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.

Diseño e implementación de un receptor multifrecuencia basado en muestreo paso banda aplicado al sistema Galileo

Este trabajo tiene como objetivo diseñar e implementar un receptor multifrecuencia requerido para aplicaciones Galileo centradas a realizar correcciones de errores y estudios de la ionosfera. Estas características obligan a buscar alternativas respecto los receptores superheterodinos convencionales dado que para éstos los retardos de propagación entre las diferentes bandas de interés son inaceptables. Por ello, se presenta un receptor basado en la técnica de muestreo paso banda, que permite trasladar el espectro mediante el conversor ADC a través de un aliasing intencionado, eliminando así los retardos de propagación entre bandas de interés, dado que todas se albergan en un mismo canal. En este trabajo nos hemos centrado únicamente en las etapas críticas del receptor presentado, siendo éstas la etapa de filtrado y conversión digital. La etapa de filtrado requerirá filtros muy selectivos, ya que el ruido existente fuera de banda se solapará a nuestra banda de interés, degradando la SNR del sistema a medida que tenga más potencia. Esta etapa se ha realizado mediante una estructura duplexora conjuntamente con dos filtros de líneas acopladas. La etapa de conversión se ha realizado fabricando el layout de un conversor comercial, del cual se ha validado el correcto funcionamiento para la aplicación requerida.

On the existence of hysteresis in the Kuramoto model with bimodal frequency distributions

We investigate the transition to synchronization in the Kuramoto model with bimodal distributions of the natural frequencies. Previous studies have concluded that the model exhibits a hysteretic phase transition if the bimodal distribution is close to a unimodal one, due to the shallowness the central dip. Here we show that proximity to the unimodal-bimodal border does not necessarily imply hysteresis when the width, but not the depth, of the central dip tends to zero. We draw this conclusion from a detailed study of the Kuramoto model with a suitable family of bimodal distributions.

Vigilance behavior of Pyrenean chamois (Rupicapra pyrenaica pyrenaica): Effect of sex and position in the herd

The Pyrenean chamois (Rupicapra pyrenaica pyrenaica) is a mountain-dwelling ungulate with an extensive presence in open areas. Optimal group size results from the trade off between advantages (a reduction in the risk of predation) and disadvantages (competition between members of the herd) of group living. In addition, advantages and disadvantages of group living may vary depending on the position of each individual within the herd. Our objective was to study the effect of central vs. peripheral position in the herd on feeding and vigilance behavior in male and female Pyrenean chamois and to ascertain if a group size effect existed. We used focal animal sampling and recorded social interactions when a focal animal was involved. With males, vigilance rate was higher in the central part of the group than at the periphery, probably due to a higher density of animals in the central part of the herd and a higher probability of being disturbed by conspecifics. With females, vigilance rate did not differ according to position in the herd. Females spent more time feeding than males, and males showed a higher frequency of the vigilance behavior than females. We did not observe a clear relationship between group size and vigilance behavior. The differences in vigilance behavior might be due to social interactions.

Interpolation and sampling in small Bergman spaces

"Vegeu el resum a l'inici del document del fitxer adjunt."

Design of Novel Frequency Generation Circuit with Application to Ultra-Wideband Distributed Oscillators

Given the urgence of a new paradigm in wireless digital trasmission which should allow for higher bit rate, lower latency and tigher delay constaints, it has been proposed to investigate the fundamental building blocks that at the circuital/device level, will boost the change towards a more efficient network architecture, with high capacity, higher bandwidth and a more satisfactory end user experience. At the core of each transciever, there are inherently analog devices capable of providing the carrier signal, the oscillators. It is strongly believed that many limitations in today's communication protocols, could be relieved by permitting high carrier frequency radio transmission, and having some degree of reconfigurability. This led us to studying distributed oscillator architectures which work in the microwave range and possess wideband tuning capability. As microvave oscillators are essentially nonlinear devices, a full nonlinear analyis, synthesis, and optimization had to be considered for their implementation. Consequently, all the most used nonlinear numerical techniques in commercial EDA software had been reviewed. An application of all the aforementioned techniques has been shown, considering a systems of three coupled oscillator ("triple push" oscillator) in which the stability of the various oscillating modes has been studied. Provided that a certain phase distribution is maintained among the oscillating elements, this topology permits a rise in the output power of the third harmonic; nevertheless due to circuit simmetry, "unwanted" oscillating modes coexist with the intenteded one. Starting with the necessary background on distributed amplification and distributed oscillator theory, the design of a four stage reverse mode distributed voltage controlled oscillator (DVCO) using lumped elments has been presented. All the design steps have been reported and for the first time a method for an optimized design with reduced variations in the output power has been presented. Ongoing work is devoted to model a wideband DVCO and to implement a frequency divider.

