Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Tests of proportional hazards and proportional odds models for grouped survival data

In this paper, we derive score test statistics to discriminate between proportional hazards and proportional odds models for grouped survival data. These models are embedded within a power family transformation in order to obtain the score tests. In simple cases, some small-sample results are obtained for the score statistics using Monte Carlo simulations. Score statistics have distributions well approximated by the chi-squared distribution. Real examples illustrate the proposed tests.

Sliding Mode Control for Active Suspension System with Data Acquisition Delay

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Implementation of an F-statistic all-sky search for continuous gravitational waves in Virgo VSR1 data

We present an implementation of the F-statistic to carry out the first search in data from the Virgo laser interferometric gravitational wave detector for periodic gravitational waves from a priori unknown, isolated rotating neutron stars. We searched a frequency f(0) range from 100 Hz to 1 kHz and the frequency dependent spindown f(1) range from -1.6(f(0)/100 Hz) x 10(-9) Hz s(-1) to zero. A large part of this frequency-spindown space was unexplored by any of the all-sky searches published so far. Our method consisted of a coherent search over two-day periods using the F-statistic, followed by a search for coincidences among the candidates from the two-day segments. We have introduced a number of novel techniques and algorithms that allow the use of the fast Fourier transform (FFT) algorithm in the coherent part of the search resulting in a fifty-fold speed-up in computation of the F-statistic with respect to the algorithm used in the other pipelines. No significant gravitational wave signal was found. The sensitivity of the search was estimated by injecting signals into the data. In the most sensitive parts of the detector band more than 90% of signals would have been detected with dimensionless gravitational-wave amplitude greater than 5 x 10(-24).

Tests of fed and unfed Amblyomma cajennense ticks (Acari: Ixodidae): first morphological data

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Narrow-band search of continuous gravitational-wave signals from Crab and Vela pulsars in Virgo VSR4 data

In this paper we present the results of a coherent narrow-band search for continuous gravitational-wave signals from the Crab and Vela pulsars conducted on Virgo VSR4 data. In order to take into account a possible small mismatch between the gravitational-wave frequency and two times the star rotation frequency, inferred from measurement of the electromagnetic pulse rate, a range of 0.02 Hz around two times the star rotational frequency has been searched for both the pulsars. No evidence for a signal has been found and 95% confidence level upper limits have been computed assuming both that polarization parameters are completely unknown and that they are known with some uncertainty, as derived from x-ray observations of the pulsar wind torii. For Vela the upper limits are comparable to the spin-down limit, computed assuming that all the observed spin-down is due to the emission of gravitational waves. For Crab the upper limits are about a factor of 2 below the spin-down limit, and represent a significant improvement with respect to past analysis. This is the first time the spin-down limit is significantly overcome in a narrow-band search.

Halogenated aliphatic and aromatic aerobic biodegradation via direct metabolism and cometabolism: batch and continuous tests

In this thesis the application of biotechnological processes based on microbial metabolic degradation of halogenated compound has been investigated. Several studies showed that most of these pollutants can be biodegraded by single bacterial strains or mixed microbial population via aerobic direct metabolism or cometabolism using as a growth substrates aromatic or aliphatic hydrocarbons. The enhancement of two specific processes has been here object of study in relation with its own respective scenario described as follow: 1st) the bioremediation via aerobic cometabolism of soil contaminated by a high chlorinated compound using a mixed microbial population and the selection and isolation of consortium specific for the compound. 2nd) the implementation of a treatment technology based on direct metabolism of two pure strains at the exact point source of emission, preventing dilution and contamination of large volumes of waste fluids polluted by several halogenated compound minimizing the environmental impact. In order to verify the effect of these two new biotechnological application to remove halogenated compound and purpose them as a more efficient alternative continuous and batch tests have been set up in the experimental part of this thesis. Results obtained from the continuous tests in the second scenario have been supported by microbial analysis via Fluorescence in situ Hybridisation (FISH) and by a mathematical model of the system. The results showed that both process in its own respective scenario offer an effective solutions for the biological treatment of chlorinate compound pollution.

Towards the 3D attenuation imaging of active volcanoes: methods and tests on real and simulated data

