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.

Earnings management in Spain. Some evidence from companies quoted in the Spanish stock exchange

After the accounting scandals that have taken place mainly in the UnitedStates during the last years, some Spanish leading authorities havedefended the idea that this kind of accounting problems cannot happen inSpain. They argue that accounting regulation in Europe, and specificallyin Spain, make more difficult the use of creative accounting practices.The objective of this paper is to identify some evidence about thesituacion in Spain. The study tries to demonstrate that some accountingpractices of several of the companies quoted in the Spanish Stock Exchangecould be qualified as earnings management.To carry out this study, the authors have analysed the accounts of the 35companies included in the stock market index IBEX 35. This index iscalculated with the share prices variations of the most importantcompanies quoted in the Spanish Stock Exchange.

Tasini v. The New York Times: aspectos bibliotecarios

La revista mensual de la Special Libraries Association(SLA), Información Outlook, publica usualmente una columna fija dedicada a cuestiones de copyright. En el número de septiembre de 2001 el artículo se titulaba ¿Tasini: capítulo final¿, y explicaba la resolución del litigio que enfrentó a escritores freelance (los que trabajan por cuenta propia) contra sus antiguas empresas, como el New York Times (NYT), etc. Sin embargo, como en un buen misterio de asesinatos en el que el muerto reaparece, el título de la columna de octubre fue ¿¡El caso que no muere!¿.

New York versus la tragedia y Edipo. El legado sofocleo -y sofístico- en Crimes and Misdemeanors de W. Allen

Más allá de la referencia explícita a la tragedia griega y Edipo, el objetivo de este artículo es presentar la estrecha relación, en opinión del autor, entre lo que mantienen los protagonistas en Crimes and Misdemeanors y las teorías de los sofistas griegos sobre Dios, la ley, etc. Una confrontación minuciosa de sus textos con el guión de la película revela claramente unas raíces sofísticas que no pueden ser atribuidas, en este caso, a la presencia constante del legado judío en la obra de W. Allen.

New York versus Tragedy and Oedipus. The Legacy of Sophocles and the Sophists in Woody Allen's "Crimes and Misdemeanors"

Beyond the explicit reference to the Greek tragedy and Oedipus, the aim of this article is to show the clear relationship, in the author's opinion, between what the protagonists of the film maintain and the theories of the Greek Sophists about God, the law, etc. An accurate analysis both of their texts and the screenplay of Crimes and Misdemeanors reveals different sophistic roots, which, in this case, cannot be attributed to the constant presence of the Jewish legacy in W. Allen's work.

New York versus la tragedia y Edipo. El legado sofocleo -y sofístico- en Crimes and Misdemeanors de W. Allen

Más allá de la referencia explícita a la tragedia griega y Edipo, el objetivo de este artículo es presentar la estrecha relación, en opinión del autor, entre lo que mantienen los protagonistas en Crimes and Misdemeanors y las teorías de los sofistas griegos sobre Dios, la ley, etc. Una confrontación minuciosa de sus textos con el guión de la película revela claramente unas raíces sofísticas que no pueden ser atribuidas, en este caso, a la presencia constante del legado judío en la obra de W. Allen.

New York versus la tragèdia i Èdip. El llegat de Sòfocles -i dels sofistes- a Crimes and Misdemeanors de W. Allen

Més enllà de la referència explícita a la tragèdia grega i Èdip, l'objectiu d'aquest article és presentar l'estreta relació, en opinió del autor, entre allò que mantenen els protagonistes a Crimes and Misdemanors i les teories del sofistes grecs sobre Déu, la llei, etc. Una confrontació acurada dels seus textos amb el guió de la pel·lícula revela clarament unes arrels sofístiques que no poden ser atribuïdes, en aquest cas, a la constant presència del llegat jueu en l'obra de W. Allen.

The Catalan migration to New York. A view from La Llumanera de Nova York (1874-1881)

The first issue of La Llumanera de Nova York came out in November 1874 and was not published until 1881. The challenge was certainly complicated: editing a newspaper in Catalan in New York, with the aim of influencing a group of potential readers who were distributed in the United States and, at the same time, become a medium that would bring the ideas of a new era, both from a political and cultural point of view