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.

New classification of natural breeding habitats for Neotropical anophelines in the Yanomami Indian Reserve, Amazon Region, Brazil and a new larval sampling methodology

Here we present the first in a series of articles about the ecology of immature stages of anophelines in the Brazilian Yanomami area. We propose a new larval habitat classification and a new larval sampling methodology. We also report some preliminary results illustrating the applicability of the methodology based on data collected in the Brazilian Amazon rainforest in a longitudinal study of two remote Yanomami communities, Parafuri and Toototobi. In these areas, we mapped and classified 112 natural breeding habitats located in low-order river systems based on their association with river flood pulses, seasonality and exposure to sun. Our classification rendered seven types of larval habitats: lakes associated with the river, which are subdivided into oxbow lakes and nonoxbow lakes, flooded areas associated with the river, flooded areas not associated with the river, rainfall pools, small forest streams, medium forest streams and rivers. The methodology for larval sampling was based on the accurate quantification of the effective breeding area, taking into account the area of the perimeter and subtypes of microenvironments present per larval habitat type using a laser range finder and a small portable inflatable boat. The new classification and new sampling methodology proposed herein may be useful in vector control programs.

Truncated robust distance for clinical laboratory safety data monitoring and assessment.

Laboratory safety data are routinely collected in clinical studies for safety monitoring and assessment. We have developed a truncated robust multivariate outlier detection method for identifying subjects with clinically relevant abnormal laboratory measurements. The proposed method can be applied to historical clinical data to establish a multivariate decision boundary that can then be used for future clinical trial laboratory safety data monitoring and assessment. Simulations demonstrate that the proposed method has the ability to detect relevant outliers while automatically excluding irrelevant outliers. Two examples from actual clinical studies are used to illustrate the use of this method for identifying clinically relevant outliers.

Free-breathing renal magnetic resonance angiography with steady-state free-precession and slab-selective spin inversion combined with radial k-space sampling and water-selective excitation.

The impact of radial k-space sampling and water-selective excitation on a novel navigator-gated cardiac-triggered slab-selective inversion prepared 3D steady-state free-precession (SSFP) renal MR angiography (MRA) sequence was investigated. Renal MRA was performed on a 1.5-T MR system using three inversion prepared SSFP approaches: Cartesian (TR/TE: 5.7/2.8 ms, FA: 85 degrees), radial (TR/TE: 5.5/2.7 ms, FA: 85 degrees) SSFP, and radial SSFP combined with water-selective excitation (TR/TE: 9.9/4.9 ms, FA: 85 degrees). Radial data acquisition lead to significantly reduced motion artifacts (P < 0.05). SNR and CNR were best using Cartesian SSFP (P < 0.05). Vessel sharpness and vessel length were comparable in all sequences. The addition of a water-selective excitation could not improve image quality. In conclusion, radial k-space sampling reduces motion artifacts significantly in slab-selective inversion prepared renal MRA, while SNR and CNR are decreased. The addition of water-selective excitation could not improve the lower CNR in radial scanning.

Coronary MR imaging using free-breathing 3D steady-state free precession with radial k-space sampling.

PURPOSE: To investigate the potential of free-breathing 3D steady-state free precession (SSFP) imaging with radial k-space sampling for coronary MR-angiography (MRA), coronary projection MR-angiography and coronary vessel wall imaging. MATERIALS AND METHODS: A navigator-gated free-breathing T2-prepared 3D SSFP sequence (TR = 6.1 ms, TE = 3.0 ms, flip angle = 120 degrees, field-of-view = 360 mm(2)) with radial k-space sampling (384 radials) was implemented for coronary MRA. For projection coronary MRA, this sequence was combined with a 2D selective aortic spin tagging pulse. Coronary vessel wall imaging was performed using a high-resolution inversion-recovery black-blood 3D radial SSFP sequence (384 radials, TR = 5.3 ms, TE = 2.7 ms, flip angle = 55 degrees, reconstructed resolution 0.35 x 0.35 x 1.2 mm(3)) and a local re-inversion pulse. Six healthy volunteers (two for each sequence) were investigated. Motion artifact level was assessed by two radiologists. Results: In coronary MRA, the coronary lumen was displayed with a high signal and high contrast to the surrounding lumen. Projection coronary MRA demonstrated selective visualization of the coronary lumen while surrounding tissue was almost completely suppressed. In coronary vessel wall imaging, the vessel wall was displayed with a high signal when compared to the blood pool and the surrounding tissue. No visible motion artifacts were seen. Conclusion: 3D radial SSFP imaging enables coronary MRA, coronary projection MRA and coronary vessel wall imaging with a low motion artifact level.

