Abstract
We developed end-to-end deep learning models using whole slide images of adults diagnosed with diffusely infiltrating, World Health Organization (WHO) grade 2 gliomas to predict prognosis ...and the mutation status of a somatic biomarker, isocitrate dehydrogenase (IDH) 1/2. The models, which utilize ResNet-18 as a backbone, were developed and validated on 296 patients from The Cancer Genome Atlas (TCGA) database. To account for the small sample size, repeated random train/test splits were performed for hyperparameter tuning, and the out-of-sample predictions were pooled for evaluation. Our models achieved a concordance- (C-) index of 0.715 (95% CI: 0.569, 0.830) for predicting prognosis and an area under the curve (AUC) of 0.667 (0.532, 0.784) for predicting IDH mutations. When combined with additional clinical information, the performance metrics increased to 0.784 (95% CI: 0.655, 0.880) and 0.739 (95% CI: 0.613, 0.856), respectively. When evaluated on the WHO grade 3 gliomas from the TCGA dataset, which were not used for training, our models predicted survival with a C-index of 0.654 (95% CI: 0.537, 0.768) and IDH mutations with an AUC of 0.814 (95% CI: 0.721, 0.897). If validated in a prospective study, our method could potentially assist clinicians in managing and treating patients with diffusely infiltrating gliomas.
Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at ...least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles.
This paper was accepted by David Simchi-Levi, finance.
Absence epilepsy is an important epileptic syndrome in children. Multiscale entropy (MSE), an entropy-based method to measure dynamic complexity at multiple temporal scales, is helpful to disclose ...the information of brain connectivity. This study investigated the complexity of electroencephalogram (EEG) signals using MSE in children with absence epilepsy. In this research, EEG signals from 19 channels of the entire brain in 21 children aged 5-12 years with absence epilepsy were analyzed. The EEG signals of pre-ictal (before seizure) and ictal states (during seizure) were analyzed by sample entropy (SamEn) and MSE methods. Variations of complexity index (CI), which was calculated from MSE, from the pre-ictal to the ictal states were also analyzed. The entropy values in the pre-ictal state were significantly higher than those in the ictal state. The MSE revealed more differences in analysis compared to the SamEn. The occurrence of absence seizures decreased the CI in all channels. Changes in CI were also significantly greater in the frontal and central parts of the brain, indicating fronto-central cortical involvement of "cortico-thalamo-cortical network" in the occurrence of generalized spike and wave discharges during absence seizures. Moreover, higher sampling frequency was more sensitive in detecting functional changes in the ictal state. There was significantly higher correlation in ictal states in the same patient in different seizures but there were great differences in CI among different patients, indicating that CI changes were consistent in different absence seizures in the same patient but not from patient to patient. This implies that the brain stays in a homogeneous activation state during the absence seizures. In conclusion, MSE analysis is better than SamEn analysis to analyze complexity of EEG, and CI can be used to investigate the functional brain changes during absence seizures.
Given the unique institutional setting in the Chinese stock market, we investigate the effect of analyst activity on the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse ...relation between IVOL and future stock returns is more pronounced in stocks without analyst coverage. Furthermore, for stocks with analyst coverage, revision activity attenuates the IVOL anomaly. In fact, we find a positive relation between IVOL and future stock returns among stocks receiving analyst upgrades. We interpret our findings as evidence that analysts play an important role in disseminating information and reducing information asymmetry. As a result, news about firm fundamentals, particularly positive news, is incorporated more quickly into stock prices when analysts issue upgrade revisions. Finally, we show that our results are not subsumed by other potential explanations of the IVOL anomaly.
•Analysts play an important role in disseminating information and reducing information asymmetry.•The unique Chinese institutional setting implies the stronger effect of analyst activities on the IVOL anomaly.•Analyst revision activity attenuates the IVOL anomaly.•A positive relation between IVOL and future stock returns is observed among stocks receiving analyst upgrades.•Results are not subsumed by other potential explanations of the IVOL anomaly.
In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance of ...macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the U.S. Treasury market. We show that while jumps occur mostly at prescheduled macroeconomic announcement times, announcement surprises have limited power in explaining bond price jumps. Our analysis further shows that preannouncement liquidity shocks, such as changes in the bid-ask spread and market depth, have significant predictive power for jumps. The predictive power is significant even after controlling for information shocks. Finally, we present evidence that post-jump order flow is less informative relative to the case where there is no jump at announcement.
Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive ...(negative) lagged jump returns earn significantly positive returns over the next one- to three-month horizons. The results based on intraday jumps, especially overnight jumps, provide further evidence consistent with underreaction. The underreaction is robust to controlling for other firm characteristics, extends stock return momentum over intermediate to short horizons, and captures market underreaction to information shocks beyond earnings surprises. We further show that limited investor attention contributes to short-term underreaction.
We identify a sample of firms with directors employed by institutional investors and examine the effect of a direct channel of institutional monitoring. Using difference-in-differences tests, we find ...weak evidence that institutional directors have a positive effect on informational efficiency. More importantly, institutional directors have a significantly positive impact on stock returns over the long run. Further analysis shows that the presence of institutional directors leads to a slight increase of managerial entrenchment. Consistent with the notion that entrenched managers reduce risk-taking, we also find significant decreases in R&D investments and financial leverage, and significant increases in payouts for firms with institutional directors. The findings suggest that aligning with the interest of long-term investors, institutional directors deter firms from pursuing potentially value-decreasing investment projects and influence firms to return value to investors through lower debts and higher payouts, mainly share repurchases.
•We identify firms with institutional directors and examine the effect of monitoring.•We find weak evidence of positive effect on informational efficiency.•More importantly, we find significantly positive impact on long-run stock returns.•Institutional directors deter firms from pursuing value-decreasing projects.•Institutional directors push firms to return value to investors via higher payouts.
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with ...jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.
Back to the futures: When short selling is banned Jiang, George J.; Shimizu, Yoshiki; Strong, Cuyler
Journal of financial markets (Amsterdam, Netherlands),
November 2022, 2022-11-00, Letnik:
61
Journal Article
Recenzirano
We examine the effect of single-stock futures (SSFs) trading on the price discovery and market quality of underlying stocks during the 2008 short-selling ban in the United States. We find a ...significant increase in SSFs trading volume for banned stocks during the ban period. We show that the contribution of SSFs trading to underlying stock price discovery also increased significantly. Moreover, SSFs trading helped mitigate the negative effect of the short-selling ban on market quality. Although SSFs trading in the U.S. still lags other countries, our findings project an increasingly important role for them in the U.S. financial market.
•We examine the effect of single-stock futures (SSFs) trading during the 2008 short-selling ban.•There is a significant increase in SSFs trading for banned stocks during the ban period.•The contribution of SSFs trading to underlying stock price discovery increased significantly.•SSFs trading helped mitigate the negative effect of the short-selling ban on market quality.•Our findings project an increasingly important role of SSFs in the US financial market.
Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is highly correlated with ...public information shocks and higher for longer maturity bonds. More importantly, we find that bond price changes associated with high intensity of private information flow tend to be persistent, whereas those associated with low intensity of private information flow are more likely reversed. While public information and private information are the main determinants of bond price variations on days with news announcements, private information and liquidity shocks are important determinants of bond price variations on days with no significant events. Finally, we show that the depth of limit order book is inversely related to the intensity of private information flow. Nevertheless, informed dealers do not seem to use hidden orders to disguise their trading intentions.
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