Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Safety and tolerability of controlled-release oxycodone on postoperative pain in patients submitted to the oncologic head and neck surgery

Objective: To evaluate the safety and tolerability of controlled-release oxycodone in the treatment of postoperative pain of head and neck oncologic resections.Methods: We conducted a prospective, observational and open study, with 83 patients with moderate to severe pain after head and neck oncological operations. All patients received general anesthesia with propofol, fentanyl and sevoflurane. Postoperatively, should they have moderate or severe pain, we began controlled-release oxycodone 20 mg 12/12 b.i.d on the first day and 10 mg b.i.d. on the second. We assessed the frequency and intensity of adverse effects, the intensity of postoperative pain by a verbal numeric scale and the use of rescue analgesia from 12 hours after administration of the drug and between 7 and 13 days after the last oxycodone dose.Results: The most common adverse events were nausea, vomiting, dizziness, pruritus, insomnia, constipation and urinary retention, most mild. No serious adverse events occurred. In less than 12 hours after the use of oxycodone, there was a significant decrease in the intensity of postoperative pain, which remained until the end of the study. The rescue medication was requested at a higher frequency when the opioid dose was reduced, or after its suspension.Conclusion: Controlled release oxycodone showed to be safe and well tolerated and caused a significant decrease in post-operative pain.

Chronic subdural hematoma: epidemiological and prognostic analysis of 176 cases

Objective : To characterize patients with chronic subdural hematoma undergoing surgery and to identify prognostic indicators. Methods : We conducted a retrospective analysis of patients diagnosed with chronic subdural hematoma (CSDH) undergoing surgical treatment. We analyzed: age, period from trauma to diagnostic imaging, pre and postoperative Glasgow coma scale, type of surgery, associated comorbidities, use of postoperative drainage and outpatient treatment. Results : The sample consisted of 176 patients, 126 male and 50 female patients (ratio 2.5 : 1), ages ranged from six months to 97 years, with an average of 59.3 years. CSDH was caused by trauma in 52% of patients, with the time from trauma to imaging averaging 25.05 days; 37.7% were hypertensive patients and 20% had a neurological disease. Eighty-five (48.3%) patients were elderly and altered consciousness was present in 63% of cases. Of the 91 (51.7%) non-elderly patients, 44% presented with headache, altered consciousness occurred in 40% and motor abnormalities in 27.5%. The CSDH was located on the right in 41%, left in 43% and bilaterally in 16% of patients. Conclusion : the change of consciousness was the most common clinical alteration in the elderly and headache in non-elderly. The most associated comorbidity was the arterial hypertension and the most frequent cause, head trauma. The trepanation with two oriffices associated with a closed drainage system was the most used operating, with high efficacy and low complication rate.

Prevalence of alterations in chest computerized tomography in patients with head and neck cancer

Objective: to assess the prevalence of abnormalities found by computed tomography (CT) of the chest in patients with squamous cell carcinoma of the head and neck. Methods: we retrospectively analyzed chest CT exams of 209 patients with squamous cell carcinoma of the head and neck. The CT findings were stratified as inflammatory / infectious, parenchymal, nodular uncharacteristic and nodular metastatic / tumoral Results: alterations were diagnosed in 66.6% of patients. Of these, 25.3% represented emphysema; 18.8%, uncharacteristic micronodules; 12.9%, metastases; 11.9%, thoracic lymph node enlargements; and in 6.6% we detected active pulmonary tuberculosis or its sequelae, pneumonia or inflammatory / infectious signs and pleural thickening or effusion. Conclusion: the prevalence of exams with alterations and the considerable rate of detected metastases indicate that chest CT should be required for diagnostic and / or staging in cases of head and neck cancer.

A bull breeding soundness evaluation system with greater emphasis on scrotal circumference