Chaos and order in the contemporary city. The impact of urban spatial structure on population density and commuting distance in Barcelona, 1986-2001.

One of the criticisms leveled at the model of dispersed city found all over the world is its unarticulated, random, and undifferentiated nature. To check this idea in the Barcelona Metropolitan Region, we estimated the impact of the urban spatial structure (CBD, subcenters and transportation infrastructures) over the population density and commuting distance. The results are unfavorable to the hypothesis of the increasing destructuring of cities given that the explanatory capacity of both functions improves over time, both when other control variables are not included and when they are included.

Equidistribution estimates for Fekete points on complex manifolds

We study the equidistribution of Fekete points in a compact complex manifold. These are extremal point configurations defined through sections of powers of a positive line bundle. Their equidistribution is a known result. The novelty of our approach is that we relate them to the problem of sampling and interpolation on line bundles, which allows us to estimate the equidistribution of the Fekete points quantitatively. In particular we estimate the Kantorovich-Wasserstein distance of the Fekete points to its limiting measure. The sampling and interpolation arrays on line bundles are a subject of independent interest, and we provide necessary density conditions through the classical approach of Landau, that in this context measures the local dimension of the space of sections of the line bundle. We obtain a complete geometric characterization of sampling and interpolation arrays in the case of compact manifolds of dimension one, and we prove that there are no arrays of both sampling and interpolation in the more general setting of semipositive line bundles.

Sex differences in the computation of traveling distance

Path integration is known to provide information to keep track of spatial location. Surprisingly, few investigations concerning sex differences in computation of the traveling distance have been done. This work was aimed at analyzing the reproduction of both passive and active linear displacements in women and men. To this end, the displacement of blindfolded subjects was done in a wheelchair, then on foot, three times in each condition for a fixed distance. Copies of passive and active traveling distance, distance estimations and pointing responses towards the starting point were analyzed. In passive condition and comparatively to men, women error was larger. Whereas traveling distance was generally underestimated in women, it was overestimated in men. In active condition, no sex differences were observed. When blindfolded subjects have to estimate the traveling distance, the female error was larger than the male one. But, when subjects were asked to indicate the visual cue corresponding to the traveling distance, the male error was larger than the female one. Finally, pointing to the starting point (0°) after a whole-body rotation showed a larger deviation from 0° in men than in women. These results suggest that sex of the subjects influence brain computation of path integration information.

[Archives de la parole]. , Sorbonne 99 : [essais à distance réalisés par un Pathé au studio de la Sorbonne] : fort ; Sorbonne 99 : [essais à distance réalisés par un Pathé au studio de la Sorbonne] : moins fort

Enregistrement : Paris, Université de Paris, La Sorbonne

Optimal robust estimates using the Hellinger distance

Optimal robust M-estimates of a multidimensional parameter are described using Hampel's infinitesimal approach. The optimal estimates are derived by minimizing a measure of efficiency under the model, subject to a bounded measure of infinitesimal robustness. To this purpose we define measures of efficiency and infinitesimal sensitivity based on the Hellinger distance.We show that these two measures coincide with similar ones defined by Yohai using the Kullback-Leibler divergence, and therefore the corresponding optimal estimates coincide too.We also give an example where we fit a negative binomial distribution to a real dataset of "days of stay in hospital" using the optimal robust estimates.

Phenotypic novelty in experimental hybrids is predicted by the genetic distance between species of cichlid fish.

BACKGROUND: Transgressive segregation describes the occurrence of novel phenotypes in hybrids with extreme trait values not observed in either parental species. A previously experimentally untested prediction is that the amount of transgression increases with the genetic distance between hybridizing species. This follows from QTL studies suggesting that transgression is most commonly due to complementary gene action or epistasis, which become more frequent at larger genetic distances. This is because the number of QTLs fixed for alleles with opposing signs in different species should increase with time since speciation provided that speciation is not driven by disruptive selection. We measured the amount of transgression occurring in hybrids of cichlid fish bred from species pairs with gradually increasing genetic distances and varying phenotypic similarity. Transgression in multi-trait shape phenotypes was quantified using landmark-based geometric morphometric methods. RESULTS: We found that genetic distance explained 52% and 78% of the variation in transgression frequency in F1 and F2 hybrids, respectively. Confirming theoretical predictions, transgression when measured in F2 hybrids, increased linearly with genetic distance between hybridizing species. Phenotypic similarity of species on the other hand was not related to the amount of transgression. CONCLUSION: The commonness and ease with which novel phenotypes are produced in cichlid hybrids between unrelated species has important implications for the interaction of hybridization with adaptation and speciation. Hybridization may generate new genotypes with adaptive potential that did not reside as standing genetic variation in either parental population, potentially enhancing a population's responsiveness to selection. Our results make it conceivable that hybridization contributed to the rapid rates of phenotypic evolution in the large and rapid adaptive radiations of haplochromine cichlids.

