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.

MDM2 and CDK4 immunohistochemistry is a valuable tool in the differential diagnosis of low-grade osteosarcomas and other primary fibro-osseous lesions of the bone.

Low-grade osteosarcoma is a rare malignancy that may be subdivided into two main subgroups on the basis of location in relation to the bone cortex, that is, parosteal osteosarcoma and low-grade central osteosarcoma. Their histological appearance is quite similar and characterized by spindle cell stroma with low-to-moderate cellularity and well-differentiated anastomosing bone trabeculae. Low-grade osteosarcomas have a simple genetic profile with supernumerary ring chromosomes comprising amplification of chromosome 12q13-15, including the cyclin-dependent kinase 4 (CDK4) and murine double-minute type 2 (MDM2) gene region. Low-grade osteosarcoma can be confused with fibrous and fibro-osseous lesions such as fibromatosis and fibrous dysplasia on radiological and histological findings. We investigated MDM2-CDK4 immunohistochemical expression in a series of 72 low-grade osteosarcomas and 107 fibrous or fibro-osseous lesions of the bone or paraosseous soft tissue. The MDM2-CDK4 amplification status of low-grade osteosarcoma was also evaluated by comparative genomic hybridization array in 18 cases, and the MDM2 amplification status was evaluated by fluorescence in situ hybridization or quantitative real-time polymerase chain reaction in 31 cases of benign fibrous and fibro-osseous lesions. MDM2-CDK4 immunostaining and MDM2 amplification by fluorescence in situ hybridization or quantitative real-time polymerase chain reaction were investigated in a control group of 23 cases of primary high-grade bone sarcoma, including 20 conventional high-grade osteosarcomas, two pleomorphic spindle cell sarcomas/malignant fibrous histiocytomas and one leiomyosarcoma. The results showed that MDM2 and/or CDK4 immunoreactivity was present in 89% of low-grade osteosarcoma specimens. All benign fibrous and fibro-osseous lesions and the tumors of the control group were negative for MDM2 and CDK4. These results were consistent with the MDM2 and CDK4 amplification results. In conclusion, immunohistochemical expression of MDM2 and CDK4 is specific and provides sensitive markers for the diagnosis of low-grade osteosarcomas, helping to differentiate them from benign fibrous and fibro-osseous lesions, particularly in cases with atypical radio-clinical presentation and/or limited biopsy samples.

Engaging students in an e-learning experience : how to manage information resources through wikis and web blogs

The purpose of this paper is to describe the collaboration between librarians and scholars, from a virtual university, in order to facilitate collaborative learning on how to manage information resources. The personal information behaviour of e-learning students when managing information resources for academic, professional and daily life purposes was studied from 24 semi-structured face-to-face interviews. The results of the content analysis of the interview' transcriptions, highlighted that in the workplace and daily life contexts, competent information behaviour is always linked to a proactive attitude, that is to say, that participants seek for information without some extrinsic reward or avoiding punishment. In the academic context, it was observed a low level of information literacy and it seems to be related with a prevalent uninvolved attitude.

Restless bandits, partial conservation laws and indexability

We show that if performance measures in a stochastic scheduling problem satisfy a set of so-called partial conservation laws (PCL), which extend previously studied generalized conservation laws (GCL), then the problem is solved optimally by a priority-index policy for an appropriate range of linear performance objectives, where the optimal indices are computed by a one-pass adaptive-greedy algorithm, based on Klimov's. We further apply this framework to investigate the indexability property of restless bandits introduced by Whittle, obtaining the following results: (1) we identify a class of restless bandits (PCL-indexable) which are indexable; membership in this class is tested through a single run of the adaptive-greedy algorithm, which also computes the Whittle indices when the test is positive; this provides a tractable sufficient condition for indexability; (2) we further indentify the class of GCL-indexable bandits, which includes classical bandits, having the property that they are indexable under any linear reward objective. The analysis is based on the so-called achievable region method, as the results follow fromnew linear programming formulations for the problems investigated.

Stichelia pelotensis (Lepidoptera, Riodinidae): conservation, notes, and rediscovery of an endangered butterfly from southern Brazil

ABSTRACT Stichelia pelotensis (Lepidoptera, Riodinidae) is an endemic and threatened butterfly from the Pampa biome in southern Brazil, and has not been recorded in its type locality in the last 56 years. Recently, a population was found in two sites from extreme south Brazil, Pelotas, Rio Grande do Sul state. These records are an important find given the conservation status of S. pelotensis, since all the information gathered is new and involve the natural history of this species. The information obtained is useful for the management, monitoring and conservation priorities of this species and its associated habitats, since its known distribution is restricted to a narrow area in the Rio Grande do Sul Coastal Plain inside this threatened biome in southern Brazil.

