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.

Body composition interpretation. Contributions of the fat-free mass index and the body fat mass index.

OBJECTIVE: Low and high body mass index (BMI) values have been shown to increase health risks and mortality and result in variations in fat-free mass (FFM) and body fat mass (BF). Currently, there are no published ranges for a fat-free mass index (FFMI; kg/m(2)), a body fat mass index (BFMI; kg/m(2)), and percentage of body fat (%BF). The purpose of this population study was to determine predicted FFMI and BFMI values in subjects with low, normal, overweight, and obese BMI. METHODS: FFM and BF were determined in 2986 healthy white men and 2649 white women, age 15 to 98 y, by a previously validated 50-kHz bioelectrical impedance analysis equation. FFMI, BFMI, and %BF were calculated. RESULTS: FFMI values were 16.7 to 19.8 kg/m(2) for men and 14.6 to 16.8 kg/m(2) for women within the normal BMI ranges. BFMI values were 1.8 to 5.2 kg/m(2) for men and 3.9 to 8.2 kg/m(2) for women within the normal BMI ranges. BFMI values were 8.3 and 11.8 kg/m(2) in men and women, respectively, for obese BMI (>30 kg/m(2)). Normal ranges for %BF were 13.4 to 21.7 and 24.6 to 33.2 for men and women, respectively. CONCLUSION: BMI alone cannot provide information about the respective contribution of FFM or fat mass to body weight. This study presents FFMI and BFMI values that correspond to low, normal, overweight, and obese BMIs. FFMI and BFMI provide information about body compartments, regardless of height.

Optimisation of a quantitative polymerase chain reaction-based strategy for the detection and quantification of human herpesvirus 6 DNA in patients undergoing allogeneic haematopoietic stem cell transplantation

Human herpesvirus 6 (HHV-6) may cause severe complications after haematopoietic stem cell transplantation (HSCT). Monitoring this virus and providing precise, rapid and early diagnosis of related clinical diseases, constitute essential measures to improve outcomes. A prospective survey on the incidence and clinical features of HHV-6 infections after HSCT has not yet been conducted in Brazilian patients and the impact of this infection on HSCT outcome remains unclear. A rapid test based on real-time quantitative polymerase chain reaction (qPCR) has been optimised to screen and quantify clinical samples for HHV-6. The detection step was based on reaction with TaqMan® hydrolysis probes. A set of previously described primers and probes have been tested to evaluate efficiency, sensitivity and reproducibility. The target efficiency range was 91.4% with linearity ranging from 10-106 copies/reaction and a limit of detection of five copies/reaction or 250 copies/mL of plasma. The qPCR assay developed in the present study was simple, rapid and sensitive, allowing the detection of a wide range of HHV-6 loads. In conclusion, this test may be useful as a practical tool to help elucidate the clinical relevance of HHV-6 infection and reactivation in different scenarios and to determine the need for surveillance.

Do we truly see what we think we see? The role of cognitive bias in pathological interpretation.

In the histomorphological grading of prostate carcinoma, pathologists have regularly assigned comparable scores for the architectural Gleason and the now-obsolete nuclear World Health Organization (WHO) grading systems. Although both systems demonstrate good correspondence between grade and survival, they are based on fundamentally different biological criteria. We tested the hypothesis that this apparent concurrence between the two grading systems originates from an interpretation bias in the minds of diagnostic pathologists, rather than reflecting a biological reality. Three pathologists graded 178 prostatectomy specimens, assigning Gleason and WHO scores on glass slides and on digital images of nuclei isolated out of their architectural context. The results were analysed with respect to interdependencies among the grading systems, to tumour recurrence (PSA relapse > 0.1 ng/ml at 48 months) and robust nuclear morphometry, as assessed by computer-assisted image analysis. WHO and Gleason grades were strongly correlated (r = 0.82) and demonstrated identical prognostic power. However, WHO grades correlated poorly with nuclear morphology (r = 0.19). Grading of nuclei isolated out of their architectural context significantly improved accuracy for nuclear morphology (r = 0.55), but the prognostic power was virtually lost. In conclusion, the architectural organization of a tumour, which the pathologist cannot avoid noticing during initial slide viewing at low magnification, unwittingly influences the subsequent nuclear grade assignment. In our study, the prognostic power of the WHO grading system was dependent on visual assessment of tumour growth pattern. We demonstrate for the first time the influence a cognitive bias can have in the generation of an error in diagnostic pathology and highlight a considerable problem in histopathological tumour grading.

