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.

Geographic distribution of phlebotomine sandfly species (Diptera: Psychodidae) in Central-West Brazil

This study updates the geographic distributions of phlebotomine species in Central-West Brazil and analyses the climatic factors associated with their occurrence. The data were obtained from the entomology services of the state departments of health in Central-West Brazil, scientific collections and a literature review of articles from 1962-2014. Ecological niche models were produced for sandfly species with more than 20 occurrences using the Maxent algorithm and eight climate variables. In all, 2,803 phlebotomine records for 127 species were analysed. Nyssomyia whitmani,Evandromyia lenti and Lutzomyia longipalpiswere the species with the greatest number of records and were present in all the biomes in Central-West Brazil. The models, which were produced for 34 species, indicated that the Cerrado areas in the central and western regions of Central-West Brazil were climatically more suitable to sandflies. The variables with the greatest influence on the models were the temperature in the coldest months and the temperature seasonality. The results show that phlebotomine species in Central-West Brazil have different geographical distribution patterns and that climate conditions in essentially the entire region favour the occurrence of at least one Leishmania vector species, highlighting the need to maintain or intensify vector control and surveillance strategies.

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.

Little effect of seasonal constraints on population genetic structure in eusocial paper wasps.

Climate has long been suggested to affect population genetic structures of eusocial insect societies. For instance, Hamilton [Journal of Theoretical Biology7 (1964) 17] discusses whether temperate and tropical eusocial insects may show differences in population-level genetic structure and viscosity, and how this might relate to differences in the degree of synchrony in their life cycles or modes of nest founding. Despite the importance of Hamilton's 1964 papers, this specific idea has not been tested in actual populations of wasps, probably due to the paucity of studies on tropical species. Here, we compare colony and population genetic structures in two species of primitively eusocial paper wasps with contrasting ecologies: the tropical species Polistes canadensis and the temperate species P. dominulus. Our results provide important clarifications of Hamilton's discussion. Specifically, we show that the genetic structures of the temperate and tropical species were very similar, indicating that seasonality does not greatly affect population viscosity or inbreeding. For both species, the high genetic differentiation between nests suggests strong selection at the nest level to live with relatives, whereas low population viscosity and low genetic differentiation between nest aggregations might reflect balancing selection to disperse, avoiding competition with relatives. Overall, our study suggests no prevalence of seasonal constraints of the life cycle in affecting the population genetic structure of eusocial paper wasps. These conclusions are likely to apply also to other primitively eusocial insects, such as halictine bees. They also highlight how selection for a kin structure that promotes altruism can override potential effects of ecology in eusocial insects.

Optimizing a remotely sensed proxy for plankton biomass in Lake Kivu

Many regions of the world, including inland lakes, present with suboptimal conditions for the remotely sensed retrieval of optical signals, thus challenging the limits of available satellite data-processing tools, such as atmospheric correction models (ACM) and water constituent-retrieval (WCR) algorithms. Working in such regions, however, can improve our understanding of remote-sensing tools and their applicabil- ity in new contexts, in addition to potentially offering useful information about aquatic ecology. Here, we assess and compare 32 combinations of two ACMs, two WCRs, and three binary categories of data quality standards to optimize a remotely sensed proxy of plankton biomass in Lake Kivu. Each parameter set is compared against the available ground-truth match-ups using Spearman's right-tailed ρ. Focusing on the best sets from each ACM-WCR combination, their performances are discussed with regard to data distribution, sample size, spatial completeness, and seasonality. The results of this study may be of interest both for ecological studies on Lake Kivu and for epidemio- logical studies of disease, such as cholera, the dynamics of which has been associated with plankton biomass in other regions of the world.

Seasonal variation of overall and cardiovascular mortality: a study in 19 countries from different geographic locations.