Abstract: Bull breeding soundness evaluation (BBSE) is a method applied to reduce the risk of using subfertile bulls in herds. There are currently two BBSE systems, those of the Society for Theriogenology (SFT) and the Western Canadian Association of Bovine Practitioners (WCABP). Scrotal circumference (SC), sperm motility (SM) and normal sperm (NS) of 454 bulls aged between 12 and 15 months of a Spanish beef breed were used to compare both systems, and since there is no agreement on that BBSE system must be applied in Spain, a single one was proposed for its consideration. SC was adjusted to 15 months (SC15) and the mean of the BBSE traits was: SC15 (34.2±2.4cm), SM (76.6±14.6%) and NS (76.8±12.3%). In the PROPOSED system, the SM and NS thresholds were those defined by the WCABP system, while the SC15 thresholds were set by combining the SFT threshold and SC15±1SD in order to establish four classification categories, the three proposed by the WCABP system: unsatisfactory, questionable and satisfactory, and other category, called superior, for bulls with SM≥60%, NS≥70% and SC15≥Mean+1SD. The PROPOSED system scored fewer bulls as unsatisfactory than the SFT and the WCABP systems (8.6%, 23.6% and 22.5%, respectively; P<0.01), while the percentage of bulls from worst to best in the other three categories under the PROPOSED system was: 26.0%, 54.2% and 11.2%, respectively. In conclusion, the PROPOSED system gives more emphasis to SC, sets differences between bulls classified as satisfactory by the other systems and can be considered a good system for Spain and for other countries that have no defined their own system.

Cardiothoracic ratio and vertebral heart size (VHS) to standardize the heart size of the tufted capuchin (Cebus apella Linnaeus, 1758) in computerized radiographic images

Abstract: The VHS and CTR were assessed using computerized thoracic radiographs of ten clinically healthy tufted capuchin monkeys (five males and five females) from the Wild Animal Screening Center in São Luís (Centro de Triagem de Animais Silvestres de São Luís-MA-CETAS). Radiographs were taken in laterolateral and dorsoventral projections to calculate the cardiothoracic ratio (VHS) and vertebral heart size (CTR). The VHS showed mean values of 9.34±0.32v (males) and 9.16±0.34v (females) and there was no statistical difference between males and females (p>0.05). The CTR showed mean values of 0.55±0.04 (males) and 0.52±0.03 (females) and there was no statistical difference between the sexes (p>0.05). There was positive correlation between VHS and CTR (r=0.78). The thoracic and heart diameters showed mean values of 5.70±0.48cm and 2.16±0.40cm in the males, respectively. In the females they measured 5.32±0.39cm and 2.94±0.32cm. There was no statistical difference between the sexes. Our results show that the high correlation found between VHS and CTR permitted the verification with similar clinical precision between the two methods to estimate alterations in the heart silhouette by radiographic examination of tufted capuchin, making it an easy technique to apply that can be considered in the investigation of heart problems for this wild species.

Analyzing hydraulic head of fluid flow in underground porous medium

Hydraulic head is distributed through a medium with porous aspect. The analysis of hydraulic head from one point to another is used by the Richard's equation. This equation is equivalent to the groundwater ow equation that predicts the volumetric water contents. COMSOL 3.5 is used for computation applying Richard's equation. A rectangle of 100 meters of length and 10 meters of large (depth) with 0,1 m/s fl ux of inlet as source of our fl uid is simulated. The domain have Richards' equation model in two dimension (2D). Hydraulic head increases proportional with moisture content.

Differentiation of Metabolically Distinct Areas within Head and Neck Region using Dynamic 18F-FDG Positron Emission Tomography Imaging

Positron Emission Tomography (PET) using ¹⁸F-FDG is playing a vital role in the diagnosis and treatment planning of cancer. However, the most widely used radiotracer, ¹⁸F-FDG, is not specific for tumours and can also accumulate in inflammatory lesions as well as normal physiologically active tissues making diagnosis and treatment planning complicated for the physicians. Malignant, inflammatory and normal tissues are known to have different pathways for glucose metabolism which could possibly be evident from different characteristics of the time activity curves from a dynamic PET acquisition protocol. Therefore, we aimed to develop new image analysis methods, for PET scans of the head and neck region, which could differentiate between inflammation, tumour and normal tissues using this functional information within these radiotracer uptake areas. We developed different dynamic features from the time activity curves of voxels in these areas and compared them with the widely used static parameter, SUV, using Gaussian Mixture Model algorithm as well as K-means algorithm in order to assess their effectiveness in discriminating metabolically different areas. Moreover, we also correlated dynamic features with other clinical metrics obtained independently of PET imaging. The results show that some of the developed features can prove to be useful in differentiating tumour tissues from inflammatory regions and some dynamic features also provide positive correlations with clinical metrics. If these proposed methods are further explored then they can prove to be useful in reducing false positive tumour detections and developing real world applications for tumour diagnosis and contouring.

