comparação entre as campanhas. Os resultados físicos e químicos mensurados demonstram que a lagoa Juara apresenta indícios de eutroficação artificial. Duas estações amostrais, em pelo menos uma campanha amostral, apresentaram potenciais citotóxico, genotóxico e mutagênico. Todavia, esses potenciais não demonstram relação com os teores de Fe e Mn quantificados, levando a crer que tais pontos apresentam outros potenciais poluentes. Os danos citogenéticos observados apresentaram efeitos maximizados durante a segunda campanha, demostrando o efeito do período de chuva na intensificação da poluição nesse ambiente. O estudo do metabolismo fotossintético em T. pallida, demonstrou os teores de pigmentos cloroplastídicos relacionados ao elevado aporte de nutrientes presentes nas estações J2 e J3. Sendo o excesso destes, o provável responsável pelo teor inferior de pigmentos em J3. Observa-se que os ensaios com A. cepa e T. pallida responderam de maneira fidedigna ao risco potencial do ambiente, complementando as análises físicas e químicas usualmente utilizadas na avaliação da qualidade da água de ambientes lacustres.

Intraocular pressure measurement in sheep using an applanation tonometer

The purpose of this study was to evaluate and establish the mean values of IOP in healthy adult sheep using an applanation tonometer. Information on age, sex, and breed was obtained for all animals included in this study. Twenty five healthy sheep (Ovis aries), of the same breed (Texel), male or female, with three years of age, received an ophthalmic examination in both eyes, including pupillary reflexes, Schirmer tear test, slit lamp biomicroscopy, and fluorescein staining. For all ophthalmic testing, animals were gently physically restrained, with no pressure in the jugular area and the eyelids were carefully open. IOP was measured by applanation tonometry (Tonopen XL). The same examiner performed the tonometry; measurements were taken three times for each eye, and their average was recorded as the IOP of the animal. Statistical analysis was performed using paired t-test and values of P < 0.05 were considered significant. The mean intraocular pressure in the whole group of 50 eyes was of 16.36 +/- 2.19 mm Hg. The mean (SD) IOP in the right eye was of 15.96 +/- 2.02 mm Hg, while the mean (SD) IOP in the left eye was of 16.76 +/- 2.32 mm Hg. Significant differences in IOP were not found between right and left eyes. The applanation tonometer was adequate for measuring the intraocular pressure in sheep. Reference data will assist in diagnosing testing for ophthalmic disease in sheep, as¹ well as promote further studies in this area.

A Generic Library for GUI Reasoning and Testing

Graphical user interfaces (GUIs) make software easy to use by providing the user with visual controls. Therefore, correctness of GUI's code is essential to the correct execution of the overall software. Models can help in the evaluation of interactive applications by allowing designers to concentrate on its more important aspects. This paper presents a generic model for language-independent reverse engineering of graphical user interface based applications, and we explore the integration of model-based testing techniques in our approach, thus allowing us to perform fault detection. A prototype tool has been constructed, which is already capable of deriving and testing a user interface behavioral model of applications written in Java/Swing.

Comparative analysis between statistical and artificial intelligence models in business failure prediction

A growing number of predicting corporate failure models has emerged since 60s. Economic and social consequences of business failure can be dramatic, thus it is not surprise that the issue has been of growing interest in academic research as well as in business context. The main purpose of this study is to compare the predictive ability of five developed models based on three statistical techniques (Discriminant Analysis, Logit and Probit) and two models based on Artificial Intelligence (Neural Networks and Rough Sets). The five models were employed to a dataset of 420 non-bankrupt firms and 125 bankrupt firms belonging to the textile and clothing industry, over the period 2003–09. Results show that all the models performed well, with an overall correct classification level higher than 90%, and a type II error always less than 2%. The type I error increases as we move away from the year prior to failure. Our models contribute to the discussion of corporate financial distress causes. Moreover it can be used to assist decisions of creditors, investors and auditors. Additionally, this research can be of great contribution to devisers of national economic policies that aim to reduce industrial unemployment.

Comparative Analysis between Statistical and Artificial Intelligence Models in Business Failure Prediction

A growing number of predicting corporate failure models has emerged since 60s. Economic and social consequences of business failure can be dramatic, thus it is not surprise that the issue has been of growing interest in academic research as well as in business context. The main purpose of this study is to compare the predictive ability of five developed models based on three statistical techniques (Discriminant Analysis, Logit and Probit) and two models based on Artificial Intelligence (Neural Networks and Rough Sets). The five models were employed to a dataset of 420 non-bankrupt firms and 125 bankrupt firms belonging to the textile and clothing industry, over the period 2003–09. Results show that all the models performed well, with an overall correct classification level higher than 90%, and a type II error always less than 2%. The type I error increases as we move away from the year prior to failure. Our models contribute to the discussion of corporate financial distress causes. Moreover it can be used to assist decisions of creditors, investors and auditors. Additionally, this research can be of great contribution to devisers of national economic policies that aim to reduce industrial unemployment.