Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

A principled approach to interactive hierarchical non-linear visualization of high-dimensional data

Hierarchical visualization systems are desirable because a single two-dimensional visualization plot may not be sufficient to capture all of the interesting aspects of complex high-dimensional data sets. We extend an existing locally linear hierarchical visualization system PhiVis [1] in several directions: bf(1) we allow for em non-linear projection manifolds (the basic building block is the Generative Topographic Mapping -- GTM), bf(2) we introduce a general formulation of hierarchical probabilistic models consisting of local probabilistic models organized in a hierarchical tree, bf(3) we describe folding patterns of low-dimensional projection manifold in high-dimensional data space by computing and visualizing the manifold's local directional curvatures. Quantities such as magnification factors [3] and directional curvatures are helpful for understanding the layout of the nonlinear projection manifold in the data space and for further refinement of the hierarchical visualization plot. Like PhiVis, our system is statistically principled and is built interactively in a top-down fashion using the EM algorithm. We demonstrate the visualization system principle of the approach on a complex 12-dimensional data set and mention possible applications in the pharmaceutical industry.

Bifurcating trajectory of non-diffractive electromagnetic airy pulse

The explicit expression for spatial-temporal Airy pulse is derived from the Maxwell's equations in paraxial approximation. The trajectory of the pulse in the time-space coordinates is analysed. The existence of a bifurcation point that separates regions with qualitatively different features of the pulse propagation is demonstrated. At this point the velocity of the pulse becomes infinite and the orientation of it changes to the opposite.

Decreased osteogenesis, increased cell senescence and elevated Dickkopf-1 secretion in human fracture non union stromal cells

The delicately orchestrated process of bone fracture healing is not always successful and long term non union of fractured bone occurs in 5-20% of all cases. Atrophic fracture non unions have been described as the most difficult to treat and this is thought to arise through a cellular and local failure of osteogenesis. However, little is known about the presence and osteogenic proficiency of cells in the local area of non union tissue. We have examined the growth and differentiation potential of cells isolated from human non union tissues compared with normal human bone marrow mesenchymal stromal cells (BMSC). We report the isolation and culture expansion of a population of non union stromal cells (NUSC) which have a CD profile similar to that of BMSC, i.e. CD34-ve, CD45-ve and CD105+ve. The NUSC demonstrated multipotentiality and differentiated to some extent along chondrogenic, adipogenic and osteogenic lineages. However, and importantly, the NUSC showed significantly reduced osteogenic differentiation and mineralization in vitro compared to BMSC. We also found increased levels of cell senescence in NUSC compared to BMSC based on culture growth kinetics and cell positivity for senescence associated beta galactosidase (SA-beta-Gal) activity. The reduced capacity of NUSC to form osteoblasts was associated with significantly elevated secretion of Dickkopf-1 (Dkk-1) which is an important inhibitor of Wnt signalling during osteogenesis, compared to BMSC. Conversely, treating BMSC with levels of rhDkk-1 that were equivalent to those levels secreted by NUSC inhibited the capacity of BMSC to undergo osteogenesis. Treating BMSC with NUSC conditioned medium also inhibited the capacity of the BMSC to undergo osteogenic differentiation when compared to their treatment with BMSC conditioned medium. Our results suggest that the development of fracture non union is linked with a localised reduced capacity of cells to undergo osteogenesis, which in turn is associated with increased cell senescence and Dkk-1 secretion.

The fallacy of integration:work and non-work in professional services

Many organisations are encouraging their staff to integrate work and non-work, but a qualitative study of young professionals found that many crave greater segregation rather than more integration. Most wished to build boundaries to separate the two and simplify a complex world. Where working practices render traditional boundaries of time and space ineffective, this population seems to create new idiosyncratic boundaries to segregate work from non-work. These idiosyncratic boundaries depended on age, culture and life-stage though for most of this population there was no appreciable gender difference in attitudes to segregating work and non-work. Gender differences only became noticeable for parents. A matrix defining the dimensions to these boundaries is proposed that may advance understanding of how individuals separate their work and personal lives. In turn, this may facilitate the development of policies and practices to integrate work and non-work that meet individual as well as organisational needs.