BACKGROUND: Cardiovascular diseases (CVD) mortality has been shown to follow a seasonal pattern. Several studies suggested several possible determinants of this pattern, including misclassification of causes of deaths. We aimed at assessing seasonality in overall, CVD, cancer and non-CVD/non-cancer mortality using data from 19 countries from different latitudes. METHODS AND FINDINGS: Monthly mortality data were compiled from 19 countries, amounting to over 54 million deaths. We calculated ratios of the observed to the expected numbers of deaths in the absence of a seasonal pattern. Seasonal variation (peak to nadir difference) for overall and cause-specific (CVD, cancer or non-CVD/non-cancer) mortality was analyzed using the cosinor function model. Mortality from overall, CVD and non-CVD/non-cancer showed a consistent seasonal pattern. In both hemispheres, the number of deaths was higher than expected in winter. In countries close to the Equator the seasonal pattern was considerably lower for mortality from any cause. For CVD mortality, the peak to nadir differences ranged from 0.185 to 0.466 in the Northern Hemisphere, from 0.087 to 0.108 near the Equator, and from 0.219 to 0.409 in the Southern Hemisphere. For cancer mortality, the seasonal variation was nonexistent in most countries. CONCLUSIONS: In countries with seasonal variation, mortality from overall, CVD and non-CVD/non-cancer show a seasonal pattern with mortality being higher in winter than in summer. Conversely, cancer mortality shows no substantial seasonality.

Stable isotope ecology of Miocene large mammals from Sandelzhausen, southern Germany

The carbon, oxygen, and strontium isotope composition of enamel from teeth of large Miocene herbivorous mammals from Sandelzhausen (MN5, late Early/early Middle Miocene) in the North Alpine foreland basin, were analyzed to infer diet and habitat. The mean enamel delta(13)C value of -11.4 +/- 1.0% (n = 53) for the nine taxa analyzed (including proboscideans, cervids, suids, chalicotheres, equids, rhinocerotids) indicates a pure C(3) plant diet for all mammals. (87)Sr/(86)Sr ratios of similar to 0.710 higher than those from teeth of the western Molasse Basin (0.708-0.709) seem to indicate preferential feeding of the mammals in the northeastern Molasse Basin. The sympatric herbivores have different mean delta(13)C and delta(18)O values which support diet partitioning and/or use of different habitats within a C(3) plant ecosystem. Especially the three sympatric rhinoceroses Plesiaceratherium fahlbuschi, Lartetotherium sansaniense, and Prosantorhinus germanicus show clear partitioning of plants and/or habitats. The palaeomerycid Germanomeryx fahlbuschi was a canopy folivore in moderately closed environments whereas Metaschizotherium bavaricum (Chalicotheriidae) and P. germanicus (Rhinocerotidae) were browsers in more closed forest environments. The horse Anchitherium aurelianense was probably a more generalized feeder than assumed from its dental morphology. The forest hog Hyotherium soemmeringi has the highest delta(13)C and lowest delta(18)O value of all analyzed taxa, possibly related to a frugivorous diet. Most taxa were water-dependent browsers that record meteoric water delta(18)O values of about -5.6 +/- 0.7% Vienna Standard Mean Ocean Water (VSMOW). Using a modern-day mean annual air temperature (MAT)-delta(18)OH(2)O relation a MAT of 19.3 +/- 1.5 degrees C can be reconstructed for Sandelzhausen. A Gomphotherium subtapiroideum tusk serially sampled for delta(18)O values does not record a clear pattern of seasonality. Thus most taxa were C(3) browsers in a forested and humid floodplain environment in the Molasse Basin, which experienced a warm-temperate to subtropical climate and possibly low seasonality.

