Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Binary recombinase systems for high-resolution conditional mutagenesis.

Conditional mutagenesis using Cre recombinase expressed from tissue specific promoters facilitates analyses of gene function and cell lineage tracing. Here, we describe two novel dual-promoter-driven conditional mutagenesis systems designed for greater accuracy and optimal efficiency of recombination. Co-Driver employs a recombinase cascade of Dre and Dre-respondent Cre, which processes loxP-flanked alleles only when both recombinases are expressed in a predetermined temporal sequence. This unique property makes Co-Driver ideal for sequential lineage tracing studies aimed at unraveling the relationships between cellular precursors and mature cell types. Co-InCre was designed for highly efficient intersectional conditional transgenesis. It relies on highly active trans-splicing inteins and promoters with simultaneous transcriptional activity to reconstitute Cre recombinase from two inactive precursor fragments. By generating native Cre, Co-InCre attains recombination rates that exceed all other binary SSR systems evaluated in this study. Both Co-Driver and Co-InCre significantly extend the utility of existing Cre-responsive alleles.

Computer simulation of electrophoretic aspects of enantiomer migration and separation in capillary electrochromatography with a neutral selector.

A computer simulation study describing the electrophoretic separation and migration of methadone enantiomers in presence of free and immobilized (2-hydroxypropyl)-β-CD is presented. The 1:1 interaction of methadone with the neutral CD was simulated by using experimentally determined mobilities and complexation constants for the complexes in a low-pH BGE comprising phosphoric acid and KOH. The use of complex mobilities represents free solution conditions with the chiral selector being a buffer additive, whereas complex mobilities set to zero provide data that mimic migration and separation with the chiral selector being immobilized, that is CEC conditions in absence of unspecific interaction between analytes and the chiral stationary phase. Simulation data reveal that separations are quicker, electrophoretic displacement rates are reduced, and sensitivity is enhanced in CEC with on-column detection in comparison to free solution conditions. Simulation is used to study electrophoretic analyte behavior at the interface between sample and the CEC column with the chiral selector (analyte stacking) and at the rear end when analytes leave the environment with complexation (analyte destacking). The latter aspect is relevant for off-column analyte detection in CEC and is described here for the first time via the dynamics of migrating analyte zones. Simulation provides insight into means to counteract analyte dilution at the column end via use of a BGE with higher conductivity. Furthermore, the impact of EOF on analyte migration, separation, and detection for configurations with the selector zone being displaced or remaining immobilized under buffer flow is simulated. In all cases, the data reveal that detection should occur within or immediately after the selector zone.

Dielectrophoresis-based analyte separation and analysis

Dielectrophoresis—the tendency of a material of high dielectric permittivity to migrate in an electrical field gradient to a region of maximum field strength—provides an ideal motive force for manipulating small volumes of biological analytes in microfluidic microsystems. The work described in this thesis was based on the hypothesis that dielectrophoresis could be exploited to provide high-resolution cell separations in microsystems as well as a means for the electrically-controllable manipulation of solid supports for molecular analysis. To this end, a dielectrophoretic/gravitational field-flow-fractionation (DEP/G-FFF) system was developed and the separation performance evaluated using various types and sizes of polystyrene microspheres as model particles. It was shown that separation of the polystyrene beads was based on the differences in their effective dielectrophoretic properties. The ability of an improved DEP/G-FFF system to separate genetically identical, but phenotypically dissimilar cell types was demonstrated using mixtures of 6m2 mutant rat kidney cells grown under transforming and non-transforming culture conditions. Additionally, a panel of engineered dielectric microspheres was designed with specific, predetermined dielectrophoretic properties such that their dielectrophoretic behaviors would be controllable and predictable. The fabrication method involved the use of gold-coated polystyrene microsphere cores coated with a self-assembled monolayer of alkanethiol and, optionally, a self-assembled monolayer of phospholipid to form a thin-insulating-shell-over-conductive-interior structure. The successful development of the DEP/G-FFF separation system and the dielectrically engineered microspheres provides proof-of-principle demonstrations of enabling dielectrophoresis-based microsystem technology that should provide powerful new methods for the manipulation, separation and identification of analytes in many diverse fields. ^

