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.

Probability distribution of the radionuclide half-lives

Power law distributions, a well-known model in the theory of real random variables, characterize a wide variety of natural and man made phenomena. The intensity of earthquakes, the word frequencies, the solar ares and the sizes of power outages are distributed according to a power law distribution. Recently, given the usage of power laws in the scientific community, several articles have been published criticizing the statistical methods used to estimate the power law behaviour and establishing new techniques to their estimation with proven reliability. The main object of the present study is to go in deep understanding of this kind of distribution and its analysis, and introduce the half-lives of the radioactive isotopes as a new candidate in the nature following a power law distribution, as well as a \canonical laboratory" to test statistical methods appropriate for long-tailed distributions.

Clustering algorithms for anti-money laundering using graph theory and social network analysis

HEMOLIA (a project under European community’s 7th framework programme) is a new generation Anti-Money Laundering (AML) intelligent multi-agent alert and investigation system which in addition to the traditional financial data makes extensive use of modern society’s huge telecom data source, thereby opening up a new dimension of capabilities to all Money Laundering fighters (FIUs, LEAs) and Financial Institutes (Banks, Insurance Companies, etc.). This Master-Thesis project is done at AIA, one of the partners for the HEMOLIA project in Barcelona. The objective of this thesis is to find the clusters in a network drawn by using the financial data. An extensive literature survey has been carried out and several standard algorithms related to networks have been studied and implemented. The clustering problem is a NP-hard problem and several algorithms like K-Means and Hierarchical clustering are being implemented for studying several problems relating to sociology, evolution, anthropology etc. However, these algorithms have certain drawbacks which make them very difficult to implement. The thesis suggests (a) a possible improvement to the K-Means algorithm, (b) a novel approach to the clustering problem using the Genetic Algorithms and (c) a new algorithm for finding the cluster of a node using the Genetic Algorithm.

Algorithm creation and optimization for the crew pairing problem

Algoritmo que optimiza y crea pairings para tripulaciones de líneas aéreas mediante la posterior programación en Java.

Identification of Ligands for the Tau Exon 10 Splicing Regulatory Element RNA Using Dynamic Combinatorial Chemistry

We describe the use of dynamic combinatorial chemistry (DCC) to identify ligands for the stem-loop structure located at the exon 10-5'-intron junction of Tau pre-mRNA, which is involved in the onset of several tauopathies including frontotemporal dementia with Parkinsonism linked to chromosome 17 (FTDP-17). A series of ligands that combine the small aminoglycoside neamine and heteroaromatic moieties (azaquinolone and two acridines) have been identified by using DCC. These compounds effectively bind the stem-loop RNA target (the concentration required for 50% RNA response (EC(50)): 2-58 μM), as determined by fluorescence titration experiments. Importantly, most of them are able to stabilize both the wild-type and the +3 and +14 mutated sequences associated with the development of FTDP-17 without producing a significant change in the overall structure of the RNA (as analyzed by circular dichroism (CD) spectroscopy), which is a key factor for recognition by the splicing regulatory machinery. A good correlation has been found between the affinity of the ligands for the target and their ability to stabilize the RNA secondary structure.

Exploring the effect of aminoglycoside guanidinylation on ligands for Tau exon 10 splicing regulatory element RNA

We describe the effect of guanidinylation of the aminoglycoside moiety on acridine-neamine-containing ligands for the stem-loop structure located at the exon 10-5′-intron junction of Tau pre-mRNA, an important regulatory element of tau gene alternative splicing. On the basis of dynamic combinatorial chemistry experiments, ligands that combine guanidinoneamine and two different acridines were synthesized and their RNA-binding properties were compared with those of their amino precursors. Fluorescence titration experiments and UV-monitored melting curves revealed that guanidinylation has a positive effect both on the binding affinity and specificity of the ligands for the stemloop RNA, as well as on the stabilization of all RNA sequences evaluated, particularly some mutated sequences associated with the development of FTDP-17 tauopathy. However, this correlation between binding affinity and stabilization due to guanidinylation was only found in ligands containing a longer spacer between the acridine and guanidinoneamine moieties, since a shorter spacer produced the opposite effect (e.g. lower binding affinity and lower stabilization). Furthermore, spectroscopic studies suggest that ligand binding does not significantly change the overall RNA structure upon binding (circular dichroism) and that the acridine moiety might intercalate near the bulged region of the stem->loop structure (UV-Vis and NMR spectroscopy).

Aplicaciones de la Teoría de Matrices en Matemática Discreta

Se describen algunas aplicaciones de la teoría de matrices a diversos temas pertenecientes alámbito de la matem\'atica discreta.

Reconstruction of networks from their betweenness centrality

In this paper we study the reconstruction of a network topology from the values of its betweenness centrality, a measure of the influence of each of its nodes in the dissemination of information over the network. We consider a simple metaheuristic, simulated annealing, as the combinatorial optimization method to generate the network from the values of the betweenness centrality. We compare the performance of this technique when reconstructing different categories of networks –random, regular, small-world, scale-free and clustered–. We show that the method allows an exact reconstruction of small networks and leads to good topological approximations in the case of networks with larger orders. The method can be used to generate a quasi-optimal topology fora communication network from a list with the values of the maximum allowable traffic for each node.

