Forecasting for the generation of trading signals in financial markets

In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r_i (over time i=1, 2, ..., n) for the ith day be given and the investor has to make investment decision d_i on the ith day with d_i=1 representing a ‘long' position and d_i=0 a ‘neutral' position. The investment return is given by r=Σⁿ_i=1r_id_i−cΣⁿ⁺¹_i=1∣d_i−d_i−1∣, where c is the transaction cost. The mathematical programming problem of choosing d₁, ..., d_n to maximize r under a given transaction cost c is shown to have an analytic solution, which is a function of a key summary statistic called the largest change before reversal. The largest change before reversal is recommended to be used as an output in a neural network for the generation of trading signals. When neural network forecasting is applied to a dataset of Hang Seng Index Futures Contract traded in Hong Kong, it is shown that forecasting the largest change before reversal outperforms the k‐step‐ahead forecast in achieving higher trading profits. Copyright © 2000 John Wiley & Sons, Ltd.     

La formule chromosomique chez cinq espèces de Chiroptères

Summary Five species ofChiroptera were studied and the following numbers were found:Rhinolophus hipposideros Bechst.N=27;Barbastella barbastellus Schr.N=16;Plecotus auritus L.N=16;Myotis myotis Bork.N=21;Miniopterus schreibersii Kuhl,N=23. Centric fusions occur in the chromosomal evolution ofChiroptera. Sex-chromosomes ofX-Y type.     

Differenzierendes Kaulquappen-Fressen durch Molche

Summary Differential predation on tadpoles by newts (Triturus). 4 EuropeanTriturus species (T. alpestris, T. cristatus, T. helveticus, T. vulgaris) feed upon the tadpoles of the following Anura species which occur in sympatry with the newts:Rana esculenta, R. temporaria andBombina variegata. OnlyTriturus cristatus prey also upon the tadpoles ofBufo bufo andB. calamita. Triturus alpestris, T. helveticus andT. vulgaris do not eat anyBufo tadpoles. Even larvae ofTriturus alpestris prey upon tadpoles ofRana esculenta, R. ridibunda andBombina variegata but avoid tadpoles ofBufo calamita.

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Mit Unterstützung des Schweizerischen Nationalfonds zur Förderung der wissenschaftlichen Forschung.     

Zur Stratigraphie der säugetierführenden Schichten von Java

Summary According to recent geological and paleontological investigations thePithecanthropus-beds of Java are pleistocene in age. The examinations of the fossil mammalian faunæ of the island are of utmost importance for this age-determination and the following faunæ can be recognized:Tji Djolang-fauna: Middle Pliocene.Kali Glagah-fauna: Upper Pliocene.Djetis-fauna withPithecanthropus: Lower Pleistocene.Trinil-fauna withPithecanthropus: Middle Pleistocene.Ngandong-fauna withHomo neanderthalensis soloensis: Upper Pleistocene.Sampoeng-fauna with a primitive type of the Wedda-Dravida-Australoid group: Subrecent. — Micropaleontological examinations of smallerForaminifera from marine equivalents of thePithecanthropus-beds confirm the age-determinations based on mammalia. — Recent field investigations prove that the lower and middle pleistocenePithecanthropus-beds are distinctlyfolded by a post-middle-pleistocene movement; the upper pleistocene Ngandong-terraces are not folded at all.     

Synthesis of eledoisin

Résumé LeL-pyroglutamyl-L-prolyl-L-séryl--N-carbotert.-butoxy-L-lysyl azide et leL-aspartyl-L-alanyl-L-phénylalanyl-L-isoleucyl-glycyl-L-leucyl-L-méthioninamide ont été synthétisés, puis condensés enL-pyroglutamyl-L-prolyl-L-séryl--N-carbo-tert. butoxy-L-lysyl-L-aspartyl-L-alanyl-L-phénylalanyl-L-isoleucyl-glycyl-L-leucyl-L-méthioninamide. Après traitement par l'acide trifluoroacétique, ce dernier a donné l'endécapeptide,L-pyroglutamyl-L-prolyl-L-séryl-L-lysyl-L-aspartyl-L-analyl-L-phénylalanyl-L-isoleucyl-glycyl-L-leucyl-L-méthioninamide, qui s'est montré doué des mêmes propriétés chimiques, physiques et biologiques que l'élédoisine naturelle.     