Division of Soil Conservation Soil and Water Quality Review, October 2007

What is in this review produced by The Iowa Department of Agricultural and Land Stewardship: Special Points of Interest: • CREP wetlands remove 40-90% of the nitrate and 90+% of the herbicide in tile drainage water from upper- lying croplands. • The watershed approach is comprehensive, efficient and effective resource management. • The Mines & Minerals Bureau, through the AML Program, worked with various watershed groups to secure an additional $1 million dollars in funding for the construction on AML projects in Marion and Mahaska counties. • Iowa Learning Farm is Building a Culture of Conservation: Farmer to Farmer—Iowan to Iowan.

Division of Soil Conservation Soil and Water Quality Review, 2009

Special Points of Interest: • The Division of Soil Conservation celebrated its 70th anniversary July 1, 2009. The Iowa Soil Conservation: Laws were enacted in 1939 creating the state soil conservation agency and governing committee and providing for the creation of Iowa’s 100 soil and water conservation districts. • The Mines & Minerals Bureau, through the federal Abandoned Mine Land (AML) Program, worked with various watershed groups to again secure an additional $1 million dollars in funding for the construction on projects in Marion, Mahaska and Monroe Counties. • Iowa hosted the Mississippi River/Gulf of Mexico Hypoxia Task Force tour and meeting in September 2009.

Faktorenanalytische Untersuchung und Rehabilitätsbestimmung der statischen und dynamischen Pupillometrie bei Normalpersonen und psychopathologischen Gruppen [Factor analytic study and determination of rehabilitation of static and dynamic pupillometry in normal persons and psychopathologic groups]

Variables measured during static and dynamic pupillometry were factor-analyzed. Following factors were obtained regardless whether investigations were carried out in normals or in psychiatric patients: A static factor, a dynamic factor, a stimulus-specific factor and a restitution-dependent factor. Evaluation of reliability in normals demonstrated a high reliability for the static variables of pupillometry.

EZ-IO(®) intraosseous device implementation in a pre-hospital emergency service: A prospective study and review of the literature.

INTRODUCTION: Intraosseous access is increasingly recognised as an effective alternative vascular access to peripheral venous access. We aimed to prospectively study the patients receiving prehospital intraosseous access with the EZ-IO(®), and to compare our results with those of the available literature. METHODS: Every patient who required an intraosseous access with the EZ-IO from January 1st, 2009 to December 31st, 2011 was included. The main data collected were: age, sex, indication for intraosseous access, localisation of insertion, success rate, drugs and fluids administered, and complications. All published studies concerning the EZ-IO device were systematically searched and reviewed for comparison. RESULTS: Fifty-eight patients representing 60 EZ-IO procedures were included. Mean age was 47 years (range 0.5-91), and the success rate was 90%. The main indications were cardiorespiratory arrest (74%), major trauma (12%), and shock (5%). The anterior tibia was the main route. The main drugs administered were adrenaline (epinephrine), atropine and amiodarone. No complications were reported. We identified 30 heterogeneous studies representing 1603 EZ-IO insertions. The patients' characteristics and success rate were similar to our study. Complications were reported in 13 cases (1.3%). CONCLUSION: The EZ-IO provides an effective way to achieve vascular access in the pre-hospital setting. Our results were similar to the cumulative results of all studies involving the use of the EZ-IO, and that can be used for comparison for further studies.

Division of Soil Conservation Soil and Water Quality Review, January 2010

Special Points of Interest: • The Division of Soil Conservation celebrated its 70th anniversary July 1, 2009. The Iowa Soil Conservation Laws were enacted in 1939 creating the state soil conservation agency and governing committee and providing for the creation of Iowa’s 100 soil and water conservation districts. • The Mines & Minerals Bureau, through the federal Abandoned Mine Land (AML) Program, worked with various watershed groups to again secure an additional $1 million dollars in funding for the construction on projects in Marion, Mahaska and Monroe Counties. • Iowa hosted the Mississippi River/Gulf of Mexico Hypoxia Task Force tour and meeting in September 2009.

Etude clinique et analyse de liaison au locus 3q28 de deux familles suisses avec atrophie optique dominante de Kjer (OPA1) [Clinical study and genetic 3q28 locus linkage in 2 Swiss families with Kjer dominant optic atrophy (OPA1)]

METHODS: We examined 20 patients from 2 unrelated Swiss families to describe their clinical phenotype. In addition, a linkage analysis was performed in an attempt to confirm the reported genetic homogeneity of this condition as well as to refine its genomic localization. RESULTS: Two point analysis provided a cumulative LOD-score of 3.03 with marker D3S 2305. The absence of recombination precluded further refinement of the disease interval. CONCLUSIONS: Our data confirm the genetic homogeneity and the extreme variability of expression, occasionally mimicking low tension glaucoma.