Fauna de Muscidae (Diptera) em três localidades do Estado do Paraná, Brasil, capturada por armadilha Malaise

During two years, from August 1986 to July 1988, the entomofauna of some preserved areas of Parana State, southern Brazil, was sampled in a project called "Levantamento da Fauna Entomológica no Estado do Paraná (PROFAUPAR)". Specimens of Muscidae (Diptera) were sorted out from the material collected using Malaise traps in three of the eight sites sampled (Colombo, Ponta Grossa and Guarapuava) in the first year (August 1986 to July 1987). A total of 7,014 specimens of Muscidae was captured and 91 species were identified. Neodexiopsis flavipalpis Albuquerque was the most abundant species in Ponta Grossa (672 specimens) and in Guarapuava (332 specimens). For Colombo, the most abundant species was Neodexiopsis vulgaris Couri & Albuquerque (172 specimens). The highest richness of species and abundance were observed in Ponta Grossa (77 and 3,559 respectively). The total number of specimens and means values of capture were analyzed. Indices of diversity and evenness were used to discuss richness and dominance of species in each locality. Besides using ecological indices, species richness estimators were also used.

O Papel das Agências de Viagens e Turismo no Desenvolvimento do Turismo Emissor e Receptor

Devido a mudanças tecnológicas e da globalização, o turismo vem passando por grandes transformações, permitindo um maior acesso às informações e uma maior aproximação entre o consumidor e o mercado turístico. O papel das agências de viagens e turismo (AVT’s) é de fundamental importância para o desenvolvimento da actividade turística de um país. Face a isto, as AVT’s devem aderir ao novo cenário, procurando acompanhar a evolução, renovando e actualizando sempre os seus serviços. O presente estudo tem por objectivo avaliar o papel das AVT’s da ilha de São Vicente, no âmbito do turismo emissor e receptor. Foi realizado um estudo de caso, incluindo os doze representantes das AVT’s da ilha de S. Vicente, com excepção das empresas exclusivamente marítimas. Foi usado um guião de entrevistas para a obtenção de dados relacionados aos responsáveis dos serviços, a empresa, aos colaboradores internos, clientes, serviços oferecidos, sazonalidade e sua problemática, parceiros, as tecnologias de informação e as perspectivas futuras. As informações foram analisadas sob um enquadramento teórico e prático. Constatou-se que sete agências dedicam-se ao turismo emissor e receptor, três ao turismo emissor, e duas ao receptor. Foi possível observar que as AVT’s apresentam semelhanças na prestação de serviços e a maioria tem a preocupação de acompanhar as exigências actuais do turismo. Pode-se concluir que o turismo emissor e receptor estão bem representados pelas AVT’s de São Vicente. Technological changes and globalization has allowed big transformations in Tourism, greater access to information and a closer relationship between the consumer and tourist market. The role of the Travel and Tourism Agencies (TTA) has fundamental importance for the tourism development in a country, and they must adhere to the new environment, trying to follow the evolution, always renewing and updating their services. The present study aims to evaluate the role of TTA’s in São Vicente Island, in the field of inbound and outbound tourism. It was conducted a case study, including 12 representatives of TTA's in São Vicente, with exception of shipping companies. It was used a scripted interview to obtain data about the service delegate, the company, internal employees, customers, offered services, seasonality and its problems, partners, information technology and future prospects. Data were analyzed from a theoretical and practical view. It was found that seven agencies dedicated to inbound and outbound tourism, three to outbound and two to inbound. The TTA’s have similarities in service delivery and most have the concern to keep up with current demands of tourism. It can be concluded that inbound and outbound tourism are well represented by TTA’s in São Vicente.