The European Union in North Korea: Current Realities and Paths for Future Engagement – A Qualitative and Quantitative Study

Malgrat la rellevància estratègica i el paper desestabilitzador de Corea del Nord a la regió econòmicament més dinàmica del món, la UE no compta amb cap estratègia clara per involucrar-se amb aquest país. Combinant tècniques d’anàlisi qualitatives i quantitatives, aquest treball pretén descobrir possibles contradiccions internes que impedeixin la definició d'una política exterior europea coherent i efectiva amb respecte a Corea del Nord, així com discrepàncies entre les percepcions d’actors interns de la UE i les d’actors externs. S'han detectat importants diferències d’expectatives i mancances en termes de coherència, tant entre les visions expressades pels actors interns com entre les opinions d’aquests actors i les dels futurs líders sudcoreans enquestats – diferències que fins i tot afecten la promoció dels drets humans

The subjectivist interpretation of probability and the problem of individualisation in forensic science

This paper presents and discusses further aspects of the subjectivist interpretation of probability (also known as the 'personalist' view of probabilities) as initiated in earlier forensic and legal literature. It shows that operational devices to elicit subjective probabilities - in particular the so-called scoring rules - provide additional arguments in support of the standpoint according to which categorical claims of forensic individualisation do not follow from a formal analysis under that view of probability theory.

The Early Toarcian anoxia, a synchronous event in the Western Tethys? An approach by quantitative biochronology (Unitary Associations), applied on calcareous nannofossils

During the Early Toarcian, major paleoenvironnemental and paleoceanographical changes occurred, leading to an oceanic anoxic event (OAE) and to a perturbation of the carbon isotope cycle. Although the standard biochronology of the Lower Jurassic is essentially based upon ammonites, in recent years biostratigraphy based on calcareous nannofossils and dinoflagellate cysts is increasingly used to date Jurassic rocks. However, the precise dating and correlation of the Early Toarcian OAE, and of the associated delta C-13 anomaly in different settings of the western Tethys, are still partly problematic, and it is still unclear whether these events are synchronous or not. In order to allow more accurate correlations of the organic rich levels recorded in the Lower Toarcian OAE, this account proposes a new biozonation based on a quantitative biochronology approach, the Unitary Associations (UA), applied to calcareous nannofossils. This study represents the first attempt to apply the UA method to Jurassic nannofossils. The study incorporates eighteen sections distributed across western Tethys and ranging from the Pliensbachian to Aalenian, comprising 1220 samples and 72 calcareous nannofossil taxa. The BioGraph [Savary, J., Guex, J., 1999. Discrete biochronological scales and unitary associations: description of the Biograph Computer program. Memoires de Geologie de Lausanne 34, 282 pp] and UA-Graph (Copyright Hammer O., Guex and Savary, 2002) softwares provide a discrete biochronological framework based upon multi-taxa concurrent range zones in the different sections. The optimized dataset generates nine UAs using the co-occurrences of 56 taxa. These UAs are grouped into six Unitary Association Zones (UA-Z), which constitute a robust biostratigraphic synthesis of all the observed or deduced biostratigraphic relationships between the analysed taxa. The UA zonation proposed here is compared to ``classic'' calcareous nannofossil biozonations, which are commonly used for the southern and the northern sides of Tethys. The biostratigraphic resolution of the UA-Zones varies from one nannofossil subzone or part of it to several subzones, and can be related to the pattern of calcareous nannoplankton originations and extinctions during the studied time interval. The Late Pliensbachian - Early Toarcian interval (corresponding to the UA-Z II) represents a major step in the Jurassic nannoplankton radiation. The recognized UA-Zones are also compared to the carbon isotopic negative excursion and TOC maximum in five sections of central Italy, Germany and England, with the aim of providing a more reliable correlation tool for the Early Toarcian OAE, and of the associated isotopic anomaly, between the southern and northern part of western Tethys. The results of this work show that the TOC maximum and delta C-13 negative excursion correspond to the upper part of the UA-Z II (i.e., UA 3) in the sections analysed. This suggests that the Early Toarcian OAE was a synchronous event within the western Tethys. (c) 2006 Elsevier B.V. All rights reserved.

An electronic portfolio for quantitative assessment of surgical skills in undergraduate medical education.