Unstable genetic system inDrosophila melanogaster: I. Instability at theCinnabar locus

Summary A mutant strain containing acinnabar allele (cn ^rbr ,rojo brillante) is reported, that produces wild-type revertants at thecinnabar (cn) locus. Incn ^rbr /cn heterozygotes the rate of mutation is highly increased. The presence of a mutator agent acting premeiotically is indicated.D.L. Lindsley and E.H. Grell, Genetic variations ofDrosophila melanogaster. Carnegie Institution of Washington, Washington, 1968; Publication No. 627.     

Temporal Aggregation in Dynamic Linear Models

One important aspect concerning the analysis and forecasting of time series that is sometimes neglected is the relationship between a model and the sampling interval, in particular, when the observation is cumulative over the sampling period. This paper intends to study the temporal aggregation in Bayesian dynamic linear models (DLM). Suppose that a time series Y_t is observed at time units t and the observations of the process are aggregated over r units of time, defining a new time series Z_k=Σ^r_i=1Y_rk+i. The relevant factors explaining the variation of Z_k can, and in general will, be different, depending on how the sampling interval r is chosen. It is shown that if Y_t follows certain dynamic linear models, then the aggregated series can also be described by possibly different DLM. In the examples, the industrial production of Brazil is analysed under various aggregation periods and the results are compared. © 1997 John Wiley & Sons, Ltd.     

Vorgänge bei pH-Änderung und bei Belichtung eines Anthocyanidins

Summary The anthocyanidin investigated here exists below pH 4 as a cationAH ₂ ⁺ (wave length of absorption maximum _max=459 mµ), between pH 5 and 7 in the neutral formAH ( _max=492 mµ) and above pH 8 as an anionA ^– ( _max=537 mµ). At pH 5 the freshly dissolved substance is partially converted into a colourless formBH ( _max=372 mµ) and a chemical equilibrium betweenAH andBH is reached within 1 h. A kinetic study of the process of formation ofBH shows that an intermediate productZ is formed. This process can be reversed by light exposure. It can be concluded from a kinetic investigation by using flash light thatBH is transformed by the absorbing light into a new substanceL ( _max 275 mµ and 225 mµ), andL changes partially intoBH, partially intoZ, which itself is transformed partially intoAH ₂ ⁺ ,AH,A ^–, partially intoBH. The reactionZ AH,AH ₂ ⁺ ,A ^– is proportional to the concentration of protons [H ⁺], the reactionZ BH independent of [H ⁺]. Thus a photochemical production ofAH ₂ ⁺ ,AH,A ^– fromBH is readily obtained in the presence ofH ⁺ and not obtained in the absence ofH ⁺.     

Multiple phosphoglucomutase alleles in two species ofMansonia mosquito

Summary Multiple phosphoglucomutase (E.C.2.7.5.1) alleles are found in the mosquitoesMansonia crassipes andM. uniformis. The present study reveals 4Pgm alleles, of whichPgm ^B andPgm ^C are common to both species whilePgm ^A is present only inM. crassipes andPgm ^D only inM. uniformis. The frequencies in both species accord well with Hardy-Weinberg expectations. The most frequent allele is that controlling a phenotype with an intermediate electrophoretic mobility, viz.Pgm ^B inM. crassipes andPgm ^C inM. uniformis.This work is supported in part by a University of Malaya research grant to the senior author.     

Sonnenflecken und ihre terrestrischen Wirkungen

Summary After a discussion of the 11-year solar-cycle as regarded from the standpoint of the eruption-hypothesis, which offers a possibility to predict the solar activity for several years and after a review of the magnetic properties of the sun and the sunspots, the paper deals with the new theories of the spots and the solar-cycle as suggested byAlfvén andWalén.The terrestrial effects of the phenomena associated with the solar cycle are classified into 4 groups: effects produced by a) a wave radiationW _k emitted continuously by the sun, b) a wave radiationW _e emitted from the chromospheric eruptions, c) a particle radiationP _k emitted by the so-called M-regions, and d) a particle radiationP _e ejected from the eruptions. The connection between the solar eruptions and the radiationsP _e ,W _e is a well established fact; on the other hand the radiationsW _k ,P _k could be connected by the author with the solar corona and the stationary solar prominences respectively.To account for the intensity of theW _k -radiation a temperature of the solar corona of one million degree is required in agreement with the observed temperature. The heating of the corona occurs in the electric field around an increasing sunspot. As in the corona the mean free path amounts to several kilometers, particles may be accelerated up to 1000 eV, so far the conditionh=0 is fulfilled. Generally speaking acceleration is possible only in such regions whereh andh are not perpendicular to each other.     