Perfil da Fasciolose entre Pacientes Portadores de Problemas Hepáticos Atendidos no Hospital Agostinho Neto, Concelho da Praia, no Periodo de 2005

No intuito de traçar o perfil da fasciolose entre pacientes portadores de problemas hepáticos atendidos no Hospital Agostinho Neto, Praia, Santiago, foi realizada uma análise retrospectiva dos dados registados no período de fevereiro a dezembro de 2005. As análises sorológicas foram realizadas através da técnicas de ELISA. Os títulos regitados foram cruzados com dados referentes à idade, sexo, data e o local de residência. As análises dos resultados demonstraram uma prevalência mensal da fasciolose de 32% entre pacientes com distúrbios gastro-hepáticos atendidos no Hospital Agostinho Neto, contudo, demonstrando-se também a falta de eficiência no registo dos dados no local de colecta do material. Em relação à sazonalidade, os casos foram mais freqüentes no final do ano, sendo registados a partir de Junho, com maior número a partir de Setembro e aumento significativo em Novembro. Os pacientes positivos registados foram tanto do sexo feminino quanto masculino com 37,6±18,9 anos de idade. Pacientes de maior idade, tanto do sexo masculino quanto feminino, demonstraram resultados sorológicos que indicam infecções passadas (ou crônicas), enquanto uma pequena percentagem de indivíduos do sexo masculino, neste grupo se encontrando os indivíduos de menor idade, desenvolveu títulos sorológicos altos, indicando infecções recentes.

Nesting biology of the trap-nesting Neotropical wasp Trypoxylo n(Trypargilum) aurifrons Shuckard (Hymenoptera, Crabronidae)

The present study was carried out in three localities of the state of São Paulo, Brazil: Araras (Dec/03-Dec/06), São Carlos (Nov/04-Nov/06) and Rifaina (Jul/04-Dec/06). Trap-nests were distributed among sites in the sampling areas and were collected every 35 days. Data from 295 nests indicate that T. aurifrons is a multivoltine species, with higher rates of nest building and cell production in the warm, rainy season. The trap-nests used by the females ranged from 117 to 467 mm in length and 3.1 to 16.6 mm in diameter. All nests showed deep plugs and a vestibular cell was found in 37% of the complete nests. The number of cells per nest ranged from one to 12. Females were larger than males, emerged from longer cells and their cocoons were significantly larger. A secondary 1:1 sex ratio was found in Araras and Rifaina. No correlation was observed between the diameter of the trap-nest and sex ratio. Males were usually oviposited in the first brood cells. Male and female developmental time from egg to adult was longer in the cold, dry season. Trypoxylon aurifrons provisioned their nests mainly with orb-spiders from the family Araneidae. The most important mortality factor was the death of immature forms, probably due to development failure. The most important parasitoid was Melittobia sp.

Drivers and sources of supply flexibility: An exploratory study

Purpose - There has been much research on manufacturing flexibility, but supply chain flexibility is still an under-investigated area. This paper focuses on supply flexibility, the aspects of flexibility related to the upstream supply chain. Our purpose is to investigate why and how firms increase supply flexibility.Methodology/Approach An exploratory multiple case study was conducted. We analyzed seven Spanish manufacturers from different sectors (automotive, apparel, electronics and electrical equipment).Findings - The results show that there are some major reasons why firms need supply flexibility (manufacturing schedule fluctuations, JIT purchasing, manufacturing slack capacity, low level of parts commonality, demand volatility, demand seasonality and forecast accuracy), and that companies increase this type of flexibility by implementing two main strategies: to increase suppliers responsiveness capability and flexible sourcing . The results also suggest that the supply flexibility strategy selected depends on two factors: the supplier searching and switching costs and the type of uncertainty (mix, volume or delivery).Research limitations - This paper has some limitations common to all case studies, such as the subjectivity of the analysis, and the questionable generalizability of results (since the sample of firms is not statistically significant).Implications - Our study contributes to the existing literature by empirically investigating which are the main reasons for companies needing to increase supply flexibility, how they increase this flexibility, and suggesting some factors that could influence the selection of a particular supply flexibility strategy.

