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.

Estimates of electronic coupling for excess electron transfer in DNA

Electronic coupling Vda is one of the key parameters that determine the rate of charge transfer through DNA. While there have been several computational studies of Vda for hole transfer, estimates of electronic couplings for excess electron transfer (ET) in DNA remain unavailable. In the paper, an efficient strategy is established for calculating the ET matrix elements between base pairs in a π stack. Two approaches are considered. First, we employ the diabatic-state (DS) method in which donor and acceptor are represented with radical anions of the canonical base pairs adenine-thymine (AT) and guanine-cytosine (GC). In this approach, similar values of Vda are obtained with the standard 6-31 G* and extended 6-31++ G* basis sets. Second, the electronic couplings are derived from lowest unoccupied molecular orbitals (LUMOs) of neutral systems by using the generalized Mulliken-Hush or fragment charge methods. Because the radical-anion states of AT and GC are well reproduced by LUMOs of the neutral base pairs calculated without diffuse functions, the estimated values of Vda are in good agreement with the couplings obtained for radical-anion states using the DS method. However, when the calculation of a neutral stack is carried out with diffuse functions, LUMOs of the system exhibit the dipole-bound character and cannot be used for estimating electronic couplings. Our calculations suggest that the ET matrix elements Vda for models containing intrastrand thymine and cytosine bases are essentially larger than the couplings in complexes with interstrand pyrimidine bases. The matrix elements for excess electron transfer are found to be considerably smaller than the corresponding values for hole transfer and to be very responsive to structural changes in a DNA stack

Emotional attention as a modulatory system of perception

Report for the scientific sojourn carried out at the University Medical Center, Swiss, from 2010 to 2012. Abundant evidence suggests that negative emotional stimuli are prioritized in the perceptual systems, eliciting enhanced neural responses in early sensory regions as compared with neutral information. This facilitated detection is generally paralleled by larger neural responses in early sensory areas, relative to the processing of neutral information. In this sense, the amygdala and other limbic regions, such as the orbitofrontal cortex, may play a critical role by sending modulatory projections onto the sensory cortices via direct or indirect feedback.The present project aimed at investigating two important issues regarding these mechanisms of emotional attention, by means of functional magnetic resonance imaging. In Study I, we examined the modulatory effects of visual emotion signals on the processing of task-irrelevant visual, auditory, and somatosensory input, that is, the intramodal and crossmodal effects of emotional attention. We observed that brain responses to auditory and tactile stimulation were enhanced during the processing of visual emotional stimuli, as compared to neutral, in bilateral primary auditory and somatosensory cortices, respectively. However, brain responses to visual task-irrelevant stimulation were diminished in left primary and secondary visual cortices in the same conditions. The results also suggested the existence of a multimodal network associated with emotional attention, presumably involving mediofrontal, temporal and orbitofrontal regions Finally, Study II examined the different brain responses along the low-level visual pathways and limbic regions, as a function of the number of retinal spikes during visual emotional processing. The experiment used stimuli resulting from an algorithm that simulates how the visual system perceives a visual input after a given number of retinal spikes. The results validated the visual model in human subjects and suggested differential emotional responses in the amygdala and visual regions as a function of spike-levels. A list of publications resulting from work in the host laboratory is included in the report.

Emotional attention as a modulatory system of perception

Report for the scientific sojourn carried out at the University Medical Center, Swiss, from 2010 to 2012. Abundant evidence suggests that negative emotional stimuli are prioritized in the perceptual systems, eliciting enhanced neural responses in early sensory regions as compared with neutral information. This facilitated detection is generally paralleled by larger neural responses in early sensory areas, relative to the processing of neutral information. In this sense, the amygdala and other limbic regions, such as the orbitofrontal cortex, may play a critical role by sending modulatory projections onto the sensory cortices via direct or indirect feedback.The present project aimed at investigating two important issues regarding these mechanisms of emotional attention, by means of functional magnetic resonance imaging. In Study I, we examined the modulatory effects of visual emotion signals on the processing of task-irrelevant visual, auditory, and somatosensory input, that is, the intramodal and crossmodal effects of emotional attention. We observed that brain responses to auditory and tactile stimulation were enhanced during the processing of visual emotional stimuli, as compared to neutral, in bilateral primary auditory and somatosensory cortices, respectively. However, brain responses to visual task-irrelevant stimulation were diminished in left primary and secondary visual cortices in the same conditions. The results also suggested the existence of a multimodal network associated with emotional attention, presumably involving mediofrontal, temporal and orbitofrontal regions Finally, Study II examined the different brain responses along the low-level visual pathways and limbic regions, as a function of the number of retinal spikes during visual emotional processing. The experiment used stimuli resulting from an algorithm that simulates how the visual system perceives a visual input after a given number of retinal spikes. The results validated the visual model in human subjects and suggested differential emotional responses in the amygdala and visual regions as a function of spike-levels. A list of publications resulting from work in the host laboratory is included in the report.

