An insulin infusion advisory system based on autotuning nonlinear model-predictive control

This paper aims at the development and evaluation of a personalized insulin infusion advisory system (IIAS), able to provide real-time estimations of the appropriate insulin infusion rate for type 1 diabetes mellitus (T1DM) patients using continuous glucose monitors and insulin pumps. The system is based on a nonlinear model-predictive controller (NMPC) that uses a personalized glucose-insulin metabolism model, consisting of two compartmental models and a recurrent neural network. The model takes as input patient's information regarding meal intake, glucose measurements, and insulin infusion rates, and provides glucose predictions. The predictions are fed to the NMPC, in order for the latter to estimate the optimum insulin infusion rates. An algorithm based on fuzzy logic has been developed for the on-line adaptation of the NMPC control parameters. The IIAS has been in silico evaluated using an appropriate simulation environment (UVa T1DM simulator). The IIAS was able to handle various meal profiles, fasting conditions, interpatient variability, intraday variation in physiological parameters, and errors in meal amount estimations.

Characterization of the stereoselective biotransformation of ketamine to norketamine via determination of their enantiomers in equine plasma by capillary electrophoresis

A robust CE method for the simultaneous determination of the enantiomers of ketamine and norketamine in equine plasma is described. It is based upon liquid-liquid extraction of ketamine and norketamine at alkaline pH from 1 mL plasma followed by analysis of the reconstituted extract by CE in the presence of a pH 2.5 Tris-phosphate buffer containing 10 mg/mL highly sulfated beta-CD as chiral selector. Enantiomer plasma levels between 0.04 and 2.5 microg/mL are shown to provide linear calibration graphs. Intraday and interday precisions evaluated from peak area ratios (n = 5) at the lowest calibrator concentration are < 8 and < 14%, respectively. The LOD for all enantiomers is 0.01 microg/mL. After i.v. bolus administration of 2.2 mg/kg racemic ketamine, the assay is demonstrated to provide reliable data for plasma samples of ponies under isoflurane anesthesia, of ponies premedicated with xylazine, and of one horse that received romifidine, L-methadone, guaifenisine, and isoflurane. In animals not premedicated with xylazine, the ketamine N-demethylation is demonstrated to be enantioselective. The concentrations of the two ketamine enantiomers in plasma are equal whereas S-norketamine is found in a larger amount than R-norketamine. In the group receiving xylazine, data obtained do not reveal this stereoselectivity.

Rapid determination of gemcitabine in plasma and serum using reversed-phase HPLC

Gemcitabine (2'2'-difluorodeoxycytidine) is a pyrimidine analog used in the treatment of a variety of solid tumors. After intravenous (i.v.) administration, it is rapidly inactivated to 2'-deoxy-2',2'-difluorouridine (dFdU). A sensitive analytical method for the quantitation of gemcitabine is required for the assessment of alternative dosage and treatment schemes. A rapid and robust RP-HPLC assay for analysis of gemcitabine in human and animal plasma and serum was developed and validated using 2'-deoxyuridine (dU) and 5-fluoro-2'-deoxyuridine (5FdU) as internal standards. It is based on protein precipitation, the use of an Atlantis dC18 column of 100 mm length (inner diameter, 4.6 mm; particle size, 3 microm) and isocratic elution using a 10 mM phosphate buffer, pH 3.0, followed by isocratic elution with the same buffer containing 3% of ACN. For gemcitabine, RSD values for intraday and interday precision were < 4.4 and 5.3%, respectively, the LOQ was 20 ng/mL, and the assay was linear in the range of 0.020-20 microg/mL with an accuracy of > or =89%. The recovery for gemcitabine, dU and 5FdU was 86-98%. The assay was applied to determine gemcitabine levels in plasma samples of patients collected during and shortly after conventional infusion of 25-30 mg/kg body mass (levels: 2.0-18.9 microg/mL) and rats that received lower doses (1.5 mg/kg) via i.v., subcutaneous and oral drug administration (levels: 0.20-2.60 microg/mL). It could also be applied to estimate dFdU levels in human plasma.

Capillary electrophoresis evidence of the stereoselective ketoreduction of mebendazole and aminomebendazole in echinococcosis patients

An assay for the simultaneous determination of the enantiomers of hydroxymebendazole (OH-MBZ) and hydroxyaminomebendazole (OH-AMBZ) together with aminomebendazole (AMBZ) in human plasma is described for the first time. It is based upon liquid-liquid extraction at alkaline pH from 0.5 mL plasma followed by analysis of the reconstituted extract by CE with reversed polarity in the presence of a 50 mM, pH 4.2 acetate buffer containing 15 mg/mL sulfated beta-CD as chiral selector. For all compounds, detection limits are between 0.01 and 0.04 microg/mL, and intraday and interday precisions evaluated from peak area ratios are <6.9 and <8.5%, respectively. Analysis of 39 samples of echinoccocosis patients undergoing pharmacotherapy with mebendazole (MBZ) revealed that the ketoreduction of MBZ and AMBZ is highly stereoselective. One enantiomer of each metabolite (firstly detected peak in both cases) could only be detected. The CE data revealed that OH-MBZ (mean: 0.715 microg/mL) is the major metabolite followed by AMBZ (mean: 0.165 microg/mL) and OH-AMBZ (mean: 0.055 microg/mL) whereas the MBZ plasma levels (mean: 0.096 microg/mL, levels determined by HPLC) were between those of AMBZ and OH-AMBZ.

