Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

Pseudogenes in the ENCODE regions: consensus annotation, analysis of transcription, and evolution

Arising from either retrotransposition or genomic duplication of functional genes, pseudogenes are “genomic fossils” valuable for exploring the dynamics and evolution of genes and genomes. Pseudogene identification is an important problem in computational genomics, and is also critical for obtaining an accurate picture of a genome’s structure and function. However, no consensus computational scheme for defining and detecting pseudogenes has been developed thus far. As part of the ENCyclopedia Of DNA Elements (ENCODE) project, we have compared several distinct pseudogene annotation strategies and found that different approaches and parameters often resulted in rather distinct sets of pseudogenes. We subsequently developed a consensus approach for annotating pseudogenes (derived from protein coding genes) in the ENCODE regions, resulting in 201 pseudogenes, two-thirds of which originated from retrotransposition. A survey of orthologs for these pseudogenes in 28 vertebrate genomes showed that a significant fraction (∼80%) of the processed pseudogenes are primate-specific sequences, highlighting the increasing retrotransposition activity in primates. Analysis of sequence conservation and variation also demonstrated that most pseudogenes evolve neutrally, and processed pseudogenes appear to have lost their coding potential immediately or soon after their emergence. In order to explore the functional implication of pseudogene prevalence, we have extensively examined the transcriptional activity of the ENCODE pseudogenes. We performed systematic series of pseudogene-specific RACE analyses. These, together with complementary evidence derived from tiling microarrays and high throughput sequencing, demonstrated that at least a fifth of the 201 pseudogenes are transcribed in one or more cell lines or tissues.

High-growth cooperatives: Financial profile and key factors for competitiveness

Given the current economic environment, high-growth companies are particularly relevant for their contribution to employment generation and wealth.This paper discusses the results of a survey that was conducted in order to gain a deeper understanding of high-growth cooperatives through analyzing their financial profiles and then identifying key contributing factors to their growth. To do this, we compared this particular sample with other cooperatives and other high-growth mercantile companies.The results show the main drivers related to high-growth companies success. They are the competitive advantages based on the surveyed group, modern management techniques, quality and productivity, innovation and internationalization. Additionally, we have observed some financial strengths and weaknesses. In this sense, they are under capitalized companies with an unbalanced growth.

Decision making in uncertain and changing environments

We consider an agent who has to repeatedly make choices in an uncertainand changing environment, who has full information of the past, who discountsfuture payoffs, but who has no prior. We provide a learning algorithm thatperforms almost as well as the best of a given finite number of experts orbenchmark strategies and does so at any point in time, provided the agentis sufficiently patient. The key is to find the appropriate degree of forgettingdistant past. Standard learning algorithms that treat recent and distant pastequally do not have the sequential epsilon optimality property.

'Heures' a bio-economic model for Mediterranean fisheries, towards the evaluation of management strategies

The bio-economic model "Heures" is a first attempt to develop a simulation procedure to understand the Northwestern Mediterranean fisheries, to evaluate management strategies and to analyze the feasibility of implementing an adaptative management. The model is built on the interaction among three boxes simulating the dynamics of each of the basic actors of a fishery: the stock, the market and the fishermen. A fourth actor, the manager, imposes or modifies the rules, or, in terms of the model, modifies some particular parameters. Thus, the model allows us to simulate and evaluate the mid-term biologic and economic effects of particular management measures. The bio-economic nature of the model is given by the interaction among the three boxes, by the market simulation and, particularly, by the fishermen behaviour. This last element confers to the model its Mediterranean"selfregulated" character. The fishermen allocate their investments to maximize fishing mortality but, having a legal effort limit, they invest in maintenance and technology in order to increase the catchability, which, as a consequence. will be function of the invested capital.

Speaking in the CLIL classroom: to what extent do teachers and students use english in the classroom?

L'objectiu principal d'aquesta investigació va ser determinar els efectes del CLIL en els professors i estudiants en les seves produccions orals. El punt de partida de la meva investigació era de la teoria de Dalton-Puffer (2007), que estableix que la funció de parlar en les classes CLIL és mínima, la meva recerca s'ha basat en la recopilació recollir informació des de diferents fonts, amb la finalitat de veure si aquest fet també passa a les nostres escoles. Eventualment, he planejat algunes estratègies i activitats per incrementar la quantitat d’oportunitats per parlar en llengua anglesa els alumnes.

