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.

Mathematical modeling and analysis of the interaction of populations of bacteria and bacteriophages within chicken intestine

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Mammalian genes are transcribed with widely different bursting kinetics.

In prokaryotes and eukaryotes, most genes appear to be transcribed during short periods called transcriptional bursts, interspersed by silent intervals. We describe how such bursts generate gene-specific temporal patterns of messenger RNA (mRNA) synthesis in mammalian cells. To monitor transcription at high temporal resolution, we established various gene trap cell lines and transgenic cell lines expressing a short-lived luciferase protein from an unstable mRNA, and recorded bioluminescence in real time in single cells. Mathematical modeling identified gene-specific on- and off-switching rates in transcriptional activity and mean numbers of mRNAs produced during the bursts. Transcriptional kinetics were markedly altered by cis-regulatory DNA elements. Our analysis demonstrated that bursting kinetics are highly gene-specific, reflecting refractory periods during which genes stay inactive for a certain time before switching on again.

Polymorphism at a sex-linked transcription cofactor in European tree frogs (Hyla arborea): Sex-antagonistic selection or neutral processes?

Nascent sex chromosomes offer a unique opportunity to investigate the evolutionary fate of genesrecently trapped in non-recombining segments. A housekeeping gene (MED15) was recently shown to lie on the nascent sex-chromosomes of the European tree frog (Hyla arborea), with different alleles fixed on the X and the Y chromosomes. Here we document a polymorphism (glutamine deletion) in the X copy of the gene, and use population surveys and experimental crosses to test whether this polymorphism is neutral or maintained by sex-antagonistic selection. Tadpoles from parents of known genotypes revealed significant discrepancies from Mendelian inheritance, suggesting possible sex-antagonistic effects under laboratory conditions. Quantitatively, however, these effects did not meet the conditions for polymorphism maintenance. Furthermore, field estimates of female genotypic frequencies did not differ from Hardy-Weinberg equilibrium and allelic frequencies on the X chromosome did not differ between sexes. In conclusion, although sex antagonistic effects cannot be excluded given the laboratory conditions, the X-linked polymorphism under study appears neutral in the wild. Alternatively, sex-antagonistic selection might still account for the fixation of a male specific allele on the Y chromosome.

Deficits in executive and memory processes in delusional disorder: a case-control study

OBJECTIVE Delusional disorder has been traditionally considered a psychotic syndrome that does not evolve to cognitive deterioration. However, to date, very little empirical research has been done to explore cognitive executive components and memory processes in Delusional Disorder patients. This study will investigate whether patients with delusional disorder are intact in both executive function components (such as flexibility, impulsivity and updating components) and memory processes (such as immediate, short term and long term recall, learning and recognition). METHODS A large sample of patients with delusional disorder (n = 86) and a group of healthy controls (n = 343) were compared with regard to their performance in a broad battery of neuropsychological tests including Trail Making Test, Wisconsin Card Sorting Test, Colour-Word Stroop Test, and Complutense Verbal Learning Test (TAVEC). RESULTS When compared to controls, cases of delusional disorder showed a significantly poorer performance in most cognitive tests. Thus, we demonstrate deficits in flexibility, impulsivity and updating components of executive functions as well as in memory processes. These findings held significant after taking into account sex, age, educational level and premorbid IQ. CONCLUSIONS Our results do not support the traditional notion of patients with delusional disorder being cognitively intact.

Consensus paper: the role of the cerebellum in perceptual processes.

Various lines of evidence accumulated over the past 30 years indicate that the cerebellum, long recognized as essential for motor control, also has considerable influence on perceptual processes. In this paper, we bring together experts from psychology and neuroscience, with the aim of providing a succinct but comprehensive overview of key findings related to the involvement of the cerebellum in sensory perception. The contributions cover such topics as anatomical and functional connectivity, evolutionary and comparative perspectives, visual and auditory processing, biological motion perception, nociception, self-motion, timing, predictive processing, and perceptual sequencing. While no single explanation has yet emerged concerning the role of the cerebellum in perceptual processes, this consensus paper summarizes the impressive empirical evidence on this problem and highlights diversities as well as commonalities between existing hypotheses. In addition to work with healthy individuals and patients with cerebellar disorders, it is also apparent that several neurological conditions in which perceptual disturbances occur, including autism and schizophrenia, are associated with cerebellar pathology. A better understanding of the involvement of the cerebellum in perceptual processes will thus likely be important for identifying and treating perceptual deficits that may at present go unnoticed and untreated. This paper provides a useful framework for further debate and empirical investigations into the influence of the cerebellum on sensory perception.