The purpose of my PhD thesis has been to face the issue of retrieving a three dimensional attenuation model in volcanic areas. To this purpose, I first elaborated a robust strategy for the analysis of seismic data. This was done by performing several synthetic tests to assess the applicability of spectral ratio method to our purposes. The results of the tests allowed us to conclude that: 1) spectral ratio method gives reliable differential attenuation (dt*) measurements in smooth velocity models; 2) short signal time window has to be chosen to perform spectral analysis; 3) the frequency range over which to compute spectral ratios greatly affects dt* measurements. Furthermore, a refined approach for the application of spectral ratio method has been developed and tested. Through this procedure, the effects caused by heterogeneities of propagation medium on the seismic signals may be removed. The tested data analysis technique was applied to the real active seismic SERAPIS database. It provided a dataset of dt* measurements which was used to obtain a three dimensional attenuation model of the shallowest part of Campi Flegrei caldera. Then, a linearized, iterative, damped attenuation tomography technique has been tested and applied to the selected dataset. The tomography, with a resolution of 0.5 km in the horizontal directions and 0.25 km in the vertical direction, allowed to image important features in the off-shore part of Campi Flegrei caldera. High QP bodies are immersed in a high attenuation body (Qp=30). The latter is well correlated with low Vp and high Vp/Vs values and it is interpreted as a saturated marine and volcanic sediments layer. High Qp anomalies, instead, are interpreted as the effects either of cooled lava bodies or of a CO2 reservoir. A pseudo-circular high Qp anomaly was detected and interpreted as the buried rim of NYT caldera.

RANDOM EFFECTS MODELS IN A META-ANALYSIS OF THE ACCURACY OF DIAGNOSTIC TESTS WITHIN A GOLD STANDARD IN THE PRESENCE OF MISSING DATA

In evaluating the accuracy of diagnosis tests, it is common to apply two imperfect tests jointly or sequentially to a study population. In a recent meta-analysis of the accuracy of microsatellite instability testing (MSI) and traditional mutation analysis (MUT) in predicting germline mutations of the mismatch repair (MMR) genes, a Bayesian approach (Chen, Watson, and Parmigiani 2005) was proposed to handle missing data resulting from partial testing and the lack of a gold standard. In this paper, we demonstrate an improved estimation of the sensitivities and specificities of MSI and MUT by using a nonlinear mixed model and a Bayesian hierarchical model, both of which account for the heterogeneity across studies through study-specific random effects. The methods can be used to estimate the accuracy of two imperfect diagnostic tests in other meta-analyses when the prevalence of disease, the sensitivities and/or the specificities of diagnostic tests are heterogeneous among studies. Furthermore, simulation studies have demonstrated the importance of carefully selecting appropriate random effects on the estimation of diagnostic accuracy measurements in this scenario.

Continuous monitoring of bovine spongiform encephalopathy rapid test performance by weak positive tissue controls and quality control charts

Bovine spongiform encephalopathy (BSE) rapid tests and routine BSE-testing laboratories underlie strict regulations for approval. Due to the lack of BSE-positive control samples, however, full assay validation at the level of individual test runs and continuous monitoring of test performance on-site is difficult. Most rapid tests use synthetic prion protein peptides, but it is not known to which extend they reflect the assay performance on field samples, and whether they are sufficient to indicate on-site assay quality problems. To address this question we compared the test scores of the provided kit peptide controls to those of standardized weak BSE-positive tissue samples in individual test runs as well as continuously over time by quality control charts in two widely used BSE rapid tests. Our results reveal only a weak correlation between the weak positive tissue control and the peptide control scores. We identified kit-lot related shifts in the assay performances that were not reflected by the peptide control scores. Vice versa, not all shifts indicated by the peptide control scores indeed reflected a shift in the assay performance. In conclusion these data highlight that the use of the kit peptide controls for continuous quality control purposes may result in unjustified rejection or acceptance of test runs. However, standardized weak positive tissue controls in combination with Shewhart-CUSUM control charts appear to be reliable in continuously monitoring assay performance on-site to identify undesired deviations.

Combining follow-up and change data is valid in meta-analyses of continuous outcomes: a meta-epidemiological study

OBJECTIVE To investigate whether it is valid to combine follow-up and change data when conducting meta-analyses of continuous outcomes. STUDY DESIGN AND SETTING Meta-epidemiological study of randomized controlled trials in patients with osteoarthritis of the knee/hip, which assessed patient-reported pain. We calculated standardized mean differences (SMDs) based on follow-up and change data, and pooled within-trial differences in SMDs. We also derived pooled SMDs indicating the largest treatment effect within a trial (optimistic selection of SMDs) and derived pooled SMDs from the estimate indicating the smallest treatment effect within a trial (pessimistic selection of SMDs). RESULTS A total of 21 meta-analyses with 189 trials with 292 randomized comparisons in 41,256 patients were included. On average, SMDs were 0.04 standard deviation units more beneficial when follow-up values were used (difference in SMDs: -0.04; 95% confidence interval: -0.13, 0.06; P=0.44). In 13 meta-analyses (62%), there was a relevant difference in clinical and/or significance level between optimistic and pessimistic pooled SMDs. CONCLUSION On average, there is no relevant difference between follow-up and change data SMDs, and combining these estimates in meta-analysis is generally valid. Decision on which type of data to use when both follow-up and change data are available should be prespecified in the meta-analysis protocol.