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.

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.

Bases de datos XML nativas

Conèixer les diferents opcions a l'hora d'emmagatzemar dades i documents amb format XML. Familiaritzar-se amb els SGBD nadius i l'accés i maneig de la informació. Conèixer diferents formes d'accés al SGBD, conèixer les APIs disponible Centre en el llenguatge Java. Integració de tots els coneixements adquirits, desenvolupant una aplicació que accedeixi i gestioni dades emmagatzemades al SGBD.

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.

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.

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.

The study club program : suggestions relating to courses of study and aids furnished by the Traveling Library, 1909

This leaflet includes information on programs for Women's Clubs. Some possible subjects for the club's discussions are literature, history and fine arts. Several methods of study are covered. Groups are encouraged to use public libraries and the Iowa Traveling Library to obtain reference materials for their topics.

Rethinking study and management of agricultural systems for policy design

There is a concern that agriculture will no longer be able to meet, on a global scale, the growing demand for food. Facing such a challenge requires new patterns of thinking in the context of complexity and sustainability sciences. This paper, focused on the social dimension of the study and management of agricultural systems, suggests that rethinking the study of agricultural systems entails analyzing them as complex socio-ecological systems, as well as considering the differing thinking patterns of diverse stakeholders. The intersubjective nature of knowledge, as studied by different philosophical schools, needs to be better integrated into the study and management of agricultural systems than it is done so far, forcing us to accept that there are no simplistic solutions, and to seek a better understanding of the social dimension of agriculture. Different agriculture related problems require different policy and institutional approaches. Finally, the intersubjective nature of knowledge asks for the visualization of different framings and the power relations taking place in the decision-making process. Rethinking management of agricultural systems implies that policy making should be shaped by different principles: learning, flexibility, adaptation, scale-matching, participation, diversity enhancement and precaution hold the promise to significantly improve current standard management procedures.

Four decades of the independent study programmes

Sobre l'Independent Studies Programme (ISP) i el Programa d’Estudis Independents (PEI) del MACBA

Study and modeling of the desintegration kinetics of coated paper

The disintegration of recovered paper is the first operation in the preparation of recycled pulp. It is known that the defibering process follows a first order kinetics from which it is possible to obtain the disintegration kinetic constant (KD) by means of different ways. The disintegration constant can be obtained from the Somerville index results (%lsv and from the dissipated energy per volume unit (Ss). The %slv is related to the quantity of non-defibrated paper, as a measure of the non-disintegrated fiber residual (percentage of flakes), which is expressed in disintegration time units. In this work, disintegration kinetics from recycled coated paper has been evaluated, working at 20 revise rotor speed and for different fiber consistency (6, 8, 10, 12 and 14%). The results showed that the values of experimental disintegration kinetic constant, Ko, through the analysis of Somerville index, as function of time. Increased, the disintegration time was drastically reduced. The calculation of the disintegration kinetic constant (modelled Ko), extracted from the Rayleigh’s dissipation function, showed a good correlation with the experimental values using the evolution of the Somerville index or with the dissipated energy