Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Cardiothoracic ratio and vertebral heart size (VHS) to standardize the heart size of the tufted capuchin (Cebus apella Linnaeus, 1758) in computerized radiographic images

Abstract: The VHS and CTR were assessed using computerized thoracic radiographs of ten clinically healthy tufted capuchin monkeys (five males and five females) from the Wild Animal Screening Center in São Luís (Centro de Triagem de Animais Silvestres de São Luís-MA-CETAS). Radiographs were taken in laterolateral and dorsoventral projections to calculate the cardiothoracic ratio (VHS) and vertebral heart size (CTR). The VHS showed mean values of 9.34±0.32v (males) and 9.16±0.34v (females) and there was no statistical difference between males and females (p>0.05). The CTR showed mean values of 0.55±0.04 (males) and 0.52±0.03 (females) and there was no statistical difference between the sexes (p>0.05). There was positive correlation between VHS and CTR (r=0.78). The thoracic and heart diameters showed mean values of 5.70±0.48cm and 2.16±0.40cm in the males, respectively. In the females they measured 5.32±0.39cm and 2.94±0.32cm. There was no statistical difference between the sexes. Our results show that the high correlation found between VHS and CTR permitted the verification with similar clinical precision between the two methods to estimate alterations in the heart silhouette by radiographic examination of tufted capuchin, making it an easy technique to apply that can be considered in the investigation of heart problems for this wild species.

Assimilate partitioning in leaves of the raffinose-storing herb Lamium album L.: the effects of altering source-sink balance

In Lamium album, sucrose and raffinose-family oligosaccharides are the major products of photosynthesis that are stored in leaves. Using gas analysis and 14CO2 feeding, we compared photosynthesis and the partitioning of recently-fixed carbon in plants where sink activity was lowered by excision of flowers and chilling of roots with those where sink activity was not modified. Reduction in sink activity led to a reduction in the maximum rate of photosynthesis, to retention of fixed carbon in source leaves and to the progressive accumulation of raffinose-family oligosaccharides. This ultimately affected the extractable activities of invertase and sucrose phosphate synthase. At the end of the light period, invertase activity was significantly higher in treated plants. By contrast sucrose phosphate synthase activity was significantly lower in treated plants. We propose that reducing sink activity in L. album is associated with a shift in metabolism away from starch and sucrose synthesis and towards sucrose catabolism, galactinol utilisation and the synthesis of raffinose-family oligosaccharides.

Plasma hydroxy-metronidazole/ metronidazole ratio in hepatitis C virus-induced liver disease

It has been suggested that the measurement of metronidazole clearance is a sensitive method for evaluating liver function. The aim of this study was to evaluate the usefulness of plasma hydroxy-metronidazole/metronidazole ratios as indicators of dynamic liver function to detect changes resulting from the various forms of chronic hepatitis C virus (HCV) infection. A total of 139 individuals were studied: 14 healthy volunteers, 22 healthy, asymptomatic, consecutive anti-HCV-positive HCV-RNA negative subjects, 81 patients with chronic hepatitis C (49 with moderate/severe chronic hepatitis and 34 with mild hepatitis), and 20 patients with cirrhosis of the liver. HCV status was determined by the polymerase chain reaction. Plasma concentrations of metronidazole and its hydroxy-metabolite were measured by reverse-phase high-performance liquid chromatography with ultraviolet detection in a blood sample collected 10 min after the end of a metronidazole infusion. Anti-HCV-positive HCV-RNA-negative individuals demonstrated a significantly reduced capacity to metabolize intravenously infused metronidazole compared to healthy individuals (0.0478 ± 0.0044 vs 0.0742 ± 0.0232). Liver cirrhosis patients also had a reduced plasma hydroxy-metronidazole/metronidazole ratio when compared to the other groups of anti-HCV-positive individuals (0.0300 ± 0.0032 vs 0.0438 ± 0.0027 (moderate/severe chronic hepatitis) vs 0.0455 ± 0.0026 (mild chronic hepatitis) and vs 0.0478 ± 0.0044 (anti-HCV-positive, HCV-RNA-negative individuals)). These results suggest an impairment of the metronidazole metabolizing system induced by HCV infection that lasts after viral clearance. In those patients with chronic hepatitis C, this impairment is paralleled by progression of the disease to liver cirrhosis.

