A review of the ticks (Acari, Ixodida) of Brazil, their hosts and geographic distribution - 1. The State of Rio Grande do Sul, Southern Brazil

A review of the ticks (Acari, Ixodida) of the State of Rio Grande do Sul, southern Brazil, was completed as a step towards a definitive list (currently indicated as 12) of such species, their hosts and distribution. The ticks: Argas miniatus (poultry), Ixodes loricatus (opossums), Amblyomma aureolatum (dogs), A. calcaratum (anteaters), A. cooperi (capybaras), A. nodosum (anteaters), A. tigrinum (dogs) (Neotropical) and Rhipicephalus sanguineus (dogs) (introduced, cosmopolitan, Afrotropical) were confirmed as present, in addition to the predominant, Boophilus microplus (cattle) (introduced, pan-tropical, Oriental). Of the further 18 species thus far reported in the literature as present in the state, but unavailable for examination: only Ornithodoros brasiliensis (humans and their habitations) (Neotropical), Ixodes affinis (deer) (Nearctic/Neotropical) and I. auritulus (birds) (Nearctic/Neotropical/Afrotropical/ Australasian) are considered likely; 13 species would benefit from corroborative local data but the majority appear unlikely; reports of A. maculatum (Nearctic/Neotropical, but circum-Caribbean) are considered erroneous; the validity of A. fuscum is in doubt. The very recent, first known report of the tropical Anocentor nitens (horses)(Nearctic/Neotropical), but still apparent absence of the tropical A. cajennense (catholic) (Nearctic/Neotropical) and the sub-tropical/temperate Ixodes pararicinus (cattle) (Neotropical) in Rio Grande do Sul are important for considerations on their current biogeographical distribution and its dynamics in South America. The state has relatively long established, introduced ("exotic"), Old World tick species (B. microplus, R. sanguineus) that continue to represent significant pests and disease vectors to their traditional, introduced domestic animal hosts, cattle and urban dogs. There are also indigenous, New World ticks (A. miniatus, O. brasiliensis, A. aureolatum, A. nitens), as both long established and possibly newly locally introduced species in the state, that should be considered as potential and emergent pests and pathogen vectors to humans and their more recently acquired, introduced domestic animal hosts; rural poultry, dogs and horses.

Innovation and absorptive capacity: What is the role of technological frontier?

This paper explores how absorptive capacity affects the innovative performance and productivity dynamics of Spanish firms. A firm’s efficiency levels are measured using two variables: the labour productivity and the Total Factor Productivity (TFP). The theoretical framework is based on the seminal contributions of Cohen and Levinthal (1989, 1990) regarding absorptive capacity; and the applied framework is based on the four-stage structural model proposed by Crépon, Duguet and Mairesse (1998) for setting the determinants of R&D, the effects of R&D activities on innovation outputs, and the impacts of innovation on firm productivity. The present study uses a twostage structural model. In the first stage, a probit estimation is used to investigate how the sources of R&D, the absorptive capacity and a vector of the firm’s individual features influence the firm’s likelihood of developing innovations in products or processes. In the second phase, a quantile regression is used to analyze the effect of R&D sources, absorptive capacity and firm characteristics on productivity. This method shows the elasticity of each exogenous variable on productivity according to the firms’ levels of efficiency, and thus allows us to distinguish between firms that are close to the technological frontier and those that are further away from it. We used extensive firm-level panel data from 5,575 firms for the 2004-2009 period. The results show that the internal absorptive capacity has a strong impact on the productivity of firms, whereas the role of external absorptive capacity differs according to nature of the each industry and according the distance of firms from the technological frontier. Key words: R&D sources, innovation strategies, absorptive capacity, technological distance, quantile regression.