BACKGROUND We evaluated a newly designed electronic portfolio (e-Portfolio) that provided quantitative evaluation of surgical skills. Medical students at the University of Seville used the e-Portfolio on a voluntary basis for evaluation of their performance in undergraduate surgical subjects. METHODS Our new web-based e-Portfolio was designed to evaluate surgical practical knowledge and skills targets. Students recorded each activity on a form, attached evidence, and added their reflections. Students self-assessed their practical knowledge using qualitative criteria (yes/no), and graded their skills according to complexity (basic/advanced) and participation (observer/assistant/independent). A numerical value was assigned to each activity, and the values of all activities were summated to obtain the total score. The application automatically displayed quantitative feedback. We performed qualitative evaluation of the perceived usefulness of the e-Portfolio and quantitative evaluation of the targets achieved. RESULTS Thirty-seven of 112 students (33%) used the e-Portfolio, of which 87% reported that they understood the methodology of the portfolio. All students reported an improved understanding of their learning objectives resulting from the numerical visualization of progress, all students reported that the quantitative feedback encouraged their learning, and 79% of students felt that their teachers were more available because they were using the e-Portfolio. Only 51.3% of students reported that the reflective aspects of learning were useful. Individual students achieved a maximum of 65% of the total targets and 87% of the skills targets. The mean total score was 345 ± 38 points. For basic skills, 92% of students achieved the maximum score for participation as an independent operator, and all achieved the maximum scores for participation as an observer and assistant. For complex skills, 62% of students achieved the maximum score for participation as an independent operator, and 98% achieved the maximum scores for participation as an observer or assistant. CONCLUSIONS Medical students reported that use of an electronic portfolio that provided quantitative feedback on their progress was useful when the number and complexity of targets were appropriate, but not when the portfolio offered only formative evaluations based on reflection. Students felt that use of the e-Portfolio guided their learning process by indicating knowledge gaps to themselves and teachers.

Immune responses to JC virus in patients with multiple sclerosis treated with natalizumab: a cross-sectional and longitudinal study.

BACKGROUND: Natalizumab is used to prevent relapses and progression of disability in patients with multiple sclerosis but has been associated with progressive multifocal leukoencephalopathy (PML). We aimed to better understand the associations between JC virus, which causes PML, and natalizumab treatment. METHODS: We prospectively assessed patients with multiple sclerosis who started treatment with natalizumab. Blood and urine samples were tested for the presence of JC virus DNA with quantitative real-time PCR before treatment and at regular intervals after treatment onset for up to 18 months. At the same timepoints, by use of proliferation and enzyme-linked immunospot assays, the cellular immune responses against JC virus, Epstein-Barr virus, cytomegalovirus, myelin oligodendrocyte glycoprotein, and myelin oligodendrocyte basic protein (MOBP) were assessed. Humoral immune response specific to JC virus was assessed with an enzyme immunoassay. The same experiments were done on blood samples from patients with multiple sclerosis before and 10 months after the start of interferon beta treatment. FINDINGS: We assessed 24 patients with multiple sclerosis who received natalizumab and 16 who received interferon beta. In patients treated with natalizumab, JC virus DNA was not detected in the blood at any timepoint. However, JC virus DNA was present in the urine of six patients and in most of these patients the concentrations of JC virus DNA were stable over time. Compared with pretreatment values, the cellular immune response was increased to cytomegalovirus at 6 months, to JC virus at 1, 9, and 12 months, and to Epstein-Barr virus and MOBP at 12 months. Humoral responses remained stable. There were no increases in cellular immune responses specific to the viruses or myelin proteins in the 16 patients treated with interferon beta. INTERPRETATION: Natalizumab increases cellular immune responses specific to viruses and myelin proteins in the peripheral blood after 1 year, without evidence of viral reactivation. FUNDING: Swiss National Foundation, Swiss Society for Multiple Sclerosis, and Biogen Dompé.