Efficacy of the FEV1/FEV6 ratio compared to the FEV1/FVC ratio for the diagnosis of airway obstruction in subjects aged 40 years or over

The present cross-sectional, population-based study was designed to evaluate the performance of the FEV1/FEV6 ratio for the detection of airway-obstructed subjects compared to the FEV1/FVC <0.70 fixed ratio test, as well as the lower limit of normality (LLN) for 1000 subjects ³40 years of age in the metropolitan area of São Paulo, SP, Brazil. After the exclusion of 37 (3.7%) spirometries, a total of 963 pre-bronchodilator (BD) and 918 post-BD curves were constructed. The majority of the post-BD curves (93.1%) were of very good quality and achieved grade A (762 curves) or B (93 curves). The FEV1/FEV6 and FEV1/FVC ratios were highly correlated (r² = 0.92, P < 0.000). Two receiver operator characteristic curves were constructed in order to express the imbalance between the sensitivity and specificity of the FEV1/FEV6 ratio compared to two FEV1/FVC cut-off points for airway obstruction: equal to 70 (area under the curve = 0.98, P < 0.0001) and the LLN (area under the curve = 0.97, P < 0.0001), in the post-BD curves. According to an FEV1/FVC <0.70, the cut-off point for the FEV1/FEV6 ratio with the highest sum for sensitivity and specificity was 0.75. The FEV1/FEV6 ratio can be considered to be a good alternative to the FEV1/FVC ratio for the diagnosis of airway obstruction, both using a fixed cut-off point or below the LLN as reference. The FEV1/FEV6 ratio has the additional advantage of being an easier maneuver for the subjects and for the lung function technicians, providing a higher reproducibility than traditional spirometry maneuvers.

Epistolarum conscribendarum forma & ratio

Dedikaatio: Johannes Cajanus, Jacobus Frosterus, Laurentius Lithovius, Olaus Lauraeus, Jacobus Falander, Johannes Laibeck, Georgius Aenelius, Johannes Forsman, Abraham Falander, Johannes Argillander.

Spot urine porphyrins/creatinine ratio profile of healthy Brazilian individuals adjusted for personal habits

Changes in urinary porphyrin excretion may be the result of hereditary causes and/or from environmental or occupational exposure. The objective of this study was to measure the amount of some porphyrins in spot urine samples obtained from volunteers randomly selected from a healthy adult population of São Paulo with a sensitive HPLC method and to estimate normal ranges for a non-exposed population. Spot urine samples were collected from 126 subjects (both genders, 18 to 65 years old) not occupationally exposed to porphyrinogenic agents. Porphyrin fractions were separated on RP-18 HPLC column eluted with a methanol/ammonium acetate buffer gradient, pH 4.0, and measured fluorometrically (excitation 405 nm/emission 620 nm). The amount of porphyrins was corrected for urinary creatinine excretion. Only 8-carboxyl (uro) and 4-carboxyl (copro) porphyrins were quantified as µg/g creatinine. Data regarding age, gender, occupational activities, smoking and drinking habits were analyzed by Mann-Whitney and Kruskal-Wallis tests. Uroporphyrin results did not differ significantly between the subgroups studied. Copro and uro + copro porphyrins were significantly different for smokers (P = 0.008) and occupational activities (P = 0.004). With respect to alcohol consumption, only men drinking >20 g/week showed significant differences in the levels of copro (P = 0.022) and uro + copro porphyrins (P = 0.012). The 2.5-97.5th percentile limit values, excluding those for subjects with an alcohol drinking habit >20 g/week, were 0-20.8, 11.7-93.1, and 15.9-102.9 µg/g creatinine for uro, copro and uro + copro porphyrins, respectively. These percentile limit values can be proposed as a first attempt to provide urinary porphyrin reference values for our population, serving for an early diagnosis of porphyrinopathies or as biomarkers of exposure to porphyrinogenic agents.

A high-carbohydrate diet enhances the adverse effect of the S2 allele of APOC3 SstI polymorphism on the TG/HDL-C ratio only in young Chinese females