Organisation und Separation

Lazar Felix Pinkus

Outcome-based adaptive randomization for binary data in clinical trials---Compare and contrast

Monte Carlo simulation has been conducted to investigate parameter estimation and hypothesis testing in some well known adaptive randomization procedures. The four urn models studied are Randomized Play-the-Winner (RPW), Randomized Pôlya Urn (RPU), Birth and Death Urn with Immigration (BDUI), and Drop-the-Loses Urn (DL). Two sequential estimation methods, the sequential maximum likelihood estimation (SMLE) and the doubly adaptive biased coin design (DABC), are simulated at three optimal allocation targets that minimize the expected number of failures under the assumption of constant variance of simple difference (RSIHR), relative risk (ORR), and odds ratio (OOR) respectively. Log likelihood ratio test and three Wald-type tests (simple difference, log of relative risk, log of odds ratio) are compared in different adaptive procedures. ^ Simulation results indicates that although RPW is slightly better in assigning more patients to the superior treatment, the DL method is considerably less variable and the test statistics have better normality. When compared with SMLE, DABC has slightly higher overall response rate with lower variance, but has larger bias and variance in parameter estimation. Additionally, the test statistics in SMLE have better normality and lower type I error rate, and the power of hypothesis testing is more comparable with the equal randomization. Usually, RSIHR has the highest power among the 3 optimal allocation ratios. However, the ORR allocation has better power and lower type I error rate when the log of relative risk is the test statistics. The number of expected failures in ORR is smaller than RSIHR. It is also shown that the simple difference of response rates has the worst normality among all 4 test statistics. The power of hypothesis test is always inflated when simple difference is used. On the other hand, the normality of the log likelihood ratio test statistics is robust against the change of adaptive randomization procedures. ^

Is maternal separation anxiety associated with school readiness?

Background. Increasing rates of maternal employment highlight the need for non-maternal child care for infants at an earlier age. Several studies have shown that employment induced maternal depression or psychological distress is associated with the child's socio-emotional and cognitive development. However, separation anxiety, a common phenomenon observed among employed mothers during early years, has seldom been studied. Therefore, the purpose of this study was to evaluate the role of maternal separation anxiety in the child's cognitive development.^ Methods. Data were obtained from Phase I (birth to 36 months) of the National Institute of Child Health and Human Development, Study of Early Child Care and Youth Development (NICHD SECCYD). Bivariate and multivariate analyses were performed to determine the association between separation anxiety groups and child outcomes. Multivariate analysis was also used to examine the mediating and/or moderating effect of sensitivity and moderating effect of difficult temperament.^ Results. Separation anxiety showed a negative association with the Bracken, attachment security, maternal sensitivity and psychological state. Children whose mothers never reported high levels of separation anxiety showed higher levels of school readiness and attachment security compared to those whose mothers experienced high levels of separation anxiety at least once. There was a significant interaction between separation anxiety and maternal sensitivity for the Bracken and attachment security indicating the moderating effect of sensitivity. Maternal sensitivity was also found to partially mediate the association between high levels of separation anxiety and school readiness or attachment security. However, the interaction between difficult temperament and separation anxiety was not significant for any of the child outcomes. ^ Conclusions. High levels of separation anxiety have a negative impact on school readiness, attachment security, maternal sensitivity and psychological state. In addition, mothers who experience high levels of separation anxiety but are sensitive during the mother-child interaction have children with high school readiness and attachment security compared to those who are less sensitive.^ Keywords. Maternal separation anxiety, School readiness. ^

