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.     

Cytologie comparée des Muridae. L'origine des Ellobii

Summary (1) The present paper deals with the chromosomial cytology of 11 species and underspecies ofMuridae. (2) The diploïd number being the same (2N=42), there are striking differences between two species ofBandicota, B. indica showing about 20 big metacentric chromosomes which are lackingB. bengalensis. (3)Meriones blackleri is characterized by 72 chromosomes, the species previously described possessing either 44 or 60 elements. (4) The study ofPhenacomys ungava confirms the view that 56 (54) is the primitive number in theMicroti. There is an interesting parallelism between the morphological and the cytological data. (5) A missing link betweenMicroti andEllobii has been found inMicrotus oregoni which possesses 17 chromosomes, its digamety belonging to the typeX-O, X-X. (6) Owing to the fact thatM. oregoni is more fossorial than the otherMicrotus, it is a morphological intermediate betweenMicroti andEllobii. (7) The genusChilotus (Baird) is also fully valid.     

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.     

Karyological pattern of two Chilean lizards species of the genusLiolaemus (sauria; iguanidae)

Summary The karyotypes of Chilean lizardsLiolaemus pictusandLiolaemus cyanogaster is described for the first time. Both species possess 34 chromosomes; 6 pairs of macrochromosomes and 11 pairs of microchromosomes. Karyologically it is possible to differenciate this species because the pair No. 2 is metacentric (m) inL. pictusand submetacentric (sm) inL. cyanogaster. It is shortly discussed the signification of formule 2n=34 for the species ofLiolaemus analized karyologically and its possible mechanism of acquisition.     

Protein O-GlcNAcylation regulates Drosophila growth through the insulin signaling pathway

Modification of nuclear and cytosolic proteins by O-linked N-acetylglucosamine (O-GlcNAcylation) is ubiquitous in cells. The in vivo function of the protein O-GlcNAcylation, however, is not well understood. Here, we manipulated the cellular O-GlcNAcylation level in Drosophila and found that it promotes developmental growth by enhancing insulin signaling. This increase in growth is due mainly to cell growth and not to cell proliferation. Our data suggest that the increase in the insulin signaling activity is mediated, at least in part, through O-GlcNAcylation of Akt. These results indicate that O-GlcNAcylation is one of the crucial mechanisms involved in control of insulin signaling during Drosophila development.     

Neue Extremalprobleme über konvexe Rotationskörper

Summary It is shown in this note that every sufficiently elongated conic frustum assumes, if radius of equatorr, lengthl and volumeV of a convex body of revolution are given, largest surfaceF as well as largest integral of mean curvatureM. The conic frustum is the only extremal body. For smalll, the situation is intricated and has not yet been clarified.     

Monogenic determinants of familial Alzheimer's disease: presenilin-2 mutations

Presenilin-2 (PS2) is one of three genes [amyloid precursor protein (APP), presenilin-1 (PS1) and PS2] shown to cause familial Alzheimer's disease (FAD), and is highly homologous to PS1. Currently demonstrated functions of PS2 include interactions with APP and Aβ, and participation in apoptotic pathways. PS2 FAD mutations influence APP processing in a manner predicted to promote amyloid formation and also enhance the proapoptotic effect of wild-type PS2. Other possible functions of PS2 are related to its homology to Notch pathway genes in Caenorhabditis elegans, suggesting it may have a developmental role. PS2-associated AD is the most reminiscent of the sporadic form of the disease in terms of older age of onset and longer disease duration. Since PS2 mutations are incompletely penetrant and age of onset in carriers is highly variable (40 – 88 years), elucidation of PS2 mechanisms may reveal factors which modify AD and are therapeutically relevant to sporadic AD.     

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.     

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.     

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.     