Factors affecting ozone related asthma responses among middle school students with asthma

Outdoor environmental risk factors for asthma have been extensively researched, even though the majority of a person's daily activity occurs indoors. There is limited evidence linking personal exposure concentrations of ozone, pollen, mold, temperature, and humidity to childhood asthma. ^ The current study consisted of a secondary, more complex analysis of the data from the Houston Air Toxics and Asthma in Children (ATAC) Study to further investigate the association of personal ozone exposure on asthma outcome variability among middle school children with asthma. The ATAC Study primarily investigated the association between selected oxygenated air toxics and indicators of asthma variability (PEFR, FEV1, asthma symptoms, and rescue medication usage) among 30 labile and persistent Houston middle-school children with diagnosed asthma. This panel study used a repeated measurements design of four separate 10-day sampling periods that extended over a 20 month period. The secondary analysis included aggregate regression models that were constructed with two different estimates of ozone exposure (daily maximum hourly outdoor concentration and daily maximum hourly personal exposure), with three different estimates of personal environmental temperature and humidity exposures (daily average, intraday difference, and interday difference), and for thee different time periods [same day of exposure (lag 0), one day after initial exposure (lag 1), and two days after initial exposure (lag 2)]. ^ Overall, the models using daily maximum hourly personal ozone exposures in combination with intraday and interday personal temperature and humidity differences produced more significant plausible associations than models using daily maximum hourly personal ozone exposures with personal average temperature and humidity exposures. Significant associations were identified between daily maximum hourly personal ozone exposure and clinical indicators of asthma variability. The increasing effect on rescue medication usage from daily maximum hourly personal ozone exposure were identified as soon as the same day of exposure (lag 0; p=0.0072), and the same effects were delayed until the second next day (lag 2; p= 0.0026). The increasing effect on asthma symptoms were identified on the second next day after initial exposure (lag 2; p= 0.0024). There was a consistent inverse relationship between personal relative humidity exposure and indicators of asthma variability. Decreasing effects on daily FEV1 variability from personal relative humidity exposure were identified on the same day of exposure (lag 0; p= 0.034), increasing effects on morning PEFR were identified on the next day after initial exposure (lag 1; p= 0.0001), and decreasing effects on overnight PEFR variability were identified on the second next day after the initial exposure (lag 2; p= 0.007). With the conclusion of this research, there are opportunities for future similar studies in the preventive management of asthma in children living in high-ozone areas.^

Market reaction to takeover rumour in internet discussion sites

We examine the market reaction to takeover rumour postings in the Hotcopper Internet Discussion Site (IDS). Results from the interday analysis show abnormal returns and trading volumes on the day before and the day of the posting. Results of the intraday analysis show abnormal returns and trading volumes during the 10 min posting interval and abnormal trading volume during the 10 min interval immediately preceding it. Sensitivity analyses indicate that the results are robust to concerns regarding potential confounds, credibility and bid–ask spread bias. Taken together, these findings are consistent with the market reacting to the posting of takeover rumours in IDS.

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

Cojumps in stock prices:empirical evidence

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements. © 2013 Elsevier B.V.

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Three essays on the microstructure of exchange traded funds

Exchange traded funds (ETFs) have increased significantly in popularity since they were first introduced in 1993. However, there is still much that is unknown about ETFs in the extant literature. This dissertation attempts to fill gaps in the ETF literature by using three related essays. In these three essays, we compare ETFs to closed ended mutual funds (CEFs) by decomposing the bid-ask spread into its three components; we look at the intraday shape of ETFs and compare it to the intraday shape of equities as well as examine the co-integration factor between ETFs on the London Stock Exchange and the New York Stock Exchange; we also examine the differences between leveraged ETFs and unleveraged ETFs by analyzing the impact of liquidity and volatility. These three essays are presented in Chapters 1, 2, and 3, respectively. ^ Chapter one uses the Huang and Stoll (1997) model to decompose the bid-ask spread in CEFs and ETFs for two distinct periods—a normal and a volatile period. We show a higher adverse selection component for CEFs than for ETFs without regard to volatility. However, both ETFs and CEFs increased in magnitude of the adverse selection component in the period of high volatility. Chapter two uses a mix of the Werner and Kleidon (1993) and the Hupperets and Menkveld (2002) methods to get the intraday shape of ETFs and analyze co-integration between London and New York trading. We find two different shapes for New York and London ETFs. There also appears to be evidence of co-integration in the overlapping two-hour trading period but not over the entire trading day for the two locations. The third chapter discusses the new class of ETFs called leveraged ETFs. We examine the liquidity and depth differences between unleveraged and leveraged ETFs at the aggregate level and when the leveraged ETFs are classified by the leveraged multiples of -3, -2, -1, 2, and 3, both for a normal and a volatile period. We find distinct differences between leveraged and unleveraged ETFs at the aggregate level, with leveraged ETFs having larger spreads than unleveraged ETFs. Furthermore, while both leveraged and unleveraged ETFs have larger spreads in high volatility, for the leveraged ETFs the change in magnitude is significantly larger than for the unleveraged ETFs. Among the multiples, the -2 leveraged ETF is the most pronounced in its liquidity characteristics, more so in volatile times. ^

Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.