Millora en la creació i configuració automatitzada de dispositius a la xarxa lliure Guifi.net

Guifi.net es una red libre de telecomunicaciones construida a iniciativa de los propios participantes que, mediante un acuerdo entre iguales, se interconectan para compartir servicios y recursos. Del vínculo filosófico con el software libre deriva que toda la información sea pública, mientras que del agnosticismo tecnológico, la utilización de cualquier dispositivo del mercado. Por esto existe el 'unsolclic', una secuencia de órdenes de confi guración genérica de dispositivos y verdadero factor de éxito. El objetivo del proyecto es mejorar el proceso de incorporación de nuevos dispositivos a la aplicación actual. Mediante una nueva gestión web y un sistema de plantillas estándar, los usuarios avanzados podran crear los confi guradores 'unsolclic' para los nuevos dispositivos del mercado y mantener los existentes con más facilidad y eficiencia.

African signatures of recent positive selection in human FOXI1

Background: The human FOXI1 gene codes for a transcription factor involved in the physiology of the inner ear, testis, and kidney. Using three interspecies comparisons, it has been suggested that this may be a gene underhuman-specific selection. We sought to confirm this finding by using an extended set of orthologous sequences.Additionally, we explored for signals of natural selection within humans by sequencing the gene in 20 Europeans,20 East Asians and 20 Yorubas and by analysing SNP variation in a 2 Mb region centered on FOXI1 in 39worldwide human populations from the HGDP-CEPH diversity panel.Results: The genome sequences recently available from other primate and non-primate species showed that FOXI1divergence patterns are compatible with neutral evolution. Sequence-based neutrality tests were not significant inEuropeans, East Asians or Yorubas. However, the Long Range Haplotype (LRH) test, as well as the iHS and XP-Rsbstatistics revealed significantly extended tracks of homozygosity around FOXI1 in Africa, suggesting a recentepisode of positive selection acting on this gene. A functionally relevant SNP, as well as several SNPs either on theputatively selected core haplotypes or with significant iHS or XP-Rsb values, displayed allele frequencies stronglycorrelated with the absolute geographical latitude of the populations sampled.Conclusions: We present evidence for recent positive selection in the FOXI1 gene region in Africa. Climate mightbe related to this recent adaptive event in humans. Of the multiple functions of FOXI1, its role in kidney-mediatedwater-electrolyte homeostasis is the most obvious candidate for explaining a climate-related adaptation.

The Ins and Outs of Unemployment: A Conditional Analysis

We analyze how unemployment, job finding and job separation rates react to neutral and investment-specific technology shocks. Neutral shocks increase unemployment and explain a substantial portion of unemployment volatility; investment-specific shocks expand employment and hours worked and mostly contribute to hours worked volatility. Movements in the job separation rates are responsible for the impact response of unemployment while job finding rates for movements along its adjustment path. Our evidence qualifies the conclusions by Hall (2005) and Shimer (2007) and warns against using search models with exogenous separation rates to analyze the effects of technology shocks.

The Labor Market Effects of Technology Shocks

We analyze the labor market effects of neutral and investment-specific technology shocks along the intensive margin (hours worked) and the extensive margin (unemployment). We characterize the dynamic response of unemployment in terms of the job separation and the job finding rate. Labor market adjustments occur along the extensive margin in response to neutral shocks, along the intensive margin in response to investment specific shocks. The job separation rate accounts for a major portion of the impact response of unemployment. Neutral shocks prompt a contemporaneous increase in unemployment because of a sharp rise in the separation rate. This is prolonged by a persistent fall in the job finding rate. Investment specific shocks rise employment and hours worked. Neutral shocks explain a substantial portion of the volatility of unemployment and output; investment specific shocks mainly explain hours worked volatility. This suggests that neutral progress is consistent with Schumpeterian creative destruction, while investment-specific progress operates as in a neoclassical growth model.

La Imagen de China en la prensa española : una visión desde los diarios: El País, ABC, El Periódico y La Vanguardia

El presente trabajo se centra en evidenciar la valoración de China que la prensa española realiza en sus informaciones, recoger la imagen china en la misma prensa española, e identificar los mecanismos que se emplean en la construcción y difusión de esta imagen, a través de la investigación sobre la selección de las piezas informativas en los diarios de difusión nacional: El País, ABC, El Periódico y La Vanguardia, teniendo en cuenta sus distintas líneas editoriales. Acudimos principalmente a una combinación de tres metodologías: la metodología de corte documental, la cuantitativa (análisis del contenido) y la cualitativa (análisis socio-semiótico). Entre las conclusiones aportadas destacamos que, contrariamente a lo que suponíamos, en general la prensa española presenta una imagen neutral de China. Además, debido a las distintas líneas editoriales, existen varias diferencias respecto al tratamiento que realizan sobre China los perióticos objeto de estudios

Efficient interval scoring rules

Scoring rules that elicit an entire belief distribution through the elicitation of point beliefsare time-consuming and demand considerable cognitive e¤ort. Moreover, the results are validonly when agents are risk-neutral or when one uses probabilistic rules. We investigate a classof rules in which the agent has to choose an interval and is rewarded (deterministically) onthe basis of the chosen interval and the realization of the random variable. We formulatean e¢ ciency criterion for such rules and present a speci.c interval scoring rule. For single-peaked beliefs, our rule gives information about both the location and the dispersion of thebelief distribution. These results hold for all concave utility functions.