Arqueología de la producción agrícola. Aplicación de técnicas de análisis estadístico y geocomputacional a un caso de estudio del IV-II milenio ANE en la Cuenca del Río Grande (Perú)

Muchas investigaciones arqueobotánicas, desde un enfoque cualitativo-descriptivo, limitan el propio campo de estudio a los análisis de presencia/ausencia y/o de frecuencia de taxones a partir de su recuento en los conjuntos vegetales. De esa manera, los datos proporcionados resultan ser inconcluyentes y no fiables para la reconstrucción del paleoambiente, la determinación de la dieta alimenticia y de la práctica económica realizada (recolección VS agricultura), y totalmente insuficientes para determinar los cambios históricos ocurridos en los procesos productivos. Por lo que concierne el Perú, desde los primeros estudios con referencia a restos vegetales recuperados en yacimientos arqueológicos, principalmente de la costa, se documenta el importante papel que han desarrollado las especies vegetales en la vida de las comunidades pre-hispánicas. No obstante la excepcional abundancia y óptima preservación de este tipo de material (botánico) en muchos de los yacimientos arqueológicos de esta región, gracias a las extremas condiciones climáticas y ambientales sobre todo de sus áridas zonas costeras, los estudios arqueobotánicos desarrollados hasta el momento son muy escasos y las limitaciones análiticas que presentan en su mayoría reflejan la poca importancia dada a las investigaciones arqueobotánicas. En el presente trabajo desarrollamos y aplicamos una metodología analítica de tipo cuantitativa para el estudio de los macrorestos vegetales procedentes de un yacimiento de la Costa sur del Perú. Con ello pretendemos obtener datos representativos y objetivos de los conjuntos analizados, cuyo procesado lleve a una exhaustiva y correcta interpretación de la información.

Role for inducible cAMP early repressor in promoting pancreatic beta cell dysfunction evoked by oxidative stress in human and rat islets.

AIMS/HYPOTHESIS: Pro-atherogenic and pro-oxidant, oxidised LDL trigger adverse effects on pancreatic beta cells, possibly contributing to diabetes progression. Because oxidised LDL diminish the expression of genes regulated by the inducible cAMP early repressor (ICER), we investigated the involvement of this transcription factor and of oxidative stress in beta cell failure elicited by oxidised LDL. METHODS: Isolated human and rat islets, and insulin-secreting cells were cultured with human native or oxidised LDL or with hydrogen peroxide. The expression of genes was determined by quantitative real-time PCR and western blotting. Insulin secretion was monitored by EIA kit. Cell apoptosis was determined by scoring cells displaying pycnotic nuclei. RESULTS: Exposure of beta cell lines and islets to oxidised LDL, but not to native LDL raised the abundance of ICER. Induction of this repressor by the modified LDL compromised the expression of important beta cell genes, including insulin and anti-apoptotic islet brain 1, as well as of genes coding for key components of the secretory machinery. This led to hampering of insulin production and secretion, and of cell survival. Silencing of this transcription factor by RNA interference restored the expression of its target genes and alleviated beta cell dysfunction and death triggered by oxidised LDL. Induction of ICER was stimulated by oxidative stress, whereas antioxidant treatment with N-acetylcysteine or HDL prevented the rise of ICER elicited by oxidised LDL and restored beta cell functions. CONCLUSIONS/INTERPRETATION: Induction of ICER links oxidative stress to beta cell failure caused by oxidised LDL and can be effectively abrogated by antioxidant treatment.

Modelling the cardiovascular system for automatic interpretation of the blood pressure curve

A four compartment model of the cardiovascular system is developed. To allow for easy interpretation and to minimise the number of parameters, an effort was made to keep the model as simple as possible. A sensitivity analysis is first carried out to determine which are the most important model parameters to characterise the blood pressure signal. A four stage process is then described which accurately determines all parameter values. This process is applied to data from three patients and good agreement is shown in all cases.

To Monty Kier, a friendly tribute.