Effect of light filters on reading speed in normal and low vision due to age-related macular degeneration

Purpose: To investigate the effects of light filters on reading speed in normal and low vision due to age-related macular degeneration (AMD). Methods: Reading speed was determined for 12 subjects with normal vision and 12 subjects with non-exudative AMD using stationary lowercase nonsensical print in Times Roman font and four light filters; a yellow Corning Photochromic Filter (CPF) 450, a grey neural density (ND) filter, an individual filter obtained using the Intuitive Colorimeter® and a clear filter. Results: There was no statistically significant light filter effect on reading speed for the normal subjects. The AMD group demonstrated a statistically significant 5% average improvement in reading speed with the CPF450 compared with the other filters although some AMD subjects had improvements of 10-15%. Conclusions: Light filters obtained using the Intuitive Colorimeter® performed poorly when compared with the CPF450, ND and clear filters for both the study groups. For the AMD group, average reading speed was statistically greater with the CPF450 than the other filters, however it is questionable whether the improvement (5%) would be clinically significant. As some of the subjects with AMD had greater improvements with the CPF450 we advocate clinical assessment of light filters using existing protocols on an individual basis. © 2004 The College of Optometrists.

Oesophageal afferent pathway sensitivity in non-erosive reflux disease

Patients with non-erosive reflux disease (NERD) report symptoms which commonly fail to improve on conventional antireflux therapies. Oesophageal visceral hyperalgaesia may contribute to symptom generation in NERD and we explore this hypothesis using oesophageal evoked potentials. Fifteen endoscopically confirmed NERD patients (four female, 29–56 years) plus 15 matched healthy volunteers (four female, 23–56 years) were studied. All patients had oesophageal manometry/24-h pH monitoring and all subjects underwent evoked potential and sensory testing, using electrical stimulation of the distal oesophagus. Cumulatively, NERD patients had higher sensory thresholds and increased evoked potential latencies when compared to controls (P = 0.01). In NERD patients, there was a correlation between pain threshold and acid exposure as determined by DeMeester score (r = 0.63, P = 0.02), with increased oesophageal sensitivity being associated with lower DeMeester score. Reflux negative patients had lower pain thresholds when compared to both reflux positive patients and controls. Evoked potentials were normal in reflux negative patients but significantly delayed in the reflux positive group (P = 0.01). We demonstrate that NERD patients form a continuum of oesophageal afferent sensitivity with a correlation between the degree of acid exposure and oesophageal pain thresholds. We provide objective evidence that increased oesophageal pain sensitivity in reflux negative NERD is associated with heightened afferent sensitivity as normal latency evoked potential responses could be elicited with reduced afferent input. Increased oesophageal afferent pain sensitivity may play an important role in a subset of NERD and could offer an alternate therapeutic target.

Inhibitory effects of persistent apoptotic cells on monoclonal antibody production in vitro:simple removal of non-viable cells improves antibody productivity by hybridoma cells in culture

Cells undergoing apoptosis in vivo are rapidly detected and cleared by phagocytes. Swift recognition and removal of apoptotic cells is important for normal tissue homeostasis and failure in the underlying clearance mechanisms has pathological consequences associated with inflammatory and auto-immune diseases. Cell cultures in vitro usually lack the capacity for removal of non-viable cells because of the absence of phagocytes and, as such, fail to emulate the healthy in vivo micro-environment from which dead cells are absent. While a key objective in cell culture is to maintain viability at maximal levels, cell death is unavoidable and non-viable cells frequently contaminate cultures in significant numbers. Here we show that the presence of apoptotic cells in monoclonal antibody-producing hybridoma cultures has markedly detrimental effects on antibody productivity. Removal of apoptotic hybridoma cells by macrophages at the time of seeding resulted in 100% improved antibody productivity that was, surprisingly to us, most pronounced late on in the cultures. Furthermore, we were able to recapitulate this effect using novel super-paramagnetic Dead-Cert Nanoparticles to remove non-viable cells simply and effectively at culture seeding. These results (1) provide direct evidence that apoptotic cells have a profound influence on their non-phagocytic neighbors in culture and (2) demonstrate the effectiveness of a simple dead-cell removal strategy for improving antibody manufacture in vitro.