The identification and characterization of new immunogenic egg components: implications for evaluation and control of the immunopathogenic T cell response in schistosomiasis

In schistosomiasis, granuloma formation to parasite eggs signals the beginning of a chronic and potentially life-threatening disease. Granulomas are strictly mediated by CD4+ T helper (Th) cells specific for egg antigens; however, the number and identity of these T cell-sensitizing molecules are largely unknown. We have used monoclonal T cell reagents derived from egg-sensitized individuals as probes to track down, isolate and positively identify several egg antigens; this approach implicitly assures that the molecules of interest are T cell immunogens and, hence, potentially pathogenic. The best studied and most abundant egg component is the Sm-p40 antigen. Sm-p40 and its peptide 234-246 elicit a strikingly immunodominant Th-1-polarized response in C3H and CBA mice, which are H-2k strains characterized by severe egg-induced immunopathology. Two additional recently described T cell-sensitizing egg antigens are Schistosoma mansoni phosphoenolpyruvate carboxykinase (Sm-PEPCK) and thioredoxin peroxidase-1 (Sm-TPx-1). In contrast to Sm-p40, both of these molecules induce a more balanced Th-1/Th-2 response, and are relatively stronger antigens in C57BL/6 mice, which develop smaller egg granulomas. Importantly, Sm-p40 and Sm-PEPCK have demonstrated immunogenicity in humans. The findings in the murine model introduce the important notion that egg antigens can vary significantly in immunogenicity according to the host's genetic background. A better knowledge of the principal immunogenic egg components is necessary to determine whether the immune responses to certain antigens can serve as indicators or predictors of the form and severity of clinical disease, and to ascertain whether such responses can be manipulated for the purpose of reducing pathology.

Speech by Mr. Micheál Martin TD – Meeting The Challenges Of Cultural Diversity In The Irish Healthcare Sector

