pwc-archive/papers-with-abstracts huggingface dataset:
The utility of wearable devices in assessing ambulatory impairments of people with multiple sclerosis in free-living conditions
Authors: Shaoxiong Sun, Amos A Folarin, Yuezhou Zhang, NIcholas Cummins, Shuo Liu, Callum Stewart, Yatharth Ranjan, Zulqarnain Rashid, Pauline Conde, Petroula Laiou, Heet Sankesara, Gloria Dalla Costa, Letizia Leocani, Per Soelberg Sørensen, Melinda Magyari, Ana Isabel Guerrero, Ana Zabalza, Srinivasan Vairavan, Raquel Bailon, Sara Simblett, Inez Myin-Germeys, Aki Rintala, Til Wykes, Vaibhav A Narayan, Matthew Hotopf, Giancarlo Comi, Richard JB Dobson, RADAR-CNS consortium
Date: 2021-12-22 00:00:00
Tasks: Feature Importance, feature selection, regression

Multiple sclerosis (MS) is a progressive inflammatory and neurodegenerative disease of the central nervous system affecting over 2.5 million people globally. In-clinic six-minute walk test (6MWT) is a widely used objective measure to evaluate the progression of MS. Yet, it has limitations such as the need for a clinical visit and a proper walkway. The widespread use of wearable devices capable of depicting patients activity profiles has the potential to assess the level of MS-induced disability in free-living conditions. In this work, we extracted 96 activity features in different temporal granularities (from minute-level to day-level) and explored their utility in estimating 6MWT scores in a European (Italy, Spain, and Denmark) MS cohort of 337 participants over an average of 10-month duration. We combined these features with participant demographics using three regression models including elastic net, gradient boosted trees and random forest. In addition, we quantified the individual feature contribution using feature importance in these regression models, linear mixed-effects models, generalized estimating equations, and correlation-based feature selection (CFS). The results showed promising estimation performance with R2 of 0.30, which was derived using random forest after CFS. This model was able to distinguish the participants with low disability from those with high disability. Furthermore, we observed that the minute-level (no longer than 8 minutes) step count, particularly those capturing the upper end of the step count distribution, had a stronger association with 6MWT. The use of a walking aid was indicative of ambulatory function measured through 6MWT. This study provides a basis for future investigation into the clinical relevance and utility of wearables in assessing MS progression in free-living conditions.
Evaluation of diagnostic test procedures for SARS-CoV-2 using latent class models: comparison of antigen test kits and sampling for PCR testing based on Danish national data registries
Authors: Jacob Stærk-Østergaard, Carsten Kirkeby, Lasse Engbo Christiansen, Michael Asger Andersen, Camilla Holten Møller, Marianne Voldstedlund, Matthew J. Denwood
Date: 2021-12-21 00:00:00
Tasks: Diagnostic, Sensitivity, Specificity

Antigen test kits have been used extensively as a screening tool during the worldwide pandemic of coronavirus (SARS-CoV-2). While it is generally expected that taking samples for analysis with PCR testing gives more reliable results than using antigen test kits, the overall sensitivity and specificity of the two protocols in the field have not yet been estimated without assuming that the PCR test constitutes a gold standard. We use latent class models to estimate the in situ performance of both PCR and antigen testing, using data from the Danish national registries. The results are based on 240,000 paired tests results sub-selected from the 55 million test results that were obtained in Denmark during the period from February 2021 until June 2021. We found that the specificity of both tests is very high in our data sample (>99.7%), while the sensitivity of PCR sampling was estimated to be 95.7% (95% CI: 92.8-98.4%) and that of the antigen test kits used in Denmark over the study period was estimated at 53.8% (95% CI: 49.8-57.9%). Our findings can be used as supplementary information for consideration when implementing serial testing strategies that employ a confirmatory PCR sample following a positive result from an antigen test kit, such as the policy used in Denmark. We note that while this strategy reduces the number of false positives associated with antigen test screening, it also increases the false negatives. We demonstrate that the balance of trading false positives for false negatives only favours the use of serial testing when the expected true prevalence is low. Our results contain substantial uncertainty in the estimates for sensitivity due to the relatively small number of positive test results over this period: validation of our findings in a population with higher prevalence would therefore be highly relevant for future work.
Mathematical modelling, selection and hierarchical inference to determine the minimal dose in IFN$α$ therapy against Myeloproliferative Neoplasms
Authors: Gurvan Hermange, William Vainchenker, Isabelle Plo, Paul-Henry Cournède
Date: 2021-12-20 00:00:00
Tasks: Bayesian Inference, Model Selection