Communications préliminaires sur les chromosomes des Plécoptères

Summary The chromosomal sets of five species ofPerlodidæ (Plecoptera) are given in the present paper. The sexual chromosomes belong to three distinct types:X-O,X ₁-X ₂,X ₁-X ₂-X ₃. The author shows that these three types are likely derived from the most primitive patternX-Y, by translocation and inversion.     

Simple integrated rate equations for reversible bimolecular reactions

Summary If the complete rate equations for reversible, one-step, bimolecular reactions are written withP _e–P as the concentration variable (whereP _e is the equilibrium, andP is the instantaneous, product concentration), the 3 possible stoichiometries can be reduced to a single straightforward differential equation. This can be solved very economically. For each stoichiometry, weret is time,k ₁ is the forward rate constant,K _e is the equilibrium constant, and P isP–P _o. The termsP _c–P _o andD+P _c–P _o are the physically possible and physically impossible roots of the quadratic equation forP _e–P _o in terms of the initial concentrations andK _c.D is the discriminant in this equation. All 3 quantities can be calculated if the equilibrium constant is known. A plot oft against ln{[1–P/(D+P _c–P _o)]/[1–P/(P _c–P _o)]} should be a straight line for any second order reaction. For each stoichiometry,P _c–P _o approachesA _o, the initial concentration of the first reactant, as the equilibrium constant increases. When a second reactant is present,D+P _e–P _o approachesB _o. The limiting equation is then that of an irreversible bimolecular reaction. For AP+Q,D approaches –K _e as the equilibrium constant becomes large, and the value of the second logarithmic term in the integrated equation approaches zero. The limiting equation is that of an irreversible, unimolecular reaction.Acknowledgments. I thank Dr. Athel Cornish-Bowden for many helpful discussions. This work was partially supported by a grant from Utah State University.     

Biomedicine and diseases: the Klippel-Trenaunay syndrome, vascular anomalies and vascular morphogenesis

Vascular morphogenesis is a vital process for embryonic development, normal physiologic conditions (e.g. wound healing) and pathological processes (e.g. atherosclerosis, cancer). Genetic studies of vascular anomalies have led to identification of critical genes involved in vascular morphogenesis. A susceptibility gene, VG5Q (formally named AGGF1), was cloned for Klippel-Trenaunay syndrome (KTS). AGGF1 encodes a potent angiogenic factor, and KTS-associated mutations enhance angiogenic activity of AGGF1, defining ‘increased angiogenesis’ as one molecular mechanism for the pathogenesis of KTS. Similar studies have identified other genes involved in vascular anomalies as important genes for vascular morphogenesis, including TIE2, VEGFR-3, RASA1, KRIT1, MGC4607, PDCD10, glomulin, FOXC2, NEMO, SOX18, ENG, ACVRLK1, MADH4, NDP, TIMP3, Notch3, COL3A1 and PTEN. Future studies of vascular anomaly genes will provide insights into the molecular mechanisms for vascular morphogenesis, and may lead to the development of therapeutic strategies for treating these and other angiogenesis-related diseases, including coronary artery disease and cancer.Received 24 November 2004; received after revision 21 January 2005; accepted 2 March 2005     

Beta-carotene affects gene expression in lungs of male and female <Emphasis Type="Italic">Bcmo1</Emphasis><Superscript>−/−</Superscript> mice in opposite directions

Molecular mechanisms triggered by high dietary beta-carotene (BC) intake in lung are largely unknown. We performed microarray gene expression analysis on lung tissue of BC supplemented beta-carotene 15,15′-monooxygenase 1 knockout (Bcmo1 ^−/−) mice, which are—like humans—able to accumulate BC. Our main observation was that the genes were regulated in an opposite direction in male and female Bcmo1 ^−/− mice by BC. The steroid biosynthetic pathway was overrepresented in BC-supplemented male Bcmo1 ^−/− mice. Testosterone levels were higher after BC supplementation only in Bcmo1 ^−/− mice, which had, unlike wild-type (Bcmo1 ^+/+) mice, large variations. We hypothesize that BC possibly affects hormone synthesis or metabolism. Since sex hormones influence lung cancer risk, these data might contribute to an explanation for the previously found increased lung cancer risk after BC supplementation (ATBC and CARET studies). Moreover, effects of BC may depend on the presence of frequent human BCMO1 polymorphisms, since these effects were not found in wild-type mice.     