It gives me great pleasure to accept the invitation to address this conference on “Meeting the Challenges of Cultural Diversity in the Irish Healthcare Sector” which is being organised by the Irish Health Services Management Institute in partnership with the National Consultative Committee on Racism and Interculturalism. The conference provides an important opportunity to develop our knowledge and understanding of the issues surrounding cultural diversity in the health sector from the twin perspectives of patients and staff. Cultural diversity has over recent years become an increasingly visible aspect of Irish society bringing with it both opportunities and challenges. It holds out great possibilities for the enrichment of all who live in Ireland but it also challenges us to adapt creatively to the changes required to realise this potential and to ensure that the experience is a positive one for all concerned but particularly for those in the minority ethnic groups. In the last number of years in particular, the focus has tended to be on people coming to this country either as refugees, asylum seekers or economic migrants. Government figures estimate that as many as 340,000 immigrants are expected in the next six years. However ethnic and cultural diversity are not new phenomena in Ireland. Travellers have a long history as an indigenous minority group in Ireland with a strong culture and identity of their own. The changing experience and dynamics of their relationship with the wider society and its institutions over time can, I think, provide some valuable lessons for us as we seek to address the more numerous and complex issues of cultural diversity which have arisen for us in the last decade. Turning more specifically to the health sector which is the focus of this conference, culture and identity have particular relevance to health service policy and provision in that The first requirement is that we in the health service acknowledge cultural diversity and the differences in behaviours and in the less obvious areas of values and beliefs that this often implies. Only by acknowledging these differences in a respectful way and informing ourselves of them can we address them. Our equality legislation – The Employment Equality Act, 1998 and the Equal Status Act, 2000 – prohibits discrimination on nine grounds including race and membership of the Traveller community. The Equal Status Act prohibits discrimination on an individual basis in relation to the nine grounds while for groups it provides for the promotion of equality of opportunity. The Act applies to the provision of services including health services. I will speak first about cultural diversity in relation to the patient. In this respect it is worth mentioning that the recognition of cultural diversity and appropriate responses to it were issues which were strongly emphasised in the public consultation process which we held earlier this year in the context of developing National Anti-Poverty targets for the health sector and also our new national health strategy. Awareness and sensitivity training for staff is a key requirement for adapting to a culturally diverse patient population. The focus of this training should be the development of the knowledge and skills to provide services sensitive to cultural diversity. Such training can often be most effectively delivered in partnership with members of the minority groups themselves. I am aware that the Traveller community, for example, is involved in in-service training for health care workers. I am also aware that the National Consultative Committee on Racism and Interculturalism has been involved in training with the Eastern Regional Health Authority. We need to have more such initiatives. A step beyond the sensitivity training for existing staff is the training of members of the minority communities themselves as workers in our health services. Again the Traveller community has set an example in this area with its Primary Health Care Project for Travellers. The Primary Health Care for Travellers Project was established in 1994 as a joint partnership initiative with the Eastern Health Board and Pavee Point, with ongoing technical assistance being provided from the Department of Community Health and General Practice, Trinity College, Dublin. This project was the first of its kind in the country and has facilitated The project included a training course which concentrated on skills development, capacity building and the empowerment of Travellers. This confidence and skill allowed the Community Health Workers to go out and conduct a baseline survey to identify and articulate Travellers’ health needs. This was the first time that Travellers were involved in this process; in the past their needs were assumed. The results of the survey were fed back to the community and they prioritised their needs and suggested changes to the health services which would facilitate their access and utilisation. Ongoing monitoring and data collection demonstrates a big improvement in levels of satisfaction and uptake and ulitisation of health services by Travellers in the pilot area. This Primary Health Care for Travellers initiative is being replicated in three other areas around the country and funding has been approved for a further 9 new projects. This pilot project was the recipient of a WHO 50th anniversary commemorative award in 1998. The project is developing as a model of good practice which could inspire further initiatives of this type for other minority groups. Access to information has been identified in numerous consultative processes as a key factor in enabling people to take a proactive approach to managing their own health and that of their families and in facilitating their access to health services. Honouring our commitment to equity in these areas requires that information is provided in culturally appropriate formats. The National Health Promotion Strategy 2000-2005, for example, recognises that there exists within our society many groups with different requirements which need to be identified and accommodated when planning and implementing health promotion interventions. These groups include Travellers, refugees and asylum seekers, people with intellectual, physical or sensory disability and the gay and lesbian community. The Strategy acknowledges the challenge involved in being sensitive to the potential differences in patterns of poor health among these different groups. The Strategic aim is to promote the physical, mental and social well-being of individuals from these groups. The objective of the Strategy on these issues are: While our long term aim may be to mainstream responses so that our health services is truly multicultural, we must recognise the need at this point in time for very specific focused responses particularly for groups with poor health status such as Travellers and also for refugees and asylum seekers. In the case of refugees and asylum seekers examples of targeted services are screening for communicable diseases – offered on a voluntary basis – and psychological support services for those who have suffered trauma before coming here. The two approaches of targeting and mainstreaming are not mutually exclusive. A combination of both is required at this point in time but the balance between them must be kept under constant review in the light of changing needs. A major requirement if we are to meet the challenge of cultural diversity is an appropriate data and research base. I think it is important that we build up our information and research data base in partnership with the minority groups themselves. We must establish what the health needs of diverse groups are; we must monitor uptake of services and how well we are responding to needs and we must monitor outcomes and health status. We must also examine the impact of the policies in other sectors on the health of minority groups. The National Health Information Strategy, currently being developed, and the recently published National Strategy for Health Research – Making Knowledge Work for Health provide important frameworks within which we can improve our data and research base. A culturally diverse health sector workforce – challenges and opportunities The Irish health service can benefit greatly from successful international recruitment. There has been a strong non-national representation amongst the medical profession for more than 30 years. More recently there have been significant increases in other categories of health service workers from overseas. The Department recognises the enormous value that overseas recruitment brings over a wide range of services and supports the development of effective and appropriate recruitment strategies in partnership with health service employers. These changes have made cultural diversity an important issue for all health service organisations. Diversity in the workplace is primarily about creating a culture that seeks, respects, values and harnesses difference. This includes all the differences that when added together make each person unique. So instead of the focus being on particular groups, diversity is about all of us. Change is not about helping “them” to join “us” but about critically looking at “us” and rooting out all aspects of our culture that inappropriately exclude people and prevent us from being inclusive in the way we relate to employees, potential employees and clients of the health service. International recruitment benefits consumers, Irish employees and the overseas personnel alike. Regardless of whether they are employed by the health service, members of minority groups will be clients of our service and consequently we need to be flexible in order to accommodate different cultural needs. For staff, we recognise that coming from other cultures can be a difficult transition. Consequently health service employers have made strong efforts to assist them during this period. Many organisations provide induction courses, religious facilities (such as prayer rooms) and help in finding suitable accommodation. The Health Service Employers Agency (HSEA) is developing an equal opportunities/diversity strategy and action plans as well as training programmes to support their implementation, to ensure that all health service employment policies and practices promote the equality/diversity agenda to continue the development of a culturally diverse health service. The management of this new environment is extremely important for the health service as it offers an opportunity to go beyond set legal requirements and to strive for an acceptance and nurturing of cultural differences. Workforce cultural diversity affords us the opportunity to learn from the working practices and perspectives of others by allowing personnel to present their ideas and experience through teamwork, partnership structures and other appropriate fora, leading to further improvement in the services we provide. It is important to ensure that both personnel units and line managers communicate directly with their staff and demonstrate by their actions that they intend to create an inclusive work place which doesn´t demand that minority staff fit. Contented, valued employees who feel that there is a place for them in the organisation will deliver a high quality health service. Your conference here today has two laudable aims – to heighten awareness and assist health care staff to work effectively with their colleagues from different cultural backgrounds and to gain a greater understanding of the diverse needs of patients from minority ethnic backgrounds. There is a synergy in these aims and in the tasks to which they give rise in the management of our health service. The creative adaptations required for one have the potential to feed into the other. I would like to commend both organisations which are hosting this conference for their initiative in making this event happen, particularly at this time – Racism in the Workplace Week. I look forward very much to hearing the outcome of your deliberations. Thank you.