Meaning of the λ parameter of skew–normal and log–skew normal distributions in fluid geochemistry

The literature related to skew–normal distributions has grown rapidly in recent yearsbut at the moment few applications concern the description of natural phenomena withthis type of probability models, as well as the interpretation of their parameters. Theskew–normal distributions family represents an extension of the normal family to whicha parameter (λ) has been added to regulate the skewness. The development of this theoreticalfield has followed the general tendency in Statistics towards more flexible methodsto represent features of the data, as adequately as possible, and to reduce unrealisticassumptions as the normality that underlies most methods of univariate and multivariateanalysis. In this paper an investigation on the shape of the frequency distribution of thelogratio ln(Cl−/Na+) whose components are related to waters composition for 26 wells,has been performed. Samples have been collected around the active center of Vulcanoisland (Aeolian archipelago, southern Italy) from 1977 up to now at time intervals ofabout six months. Data of the logratio have been tentatively modeled by evaluating theperformance of the skew–normal model for each well. Values of the λ parameter havebeen compared by considering temperature and spatial position of the sampling points.Preliminary results indicate that changes in λ values can be related to the nature ofenvironmental processes affecting the data

Medical image registration based on random line sampling

One of the key aspects in 3D-image registration is the computation of the joint intensity histogram. We propose a new approach to compute this histogram using uniformly distributed random lines to sample stochastically the overlapping volume between two 3D-images. The intensity values are captured from the lines at evenly spaced positions, taking an initial random offset different for each line. This method provides us with an accurate, robust and fast mutual information-based registration. The interpolation effects are drastically reduced, due to the stochastic nature of the line generation, and the alignment process is also accelerated. The results obtained show a better performance of the introduced method than the classic computation of the joint histogram

Nuclear relaxation contribution to static and dynamic (infinite frequency approximation) nonlinear optical properties by means of electrical property expansions: Application to HF, CH4, CF4, and SF6

Electrical property derivative expressions are presented for the nuclear relaxation contribution to static and dynamic (infinite frequency approximation) nonlinear optical properties. For CF4 and SF6, as opposed to HF and CH4, a term that is quadratic in the vibrational anharmonicity (and not previously evaluated for any molecule) makes an important contribution to the static second vibrational hyperpolarizability of CF4 and SF6. A comparison between calculated and experimental values for the difference between the (anisotropic) Kerr effect and electric field induced second-harmonic generation shows that, at the Hartree-Fock level, the nuclear relaxation/infinite frequency approximation gives the correct trend (in the series CH4, CF4, SF6) but is of the order of 50% too small

Irregular to regular sampling, denoising and deconvolution

We propose a restoration algorithm for band limited images that considers irregular(perturbed) sampling, denoising, and deconvolution. We explore the application of a family ofregularizers that allow to control the spectral behavior of the solution combined with the irregular toregular sampling algorithms proposed by H.G. Feichtinger, K. Gr¨ochenig, M. Rauth and T. Strohmer.Moreover, the constraints given by the image acquisition model are incorporated as a set of localconstraints. And the analysis of such constraints leads to an early stopping rule meant to improvethe speed of the algorithm. Finally we present experiments focused on the restoration of satellite images, where the micro-vibrations are responsible of the type of distortions we are considering here. We will compare results of the proposed method with previous methods and show an extension tozoom.

Experiencing simulated outcomes

Whereas much literature has documented difficulties in making probabilistic inferences, it hasalso emphasized the importance of task characteristics in determining judgmental accuracy.Noting that people exhibit remarkable efficiency in encoding frequency information sequentially,we construct tasks that exploit this ability by requiring people to experience the outcomes ofsequentially simulated data. We report two experiments. The first involved seven well-knownprobabilistic inference tasks. Participants differed in statistical sophistication and answered withand without experience obtained through sequentially simulated outcomes in a design thatpermitted both between- and within-subject analyses. The second experiment involvedinterpreting the outcomes of a regression analysis when making inferences for investmentdecisions. In both experiments, even the statistically naïve make accurate probabilistic inferencesafter experiencing sequentially simulated outcomes and many prefer this presentation format. Weconclude by discussing theoretical and practical implications.

What risks do people perceive in everyday life? A perspective gained from the experience sampling method (ESM)

The experiential sampling method (ESM) was used to collect data from 74 parttimestudents who described and assessed the risks involved in their current activitieswhen interrupted at random moments by text messages. The major categories ofperceived risk were short-term in nature and involved loss of time or materials relatedto work and physical damage (e.g., from transportation). Using techniques of multilevelanalysis, we demonstrate effects of gender, emotional state, and types of risk onassessments of risk. Specifically, females do not differ from males in assessing thepotential severity of risks but they see these as more likely to occur. Also, participantsassessed risks to be lower when in more positive self-reported emotional states. Wefurther demonstrate the potential of ESM by showing that risk assessments associatedwith current actions exceed those made retrospectively. We conclude by notingadvantages and disadvantages of ESM for collecting data about risk perceptions.

Editorial: Language, frequency and bibliometric indexes

This editorial examines the actions undertaken in number 5 and announces two important changes for the numbers 6 and 7, namely frequency and languages. Furthermore, the use of some bibliometric indicators, such as impact factor and refusal rate, is critically analyzed.

Exploring the high frequency emission of radio loud X-ray binaries

We report millimetre-wave continuum observations of the X-ray binaries Cygnus X-3, SS 433, LSI+61 303, Cygnus X-1 and GRS 1915+105. The observations were carried out with the IRAM 30 m-antenna at 250 GHz (1.25 mm) from 1998 March 14 to March 20. These millimetre measurements are complemented with centimetre observations from the Ryle Telescope, at 15 GHz (2.0 cm) and from the Green Bank Interferometer at 2.25 and 8.3 GHz (13 and 3.6 cm). Both Cygnus X-3 and SS 433 underwent moderate flaring events during our observations, whose main spectral evolution properties are described and interpreted. A significant spectral steepening was observed in both sources during the flare decay, that is likely to be caused by adiabatic expansion, inverse Compton and synchrotron losses. Finally, we also report 250 GHz upper limits for three additional undetected X-ray binary stars: LSI+65 010, LSI+61 235 and X Per.