Myeloproliferative Neoplasms (MPN) are blood cancers that appear after acquiring a driver mutation in a hematopoietic stem cell. These hematological malignancies result in the overproduction of mature blood cells and, if not treated, induce a risk of cardiovascular events and thrombosis. Pegylated IFN$\alpha$ is commonly used to treat MPN, but no clear guidelines exist concerning the dose prescribed to patients. We applied a model selection procedure and ran a hierarchical Bayesian inference method to decipher how dose variations impact the response to the therapy. We inferred that IFN$\alpha$ acts on mutated stem cells by inducing their differentiation into progenitor cells; the higher the dose, the higher the effect. We found that the treatment can induce long-term remission when a sufficient (patient-dependent) dose is reached. We determined this minimal dose for individuals in a cohort of patients and estimated the most suitable starting dose to give to a new patient to increase the chances of being cured.
An adaptively optimized algorithm for counting nuclei in X-ray micro-CT scans of whole organisms
Authors: Anna Madra, Alex YS. Lin, Daniel J. Vanselow, Keith C. Cheng
Date: 2021-12-20 00:00:00

Living organisms are primarily made of cells. Identifying them and characterizing their geometry and spatial distribution is a first step towards building multi-scale models of these biomaterials. We propose a method to count cells using nuclei in an X-ray microtomographic scan of a zebrafish. To account for scanning artifacts and partial volume effect, the method is adaptively calibrated using parameters approximated from the manifold of manually selected and optimized special cases. The methodology is tested on nuclei in the eyes of zebrafish larvae of different ages.
Quantitative optical coherence tomography reveals rod photoreceptor degeneration in early diabetic retinopathy
Authors: David Le, Taeyoon Son, Jennifer I. Lim, Xincheng Yao
Date: 2021-12-14 00:00:00

Purpose: This study is to test the feasibility of optical coherence tomography (OCT) detection of photoreceptor abnormality and to verify the photoreceptor abnormality is rod predominated in early DR . Methods: OCT images were acquired from normal eyes, diabetic eyes with no diabetic retinopathy (NoDR) and mild DR. Quantitative features, including length features quantifying band distances and reflectance intensity features among the external limiting membrane (ELM), inner segment ellipsoid (ISe), interdigitation zone (IZ) and retinal pigment epithelium (RPE) were determined. Comparative OCT analysis of central fovea, parafovea and perifovea were implemented to verify the photoreceptor abnormality is rod predominated in early DR. Results: Length abnormalities between the ISe and IZ also showed a decreasing trend among cohorts. Reflectance abnormalities of the ELM, IZ and ISe were observed between healthy, NoDR, and Mild DR eyes. The normalized ISe/RPE intensity ratio revealed a significant decreasing trend in the perifovea, but no detectable difference in central fovea. Conclusions: Quantitative OCT analysis consistently revealed outer retina, i.e., photoreceptor, changes in diabetic patients with NoDR and mild DR. Comparative analysis of central fovea, parafovea and perifovea confirmed the photoreceptor abnormality is rod predominated in early DR.
A versatile multicomponent mesoporous silica nanosystem with dual antimicrobial and osteogenic effects
Authors: Elena Alvarez, Manuel Estevez, Carla Jimenez-Jimenez, Montserrat Colilla, Isabel Izquierdo-Barba, Blanca Gonzalez, Maria Vallet-Regi
Date: 2021-12-29 00:00:00
Tasks: Management

