937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.
Resumo:
Background: Estimates of the performance of carbohydrate deficient transferrin (CDT) and gamma glutamyltransferase (GGT) as markers of alcohol consumption have varied widely. Studies have differed in design and subject characteristics. The WHO/ISBRA Collaborative Study allows assessment and comparison of CDT, GGT, and aspartate aminotransferase (AST) as markers of drinking in a large, well-characterized, multicenter sample. Methods: A total of 1863 subjects were recruited from five countries (Australia, Brazil, Canada, Finland, and Japan). Recruitment was stratified by alcohol use, age, and sex. Demographic characteristics, alcohol consumption, and presence of ICD-10 dependence were recorded using an interview schedule based on the AUDADIS, CDT was assayed using CDTect(TM) and GGT and AST by standard methods. Statistical techniques included receiver operating characteristic (ROC) analysis. Multiple regression was used to measure the impact of factors other than alcohol on test performance. Results: CDT and GGT had comparable performance on ROC analysis, with AST performing slightly less well. CDT was a slightly but significantly better marker of high-risk consumption in men. All were more effective for detection of high-risk rather than intermediate-risk drinking. CDT and GGT levels were influenced by body mass index, sex, age, and smoking status. Conclusions: CDT was little better than GGT in detecting high- or intermediate-risk alcohol consumption in this large, multicenter, predominantly community-based sample. As the two tests are relatively independent of each other, their combination is likely to provide better performance than either test alone, Test interpretation should take account sex, age. and body mass index.
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Purpose: The range of variability between individuals of the same chronological age (CA) in somatic and biological maturity is large and especially accentuated around the adolescent growth spurt. Maturity assessment is an important consideration when dealing with adolescents, from both a research perspective and youth sports stratification. A noninvasive, practical method predicting years from peak height velocity (a maturity offset value) by using anthropometric variables is developed in one sample and cross-validated in two different samples. Methods: Gender specific multiple regression equations were calculated on a sample of 152 Canadian children aged 8-16 yr (79 boys; 73 girls) who were followed through adolescence from 1991 to 1997, The equations included three somatic dimensions (height, sitting height, and leg length), CA, and their interactions. The equations were cross-validated on a Combined sample of Canadian (71 boys, 40 girls measured from 1964 through 1973) and Flemish children (50 boys, 48 girls measured from 1985 through 1999). Results: The coefficient of determination (R2) for the boys' model was 0.92 and for the girls' model 0.91 the SEEs were 0.49 and 0.50, respectively, Mean difference between actual and predicted maturity offset for the verification samples was 0.24 (SD 0.65) yr in boys and 0,001 (SD 0.68) yr in girls. Conclusion: Although the cross-validation meets statistical standards or acceptance, caution 1, warranted with regard to implementation. It is recommended that maturity offset be considered as a categorical rather than a continuous assessment. Nevertheless, the equations presented are a reliable, noninvasive and a practical solution for the measure of biological maturity for matching adolescent athletes.
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Objectives: To compare the population modelling programs NONMEM and P-PHARM during investigation of the pharmacokinetics of tacrolimus in paediatric liver-transplant recipients. Methods: Population pharmacokinetic analysis was performed using NONMEM and P-PHARM on retrospective data from 35 paediatric liver-transplant patients receiving tacrolimus therapy. The same data were presented to both programs. Maximum likelihood estimates were sought for apparent clearance (CL/F) and apparent volume of distribution (V/F). Covariates screened for influence on these parameters were weight, age, gender, post-operative day, days of tacrolimus therapy, transplant type, biliary reconstructive procedure, liver function tests, creatinine clearance, haematocrit, corticosteroid dose, and potential interacting drugs. Results: A satisfactory model was developed in both programs with a single categorical covariate - transplant type - providing stable parameter estimates and small, normally distributed (weighted) residuals. In NONMEM, the continuous covariates - age and liver function tests - improved modelling further. Mean parameter estimates were CL/F (whole liver) = 16.3 1/h, CL/F (cut-down liver) = 8.5 1/h and V/F = 565 1 in NONMEM, and CL/F = 8.3 1/h and V/F = 155 1 in P-PHARM. Individual Bayesian parameter estimates were CL/F (whole liver) = 17.9 +/- 8.8 1/h, CL/F (cutdown liver) = 11.6 +/- 18.8 1/h and V/F = 712 792 1 in NONMEM, and CL/F (whole liver) = 12.8 +/- 3.5 1/h, CL/F (cut-down liver) = 8.2 +/- 3.4 1/h and V/F = 221 1641 in P-PHARM. Marked interindividual kinetic variability (38-108%) and residual random error (approximately 3 ng/ml) were observed. P-PHARM was more user friendly and readily provided informative graphical presentation of results. NONMEM allowed a wider choice of errors for statistical modelling and coped better with complex covariate data sets. Conclusion: Results from parametric modelling programs can vary due to different algorithms employed to estimate parameters, alternative methods of covariate analysis and variations and limitations in the software itself.