Both genetic background and diet have profound effects on plasma lipid profiles. We hypothesized that a high-carbohydrate (high-CHO) diet may affect the ratios of serum lipids and apolipoproteins (apo) differently in subjects with different genotypes of the SstI polymorphism in the apoCIII gene (APOC3). Fifty-six healthy university students (27 males and 29 females, 22.89 ± 1.80 years) were given a washout diet of 54% carbohydrate for 7 days, followed by a high-CHO diet of 70% carbohydrate for 6 days without total energy restriction. Serum triglyceride (TG), total cholesterol (TC), high-density lipoprotein cholesterol (HDL-C), low-density lipoprotein cholesterol (LDL-C), apoB100, apoAI, and the APOC3 SstI polymorphism were analyzed. The ratios of serum lipids and apoB100/apoAI were calculated. At baseline, the TG/HDL-C ratio was significantly higher in females, but not in males, with the S2 allele. The differences in the TG/HDL-C ratio between genotypes remained the same after the washout and the high-CHO diet in females. When compared with those before the high-CHO diet, the TC/HDL-C (male S2 carriers: 3.13 ± 1.00 vs 2.36 ± 0.65, P = 0.000; male subjects with the S1S1 genotype: 2.97 ± 0.74 vs 2.09 ± 0.55, P = 0.000; female S2 carriers: 2.68 ± 0.36 vs 2.24 ± 0.37, P = 0.004; female subjects with the S1S1 genotype: 2.69 ± 0.41 vs 2.09 ± 0.31, P = 0.000) and LDL-C/HDL-C (male S2 carriers: 1.44 ± 0.71 vs 1.06 ± 0.26, P = 0.012; male subjects with the S1S1 genotype: 1.35 ± 0.61 vs 1.01 ± 0.29, P = 0.005; female S2 carriers: 1.18 ± 0.33 vs 1.00 ± 0.18, P = 0.049; female subjects with the S1S1 genotype: 1.18 ± 0.35 vs 1.04 ± 0.19, P = 0.026) ratios were significantly decreased after the high-CHO diet regardless of gender and of genotype of the APOC3 SstI polymorphism. However, in female S2 carriers, the TG/HDL-C (1.38 ± 0.46 vs 1.63 ± 0.70, P = 0.039) ratio was significantly increased after the high-CHO diet. In conclusion, the high-CHO diet has favorable effects on the TC/HDL-C and LDL-C/HDL-C ratios regardless of gender and of genotype of the APOC3 SstI polymorphism. Somehow, it enhanced the adverse effect of the S2 allele on the TG/HDL-C ratio only in females.

Acid and salt uptake during the marinatig process of Engraulis anchoita fillets influence of the solution: fish ratio and agitation

The aims of this research were to determine the effect of different conditions of the marination stage on the salt and acid uptake, immersion time, and sensorial characteristics during the marinating process of anchovy (Engraulis anchoita). Different solution:fish ratios and the agitation effect during this stage were analyzed. The ratios used were: 0.77:1, 3:1 and 10:1 (with and without agitation). An increase of marinating solution:fish ratio causes a higher speed of acid and salt penetration The product obtained with the 10:1 ratio had a dry and fibrous texture and a slightly salty taste. Salt concentration was statistically significantly lower (p < 0.01) in the samples with agitation. Agitation did not influence the acid uptake, and the salt penetration speed decreased, but rancidity was detected in this product. The ratio 3:1 decreases the marinating time without damaging sensory attributes and can be used in the fish marinating process.

Influence of passion fruit albedo, citric acid, and the pulp/sugar ratio on the quality of banana preserves

The objective of this research was to evaluate the effect of the citric acid concentration, pulp/sugar ratio, and albedo concentration of the passion fruit peel on physical, physiochemical, and sensorial characteristics of the 'Silver' banana preserves. A 2³ factorial design and 3 repetitions in the central point were used. The albedo concentration between 0 and 3% had significant influence on the reduction of the reducing sugars and on the decrease in titratable acidity. The increase in the pulp/sugar ratio exerted a negative effect on the pH and positive on the titratable acidity; the acid addition reduced the non-reducing sugar level. The sensorial evaluation and purchase intention indicated that the incorporation of a maximum of 1.5% albedo in formulations containing 50% pulp and 0.5% citric acid resulted in products with good acceptability in comparison with the formulation in which 60% pulp and an absence of acid or albedo is utilized.

Alternative electron transfer routes involved in photoprotection of cyanobacteria