Attractivity of omnivore, carnivore and herbivore mammalian dung to Scarabaeinae (Coleoptera, Scarabaeidae) in a tropical Atlantic rainforest remnant

In this study, performed in a remnant of Brazilian Atlantic Forest, three types of dung from animals with distinct alimentary habits were utilized, in order to verify possible differences of attractivity of these dungs to the Scarabaeinae and the influence of seasonality in the attractivity. Three habitats were sampled: edge, clearing and forest core, each with 40 pitfall traps. A total of 2,137 beetles were collected from August 2005 to July 2006. Canthidium sp. 1 (43%) and Dichotomius sericeus (41%) were the most abundant species. From the total number of beetles collected, 80.5% were attracted to human dung, 11% to jaguar dung, 7.8% to waterbuck dung and 0.7% to the control. The species Canthidium sp.1, Canthidium sp. 2, Ateuchus sp., Canthon nigripenne, Canthonella sp. and D. sericeus came to all three bait types. Eight species were found in the baits with human dung, where Canthidium sp.1 (49%) and D. sericeus (39%) were the most common. A significant difference in attractiveness of the different baits was observed; the highest abundance found in traps baited with human dung (F = 36.59; g.l. = 3; p < 0.0001). A significant difference in richness was observed between rainy and dry seasons (F = 12.29; g.l. = 1; p < 0.001), the highest richness found in the dry season.

Evaluating leaf litter beetle data sampled by Winkler extraction from Atlantic forest sites in southern Brazil

Evaluating leaf litter beetle data sampled by Winkler extraction from Atlantic forest sites in southern Brazil. To evaluate the reliability of data obtained by Winkler extraction in Atlantic forest sites in southern Brazil, we studied litter beetle assemblages in secondary forests (5 to 55 years after abandonment) and old-growth forests at two seasonally different points in time. For all regeneration stages, species density and abundance were lower in April compared to August; but, assemblage composition of the corresponding forest stages was similar in both months. We suggest that sampling of small litter inhabiting beetles at different points in time using the Winkler technique reveals identical ecological patterns, which are more likely to be influenced by sample incompleteness than by differences in their assemblage composition. A strong relationship between litter quantity and beetle occurrences indicates the importance of this variable for the temporal species density pattern. Additionally, the sampled beetle material was compared with beetle data obtained with pitfall traps in one old-growth forest. Over 60% of the focal species captured with pitfall traps were also sampled by Winkler extraction in different forest stages. Few beetles with a body size too large to be sampled by Winkler extraction were only sampled with pitfall traps. This indicates that the local litter beetle fauna is dominated by small species. Hence, being aware of the exclusion of large beetles and beetle species occurring during the wet season, the Winkler method reveals a reliable picture of the local leaf litter beetle community.

Mites associated to Xylopia aromatica (Lam.) Mart. (Annonaceae) in urban and rural fragments of semidecidual forest

Mites associated to Xylopia aromatica (Lam.) Mart. (Annonaceae) in urban and rural fragments of semidecidual forest. Native plants can shelter a great diversity of mites. Notwithstanding, the conservation of the forest fragments where the plants are located can influence the structure of the mites community. Generally, in homogenous environments the diversity is lower due to the dominance of one or a few species. In this work, we studied the mite community on Xylopia aromatica (Lam.) Mart. (Annonaceae) in two fragments of semidecidual forest: one on rural and other on urban area. Seven individuals of X. aromatica were monthly sampled from April 2007 to March 2008, in each of these fragments. Descriptive indexes of diversity, dominance and evenness were applied to verify the ecological patterns of the mite community, besides the Student's t-test to compare the abundance between the fragments. We collected 27,365 mites of 37 species belonging to 11 families. Calacarus sp. (Eriophyidae) was the most abundant species, representing 73% of the total sampled. The abundance was greater in the urban fragment (67.7%), with the diversity index reaching only 25% of the theoretical maximum expected. Probably, these values might have been influenced by the location of this fragment in the urban area, being more homogeneous and submitted directly to the presence of atmospheric pollution. In this manner, X. aromatica is able to shelter a higher diversity of mites when inserted in preserved ecosystems, since the highest diversity of available resources allows the establishment of richer and most diverse mite community.