Where will conflicts between alien and rare species occur after climate and land-use change? A test with a novel combined modelling approach

Protecting native biodiversity against alien invasive species requires powerful methods to anticipate these invasions and to protect native species assumed to be at risk. Here, we describe how species distribution models (SDMs) can be used to identify areas predicted as suitable for rare native species and also predicted as highly susceptible to invasion by alien species, at present and under future climate and land-use scenarios. To assess the condition and dynamics of such conflicts, we developed a combined predictive modelling (CPM) approach, which predicts species distributions by combining two SDMs fitted using subsets of predictors classified as acting at either regional or local scales. We illustrate the CPM approach for an alien invader and a rare species associated to similar habitats in northwest Portugal. Combined models predict a wider variety of potential species responses, providing more informative projections of species distributions and future dynamics than traditional, non-combined models. They also provide more informative insight regarding current and future rare-invasive conflict areas. For our studied species, conflict areas of highest conservation relevance are predicted to decrease over the next decade, supporting previous reports that some invasive species may contract their geographic range and impact due to climate change. More generally, our results highlight the more informative character of the combined approach to address practical issues in conservation and management programs, especially those aimed at mitigating the impact of invasive plants, land-use and climate changes in sensitive regions

Ultra-high pressure liquid chromatography-mass spectrometry for plant metabolomics: a systematic comparison of high-resolution quadrupole-time-of-flight and single stage Orbitrap mass spectrometers.

The response of Arabidopsis to stress caused by mechanical wounding was chosen as a model to compare the performances of high resolution quadrupole-time-of-flight (Q-TOF) and single stage Orbitrap (Exactive Plus) mass spectrometers in untargeted metabolomics. Both instruments were coupled to ultra-high pressure liquid chromatography (UHPLC) systems set under identical conditions. The experiment was divided in two steps: the first analyses involved sixteen unwounded plants, half of which were spiked with pure standards that are not present in Arabidopsis. The second analyses compared the metabolomes of mechanically wounded plants to unwounded plants. Data from both systems were extracted using the same feature detection software and submitted to unsupervised and supervised multivariate analysis methods. Both mass spectrometers were compared in terms of number and identity of detected features, capacity to discriminate between samples, repeatability and sensitivity. Although analytical variability was lower for the UHPLC-Q-TOF, generally the results for the two detectors were quite similar, both of them proving to be highly efficient at detecting even subtle differences between plant groups. Overall, sensitivity was found to be comparable, although the Exactive Plus Orbitrap provided slightly lower detection limits for specific compounds. Finally, to evaluate the potential of the two mass spectrometers for the identification of unknown markers, mass and spectral accuracies were calculated on selected identified compounds. While both instruments showed excellent mass accuracy (<2.5ppm for all measured compounds), better spectral accuracy was recorded on the Q-TOF. Taken together, our results demonstrate that comparable performances can be obtained at acquisition frequencies compatible with UHPLC on Q-TOF and Exactive Plus MS, which may thus be equivalently used for plant metabolomics.