In oxygenic photosynthesis, the highly oxidizing reactions of water splitting produce reactive oxygen species (ROS) and other radicals that could damage the photosynthetic apparatus and affect cell viability. Under particular environmental conditions, more electrons are produced in water oxidation than can be harmlessly used by photochemical processes for the reduction of metabolic electron sinks. In these circumstances, the excess of electrons can be delivered, for instance, to O2, resulting in the production of ROS. To prevent detrimental reactions, a diversified assortment of photoprotection mechanisms has evolved in oxygenic photosynthetic organisms. In this thesis, I focus on the role of alternative electron transfer routes in photoprotection of the cyanobacterium Synechocystis sp. PCC 6803. Firstly, I discovered a novel subunit of the NDH-1 complex, NdhS, which is necessary for cyclic electron transfer around Photosystem I, and provides tolerance to high light intensities. Cyclic electron transfer is important in modulating the ATP/NADPH ratio under stressful environmental conditions. The NdhS subunit is conserved in many oxygenic phototrophs, such as cyanobacteria and higher plants. NdhS has been shown to link linear electron transfer to cyclic electron transfer by forming a bridge for electrons accumulating in the Ferredoxin pool to reach the NDH-1 complexes. Secondly, I thoroughly investigated the role of the entire flv4-2 operon in the photoprotection of Photosystem II under air level CO2 conditions and varying light intensities. The operon encodes three proteins: two flavodiiron proteins Flv2 and Flv4 and a small Sll0218 protein. Flv2 and Flv4 are involved in a novel electron transport pathway diverting electrons from the QB pocket of Photosystem II to electron acceptors, which still remain unknown. In my work, it is shown that the flv4-2 operon-encoded proteins safeguard Photosystem II activity by sequestering electrons and maintaining the oxidized state of the PQ pool. Further, Flv2/Flv4 was shown to boost Photosystem II activity by accelerating forward electron flow, triggered by an increased redox potential of QB. The Sll0218 protein was shown to be differentially regulated as compared to Flv2 and Flv4. Sll0218 appeared to be essential for Photosystem II accumulation and was assigned a stabilizing role for Photosystem II assembly/repair. It was also shown to be responsible for optimized light-harvesting. Thus, Sll0218 and Flv2/Flv4 cooperate to protect and enhance Photosystem II activity. Sll0218 ensures an increased number of active Photosystem II centers that efficiently capture light energy from antennae, whilst the Flv2/Flv4 heterodimer provides a higher electron sink availability, in turn, promoting a safer and enhanced activity of Photosystem II. This intertwined function was shown to result in lowered singlet oxygen production. The flv4-2 operon-encoded photoprotective mechanism disperses excess excitation pressure in a complimentary manner with the Orange Carotenoid Protein-mediated non-photochemical quenching. Bioinformatics analyses provided evidence for the loss of the flv4-2 operon in the genomes of cyanobacteria that have developed a stress inducible D1 form. However, the occurrence of various mechanisms, which dissipate excitation pressure at the acceptor side of Photosystem II was revealed in evolutionarily distant clades of organisms, i.e. cyanobacteria, algae and plants.

An investigation into the functional role of the D1:1 and D1:2 polypeptides in photosystem II in cyanobacteria : the effect of changing PSI/PSII ratio on photoinhibition in Synechococcus sp. PCC7942 /

The cyanobacterium Synechococcus sp. PCC 7942 (Anacystis nidulans R2) adjusts its photosynthetic function by changing one of the polypeptides of photosystem II. This polypeptide, called Dl, is found in two forms in Synechococcus sp. PCC 7942. Changing the growth light conditions by increasing the light intensity to higher levels results in replacement of the original form of D 1 polypeptide, D 1: 1, with another form, D 1 :2. We investigated the role of these two polypeptides in two mutant strains, R2S2C3 (only Dl:l present) and R2Kl (only Dl:2 present) In cells with either high or low PSI/PSII. R2S2C3 cells had a lower amplitude for 77 K fluorescence emission at 695 nm than R2Kl cells. Picosecond fluorescence decay kinetics showed that R2S2C3 cells had shorter lifetimes than R2Kl cells. The lower yields and shorter lifetimes observed in the D 1 and Dl:2 containing cells. containing cells suggest that the presence of D 1: 1 results in more photochemical or non-photochemical quenching of excitation energy In PSII. One of the most likely mechanisms for the increased quenching in R2S2C3 cells could be an increased efficiency in the transfer of excitation energy from PSII to PSI. However, photophysical studies including 77 K fluorescence measurements and picosecond time resolved decay kinetics comparing low and high PSI/PSII cells did not support the hypothesis that D 1: 1 facilitates the dissipation of excess energy by energy transfer from PSII to PSI. In addition physiological studies of oxygen evolution measurements after photoinhibition treatments showed that the two mutant cells had no difference in their susceptibility to photoinhibition with either high PSI/PSII ratio or low PSI/PSII ratio. Again suggesting that, the energy transfer efficiency from PSII to PSI is likely not a factor in the differences between Dl:l and Dl:2 containing cells.