EURECCA colorectal: multidisciplinary mission statement on better care for patients with colon and rectal cancer in Europe

Background: Care for patients with colon and rectal cancer has improved in the last twenty years however still considerable variation exists in cancer management and outcome between European countries. Therefore, EURECCA, which is the acronym of European Registration of cancer care, is aiming at defining core treatment strategies and developing a European audit structure in order to improve the quality of care for all patients with colon and rectal cancer. In December 2012 the first multidisciplinary consensus conference about colon and rectum was held looking for multidisciplinary consensus. The expert panel consisted of representatives of European scientific organisations involved in cancer care of patients with colon and rectal cancer and representatives of national colorectal registries. Methods: The expert panel had delegates of the European Society of Surgical Oncology (ESSO), European Society for Radiotherapy & Oncology (ESTRO), European Society of Pathology (ESP), European Society for Medical Oncology (ESMO), European Society of Radiology (ESR), European Society of Coloproctology (ESCP), European CanCer Organisation (ECCO), European Oncology Nursing Society (EONS) and the European Colorectal Cancer Patient Organisation (EuropaColon), as well as delegates from national registries or audits. Experts commented and voted on the two web-based online voting rounds before the meeting (between 4th and 25th October and between the 20th November and 3rd December 2012) as well as one online round after the meeting (4th20th March 2013) and were invited to lecture on the subjects during the meeting (13th15th December 2012). The sentences in the consensus document were available during the meeting and a televoting round during the conference by all participants was performed. All sentences that were voted on are available on the EURECCA website www.canceraudit.eu. The consensus document was divided in sections describing evidence based algorithms of diagnostics, pathology, surgery, medical oncology, radiotherapy, and follow-up where applicable for treatment of colon cancer, rectal cancer and stage IV separately. Consensus was achieved using the Delphi method. Results: The total number of the voted sentences was 465. All chapters were voted on by at least 75% of the experts. Of the 465 sentences, 84% achieved large consensus, 6% achieved moderate consensus, and 7% resulted in minimum consensus. Only 3% was disagreed by more than 50% of the members. Conclusions: It is feasible to achieve European Consensus on key diagnostic and treatment issues using the Delphi method. This consensus embodies the expertise of professionals from all disciplines involved in the care for patients with colon and rectal cancer. Diagnostic and treatment algorithms were developed to implement the current evidence and to define core treatment guidance for multidisciplinary team management of colon and rectal cancer throughout Europe.

Factors that determine the evolution of high-growth businesses

The study herein discusses research aimed at elucidating the factors that contribute to a business' ability to maintain high growth. The database from the Iberian Balance Sheet Analysis System (SABI, from its initials in Spanish) was used to identify 250 industrial Catalonian businesses with high growth during 2004-2007. These companies participated in a survey on strategies and management practices; in 2013, they were re-analyzed to investigate the factors that contributed to continued growth for certain companies. Through diverse statistical techniques, business policies related to quality, innovation, internationalization and finance were shown to influence business growth and sustainability over time. High-growth businesses have been studied throughout the world, but this is the first study to investigate the evolution of businesses after a high-growth phase.

Duration and compliance with antidepressant treatment in immigrant and native-born populations in Spain: a four year follow-up descriptive study

Background: Non-compliance with antidepressant treatment continues to be a complex problem in mental health care. In immigrant populations non-compliance is one of several barriers to adequate management of mental illness; some data suggest greater difficulties in adhering to pharmacological treatment in these groups and an increased risk of therapeutic failure. The aim of this study is to assess differences in the duration and compliance with antidepressant treatment among immigrants and natives in a Spanish health region. Methods: Population-based (n = 206,603), retrospective cohort study including all subjects prescribed ADT between 2007 and 2009 and recorded in the national pharmacy claims database. Compliance was considered adequate when the duration was longer than 4 months and when patients withdrew more than 80% of the packs required. Results: 5334 subjects (8.5% of them being immigrants) initiated ADT. Half of the immigrants abandoned treatment during the second month (median for natives = 3 months). Of the immigrants who continued, only 29.5% presented good compliance (compared with 38.8% in natives). The estimated risk of abandoning/ending treatment in the immigrant group compared with the native group, adjusted for age and sex, was 1.28 (95%CI 1.16-1.42). Conclusions: In the region under study, immigrants of all origins present higher percentages of early discontinuation of ADT and lower median treatment durations than the native population. Although this is a complex, multifactor situation, the finding of differences between natives and immigrants in the same region suggests the need to investigate the causes in greater depth and to introduce new strategies and interventions in this population group.

