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.

Report of Recommendations to the Information Technology Department, June 30, 2001

Annual Auditors report of Information Technology Department

Information Technology Department 2001 Annual Report, 2001

Annual report of Information Technology Department

Annual Report for Information Technology Department, 2000

Annual Report of Information Technology Department

Report of Recommendations to the Information Technology Department, June 30, 2002

State Agency Audit Report

Department of Administrative Services, Information Technology Enterprise, A Review of Selected Service Contracts, April 1, 1998 - June 30, 2003

Other Audit Reports - Special Report

Report of Recommendations to the Information Technology Department, June 30, 2003

State Agency Audit Report

Complementarity between technology make and buy in innovation strategies: Evidence from Belgiam manufacturing firms

This paper characterizes the innovation strategy of manufacturing firms andexamines the relation between the innovation strategy and importantindustry-, firm- and innovation-specific characteristics using Belgiandata from the Eurostat Community Innovation Survey. In addition to importantsize effects explaining innovation, we find that high perceived risks andcosts and low appropriability of innovations do not discourage innovation,but rather determine how the innovation sourcing strategy is chosen. Withrespect to the determinants of the decision of the innovative firm toproduce technology itself (Make) or to source technology externally (Buy),we find that small firms are more likely restrict their innovation strategyto an exclusive make or buy strategy, while large firms are more likely tocombine both internal and external knowledge acquisition in their innovationstrategy. An interesting result that highlights the complementary nature ofthe Make and Buy decisions, is that, controlled for firm size, companies forwhich internal information is an important source for innovation are morelikely to combine internal and external sources of technology. We find thisto be evidence of the fact that in-house R&D generates the necessaryabsorptive capacity to profit from external knowledge acquisition. Also theeffectiveness of different mechanisms to appropriate the benefits ofinnovations and the internal organizational resistance against change areimportant determinants of the firm's technology sourcing strategy.

Agency Fact Sheet, Department of Information Technology, FY2002

This document produced by the Iowa Department of Administrative Services has been developed to provide a multitude of information about executive branch agencies/department on a single sheet of paper. The facts provides general information, contact information, workforce data, leave and benefits information and affirmative action data.

Agency Fact Sheet, Department of Information Technology, FY2003

This document produced by the Iowa Department of Administrative Services has been developed to provide a multitude of information about executive branch agencies/department on a single sheet of paper. The facts provides general information, contact information, workforce data, leave and benefits information and affirmative action data.

Distributing State Road Use Tax Funds to Counties, HR-386, 1996

Iowa's county road system serves many critical functions in a changing environment. Many counties with very different social, economic, and demographic circumstances do not have adequate resources to provide the desired level of service on their secondary road systems. How the state's Road Use Tax Fund (RUTF) is distributed among counties is therefore of great importance. This report presents the results of a year-long study of how to distribute RUTF resources among Iowa's 99 counties. The project was undertaken at the request of county engineers who wish to replace the current method of allocation with one that is more stable, comprehensible, and predictable. This report describes the current allocation method, examines how other states distribute road funds to counties, and discusses potential allocation factors that could be included in a revised procedure. The process undertaken to narrow the range of possible formulas and determine the one to recommend is summarized. Finally, the report presents the allocation formula recommended by the project advisory committee, along with how it would operate.

Pooled Fund Study of Premature Concrete Pavement Deterioration, HR-1063, Supplementary Study, 1997

Recently, a number of roads have begun to exhibit the onset of deterioration at relatively early ages. Since this deterioration appears to be the result of materials issues, data concerning raw materials, design, and paving conditions have been collected and analyzed for correlation between independent variables and deterioration. This analysis shows that there is a positive and statistically significant correlation between deterioration and the following variables: alkali and sulfate content of the cementitious materials, impermeable base course, paving temperature, and the presence of fly ash. This study also concludes that there is a significant need for improvement in data collection and maintenance by many organizations responsible for the production of concrete.

Strength-Temperature Study of Fly Ash Concrete, MLR-84-6, 1984

Class A, B, and C concrete paving mixes were tested for compressive strength at 40°F and 73°F, both with and without fly ash substitution for 15% of the portland cement. Two Class C ashes and one Class F ash from Iowa approved sources were examined in each mix. The purpose of the study was to provide data on cool weather strength development of concrete paving mixes utilizing Iowa materials. In all cases except one, the fly ash concretes exhibited lower 7 and 28- day compressive strengths at 40°F than control mixes. The continuation of the October 15 cut-off date for the use of fly ash concrete is recommended.

Needs Assessment Study of the Iowa DOT Maintenance Facility Construction Needs, 1989

The purpose of this study is to provide recommendations relative to the location and construction needs for highway maintenance facilities within the state of Iowa. These recommendations were to be developed with consideration being given to the public's expectations and priorities for highway maintenance services. As a part of the study effort, a review was made of the methods used by other states to deliver highway maintenance services. To accomplish the study, Wilbur Smith Associates undertook a series of tasks. These efforts included gathering of data and information to characterize the various maintenance programs and the delivery of maintenance and operations services by the Department. We researched the delivery of highway maintenance services in other states. Interviews with Iowa DOT maintenance personnel were accomplished. A schedule of public hearings was developed and ten hearings were held. All the information was integrated and various analyses were made. From these analyses we drew conclusions and developed recommendations.

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.