A Study of Alcohol Problems and Marriage from a Treatment Perspective

This thesis is concerned with alcohol problems and marital relationships. It is particularly interested in these dynamics from a treatment perspective. The study addresses theory, research and clinical practice in the field of alcohol problems. It specifically considers these areas as they relate to enhancing understanding of the dynamics between alcohol problems and marriage. The study examines three theoretical paradigms, the disease concept of addiction, behavioural/cognitive behavioural and systems based approaches to understanding alcohol addiction. This provides a multiple theory base from which research in the field and the clinical data collected in the current research is analysed and interpreted. The study reviews research findings that have contributed to the recognition of marital treatment interventions as significant in the alcohol field. It highlights the discrepancies between such research findings and developments in actual clinical practice. In doing so, the study illustrates the gap between theory, research and clinical practice. The need for a more effective framework of information exchange across these areas of activity is identified and a model for better exchange is presented and discussed. This model highlights the importance of including clients' experiences to influence policy, practice, theory and research. In the research, specific attention is focused on the experiences of couples in alcohol treatment. Clinical data is collected from a series of alcohol treatment couples group therapy sessions. The research analysis of the clinical data identifies and extracts concerns as expressed by couples in treatment. Interpretation of these identified concerns or themes is conducted by employing the theoretical constructs of the three selected theoretical paradigms in conjunction with group work theory. On the basis of the findings in this thesis a model for a maritally sensitive assessment framework is developed. The model identifies a number of factors that should be considered in order to enhance appreciation of the interaction between alcohol problems and marital dynamics. This has particular significance for treatment interventions.This resource was contributed by The National Documentation Centre on Drug Use.

Clonotype selection and composition of human CD8 T cells specific for persistent herpes viruses varies with differentiation but is stable over time.

Protection from reactivation of persistent herpes virus infection is mediated by Ag-specific CD8 T cell responses, which are highly regulated by still poorly understood mechanisms. In this study, we analyzed differentiation and clonotypic dynamics of EBV- and CMV-specific T cells from healthy adults. Although these T lymphocytes included all subsets, from early-differentiated (EM/CD28(pos)) to late-differentiated (EMRA/CD28(neg)) stages, they varied in the sizes/proportions of these subsets. In-depth clonal composition analyses revealed TCR repertoires, which were highly restricted for CMV- and relatively diverse for EBV-specific cells. Virtually all virus-specific clonotypes identified in the EMRA/CD28(neg) subset were also found within the pool of less differentiated "memory" cells. However, striking differences in the patterns of dominance were observed among these subsets, because some clonotypes were selected with differentiation while others were not. Late-differentiated CMV-specific clonotypes were mostly characterized by TCR with lower dependency on CD8 coreceptor interaction. Yet all clonotypes displayed similar functional avidities, suggesting a compensatory role of CD8 in the clonotypes of lower TCR avidity. Importantly, clonotype selection and composition of each virus-specific subset upon differentiation was highly preserved over time, with the presence of the same dominant clonotypes at specific differentiation stages within a period of 4 years. Remarkably, clonotypic distribution was stable not only in late-differentiated but also in less-differentiated T cell subsets. Thus, T cell clonotypes segregate with differentiation, but the clonal composition once established is kept constant for at least several years. These findings reveal novel features of the highly sophisticated control of steady state protective T cell activity in healthy adults.

Technical note: Implementation of a geodatabase of published and unpublished data on the catastrophic Vaiont landslide

On 9 October 1963 a catastrophic landslide suddenly occurred on the southern slope of the Vaiont dam reservoir. A mass of approximately 270 million m3 collapsed into the reservoir generating a wave that overtopped the dam and hit the town of Longarone and other villages nearby. Several investigations and interpretations of the slope collapse have been carried out during the last 45 years, however, a comprehensive explanation of both the triggering and the dynamics of the phenomenon has yet to be provided. In order to re-evaluate the currently existing information on the slide, an electronic bibliographic database and an ESRI-geodatabase have been developed. The chronology of the collected documentation showed that most of the studies for re-evaluating the failure mechanisms were conducted in the last decade, as a consequence of knowledge, methods and techniques recently acquired. The current contents of the geodatabase will improve definition of the structural setting that influenced the slide and led to the the propagation of the displaced rock mass. The objectives, structure and contents of the e-bibliography and Geodatabase are indicated, together with a brief description on the possible use of the alphanumeric and spatial contents of the databases.