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The thin-layer drying behaviour of bananas in a beat pump dehumidifier dryer was examined. Four pre-treatments (blanching, chilling, freezing and combined blanching and freezing) were applied to the bananas, which were dried at 50 degreesC with an air velocity of 3.1 m s(-1) and with the relative humidity of the inlet air of 10-35%. Three drying models, the simple model, the two-term exponential model and the Page model were examined. All models were evaluated using three statistical measures, correlation coefficient, root means square error, and mean absolute percent error. Moisture diffusivity was calculated based on the diffusion equation for an infinite cylindrical shape using the slope method. The rate of drying was higher for the pre-treatments involving freezing. The sample which was blanched only did not show any improvement in drying rate. In fact, a longer drying time resulted due to water absorption during blanching. There was no change in the rate for the chilled sample compared with the control. While all models closely fitted the drying data, the simple model showed greatest deviation from the experimental results. The two-term exponential model was found to be the best model for describing the drying curves of bananas because its parameters represent better the physical characteristics of the drying process. Moisture diffusivities of bananas were in the range 4.3-13.2 x 10(-10) m(2)s(-1). (C) 2002 Published by Elsevier Science Ltd.
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Density functional theory for adsorption in carbons is adapted here to incorporate a random distribution of pore wall thickness in the solid, and it is shown that the mean pore wall thickness is intimately related to the pore size distribution characteristics. For typical carbons the pore walls are estimated to comprise only about two graphene layers, and application of the modified density functional theory approach shows that the commonly used assumption of infinitely thick walls can severely affect the results for adsorption in small pores under both supercritical and subcritical conditions. Under supercritical conditions the Henry's law coefficient is overpredicted by as much as a factor of 2, while under subcritical conditions pore wall heterogeneity appears to modify transitions in small pores into a sequence of smaller ones corresponding to pores with different wall thicknesses. The results suggest the need to improve current pore size distrubution analysis methods to allow for pore wall heterogeneity. The density functional theory is further extended here to allow for interpore adsorbate interactions, and it appears that these interaction are negligible for small molecules such as nitrogen but significant for more strongly interacting heavier molecules such as butane, for which the traditional independent pore model may not be adequate.
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Background/Aims: Concordance of iron indices between same sex siblings homozygous for the cysteine-to-tyrosine substitution at amino acid 282 (C282Y) mutation suggests that the variable phenotype in hereditary hemochromatosis is caused by genetic factors. Concordance of iron indices between same-sex heterozygous sibling pairs would provide further evidence of genetic modifiers of disease expression, and guidance for family screening strategies of subjects heterozygous for the C282Y mutation. Methods: We compared the iron indices of 35 C282Y homozygous and 35 C282Y heterozygous same-sex sibling pairs. To clarify whether concordance between siblings was due to environmental or genetic factors we compared the iron indices of 164 C282Y homozygous-normal, same-sex dizygotic twins. Results: Serum ferritin (r = 0.50, P = 0.003), hepatic iron concentration (r = 0.61, P = 0.025) and hepatic iron index (r = 0.67, P = 0.01) were highly concordant in C282Y homozygotes. Heterozygote siblings were concordant for serum ferritin (r = 0.76, P = 0.0001) and transferrin saturation (r = 0.79, P = 0.0001). Homozygote-normal same-sex dizygotic twins were concordant for serum ferritin (r = 0.62, P = 0.0001) but not for transferrin saturation. Conclusions: Concordance of iron indices exists in C282Y homozygote and heterozygote sibling pairs. Siblings of expressing C282Y heterozygotes require phenotypic assessment. These data provide evidence for modifying genes influencing disease expression in hemochromatosis. (C) 2002 European Association for the Study of the Liver. Published by Elsevier Science B.V. All rights reserved.
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Background: Augmentation strategies in schizophrenia treatment remain an important issue because despite the introduction of several new antipsychotics, many patients remain treatment resistant. The aim of this study was to undertake a systematic review and meta-analysis of the safety and efficacy of one frequently used adjunctive compound: carbamazepine. Data sources and study selection: Randomized controlled trials comparing carbamazopine (as a sole or as an adjunctive compound) with placebo or no intervention in participants with schizophrenia or schizoaffective disorder were searched for by accessing 7 electronic databases, cross-referencing publications cited in pertinent studies, and contacting drug companies that manufacture carbamazepine. Method: The identified studies were independently inspected and their quality assessed by 2 reviewers, Because the study results were generally incompletely reported, original patient data were requested from the authors; data were received for 8 of the 10 randomized controlled trials included in the present analysis, allowing for a reanalysis of the primary data. Dichotomous variables were analyzed using the Mantel-Haenszel odds ratio and continuous data were analyzed using standardized mean differences, both specified with 95% confidence intervals. Results: Ten studies (total N = 283 subjects) were included. Carbamazepine was not effective in preventing relapse in the only randomized controlled trial that compared carbamazepine monotherapy with placebo. Carbamazepine tended to be less effective than perphenazine in the only trial comparing carbamazepine with an antipsychotic. Although there was a trend indicating a benefit from carbamazepine as an adjunct to antipsychotics, this trend did not reach statistical significance. Conclusion: At present, this augmentation strategy cannot be recommended for routine use. The most promising targets for future trials are patients with excitement, aggression, and schizoaffective disorder bipolar type.
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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.
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Stock splits are known to have a negative effect on market quality—while stock prices adjust consistently with the split's scale, the bid/ask spread and market depth do not. Two possible explanations for the relative increase in spread are that (i) splits cause an increase in market maker costs that are passed along to investors or (ii) splits provide a mechanism for market makers to increase excess profits. Using a robust econometric methodology, we find evidence of the latter, which raises questions about the motivation of the splitting practice. We also document that while NASDAQ spreads appear to adjust more fully than those of NYSE/AMEX stocks, NASDAQ spreads are higher in general.