Logistic regression with incompletely observed binary

Logistic regression is one of the most important tools in the analysis of epidemiological and clinical data. Such data often contain missing values for one or more variables. Common practice is to eliminate all individuals for whom any information is missing. This deletion approach does not make efficient use of available information and often introduces bias.^ Two methods were developed to estimate logistic regression coefficients for mixed dichotomous and continuous covariates including partially observed binary covariates. The data were assumed missing at random (MAR). One method (PD) used predictive distribution as weight to calculate the average of the logistic regressions performing on all possible values of missing observations, and the second method (RS) used a variant of resampling technique. Additional seven methods were compared with these two approaches in a simulation study. They are: (1) Analysis based on only the complete cases, (2) Substituting the mean of the observed values for the missing value, (3) An imputation technique based on the proportions of observed data, (4) Regressing the partially observed covariates on the remaining continuous covariates, (5) Regressing the partially observed covariates on the remaining continuous covariates conditional on response variable, (6) Regressing the partially observed covariates on the remaining continuous covariates and response variable, and (7) EM algorithm. Both proposed methods showed smaller standard errors (s.e.) for the coefficient involving the partially observed covariate and for the other coefficients as well. However, both methods, especially PD, are computationally demanding; thus for analysis of large data sets with partially observed covariates, further refinement of these approaches is needed. ^

Bayesian and survival model for tumor relapse status and disease-specific survival, with applications to breast cancer

Breast cancer is the most common non-skin cancer and the second leading cause of cancer-related death in women in the United States. Studies on ipsilateral breast tumor relapse (IBTR) status and disease-specific survival will help guide clinic treatment and predict patient prognosis.^ After breast conservation therapy, patients with breast cancer may experience breast tumor relapse. This relapse is classified into two distinct types: true local recurrence (TR) and new ipsilateral primary tumor (NP). However, the methods used to classify the relapse types are imperfect and are prone to misclassification. In addition, some observed survival data (e.g., time to relapse and time from relapse to death)are strongly correlated with relapse types. The first part of this dissertation presents a Bayesian approach to (1) modeling the potentially misclassified relapse status and the correlated survival information, (2) estimating the sensitivity and specificity of the diagnostic methods, and (3) quantify the covariate effects on event probabilities. A shared frailty was used to account for the within-subject correlation between survival times. The inference was conducted using a Bayesian framework via Markov Chain Monte Carlo simulation implemented in softwareWinBUGS. Simulation was used to validate the Bayesian method and assess its frequentist properties. The new model has two important innovations: (1) it utilizes the additional survival times correlated with the relapse status to improve the parameter estimation, and (2) it provides tools to address the correlation between the two diagnostic methods conditional to the true relapse types.^ Prediction of patients at highest risk for IBTR after local excision of ductal carcinoma in situ (DCIS) remains a clinical concern. The goals of the second part of this dissertation were to evaluate a published nomogram from Memorial Sloan-Kettering Cancer Center, to determine the risk of IBTR in patients with DCIS treated with local excision, and to determine whether there is a subset of patients at low risk of IBTR. Patients who had undergone local excision from 1990 through 2007 at MD Anderson Cancer Center with a final diagnosis of DCIS (n=794) were included in this part. Clinicopathologic factors and the performance of the Memorial Sloan-Kettering Cancer Center nomogram for prediction of IBTR were assessed for 734 patients with complete data. Nomogram for prediction of 5- and 10-year IBTR probabilities were found to demonstrate imperfect calibration and discrimination, with an area under the receiver operating characteristic curve of .63 and a concordance index of .63. In conclusion, predictive models for IBTR in DCIS patients treated with local excision are imperfect. Our current ability to accurately predict recurrence based on clinical parameters is limited.^ The American Joint Committee on Cancer (AJCC) staging of breast cancer is widely used to determine prognosis, yet survival within each AJCC stage shows wide variation and remains unpredictable. For the third part of this dissertation, biologic markers were hypothesized to be responsible for some of this variation, and the addition of biologic markers to current AJCC staging were examined for possibly provide improved prognostication. The initial cohort included patients treated with surgery as first intervention at MDACC from 1997 to 2006. Cox proportional hazards models were used to create prognostic scoring systems. AJCC pathologic staging parameters and biologic tumor markers were investigated to devise the scoring systems. Surveillance Epidemiology and End Results (SEER) data was used as the external cohort to validate the scoring systems. Binary indicators for pathologic stage (PS), estrogen receptor status (E), and tumor grade (G) were summed to create PS+EG scoring systems devised to predict 5-year patient outcomes. These scoring systems facilitated separation of the study population into more refined subgroups than the current AJCC staging system. The ability of the PS+EG score to stratify outcomes was confirmed in both internal and external validation cohorts. The current study proposes and validates a new staging system by incorporating tumor grade and ER status into current AJCC staging. We recommend that biologic markers be incorporating into revised versions of the AJCC staging system for patients receiving surgery as the first intervention.^ Chapter 1 focuses on developing a Bayesian method to solve misclassified relapse status and application to breast cancer data. Chapter 2 focuses on evaluation of a breast cancer nomogram for predicting risk of IBTR in patients with DCIS after local excision gives the statement of the problem in the clinical research. Chapter 3 focuses on validation of a novel staging system for disease-specific survival in patients with breast cancer treated with surgery as the first intervention. ^

