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Some Notes on the Formation of a Pair in Pairs Trading
Mathematics, 2020 The main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight
José Pedro Ramos-Requena +2 more
doaj +1 more source
Gut microbiome and aging—A dynamic interplay of microbes, metabolites, and the immune system
FEBS Letters, EarlyView.Age‐dependent shifts in microbial communities engender shifts in microbial metabolite profiles. These in turn drive shifts in barrier surface permeability of the gut and brain and induce immune activation. When paired with preexisting age‐related chronic inflammation this increases the risk of neuroinflammation and neurodegenerative diseases.
Aaron Mehl, Eran Blacher
wiley +1 more source
FEBS Letters, EarlyView.Proteostasis and the gut microbiota play a key role in shaping host physiology. Microbiota‐derived metabolites, vitamins, and RNA modulate host proteostasis. Findings from model systems, including C. elegans, indicate microbes can either stabilize or disrupt host proteostasis.
Abhishek Anil Dubey, Maria Ermolaeva
wiley +1 more source
Estimating Long Memory in Volatility [PDF]
Econometrica, 2005 We consider semiparametric estimation of the memory parameter in a model that includes as special cases both long-memory stochastic volatility and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be decomposed into the sum of a long-memory signal and a white noise.
Hurvich, Clifford +2 more
openaire +3 more sources
Structural Changes in Persistence of Mortality
RisksRecent researchers have observed that long-memory is prevalent in mortality data. Related to a quantifiable measure of persistence, it is an important characteristic of mortality dynamics.
Wanying Fu +2 more
doaj +1 more source
Microbiome‐blood–brain barrier interactions in aging — mechanisms and therapeutic potential
FEBS Letters, EarlyView.Aging reshapes the gut microbiome (↓SCFA‐producing commensals; ↑pro‐inflammatory outputs), shifting circulating metabolites (↓SCFAs; ↑LPS, ↑TMAO, ↑PAA) that act at the BBB to increase nonspecific transcytosis, alter transport, and promote astrocyte reactivity, heightening brain vulnerability.
Daniel Cuervo‐Zanatta +3 more
wiley +1 more source
Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
doaj +1 more source
Discerning protein pools by selective staining with self‐labeling tags
FEBS Letters, EarlyView.Cell surface proteins have an intra‐ and extracellular pool. Combining genetic fusion to self‐labeling tags that can be addressed with small molecule fluorophores allows separating these pools. We highlight recent developments and techniques for state‐of‐the‐art interrogation of cell surface proteins in the complex tissue setting.
Kati Fischermanns, Johannes Broichhagen
wiley +1 more source
Fractal and FractionalThis paper develops a hybrid fractional-order framework for medium-horizon forecasting of wheat, corn, and soybean prices, combining a Caputo fractional differential equation with exogenous macro-climatic drivers (weather, crude oil, exchange rate ...
Sergio Orozco Cirilo +7 more
doaj +1 more source
Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data
Business Systems Research, 2018 Background: Since high-frequency data have become available, an unbiased volatility estimator, i.e. realized variance (RV) can be computed. Commonly used models for RV forecasting suffer from strong persistence with a high sensitivity to the returns ...
Arnerić Josip +2 more
doaj +1 more source