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.     

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.     

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.     

Karyotypic data for five species of anguid lizards

Zusammenfassung Die Chromosomensätze von 5 Eidechsenarten der Familie Aguidae, davon vier vom GenusGerrhonotus und eine vom GenusDiploglossus werden beschrieben.D. costatus ist 2n=36 mit 12 grossen metazentrischen Chromosomen und 24 Mikrochromosomen.G. multicarinatus ist 2n=48,G. paucicarinatus 2n=46 undG. coeruleus 2n=38. Diese 3 Arten haben einen identischen «nombre fondamentale» von 48 und alle haben 26 Mikrochromosomen.G. monticolus besitzt 2n=30. Die Anzahl der Mikrochromosomen ist auf 12 reduziert.     

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.     

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     

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.     

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.     

Nucleic acid content of a diploid and of a triploid strain ofDrosophila melanogaster

Zusammenfassung Beim triploidenDrosophila-StammFM4, y ^31d sc ⁸ dm B/y ² sc w ^a ec.=ist der DNS-Anteil an der fettfreien Trockenmasse wesentlich höher als beim diploiden Stamm «Berlin normal ». Der RNS-Anteil an der fettfreien Trockenmasse stimmt in beiden Stämmen überein. Es wird diskutiert, dass die 2 Genome der diploidenDrosophila offensichtlich etwa ebenso aktiv sind wie die 3 Genome der triploiden.Drosophila verfügt also offenbar über einen Regulationsmechanismus, der die RNS-Konzentration trotz unterschiedlichen DNS-Gehalts konstant hält.     

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.     

Chromosomes of some Asian and South American squirrels (rodentia: Sciuridae)

Zusammenfassung Chromosomensätze verschiedener Sciurinae sind:Sciurus anomalus (2n=40),S. granatensis (2n=42),Callosciurus flavimanus (2n=40),Dremomys rufigenis (2n=38) undMenetes berdmorei (2n= 62). Ein Vergleich mit früher beschriebenen Sciurinae-Karyotypen ergibt als ursprünglich diploide Sätze 38–40, Spaltung, sowie Fusion zu grösseren und kleineren2n's führend.     

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 ⁺.     

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.     

Parallel evolution of multiple sex-chromosome systems in the phyllostomatid bats,Carollia andChoeroniscus

Resumen Se describen los cariotipos deCarollia perspicillata, C. brevicauda, yC. castanea de Costa Rica y del Perú, y deChoeroniscus godmani de Costa Rica. La sistema de multiple cromosomas sexuales de machosXY ₁ Y ₂/hembrasXX reportado por investigadores anteriores se encontraba en todos individuos con la excepcion deC. castanea del Perú yChoeroniscus godmani de Costa Rica. Estas poblaciones se consideran de haberse mantenido la sistema primitiva de cromosomas sexualesXX/XY.     

Gitterkonstanten und Raumgruppe von Tetrammincuprisulfat

Summary The space-group of Cu(NH₃)₄SO₄·H₂O isD _2h ¹⁶ orD _2h ¹³ (D _2h ⁵ , D _2h ¹ ) with a=7,07, b=12,12, c=10,66 Å ± 1%.     

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.     

Chemical and tactile communication between the root aphid parasitoidParalipsis enervis and trophobiotic ants: consequences for parasitoid survival

Females of the aphid parasitoidParalipsis enervis received liquid food by regurgitation (trophallaxis) from workers of the ant speciesLasius niger, but were not fed by workers ofMyrmica laevinodis andTetramorium caespitum. WhileP. enervis was not treated aggressively by workers of any of these species,Lasius flavus workers killed the parasitoid. This different ant behaviour resulted in a different parasitoid longevity. WhileP. enervis survived for only 10 min in the presence ofL. flavus (due to ant aggression) or for approximately one day in the presence ofT. caespitum andM. laevinodis (due to lack of trophallaxis), survival increased significantly to more than five days in the presence ofL. niger, which provided food regularly to the parasitoids. Our study suggests thatP. enervis mimics behavioural signals ofL. niger, as well as odor cues of its host aphidAnoecia corni, to avoid aggression byL. niger.     

Intraluminal pressure and equivalent arterial wall tension

Résumé P=T/r, une loi de Laplace, est d'habitude appliquée pour exprimer la relation entre la pression intraluminale (P) et la tension intramurale (T) d'un vaisseau de rayonr. Sur un segment tubulaire, et sur une bande hélicale de l'aorte du lapin, nous avons mesuré deux valeurs équivalentes,P _50% etT _50%, obtenues lorsque la contraction causée par la noradrénaline est réduite de moitié. Ainsi la valeur der, calculée en utilisant l'equationP=T/r, est environ 75% de la valeur mesurée.     

Sopra un caso particolare della superficie F 4 (3) di M. Noether

Summary The Noetherian surfaceF ₄ ⁽³⁾ , which is represented on a plane by a linear ³ system ofC ₉(A ₁ ³ A ₂ ³ A ₃ ³ A ₄ ³ A ₅ ³ A ₆ ³ A ₇ ³ A ₈ ³ A ₉ ² A ₁₀), possesses generally only one linear pencil of elliptic cubics. IfA _i (i=1, 2, , 9) are the basis points of aHalphen pencil ofC ₉,A ₁₀ is infinitely near toA ₉, and in this caseF ₄ ⁽³⁾ is a not trivial example of such a surface with two pencils of elliptic cubics.