Development of combined micro -preparation, separation, and mass spectrometry methods and application in the microdialysis study of neuropeptide metabolism

Two sets of mass spectrometry-based methods were developed specifically for the in vivo study of extracellular neuropeptide biochemistry. First, an integrated micro-concentration/desalting/matrix-addition device was constructed for matrix-assisted laser desorption ionization mass spectrometry (MALDI MS) to achieve attomole sensitivity for microdialysis samples. Second, capillary electrophoresis (CE) was incorporated into the above micro-liquid chromatography (LC) and MALDI MS system to provide two-dimensional separation and identification (i.e. electrophoretic mobility and molecular mass) for the analysis of complex mixtures. The latter technique includes two parts of instrumentation: (1) the coupling of a preconcentration LC column to the inlet of a CE capillary, and (2) the utilization of a matrix-precoated membrane target for continuous CE effluent deposition and for automatic MALDI MS analysis (imaging) of the CE track.^ Initial in vivo data reveals a carboxypeptidase A (CPA) activity in rat brain involved in extracellular neurotensin metabolism. Benzylsuccinic acid, a CPA inhibitor, inhibited neurotensin metabolite NT1-12 formation by 70%, while inhibitors of other major extracellular peptide metabolizing enzymes increased NT1-12 formation. CPA activity has not been observed in previous in vitro experiments. Next, the validity of the methodology was demonstrated in the detection and structural elucidation of an endogenous neuropeptide, (L)VV-hemorphin-7, in rat brain upon ATP stimulation. Finally, the combined micro-LC/CE/MALDI MS was used in the in vivo metabolic study of peptide E, a mu-selective opioid peptide with 25 amino acid residues. Profiles of 88 metabolites were obtained, their identity being determined by their mass-to-charge ratio and electrophoretic mobility. The results indicate that there are several primary cleavage sites in vivo for peptide E in the release of its enkephalin-containing fragments. ^

Flow separation and roughness lengths over large bedforms in a tidal environment

This study characterises the shape of the flow separation zone (FSZ) and wake region over large asymmetric bedforms under tidal flow conditions. High resolution bathymetry, flow velocity and turbulence data were measured along two parallel transects in a tidal channel covered with bedforms. The field data are used to verify the applicability of a numerical model for a systematic study using the Delft3D modelling system and test the model sensitivity to roughness length. Three experiments are then conducted to investigate how the FSZ size and wake extent vary depending on tidally-varying flow conditions, water levels and bathymetry. During the ebb, a large FSZ occurs over the steep lee side of each bedform. During the flood, no flow separation develops over the bedforms having a flat crest; however, a small FSZ is observed over the steepest part of the crest of some bedforms, where the slope is locally up to 15°. Over a given bedform morphology and constant water levels, no FSZ occurs for velocity magnitudes smaller than 0.1 m s**-1; as the flow accelerates, the FSZ reaches a stable size for velocity magnitudes greater than 0.4 m s**-1. The shape of the FSZ is not influenced by changes in water levels. On the other hand, variations in bed morphology, as recorded from the high-resolution bathymetry collected during the tidal cycle, influence the size and position of the FSZ: a FSZ develops only when the maximum lee side slope over a horizontal distance of 5 m is greater than 10°. The height and length of the wake region are related to the length of the FSZ. The total roughness along the transect lines is an order of magnitude larger during the ebb than during the flood due to flow direction in relation to bedform asymmetry: during the ebb, roughness is created by the large bedforms because a FSZ and wake develops over the steep lee side. The results add to the understanding of hydrodynamics of natural bedforms in a tidal environment and may be used to better parameterise small-scale processes in large-scale studies.