Evidence for the co-circulation of dengue virus type 3 genotypes III and V in the Northern region of Brazil during the 2002-2004 epidemics

The reintroduction of dengue virus type 3 (DENV-3) in Brazil in 2000 and its subsequent spread throughout the country was associated with genotype III viruses, the only DENV-3 genotype isolated in Brazil prior to 2002. We report here the co-circulation of two different DENV-3 genotypes in patients living in the Northern region of Brazil during the 2002-2004 epidemics. Complete genomic sequences of viral RNA were determined from these epidemics, and viruses belonging to genotypes V (Southeast Asia/South Pacific) and III were identified. This recent co-circulation of different DENV-3 genotypes in South America may have implications for pathological and epidemiological dynamics.

Migration and information flows. A new lens for the study of contemporary international migration

Aquest document de treball mira d'establir un nou camp d'investigació a la cruïlla entre els fluxos de migració i d'informació i comunicació. Hi ha diversos factors que fan que valgui la pena adoptar aquesta perspectiva. El punt central és que la migració internacional contemporània és incrustada en la dinàmica de la societat de la informació, seguint models comuns i dinàmiques interconnectades. Per consegüent, s'està començant a identificar els fluxos d'informació com a qüestions clau en les polítiques de migració. A més, hi ha una manca de coneixement empíric en el disseny de xarxes d'informació i l'ús de les tecnologies d'informació i comunicació en contextos migratoris. Aquest document de treball també mira de ser una font d'hipòtesis per a investigacions posteriors.

Records of Chrysomya albiceps in Northern Italy: an ecological and forensic perspective

Knowledge of the carrion-breeding insects present at a local level is important and necessary for defining the post-mortem interval. Climate changes and globalisation are affecting species ranges and population dynamics. In this note, we report the incidence of Chrysomya albiceps (Diptera: Calliphoridae) on dead human bodies and carrion in Northern Italy. These data confirm the spread of this species in the Northern regions. The partial sequencing of a 583-bp region of the cytochrome oxidase subunit 1 gene of an Adriatic population did not reveal any difference compared to the same genomic region in the African and South American populations of this species.

The role of population movement in the epidemiology and control of schistosomiasis in Brazil: a preliminary typology of population movement

This paper examines recent developments in migration studies. It reviews literature related to the potential role of internal population movement in the occurrence of schistosomiasis in Brazil and modifies Prothero's typology of population movement for use in Brazil. This modified classification system may contribute to a better understanding of schistosome transmission as well as improved research and control programs. The results of this study indicate that population movement in Brazil primarily involves economically-motivated rural-urban and interregional movement. However, several movement patterns have become increasingly important in recent years as a result of changing socioeconomic and urbanisation dynamics. These patterns include urban-urban, intracity and urban-rural movement as well as the movement of environmental refugees and tourists. Little is known about the epidemiological significance of these patterns. This paper also highlights the role of social networks in the decision to migrate and to settle. Prothero's classic population movement typology categorises movement as either one-way migrations or circulations and examines them along spatial and temporal scales. However, the typology must be modified as epidemiological information about new patterns becomes available. This paper identifies areas that require further research and offers recommendations that can improve the measurement and spatial analysis of the relationship between population movement and schistosomiasis.

The peri-urban interface and house infestation with Triatoma infestans in the Argentine Chaco: an underreported process?

Peri-urban infestations with triatomine bugs, their sources and their dynamics have rarely been investigated. Here, we corroborated the reported occurrence of Triatoma infestans in a peri-urban area and in neighbouring rural houses in Pampa del Indio, in the Argentine Chaco, and identified its putative sources using spatial analysis and demographic questionnaires. Peri-urban householders reported that 10% of their premises had triatomines, whereas T. infestans was collected by timed manual searches or community-based surveillance in only nine (3%) houses. Trypanosoma cruzi-infected T. infestans and Triatoma sordida were collected indoors only in peri-urban houses and were infected with TcV and TcI, respectively. The triatomines fed on chickens, cats and humans. Peri-urban infestations were most frequent in a squatter settlement and particularly within the recently built mud houses of rural immigrants, with large-sized households, more dogs and cats and more crowding. Several of the observed infestations were most likely associated with passive bug transport from other sources and with active bug dispersal from neighbouring foci. Thus, the households in the squatter settlement were at a greater risk of bug invasion and colonisation. In sum, the incipient process of domestic colonisation and transmission, along with persistent rural-to-urban migratory flows and unplanned urbanisation, indicate the need for active vector surveillance and control actions at the peri-urban interface of the Gran Chaco.

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.