Genetic and phenotypic population divergence on a microgeographic scale in brown trout.

Salmonid populations of many rivers are rapidly declining. One possible explanation is that habitat fragmentation increases genetic drift and reduces the populations' potential to adapt to changing environmental conditions. We measured the genetic and eco-morphological diversity of brown trout (Salmo trutta) in a Swiss stream system, using multivariate statistics and Bayesian clustering. We found large genetic and phenotypic variation within only 40 km of stream length. Eighty-eight percent of all pairwise F(ST) comparisons and 50% of the population comparisons in body shape were significant. High success rates of population assignment tests confirmed the distinctiveness of populations in both genotype and phenotype. Spatial analysis revealed that divergence increased with waterway distance, the number of weirs, and stretches of poor habitat between sampling locations, but effects of isolation-by-distance and habitat fragmentation could not be fully disentangled. Stocking intensity varied between streams but did not appear to erode genetic diversity within populations. A lack of association between phenotypic and genetic divergence points to a role of local adaptation or phenotypically plastic responses to habitat heterogeneity. Indeed, body shape could be largely explained by topographic stream slope, and variation in overall phenotype matched the flow regimes of the respective habitats.

Genotyping faeces reveals facultative kin association on capercaillie's leks

The role that kin selection might play in the evolution of lekking in birds remains controversial. Recent molecular data suggest that males displaying on leks are related. Here we investigated the genetic structure and pattern of relatedness on leks of a declining population of capercaillie (Tetrao urogallus) using microsatellite genetic markers. Since the species is highly sensitive to disturbance, we adopted a non-invasive method by using faecal samples collected in the field. Based on a dataset of 50 males distributed in 6 sub-populations, we found significant genetic structuring among sub-populations, and a significant pattern of isolation by distance among leks. Estimates of relatedness showed that males displaying on the same lek were related, even when controlling for the effects of genetical differentiation among sub-populations. In addition, the frequency distribution of relatedness values indicated that leks contain a mixture of close kin and unrelated individuals (34 and 66%, respectively). This pattern is consistent with the hypothesis that leks often contain kin associations, which might be due to very restricted dispersal of some of the males or to joint dispersal of kin. The results are discussed with respect to their implication for the conservation of endangered populations.

Proximal tibia volumetric bone mineral density is correlated to the magnitude of local acceleration in male long distance runners.

Introduction: The beneficial effect of physical exercise on bone mineral density (BMD) is at least partly explained by the forces exerted directly on the bones. Male runners present generally higher BMD than sedentary individuals. We postulated that the proximal tibia BMD is related to the running distance as well as to the magnitude of the shocks (while running) in male runners. Methods: A prospective study (three yearly measurements) included 81 healthy male subjects: 16 sedentary lean subjects and three groups of runners (5-30 km/week, n=19; 30-50 km/week, n=29; 50-100 km/week, n=17). Several measurements were performed at the proximal tibia level: volumetric BMD (vBMD), cortical index (CI) i.e. an index of cortical bone thickness and peak accelerations (an index of shocks during heel strike) while running (measured by a 3-D accelerometer). A general linear model assessed the prediction of vBMD or CI by a) simple effects (running distance, peak accelerations, time) and b) interactions (for instance if vBMD prediction by peak acceleration depends on running distance). Results: CI and vBMD a) increase with running distance to reach a plateau over 30 km/wk, b) are positively associated with peak accelerations over 30 km/week. Discussion: Running may be associated with high peak accelerations in order to have beneficial effects on BMD. More important strains are needed to be associated with the same increase in BMD during running sessions of short duration than those of long duration. Conclusion: CI and vBMD are associated with the magnitude of the shocks during heel strike in runners. Key words: Bone mineral density, strains, physical exercise, running distance.