In this manuscript, we propose a simple and versatile methodology to design nanosystems based on biocompatible and multicomponent mesoporous silica nanoparticles (MSNs) for infection management. This strategy relies on the combination of antibiotic molecules and antimicrobial metal ions into the same nanosystem, affording a significant improvement of the antibiofilm effect compared to that of nanosystems carrying only one of these agents. The multicomponent nanosystem is based on MSNs externally functionalized with a polyamine dendrimer (MSN-G3) that favors internalization inside the bacteria and allows the complexation of multiactive metal ions (MSN-G3-Mn+). Importantly, the selection of both the antibiotic and the cation may be done depending on clinical needs. Herein, levofloxacin and Zn2+ ion, chosen owing to both its antimicrobial and osteogenic capability, have been incorporated. This dual biological role of Zn2+ could have and adjuvant effect thought destroying the biofilm in combination with the antibiotic as well as aid to the repair and regeneration of lost bone tissue associated to osteolysis during infection process. The versatility of the nanosystem has been demonstrated incorporating Ag+ ions in a reference nanosystem. In vitro antimicrobial assays in planktonic and biofilm state show a high antimicrobial efficacy due to the combined action of levofloxacin and Zn2+, achieving an antimicrobial efficacy above 99% compared to the MSNs containing only one of the microbicide agents. In vitro cell cultures with MC3T3-E1 preosteoblasts reveal the osteogenic capability of the nanosystem, showing a positive effect on osteoblastic differentiation while preserving the cell viability.
Comment on "Water sources and kidney function: investigating chronic kidney disease of unknown etiology in a prospective study", by P. Vlahos et al
Authors: M. W. C. Dharma-wardana
Date: 2021-12-28 00:00:00
Tasks: Kidney Function

Vlahos et al., Ref. 1, NPJ Clean water. 4, 50 (2021) have reported the presence of pesticide contamination above safe levels in a "single time-point analysis" of well water in a region in Sri Lanka where chronic kidney disease of unknown etiology (CKDu) is endemic. They conclude "that agrochemical use in paddy and other agricultural practices ... of the Green Revolution in Sri Lanka may now be contributing to ill health, rapid progression of disease, and mortality". The authors also propose "reducing ... agrochemical contaminants in Sri Lanka and other tropical countries to reduce ... CKDu". These conclusions, based on what they call a "single time-point analysis", tantamount to an identification of the etiology of CKDu are unsupported by the evidence presented by Vlahos et al. They do not satisfy, say, even the simplest of Bradford-Hill criteria for causation. In particular, (i) similar but non-persistent pesticide excesses have been detected sporadically in most parts of the country including where there is no CKDu; (ii) the pesticides reported in (1) cause both hepatotoxicity and nephrotoxicity; the latter with glomerular damage while CKDu is associated with tubulo-interstitial damage where no hepatotoxic symptoms have been reported; (iii) the pesticides detected have short half-lives and are used over short periods during farming; so the one time-point analysis is inadequate and misleading; (iv) farming communities that use pesticides in the same way but remain essentially without CKDu are found to exist adjacent to communities with CKDu; (v) the CKDu prevalence seems to correlate with local geomorphology but without correlation to agriculture which is practiced in most parts of the country. .
A long-lasting guided bone regeneration membrane from sequentially functionalised photoactive atelocollagen
Authors: He Liang, Jie Yin, Kenny Man, Xuebin B. Yang, Elena Calciolari, Nikolaos Donos, Stephen J. Russell, David J. Wood, Giuseppe Tronci
Date: 2021-12-15 00:00:00