Non-normally distributed data and non-parametric statistics

Different types of numerical data can be collected in a scientific investigation and the choice of statistical analysis will often depend on the distribution of the data. A basic distinction between variables is whether they are ‘parametric’ or ‘non-parametric’. When a variable is parametric, the data come from a symmetrically shaped distribution known as the ‘Gaussian’ or ‘normal distribution’ whereas non-parametric variables may have a distribution which deviates markedly in shape from normal. This article describes several aspects of the problem of non-normality including: (1) how to test for two common types of deviation from a normal distribution, viz., ‘skew’ and ‘kurtosis’, (2) how to fit the normal distribution to a sample of data, (3) the transformation of non-normally distributed data and scores, and (4) commonly used ‘non-parametric’ statistics which can be used in a variety of circumstances.

A study of magnetic non-linearity and finite length effects in solid iron subjected to a travelling MMF wave

This thesis describes an experimental and analytic study of the effects of magnetic non-linearity and finite length on the loss and field distribution in solid iron due to a travelling mmf wave. In the first half of the thesis, a two-dimensional solution is developed which accounts for the effects of both magnetic non-linearity and eddy-current reaction; this solution is extended, in the second half, to a three-dimensional model. In the two-dimensional solution, new equations for loss and flux/pole are given; these equations contain the primary excitation, the machine parameters and factors describing the shape of the normal B-H curve. The solution applies to machines of any air-gap length. The conditions for maximum loss are defined, and generalised torque/frequency curves are obtained. A relationship between the peripheral component of magnetic field on the surface of the iron and the primary excitation is given. The effects of magnetic non-linearity and finite length are combined analytically by introducing an equivalent constant permeability into a linear three-dimensional analysis. The equivalent constant permeability is defined from the non-linear solution for the two-dimensional magnetic field at the axial centre of the machine to avoid iterative solutions. In the linear three-dimensional analysis, the primary excitation in the passive end-regions of the machine is set equal to zero and the secondary end faces are developed onto the air-gap surface. The analyses, and the assumptions on which they are based, were verified on an experimental machine which consists of a three-phase rotor and alternative solid iron stators, one with copper end rings, and one without copper end rings j the main dimensions of the two stators are identical. Measurements of torque, flux /pole, surface current density and radial power flow were obtained for both stators over a range of frequencies and excitations. Comparison of the measurements on the two stators enabled the individual effects of finite length and saturation to be identified, and the definition of constant equivalent permeability to be verified. The penetration of the peripheral flux into the stator with copper end rings was measured and compared with theoretical penetration curves. Agreement between measured and theoretical results was generally good.

Does normal processing provide evidence of specialised semantic subsystems?

Category-specific disorders are frequently explained by suggesting that living and non-living things are processed in separate subsystems (e.g. Caramazza & Shelton, 1998). If subsystems exist, there should be benefits for normal processing, beyond the influence of structural similarity. However, no previous study has separated the relative influences of similarity and semantic category. We created novel examples of living and non-living things so category and similarity could be manipulated independently. Pre-tests ensured that our images evoked appropriate semantic information and were matched for familiarity. Participants were trained to associate names with the images and then performed a name-verification task under two levels of time pressure. We found no significant advantage for living things alongside strong effects of similarity. Our results suggest that similarity rather than category is the key determinant of speed and accuracy in normal semantic processing. We discuss the implications of this finding for neuropsychological studies. © 2005 Psychology Press Ltd.

Evolution of non-uniformly seeded warm clouds in idealized turbulent conditions

We present a mean-field model of cloud evolution that describes droplet growth due to condensation and collisions and droplet loss due to fallout. The model accounts for the effects of cloud turbulence both in a large-scale turbulent mixing and in a microphysical enhancement of condensation and collisions. The model allows for an effective numerical simulation by a scheme that is conservative in water mass and keeps accurate count of the number of droplets. We first study the homogeneous situation and determine how the rain-initiation time depends on the concentration of cloud condensation nuclei (CCN) and turbulence level. We then consider clouds with an inhomogeneous concentration of CCN and evaluate how the rain initiation time and the effective optical depth vary in space and time. We argue that over-seeding even a part of a cloud by small hygroscopic nuclei, one can substantially delay the onset and increase the amount of precipitation.