Furan fatty acid steryl esters from the marine spongeDictyonella incisa which show inflammatory activity

Summary Three new furan fatty acids, (9Z, 19Z)-3, 6-epoxyhexacosa-3,5,19-tetraenoic acid (1a), (8Z, 11Z, 14Z, 17Z)-3, 6-epoxyeicosa-3,5,8,11,14,17-hexaenoic acid (2a), and (8Z, 11Z, 14Z, 17E)-3, 6-epoxyeicosa-3,5,8,11,14,17-hexaenoic acid (3a), and a new polyunsaturated fatty acid (5Z, 8Z, 11Z, 14Z, 17E)-eicosa-5,8,11,14,17-pentaenoic acid (6a), present in the spongeDictyonella incisa as the respective steryl esters, have been isolated as methyl esters and their structures have been determined by spectral and chemical analysis. The furan fatty acid esters have shown a high inflammatory activity, which suggests their potential role as feeding deterrents.     

Chromosome numbers in five species of pentatomidae reut (Hemiptera - Heteroptera)

Zusammenfassung Die 5 SchildwanzenartenCoptosoma scutellatum Geoffr.,Elasmucha grisea L.,Legnotus picipes Fall.,Phimodera lapponica Zett. undEurygaster testudinaria Geoffr. wurden während der Spermatogenese karyologisch geprüft. Mit Ausnahme vonLegnotus picipes Fall. wurde die diploide Chromosomenzahl mit 2M+8A+X+Y bestimmt.     

New contribution to the study of chromosomes of the European Cryptocephalinae (Coleoptera,Chrysomelidae)

Summary The chromosomes of three species ofPachybrachis and nine ofCryptocephalus chrysomelids were analyzed. The male meiotic bivalent formula ofP. azureus Suffr.,P. catalonicus Burl. andP. petitpierrei Daccordi is 7^II+Xy_r.Cryptocephalus sexmaculatus Ol. andC. vittula Suffr. have 13^II+Xy_p,C. bipunctatus L. 14^II+Xy_r,C. ochroleucus Steph. andC. ocellatus Drap. 14^II+Xy_p,C. crassus 01. 15^II+Xy_r,C. sulphureus 01. 15^II+Xy_p, the same number as inC. fulvus Goeze with 2n=32 chromosomes, whileC. primarius Har. has 19^II+Xy_p. The modal chromosome number inCryptocephalus is 2n=30 (about 60% of spp.), and most species are characterized their small chromosomes. The low variation found in the karyotypes of Cryptocephalinae along with their possible interrelationships with allied chrysomelid subfamilies are also discussed.     

Mating patterns of virgin and inseminatedDrosophila melanogaster of different alcohol dehydrogenase (Adh) genotypes

Summary Female choice mating experiments showed virgin femaleD. melanogaster of the 3Adh genotypes chose heterozygous (Adh ^F /Adh ^S ) males most commonly. Inseminated females chose mates randomly, but the likelihood of a female remating was genotypically dependent.Acknowledgment. Financial support was provided by the Australian Research Grants Commitee.     

The somatic chromosomes of 3 lizard species:Gekko gecko,Iguana iguana,andCrotaphytus collaris

Zusammenfassung Die somatischen Chromosomen der 3 EidechsenartenGekko gecko (2N=38),Iguana iguana (2N=34) undCrotophytus collaris (2N=36), werden dargestellt.G. gecko besitzt metazentrische, subteleozentrische und teleozentrische Elemente, aber keine Mikrochromosomen.I. iguana undC. collaris besitzen Makrochromosomen (6 Paare) und Mikrochromosomen. Bei den ArtenG. gecko undI. iguana waren in keinen von beiden Geschlechtern heteromorphische Chromosomenpaare nach zuweisen.

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Supported by Project No. 417 from the U.S. Children's Bureau and Grant No. 08737 from the National Cancer Institute.