Modelling of Mercury’s surface composition and remote detection from the orbit with the BepiColombo Mercury Planetary Orbiter

It can be assumed that the composition of Mercury’s thin gas envelope (exosphere) is related to thecomposition of the planets crustal materials. If this relationship is true, then inferences regarding the bulkchemistry of the planet might be made from a thorough exospheric study. The most vexing of allunsolved problems is the uncertainty in the source of each component. Historically, it has been believedthat H and He come primarily from the solar wind, while Na and K originate from volatilized materialspartitioned between Mercury’s crust and meteoritic impactors. The processes that eject atoms andmolecules into the exosphere of Mercury are generally considered to be thermal vaporization, photonstimulateddesorption (PSD), impact vaporization, and ion sputtering. Each of these processes has its owntemporal and spatial dependence. The exosphere is strongly influenced by Mercury’s highly ellipticalorbit and rapid orbital speed. As a consequence the surface undergoes large fluctuations in temperatureand experiences differences of insolation with longitude. We will discuss these processes but focus moreon the expected surface composition and solar wind particle sputtering which releases material like Caand other elements from the surface minerals and discuss the relevance of composition modelling

Protocolo de investigación del atlas de mortalidad de las capitales de provincia de Andalucía y Cataluña (Proyecto AMCAC).

The aim of this work is to make known the multicentric project AMCAC, whose objective is to describe the geographical distribution of mortality from all causes in census groups of the provincial capitals of Andalusia and Catalonia during 1992-2002 and 1994-2000 respectively, and to study the relationship between the sociodemographic characteristics of the census groups and mortality. This is an ecological study in which the analytical unit is the census group. The data correspond to 298,731 individuals (152,913 men and 145,818 women) who died during the study periods in the towns of Almeria, Barcelona, Cadiz, Cordoba, Girona, Granada, Huelva, Jaen, Lleida, Malaga, Seville and Tarragona during the study periods. The dependent variable is the number of deaths observed per census group. The independent variables are the percentage of unemployment, illiteracy and manual workers. Estimation of the moderated relative risk and the study of the associations among the sociodemographic characteristics of the census groups and the mortality will be done for each town and each sex using the Besag-York-Mollie model. Dissemination of the results will help to improve and broaden knowledge about the population's health, and will provide an important starting point to establish the influence of contextual variables on the health of urban populations.

New perspectives in the use of ink evidence in forensic science: Part II. Development and testing of mathematical algorithms for the automatic comparison of ink samples analysed by HPTLC

In the first part of this research, three stages were stated for a program to increase the information extracted from ink evidence and maximise its usefulness to the criminal and civil justice system. These stages are (a) develop a standard methodology for analysing ink samples by high-performance thin layer chromatography (HPTLC) in reproducible way, when ink samples are analysed at different time, locations and by different examiners; (b) compare automatically and objectively ink samples; and (c) define and evaluate theoretical framework for the use of ink evidence in forensic context. This report focuses on the second of the three stages. Using the calibration and acquisition process described in the previous report, mathematical algorithms are proposed to automatically and objectively compare ink samples. The performances of these algorithms are systematically studied for various chemical and forensic conditions using standard performance tests commonly used in biometrics studies. The results show that different algorithms are best suited for different tasks. Finally, this report demonstrates how modern analytical and computer technology can be used in the field of ink examination and how tools developed and successfully applied in other fields of forensic science can help maximising its impact within the field of questioned documents.

A Formal Framework for Specifying, Reusing and Implementing Learning Processes. First level

This file contains the ontology of patterns of educational settings, as part of the formal framework for specifying, reusing and implementing educational settings. Furthermore, it includes the set of rules that extend the ontology of educational scenarios as well as a brief description of the level of patters of such ontological framework.

Identificació i caracterització funcional dels complexes proteics dels receptors BRL1 i BRL3 en el teixit vascular d’Arabidopsis Thaliana