Dominance for enzyme activity inDrosophila melanogaster

Summary A regulatory element tightly linked to theGpdh locus inDrosophila melanogaster has been isolated from a natural population. Flies homozygous for second chromosomes bearing the element,H31, have half the GPDH activity of normal homozygotes. Heterozygotes betweenH31 andF orS alleles exhibit dominance in GPDH activity. Heterozygotes betweenH31, F orS andDf(2L) GdhA have half the diploid level. The contribution of theS allele to the activity inS/H31 heterozygotes is more than four times that ofH31. The regulatory element distinguishingH31 is tightly linked to theGpdh ⁺ locus.     

Chlorpyrifos (Dursban®) resistance inCulex pipiens pipiens L. from Southern France: Inheritance and linkage

Summary InCulex pipiens mosquitos from Southern France, resistance to the organophosphorus insecticide chlorpyrifos is due to the dominant allele (Chl ^R) of an autosomal gene. TheChl gene is localized between thea-Gpd andEst-2 loci at 26.8 and 5.8 units of crossing-over respectively.     

Un nouveau type de détermination chromosomique du sexe chez les mammifèresEllobius lutescens Th. etMicrotus (Chilotus) oregoni Bachm. (Muridés-Microtinés)

Summary (1)Ellobius lutescens andMicrotus oregoni show the same type of sex-chromosomes. The diploid number is odd in both sexes, seventeen.(2) The odd element ofEllobius is morphologically alike in the male and in the female. InM. oregoni, the odd element of the male is acrocentric, that of the female metacentric.(3) Following a hypothesis ofWhite, it seems very probable that the heterochromosome of the male is built of the primitiveY (short arm) and the primitiveX (long arm) linked together. In the female of the same species (M. oregoni), the sex-chromosome represents both theX fused together.(4) Only the half of the Zygotes may develope, the other half being lethal.(5) The close kinship betweenEllobius andM. oregoni is certain, a parallel evolution appearing as highly improbable.     

Explaining Leibniz equivalence as difference of non-inertial appearances: Dis-solution of the Hole Argument and physical individuation of point-events

“The last remnant of physical objectivity of space–time” is disclosed in the case of a continuous family of spatially non-compact models of general relativity (GR). The physical individuation of point-events is furnished by the autonomous degrees of freedom of the gravitational field (viz., the Dirac observables) which represent—as it were—the ontic part of the metric field. The physical role of the epistemic part (viz. the gauge variables) is likewise clarified as embodying the unavoidable non-inertial aspects of GR. At the end the philosophical import of the Hole Argument is substantially weakened and in fact the Argument itself dissolved, while a specific four-dimensional holistic and structuralist view of space–time (called point-structuralism) emerges, including elements common to the tradition of both substantivalism and relationism. The observables of our models undergo real temporal change: this gives new evidence to the fact that statements like the frozen-time character of evolution, as other ontological claims about GR, are model dependent.     

The clostridial mobilisable transposons

Mobilisable transposons are transposable genetic elements that also encode mobilisation functions but are not in themselves conjugative. They rely on coresident conjugative elements to facilitate their transfer to recipient cells. Clostridial mobilisable transposons include Tn4451 and Tn4452 from Clostridium perfringens, and Tn4453a and Tn4453b from Clostridium difficile, all of which are closely related, and Tn5398 from C. difficile. The Tn4451 group of elements encodes resistance to chloramphenicol and is unusual in that transposition is dependent upon a large resolvase protein rather than a more conventional transposase or integrase. This group of elements also encodes the mobilisation protein TnpZ that, by acting at the RS_A or oriT site located on the transposon, and in the presence of a coresident conjugative element, promotes the movement of the nonreplicating circular intermediate and of plasmids on which the transposon resides. The erythromycin resistance element Tn5398 is unique in that it encodes no readily identifiable transposition or mobilisation proteins. However, the element is still capable of intraspecific transfer between C. difficile isolates, by an unknown mechanism. The detailed analysis of these mobilisable clostridial elements provides evidence that the evolution and dissemination of antibiotic resistance genes is a complex process that may involve the interaction of genetic elements with very different properties. RID="*" ID="*"Corresponding author.     