Identifying and correcting non-Markov states in peptide conformational dynamics

Conformational transitions in proteins define their biological activity and can be investigated in detail using the Markov state model. The fundamental assumption on the transitions between the states, their Markov property, is critical in this framework. We test this assumption by analyzing the transitions obtained directly from the dynamics of a molecular dynamics simulated peptide valine-proline-alanine-leucine and states defined phenomenologically using clustering in dihedral space. We find that the transitions are Markovian at the time scale of ˜ 50 ps and longer. However, at the time scale of 30–40 ps the dynamics loses its Markov property. Our methodology reveals the mechanism that leads to non-Markov behavior. It also provides a way of regrouping the conformations into new states that now possess the required Markov property of their dynamics.

Non-linear hierarchical visualisation

This thesis applies a hierarchical latent trait model system to a large quantity of data. The motivation for it was lack of viable approaches to analyse High Throughput Screening datasets which maybe include thousands of data points with high dimensions. High Throughput Screening (HTS) is an important tool in the pharmaceutical industry for discovering leads which can be optimised and further developed into candidate drugs. Since the development of new robotic technologies, the ability to test the activities of compounds has considerably increased in recent years. Traditional methods, looking at tables and graphical plots for analysing relationships between measured activities and the structure of compounds, have not been feasible when facing a large HTS dataset. Instead, data visualisation provides a method for analysing such large datasets, especially with high dimensions. So far, a few visualisation techniques for drug design have been developed, but most of them just cope with several properties of compounds at one time. We believe that a latent variable model (LTM) with a non-linear mapping from the latent space to the data space is a preferred choice for visualising a complex high-dimensional data set. As a type of latent variable model, the latent trait model can deal with either continuous data or discrete data, which makes it particularly useful in this domain. In addition, with the aid of differential geometry, we can imagine the distribution of data from magnification factor and curvature plots. Rather than obtaining the useful information just from a single plot, a hierarchical LTM arranges a set of LTMs and their corresponding plots in a tree structure. We model the whole data set with a LTM at the top level, which is broken down into clusters at deeper levels of t.he hierarchy. In this manner, the refined visualisation plots can be displayed in deeper levels and sub-clusters may be found. Hierarchy of LTMs is trained using expectation-maximisation (EM) algorithm to maximise its likelihood with respect to the data sample. Training proceeds interactively in a recursive fashion (top-down). The user subjectively identifies interesting regions on the visualisation plot that they would like to model in a greater detail. At each stage of hierarchical LTM construction, the EM algorithm alternates between the E- and M-step. Another problem that can occur when visualising a large data set is that there may be significant overlaps of data clusters. It is very difficult for the user to judge where centres of regions of interest should be put. We address this problem by employing the minimum message length technique, which can help the user to decide the optimal structure of the model. In this thesis we also demonstrate the applicability of the hierarchy of latent trait models in the field of document data mining.

Investigation of chromatic function in the normal and abnormal eye

This study examined the use of non-standard parameters to investigate the visual field, with particular reference to the detection of glaucomatous visual field loss. Evaluation of the new perimetric strategy for threshold estimation - FASTPAC, demonstrated a reduction in the examination time of normals compared to the standard strategy. Despite an increased within-test variability the FASTPAC strategy produced a similar mean sensitivity to the standard strategy, reducing the effects of patient fatigue. The new technique of Blue-Yellow perimetry was compared to White-White perimetry for the detection of glaucomatous field loss in OHT and POAG. Using a database of normal subjects, confidence limits for normality were constructed to account for the increased between-subject variability with increase in age and eccentricity and for the greater variability of the Blue-Yellow field compared to the White-White field. Effects of individual ocular media absorption had little effect on Blue-Yellow field variability. Total and pattern probability analysis revealed five of 27 OHTs to exhibit Blue-Yellow focal abnormalities; two of these patients subsequently developed White-White loss. Twelve of the 24 POAGs revealed wider and/or deeper Blue-Yellow loss compared with the White-White field. Blue-Yellow perimetry showed good sensitivity and specificity characteristics, however, lack of perimetric experience and the presence of cataract influenced the Blue-Yellow visual field and may confound the interpretation of Blue-Yellow visual field loss. Visual field indices demonstrated a moderate relationship to the structural parameters of the optic nerve head using scanning laser tomography. No abnormalities in Blue-Yellow or Red-Green colour CS was apparent for the OHT patients. A greater vulnerability of the SWS pathway in glaucoma was demonstrated using Blue-Yellow perimetry however predicting which patients may benefit from B-Y perimetric examination is difficult. Furthermore, cataract and the extent of the field loss may limit the extent to which the integrity of the SWS channels can be selectively examined.