The fast degradation of collagen-based membranes in the biological environment remains a critical challenge, resulting in underperforming Guided Bone Regeneration (GBR) therapy leading to compromised clinical results. Photoactive atelocollagen (AC) systems functionalised with ethylenically unsaturated monomers, such as 4-vinylbenzyl chloride (4VBC), have been shown to generate mechanically competent materials for wound healing, inflammation control and drug delivery, whereby control of the molecular architecture of the AC network is key. Building on this platform, the sequential functionalisation with 4VBC and methacrylic anhydride (MA) was hypothesised to generate UV-cured AC hydrogels with reduced swelling ratio, increased proteolytic stability and barrier functionality for GBR therapy. The sequentially functionalised atelocollagen precursor (SAP) was characterised via TNBS and ninhydrin colourimetric assays, circular dichroism and UV-curing rheometry, which confirmed nearly complete consumption of collagen primary amino groups, preserved triple helices and fast (within 180 s) gelation kinetics, respectively. Hydrogel swelling ratio and compression modulus were adjusted depending on the aqueous environment used for UV-curing, whilst the sequential functionalisation of AC successfully generated hydrogels with superior proteolytic stability in vitro compared to both 4VBC functionalised control and the commercial dental membrane Bio-Gide. These in vitro results were confirmed in vivo via both subcutaneous implantation and a proof-of-concept study in a GBR calvarial model, indicating integrity of the hydrogel and barrier defect, as well as tissue formation following 1-month implantation in rats.
Importance sampling for option pricing with feedforward neural networks
Authors: Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko
Date: 2021-12-28 00:00:00

We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks. To this end, building on the concept of vector stochastic integration, we characterize the Cameron-Martin spaces of a large class of Gaussian measures which are induced by vector-valued continuous local martingales with deterministic covariation. We prove that feedforward neural networks enjoy, up to an isometry, the universal approximation property in these topological spaces. We then prove that sampling measures which are generated by feedforward neural networks can approximate the optimal sampling measure arbitrarily well. We conclude with a comprehensive numerical study pricing path-dependent European options for asset price models that incorporate factors such as changing business activity, knock-out barriers, dynamic correlations, and high-dimensional baskets.
Cross-Impact of Order Flow Imbalance in Equity Markets
Authors: Rama Cont, Mihai Cucuringu, Chao Zhang
Date: 2021-12-25 00:00:00

We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated OFI variable which better explains price impact, compared to the best-level OFI. We show that once the information from multiple levels is integrated into OFI, multi-asset models with cross-impact do not provide additional explanatory power for contemporaneous impact compared to a sparse model without cross-impact terms. On the other hand, we show that lagged cross-asset OFIs do improve the forecasting of future returns. We also establish that this lagged cross-impact mainly manifests at short-term horizons and decays rapidly in time.
Option Pricing Model with Transaction Costs
Authors: F. G. Bellora, G. Mazzei, M. Maurette
Date: 2021-12-19 00:00:00
Tasks: model

The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed and developed.
A fast Monte Carlo scheme for additive processes and option pricing
Authors: Michele Azzone, Roberto Baviera
Date: 2021-12-15 00:00:00

In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions. We analyze in detail numerical error sources and propose a technique that reduces the two major sources of error. We also compare our results with a benchmark method: the jump simulation with Gaussian approximation. We show an application to additive normal tempered stable processes, a class of additive processes that calibrates ``exactly" the implied volatility surface.Numerical results are relevant. This fast algorithm is also an accurate tool for pricing path-dependent discretely-monitoring options with errors of one bp or below.
Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market
Authors: Katerina Rigana, Ernst-Jan Camiel Wit, Samantha Cook
Date: 2021-12-24 00:00:00
Tasks: Causal Inference

Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them lack a causal interpretation. We will present a new measure for contagion among individual currencies within the Foreign exchange market and show how the paths of contagion work within the Forex using causal inference. This approach will allow us to pinpoint sources of contagion and to find which currencies offer good options for diversification and which are more susceptible to systemic risk, ultimately resulting in feedback on the level of global systemic risk.
Potential utilization of Battery Energy Storage Systems (BESS) in the major European electricity markets
Authors: Yu Hu, Miguel Armada, Maria Jesus Sanchez
Date: 2021-12-18 00:00:00