EURECCA colorectal: multidisciplinary mission statement on better care for patients with colon and rectal cancer in Europe

Background: Care for patients with colon and rectal cancer has improved in the last twenty years however still considerable variation exists in cancer management and outcome between European countries. Therefore, EURECCA, which is the acronym of European Registration of cancer care, is aiming at defining core treatment strategies and developing a European audit structure in order to improve the quality of care for all patients with colon and rectal cancer. In December 2012 the first multidisciplinary consensus conference about colon and rectum was held looking for multidisciplinary consensus. The expert panel consisted of representatives of European scientific organisations involved in cancer care of patients with colon and rectal cancer and representatives of national colorectal registries. Methods: The expert panel had delegates of the European Society of Surgical Oncology (ESSO), European Society for Radiotherapy & Oncology (ESTRO), European Society of Pathology (ESP), European Society for Medical Oncology (ESMO), European Society of Radiology (ESR), European Society of Coloproctology (ESCP), European CanCer Organisation (ECCO), European Oncology Nursing Society (EONS) and the European Colorectal Cancer Patient Organisation (EuropaColon), as well as delegates from national registries or audits. Experts commented and voted on the two web-based online voting rounds before the meeting (between 4th and 25th October and between the 20th November and 3rd December 2012) as well as one online round after the meeting (4th-20th March 2013) and were invited to lecture on the subjects during the meeting (13th-15th December 2012). The sentences in the consensus document were available during the meeting and a televoting round during the conference by all participants was performed. All sentences that were voted on are available on the EURECCA website www.canceraudit.eu. The consensus document was divided in sections describing evidence based algorithms of diagnostics, pathology, surgery, medical oncology, radiotherapy, and follow-up where applicable for treatment of colon cancer, rectal cancer and stage IV separately. Consensus was achieved using the Delphi method. Results: The total number of the voted sentences was 465. All chapters were voted on by at least 75% of the experts. Of the 465 sentences, 84% achieved large consensus, 6% achieved moderate consensus, and 7% resulted in minimum consensus. Only 3% was disagreed by more than 50% of the members. Conclusions: It is feasible to achieve European Consensus on key diagnostic and treatment issues using the Delphi method. This consensus embodies the expertise of professionals from all disciplines involved in the care for patients with colon and rectal cancer. Diagnostic and treatment algorithms were developed to implement the current evidence and to define core treatment guidance for multidisciplinary team management of colon and rectal cancer throughout Europe.

Stress, coping and personal strengths and difficulties in internationally adopted children in spain

This study analyses the types of coping strategies used by internationally adopted children, and explores the relation between these strategies and personal strengths and difficulties. The Kidcope checklist (Spirito, Stark, & Williams, 1998) and the Strengths and Difficulties Questionnaire (SDQ; Goodman, 1997) were administered to a sample of 35 Spanish adoptees (25.7% boys and 74.3% girls, aged 8-12 years) and their parents. Self-reported problems were categorised and their relation with coping strategies and psychological adjustment was explored. Results indicated that adopted children report problems of interpersonal nature. The content of the problems mainly refers to relationships and health, illness, or accidents. Parents reported that children were generally well-adjusted and they had no problems outside the normal range. International adoptees used mainly control-oriented coping strategies. Escape-oriented coping was linked to parents' ratings of total difficulties, with self-criticism accounting for the highest percentage of the variance.

A framework for the analysis of CLIL lecturers’ discourse from a genre perspective

Internationalization strategies and the European Space of Higher Education are causing a growing interest in English medium instruction (EMI). University linguistic and internationalization policies are attempting to provide lectures with the required training and education. Linguists can supply not only the knowledge of the language but the knowledge about language which may enable lecturers to increase their academic language competence autonomously. This paper presents a framework for the analysis of lecturers’ discourse to trigger reflection about the linguistic needs in CLIL/EMI contexts.