In 2008 we published the first set of guidelines for standardizing research in autophagy. Since then, research on this topic has continued to accelerate, and many new scientists have entered the field. Our knowledge base and relevant new technologies have also been expanding. Accordingly, it is important to update these guidelines for monitoring autophagy in different organisms. Various reviews have described the range of assays that have been used for this purpose. Nevertheless, there continues to be confusion regarding acceptable methods to measure autophagy, especially in multicellular eukaryotes. A key point that needs to be emphasized is that there is a difference between measurements that monitor the numbers or volume of autophagic elements (e.g., autophagosomes or autolysosomes) at any stage of the autophagic process vs. those that measure flux through the autophagy pathway (i.e., the complete process); thus, a block in macroautophagy that results in autophagosome accumulation needs to be differentiated from stimuli that result in increased autophagic activity, defined as increased autophagy induction coupled with increased delivery to, and degradation within, lysosomes (in most higher eukaryotes and some protists such as Dictyostelium) or the vacuole (in plants and fungi). In other words, it is especially important that investigators new to the field understand that the appearance of more autophagosomes does not necessarily equate with more autophagy. In fact, in many cases, autophagosomes accumulate because of a block in trafficking to lysosomes without a concomitant change in autophagosome biogenesis, whereas an increase in autolysosomes may reflect a reduction in degradative activity. Here, we present a set of guidelines for the selection and interpretation of methods for use by investigators who aim to examine macroautophagy and related processes, as well as for reviewers who need to provide realistic and reasonable critiques of papers that are focused on these processes. These guidelines are not meant to be a formulaic set of rules, because the appropriate assays depend in part on the question being asked and the system being used. In addition, we emphasize that no individual assay is guaranteed to be the most appropriate one in every situation, and we strongly recommend the use of multiple assays to monitor autophagy. In these guidelines, we consider these various methods of assessing autophagy and what information can, or cannot, be obtained from them. Finally, by discussing the merits and limits of particular autophagy assays, we hope to encourage technical innovation in the field.

International survey on skin patch test procedures, attitudes and interpretation.

BACKGROUND Skin patch test is the gold standard method in diagnosing contact allergy. Although used for more than 100 years, the patch test procedure is performed with variability around the world. A number of factors can influence the test results, namely the quality of reagents used, the timing of the application, the patch test series (allergens/haptens) that have been used for testing, the appropriate interpretation of the skin reactions or the evaluation of the patient's benefit. METHODS We performed an Internet -based survey with 38 questions covering the educational background of respondents, patch test methods and interpretation. The questionnaire was distributed among all representatives of national member societies of the World Allergy Organization (WAO), and the WAO Junior Members Group. RESULTS One hundred sixty-nine completed surveys were received from 47 countries. The majority of participants had more than 5 years of clinical practice (61 %) and routinely carried out patch tests (70 %). Both allergists and dermatologists were responsible for carrying out the patch tests. We could observe the use of many different guidelines regardless the geographical distribution. The use of home-made preparations was indicated by 47 % of participants and 73 % of the respondents performed 2 or 3 readings. Most of the responders indicated having patients with adverse reactions, including erythroderma (12 %); however, only 30 % of members completed a consent form before conducting the patch test. DISCUSSION The heterogeneity of patch test practices may be influenced by the level of awareness of clinical guidelines, different training backgrounds, accessibility to various types of devices, the patch test series (allergens/haptens) used for testing, type of clinical practice (public or private practice, clinical or research-based institution), infrastructure availability, financial/commercial implications and regulations among others. CONCLUSION There is a lack of a worldwide homogeneity of patch test procedures, and this raises concerns about the need for standardization and harmonization of this important diagnostic procedure.

Quantitative sequence analysis of FBN1 premature termination codons provides evidence for incomplete NMD in leukocytes.

We improved, evaluated, and used Sanger sequencing for quantification of single nucleotide polymorphism (SNP) variants in transcripts and gDNA samples. This improved assay resulted in highly reproducible relative allele frequencies (e.g., for a heterozygous gDNA 50.0+/-1.4%, and for a missense mutation-bearing transcript 46.9+/-3.7%) with a lower detection limit of 3-9%. It provided excellent accuracy and linear correlation between expected and observed relative allele frequencies. This sequencing assay, which can also be used for the quantification of copy number variations (CNVs), methylations, mosaicisms, and DNA pools, enabled us to analyze transcripts of the FBN1 gene in fibroblasts and blood samples of patients with suspected Marfan syndrome not only qualitatively but also quantitatively. We report a total of 18 novel and 19 known FBN1 sequence variants leading to a premature termination codon (PTC), 26 of which we analyzed by quantitative sequencing both at gDNA and cDNA levels. The relative amounts of PTC-containing FBN1 transcripts in fresh and PAXgene-stabilized blood samples were significantly higher (33.0+/-3.9% to 80.0+/-7.2%) than those detected in affected fibroblasts with inhibition of nonsense-mediated mRNA decay (NMD) (11.0+/-2.1% to 25.0+/-1.8%), whereas in fibroblasts without NMD inhibition no mutant alleles could be detected. These results provide evidence for incomplete NMD in leukocytes and have particular importance for RNA-based analyses not only in FBN1 but also in other genes.