Given the declining cost of battery technology in the last decade, nowadays BESS becomes a more attractive solution in electrical power systems. The objective of this work is to analyze the potential utilization of BESS in the major European electricity markets. A general payoff model for BESS operation is proposed to correctly address the operational flexibility of battery systems. Utilization factors such as potentially profitable utilization time and rate are calculated for common applications including energy arbitrage and frequency support services using real market information. The result shows that under the current empirical estimation of the battery cost and lifetime, BESS is not feasible for energy arbitrage in most of the European electricity markets. However, BESS shows clearly and significantly higher potential in providing frequency support services. The result suggests that, when the frequency containment reserve is remunerable, the potentially profitable utilization of BESS has become already accretive in most of the European countries. For example from January to September 2021, the potentially profitable utilization rate has reached almost 100% for the FCR-N service in the Danish market. Comparing the regional electricity markets in Europe, BESS has shown significant potential in becoming a feasible solution in Central Western Europe and parts of Northern Europe by providing frequency regulation services. Meanwhile, in the British Isles and some other islanded local markets, a remarkable level of scarcity of flexibility has been revealed by the investigation, and the potential of BESS would also be considerably encouraging.
Role of Variable Renewable Energy Penetration on Electricity Price and its Volatility Across Independent System Operators in the United States
Authors: Olukunle O. Owolabi, Toryn L. J. Schafer, Georgia E. Smits, Sanhita Sengupta, Sean E. Ryan, Lan Wang, David S. Matteson, Mila Getmansky Sherman, Deborah A. Sunter
Date: 2021-11-10 00:00:00

The U.S. electrical grid has undergone substantial transformation with increased penetration of wind and solar -- forms of variable renewable energy (VRE). Despite the benefits of VRE for decarbonization, it has garnered some controversy for inducing unwanted effects in regional electricity markets. In this study, the role of VRE penetration is examined on the system electricity price and price volatility based on hourly, real-time, historical data from six Independent System Operators (ISOs) in the U.S. using quantile and skew t-distribution regressions. After correcting for temporal effects, we found an increase in VRE penetration is associated with decrease in system electricity price in all ISOs studied. The increase in VRE penetration is associated with decrease in temporal price volatility in five out of six ISOs studied. The relationships are non-linear. These results are consistent with the modern portfolio theory where diverse volatile assets may lead to more stable and less risky portfolios.
Equilibrium master equations for time-inconsistent problems with distribution dependent rewards
Authors: Zongxia Liang, Fengyi Yuan
Date: 2021-12-29 00:00:00

We provide a unified approach to find equilibrium solutions for time-inconsistent problems with distribution dependent rewards, which are important to the study of behavioral finance and economics. Our approach is based on {\it equilibrium master equation}, a non-local partial differential equation on Wasserstein space. We refine the classical notion of derivatives with respect to distribution and establish It$\hato$'s formula in the sense of such refined derivatives. Our approach is inspired by theories of Mckean-Vlasov stochastic control and mean field games, but is significantly different from both in that: we prohibit marginal distribution of state to be an input of closed loop control; we solve the best reaction to individual selves in an intra-person game instead of the best reaction to large populations as in mean field games. As applications, we reexamine the dynamic portfolio choice problem with rank dependent utility based on the proposed novel approach. We also recover the celebrated extended HJB equation when the reward of the problem has a nonlinear function of expectation while reformulating and weakening the assumptions needed. Most importantly, we provide a procedure to find an equilibrium solution of a dynamic mean-ES portfolio choice problem, which is completely new to the literature.
Dynamic growth-optimum portfolio choice under risk control
Authors: Pengyu Wei, Zuo Quan Xu
Date: 2021-12-29 00:00:00

This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-returns is measured by weighted Value-at-Risk (WVaR), which is a generalization of Value-at-Risk (VaR) and Expected Shortfall (ES). We characterize the optimal terminal wealth up to the concave envelope of a certain function, and obtain analytical expressions for the optimal wealth and portfolio policy when the risk is measured by VaR or ES. In addition, we find that the efficient frontier is a concave curve that connects the minimum-risk portfolio with the growth optimal portfolio, as opposed to the vertical line when WVaR is used on terminal wealth. Our results advocate the use of mean-WVaR criterion for log-returns instead of terminal wealth in dynamic portfolio choice.