Els esteroids juguen papers clau en el creixement I el desenvolupament d’eucariotes multicel•lulars. En plantes, aquestes hormones, anomenades Brassinosteroides (BRs), estan involucrades en una gran varietat de processos biològics essencials per a les plantes. S’han descrit anteriorment dos receptors de BRs del tipus Leucine Rich Repeat Receptor Like Kinase LRR-RLK, BRASSINOSTEROID RECEPTOR LIKE 1 i 3 (BRL1 i BRL3 respectivalemt) que són homòlegs al receptor principal BRI1 i són necessaris pel desenvolupament vascular. Tot i que els principals components de la senyal ja han estat identificats pel seu homòleg més pròxim, el receptor BRI1, els complexes de BRL1 i BRL3 juntament amb els candidats co-receptors així com els components de la ruta de senyalització encara no han sigut identificats. Per tal d’entendre millor la funció molecular d’aquests receptors de BRs en la planta aquesta tesis doctoral planteja dues aproximacions: com a primera aproximació, vaig realitzar un estudi fenotípic del desenvolupament del teixit vascular a la planta model Arabidopsis thaliana (Arabidopsis). Disposant d'una amplia bateria de mutants de síntesis de la hormona i senyalització del receptor BRI1, vam analitzar quantitativament el seu patró vascular a la tija d'Arabidopsis. Vam establir els paràmetres en les plantes silvestres [Col-0 wild type, (WT)] i els vam analitzar a tots i cadascun dels mutants. Això conjuntament amb una col•laboració amb la Dr. Marta Ibañes, física de la Universitat de Barcelona que va construir un model matemàtic per simular la formació del patró vascular ens va permetre el•laborar una hipòtesis que vam demostrar experimentalment i va ser publicada a la revista PNAS. Posteriorment vam observar que les plantes knock-out d'aquests dos receptors BRL1 y BRL3 a diferència de BRI1, no tenien cap fenotip obvi en el teixit vascular de la planta adulta. Així, a continuació, per entendre quina necessitat té la planta de disposar de tres receptors tant altament homòlegs que poden percebre la mateixa hormona, vam utilitzar una aproximació bioquímica en col•laboració amb el Prof. de Vries de la Universitat de Wageningen (Holanda) per tal de purificar els complexes dels receptors in vivo i els seus interactors. Això ens ha permès entendre millor el paper funcional d'aquests receptors en la planta. Els resultats d’aquests experiments estan resumits en un article en preparació que aviat estarà en revisió.

Photoletter to the editor: Response of linear porokeratosis to photodynamic therapy in an 11-year-old girl.

Porokeratoses are a group of different entities that belong to the skin keratinization disorders. From the histological point of view the main and common characteristic of these disorders is the presence of compact parakeratotic columns known as cornoid lamellae. All varieties should be carefully treated and followed-up because of the risk of developing malignant epithelial tumors. We report the successful response to photodynamic therapy (PDT) in a pediatric patient diagnosed with linear porokeratosis.

The analysis of the framing processes of the Basque peace movement: The way Lokarri and Gesto por la Paz changed society

During more than 20 years organisations like Gesto por la Paz and Lokarri had been trying to change the social approach to violence, instilling values of peace and dialogue. This working paper defends the idea that the work of these two organisations is key to understand the end of ETA violence and the lack of support that political violence has in the Basque Country. It develops the Basque peace frame generated by this movement and explains how this frame is present in the different levels of Basque society, changing the way political collective identities are negotiated in the Basque Country. Ultimately, their effort is to propose another way of doing politics, one where nationalism and violence are not intrinsically united, escaping from the polarization and confrontation that were in place during the 80s-90s.

Rethinking the triggering inflammatory processes of chronic periaortitis.

Chronic periaortitis (CP) is an uncommon inflammatory disease which primarily involves the infrarenal portion of the abdominal aorta. However, CP should be regarded as a generalized disease with three different pathophysiological entities, namely idiopathic retroperitoneal fibrosis (RPF), inflammatory abdominal aortic aneurysm and perianeurysmal RPF. These entities share similar histopathological characteristics and finally will lead to fibrosis of the retroperitoneal space. Beside fibrosis, an infiltrate with variable chronic inflammatory cell is present. The majority of these cells are lymphocytes and macrophages as well as vascular endothelial cells, most of which are HLA-DR-positive. B and T cells are present with a majority of T cells of the T-helper phenotype. Cytokine gene expression analysis shows the presence of interleukin (IL)-1alpha, IL-2, IL-4, interferon-gamma and IL-2 receptors. Adhesion molecules such as E-selectin, intercellular adhesion molecule-1 and the vascular cell adhesion molecule-1 were also found in aortic tissue, and may play a significant role in CP pathophysiology. Although CP pathogenesis remains unknown, an exaggerated inflammatory response to advanced atherosclerosis (ATS) has been postulated to be the main process. Autoimmunity has also been proposed as a contributing factor based on immunohistochemical studies. The suspected allergen may be a component of ceroid, which is elaborated within the atheroma. We review the pathogenesis and the pathophysiology of CP, and its potential links with ATS. Clinically relevant issues are summarized in each section with regard to the current working hypothesis of this complex inflammatory disease.