The ins and outs of unemployment: An analysis conditional on technology shocks

We analyze how unemployment, job finding and job separation rates reactto neutral and investment-specific technology shocks. Neutral shocks increaseunemployment and explain a substantial portion of it volatility; investment-specificshocks expand employment and hours worked and contribute to hoursworked volatility. Movements in the job separation rates are responsible for theimpact response of unemployment while job finding rates for movements alongits adjustment path. The evidence warns against using models with exogenousseparation rates and challenges the conventional way of modelling technologyshocks in search and sticky price models.

Unemployment vs. mismatch of talents: Reconsidering unemployment benefits

We develop an equilibrium search-matching model with risk-neutral agentsand two-sided ex-ante heterogeneity. Unemployment insurance has thestandard effect of reducing employment, but also helps workers to get a suitable job. The predictions of our simple modelare consistent with the contrasting performance of the labor market in Europeand US in terms of unemployment, productivity growth and wage inequality.To show this, we construct two fictitious economies with calibratedparameters which only differ by the degree of unemployment insurance andassume that they are hit by a common technological shock which enhancesthe importance of mismatch. This shock reduces the proportion of jobs whichworkers regards as acceptable in the economy with unemployment insurance(Europe). As a result, unemployment doubles in this economy.In the laissez-faire economy (US), unemployment remains constant,but wage inequality increases more and productivity grows less due to largermismatch. The model can be used to address a number of normative issues.

Schumpeterian technology shocks

We analyze the labor market effects of neutral and investment-specific technologyshocks along the intensive margin (hours worked) and the extensive margin(unemployment). We characterize the dynamic response of unemploymentin terms of the job separation and the job finding rate. Labor market adjustmentsoccur along the extensive margin in response to neutral shocks, along theintensive margin in response to investment specific shocks. The job separationrate accounts for a major portion of the impact response of unemployment. Neutralshocks prompt a contemporaneous increase in unemployment because of asharp rise in the separation rate. This is prolonged by a persistent fall in thejob finding rate. Investment specific shocks rise employment and hours worked.Neutral shocks explain a substantial portion of the volatility of unemploymentand output; investment specific shocks mainly explain hours worked volatility.This suggests that neutral progress is consistent with Schumpeterian creative destruction,while investment-specific progress operates as in a neoclassical growthmodel.

Multiple correspondence analysis of a subset of response categories

In the analysis of multivariate categorical data, typically the analysis of questionnaire data, it is often advantageous, for substantive and technical reasons, to analyse a subset of response categories. In multiple correspondence analysis, where each category is coded as a column of an indicator matrix or row and column of Burt matrix, it is not correct to simply analyse the corresponding submatrix of data, since the whole geometric structure is different for the submatrix . A simple modification of the correspondence analysis algorithm allows the overall geometric structure of the complete data set to be retained while calculating the solution for the selected subset of points. This strategy is useful for analysing patterns of response amongst any subset of categories and relating these patterns to demographic factors, especially for studying patterns of particular responses such as missing and neutral responses. The methodology is illustrated using data from the International Social Survey Program on Family and Changing Gender Roles in 1994.

Social preferences: Some simple tests and a new model

Departures from pure self interest in economic experiments have recently inspired models of "social preferences". We conduct experiments on simple two-person and three-person games with binary choices that test these theories more directly than the array of games conventionally considered. Our experiments show strong support for the prevalence of "quasi-maximin" preferences: People sacrifice to increase the payoffs for all recipients, but especially for the lowest-payoff recipients. People are also motivated by reciprocity: While people are reluctant to sacrifice to reciprocate good or bad behavior beyond what they would sacrifice for neutral parties, they withdraw willingness to sacrifice to achieve a fair outcome when others are themselves unwilling to sacrifice. Some participants are averse to getting different payoffs than others, but based on our experiments and reinterpretation of previous experiments we argue that behavior that has been presented as "difference aversion" in recent papers is actually a combination of reciprocal and quasi-maximin motivations. We formulate a model in which each player is willing to sacrifice to allocate the quasi-maximin allocation only to those players also believed to be pursuing the quasi-maximin allocation, and may sacrifice to punish unfair players.