Dels jeroglífics egipcis a la compartició de secrets

En aquest article parlarem d'un jeroglífic inscrit als laterals de la llinda de Sant Andreu de la Barroca, una petita església perduda en un indret recòndit de la Vall del Llémena, a la Garrotxa. A propòsit d'aquest petit enigma ludolingüístic, plantejarem(i finalment resoldrem) un problema de naturalesa combinatòria que el lector interessat pot provar de resoldre com a exercici. També fem un breu repàs de la història del desxiframent '’escriptures de civilitzacions antigues. Aprofitem l'avinentesa per introduir els conceptes d'entropia i redundància del llenguatge, que ens ajudaran a entendre per què, tard o d'hora, qualsevolescriptura antiga finalment acaba essent desxifrada quan es té una conjectura raonable sobre quina és la llengua que transcriu. Finalment, definim el concepte d'esquema de compartició de secrets, un problema de criptografia moderna en el qual un conjunt de persones gestiona petits fragments d'informació compartida, i que es resol aplicant de manera brillant una idea que prové del món de l'àlgebra lineal més elemental

p-Nitrobenzyloxycarbonyl (pNZ) as Temporary Na-Protecting Group for Mild Solid-Phase Peptide Synthesis. Avoiding Diketopiperazine and Aspartimide Formation

p-Nitrobenzyloxycarbonyl was used as temporary protecting group for the -amino function in solid-phase peptide synthesis. The corresponding derivatives are solids, easy to be synthesized, and perform well in the solid-phase mode. pNZ is removed in practical neutral conditions in the presence of catalytic amounts of acid. They are orthogonal with the most common protecting groups used in peptide chemistry. They are specially useful in combination with Fmoc chemistry to overcome those side reactions associated with the used of the piperidine such DKP and aspartiimide formation. The flexibility of pNZ can be very useful for the preparation of libraries of small organic molecules.

La comunicació política en els governs de coalició a Catalunya (2003-2014) : un estudi de cas comparat entre els governs tripartits i els de CiU

La gran assignatura pendent en la formació de governs de coalició és la definició d’estratègiesque garanteixin prèviament un bon funcionament durant la legislatura. No en va, l’èxit d’un govern d’aquestes característiques,en termes de cohesió i estabilitat al llarg de tot el mandat, depèn no només de factors com la combinatòria de socis o la distribució del poder sinó també de les pautes de funcionament intern i extern incorporades als acords coalicionals com la comunicació interna i externa. En efecte, la comunicació constitueix un dels patrons de conductamés rellevants a l’hora de palesar l’activitat col·lectiva i sectorial dels governs, i una font d’estabilitat interna en cas que s’executi de manera eficaç i a satisfacció dels socis. L’anàlisi d’aquest factor té especial importància a Catalunya, doncs, després de més de trenta anys d’autonomia política, segueix sent l'única de les comunitats autònomes de l’Estat governada sempre per més d'un partit polític i que més ha desplegat la dinàmica coalicional.

Introducción técnica a la implementación de compresores y descompresores basados en los sistemas Huffman y Lempev-Ziv

Peer-reviewed

Análisis multisistémico de la comunicación humana

En aquest article es presenta el mètode multisistèmic per a l'anàlisi de la comunicació humana. En primer lloc, es fa una revisió del concepte comunicació humana multisistèmica que s'entén com l'intercanvi de missatges complexos que es transmeten mitjançant una modalitat combinatòria de canals físics i somàtics. Aquests missatges són codificats i descodificats per sistemes semiòtics semblants, però alhora distints, que es coestructuren internament i s'interrelacionen els uns amb els altres amb l'únic objectiu de comunicar. Així doncs, la comunicació humana multisistèmica no només és possible a través del sistema lingüístic que ens caracteritza y diferencia com a espècie, sinó que, a més a més, hi intervenen altres sistemes semiòtics que es coestructuren internament, s'interrelacionen els uns amb els altres i són coexpressius amb el llenguatge verbal. En segon lloc, es descriuen les investigacions més rellevants en aquest camp que examinen la correlació que es produeix entre els diferents sistemes semiòtics de la comunicació humana -principalment, llenguatge, parallenguatge i kinèsica-. Per tant, l'anàlisi de la comunicació humana multisistèmica estudia no només la diversitat de sistemes semiòtics que interactuen i s'interrelacionen, sinó també els mecanismes que regulen la relació que s'hi estableix. És per això que es considera el concepte de 'sistema' fonamentat en la Teoria General de Sistemes, i es justifica la selecció del mot 'multisistèmic' com l'alternativa més clara i inequívoca. Finalment, s'exposa el procés d'anàlisi multisistèmic, la descripció de les fases analítiques i els mètodes emprats, així com també la selecció dels instruments d'anàlisi que s'hi fan servir.