I cromosomi di alcuniPipidae (Amphibia Salientia)

Summary The karyotype of the African PipidHymenochirus boettgeri (2n=24, all meta- or submetacentric chromosomes) is different from the one of the African PipidXenopus laevis (2n=36). The karyotype of the American PipidPipa (Protopipa)parva (2n=30, all acrocentric chromosomes) is very primitive and different from the karyotypes of the African Pipids and from that ofPipa pipa; the male meiotic chromosomes ofP. parva, usually with 1 procentric chiasma, show a clear difference from the male bivalents of the other Pipids, all with 2 terminal chiasmata.     

Identification of chicken lysozyme <Emphasis Type="Italic">g</Emphasis>2 and its expression in the intestine

Lysozyme is an important component of the innate immune system, protecting the gastrointestinal tract from infection. The aim of the present study was to determine if lysozyme is expressed in the chicken (Gallus gallus) intestine and to characterise the molecular forms expressed. Immunohistochemical staining localised lysozyme to epithelial cells of the villous epithelium along the length of the small intestine. There was no evidence for lysozyme expression in crypt epithelium and no evidence for Paneth cells. Immunoblots of chicken intestinal protein revealed three proteins: a 14-kDa band consistent with lysozyme c, and two additional bands of approximately 21 and 23 kDa, the latter consistent with lysozyme g. RT-PCR analyses confirmed that lysozyme c mRNA is expressed in 4-day, but not older chicken intestine and lysozyme g in 4- to 35-day chicken intestine. A novel chicken lysozyme g2 gene was identified by in silico analyses and mRNA for this lysozyme g2 was identified in the intestine from chickens of all ages. Chicken lysozyme g2 shows similarity with fish lysozyme g, including the absence of a signal peptide and cysteines involved in disulphide bond formation of the mammalian and bird lysozyme g proteins. Analyses using SecretomeP predict that chicken lysozyme g2 may be secreted by the non-classical secretory pathway. We conclude that lysozyme is expressed in the chicken small intestine by villous enterocytes. Lysozyme c, lysozyme g and g2 may fulfil complimentary roles in protecting the intestine.Received 4 August 2004; received after revision 1 September 2004; accepted 7 September 2004     

Ammotragus lervia: Progenitor of the domesticated sheep or specialized offshoot of caprine evolution?

Summary Data on haemoglobin do not support suggestions that the aoudadAmmotragus lervia is close to a hypothetical ancestor to the genusOvis in general or to the domesticated sheepOvis aries in particular.Ammotragus haemoglobin is more like that from the domestic goatCapra hircus than that from the domestic sheepOvis aries, but also shows some unique characteristics, perhaps more specialized than primitive.     

Cryo-bioorganic chemistry: freezing effect on stereoselection of l- and dl-leucine cooligomerization in aqueous solution

The chirality of l-/dl-leucine (50–50%) cooligomerization was investigated in liquid and frozen aqueous solutions. Cooligomerization was carried out by carbonyldiimidazole activation without initiator at an ambient (+22°C) and frozen (−18°C) temperature, respectively. The separated samples obtained after different time intervals of treatment were completely hydrolyzed (HCl) and the diastereomeric l- and d-leucine derivates of Marfey's reagent (1-fluoro-2,4-dinitrophenyl-5-l-alanine amide) were then traced and evaluated by RP-HPLC analysis. After 9 days of oligomerization, the l-Leu content was slightly enhanced in the liquid (57%) and somewhat more enhanced in the frozen (64%) samples. After 17 days, however, the l-Leu content had decreased in the liquid (53%) and frozen (56%) conditions. These l-enantiomer amplifications indicate that an l-antipode is preferentially incorporated into the α-helical turn of the oligomer in the earlier stage of cooligomerization, while, later, the d-antipode is also incorporated. The role of ice in the improved stereoselection is discussed. This is the first recorded example of the effect of freezing on stereoselection. Received 27 October 2000; revised 11 December 2000; accepted 4 January 2000     

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 ⁺.