Extending the Hydra Head to Create a Pluggable, Extensible Architecture: Diving into the Technology of Hydramata

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

UG2-päivitetyn Hawkin Head-Up Displayn toiminta

UG2-päivitys korvasi vanhan Hawkin mittareita nykyaikaisella Head-Up Displaylla. Tutkielmassa selvitetään kuinka UG2-päivitetyn Hawkin Head-Up Display toimii. Tämä selvitetään tutustumalla laitteen tekniseen toimintaan sekä selvittämällä mitä merkkejä ja arvoja HUD:illa esitetään eri tilanteissa. UG2-päivitys mahdollistaa jatkossa HUD:in merkkien päivittämisen helposti tietokoneen avulla, eikä laitteita tarvitse vaihtaa. Tutkimus on kvalitatiivinen, ja siinä tehdään deskriptiivinen tutkimus yhden laitteen toiminnasta. Tärkeimpinä lähteinä käytetään ilmavoimien omaa materiaalia koskien kyseistä päivitystä ja ohjaajan koulutukseen käytettävää Air Crew Manual (ACM) -ohjekirjaa. Ulkopuolisista lähteistä on selvitetty laitteen teknistä toimintaa ja arvojen sijoitteluun sovittuja sääntöjä ja normeja. Tutkielmassa selviää, että HUD on ensisijaisesti käytettävä näyttö, joka siirtää ohjaajan katseen ulos ohjaamosta. Tekniikka luo haasteita näyttölaitteen koolle, koska arvot heijastetaan ja tarkennetaan äärettömään, luoden ohjaajalle vain pienen kohdan, jossa arvot näkyvät. Merkkien sijainti noudattaa Basic-T -mallia, jolla analogisten mittareiden helppolukuisuus on siirretty HUD:ille. Tutkimuksen mukaan merkkien tulee myös sijaita lähellä toisiaan. Tutkielman johtopäätökset rakentuvat koneiden ja laitteiden yhteensopivuuden ympärille. HUD siirtää ohjaajan katseen ulos koneesta, joten se tuo lisää koulutusmahdollisuuksia. Poistamalla tietoja HUD:ilta lennon aikana, joutuisi ohjaaja tukeutumaan muihin arvoihin ja näköönsä, näin parantaen tilannetietoisuutta. Tämä parantaisi ohjaajan toimintaa kaikissa koneissa, varsinkin laitteiden vikatilanteissa. Lisäksi HUD:in merkit olisi sovitettava yhteen sähköisten varamittareiden, Hawkissa BFI:n kanssa, jotta siitä saataisiin ”mini-HUD”.

Genetic alterations in head and neck squamous cell carcinomas

The genetic alterations observed in head and neck cancer are mainly due to oncogene activation (gain of function mutations) and tumor suppressor gene inactivation (loss of function mutations), leading to deregulation of cell proliferation and death. These genetic alterations include gene amplification and overexpression of oncogenes such as myc, erbB-2, EGFR and cyclinD1 and mutations, deletions and hypermethylation leading to p16 and TP53 tumor suppressor gene inactivation. In addition, loss of heterozygosity in several chromosomal regions is frequently observed, suggesting that other tumor suppressor genes not yet identified could be involved in the tumorigenic process of head and neck cancers. The exact temporal sequence of the genetic alterations during head and neck squamous cell carcinoma (HNSCC) development and progression has not yet been defined and their diagnostic or prognostic significance is controversial. Advances in the understanding of the molecular basis of head and neck cancer should help in the identification of new markers that could be used for the diagnosis, prognosis and treatment of the disease.

Head-to-head comparison of dipyridamole, dobutamine and pacing stress echocardiography for the detection of myocardial ischemia in an animal model of coronary artery stenosis

To compare the sensitivity of dipyridamole, dobutamine and pacing stress echocardiography for the detection of myocardial ischemia we produced a physiologically significant stenosis in the left circumflex artery of 14 open-chest dogs (range: 50 to 89% reduction in luminal diameter). In each study, dobutamine (5 to 40 µg kg-1 min-1 in 3-min stages) and pacing (20 bpm increments, each 2 min, up to 260 bpm) were performed randomly, and then followed by dipyridamole (up to 0.84 mg/kg over 10 min). The positivity of stress echocardiography tests was quantitatively determined by a significant (P<0.05) reduction of or failure to increase absolute and percent systolic wall thickening in the stenotic artery supplied wall, as compared to the opposite wall (areas related to the left anterior descending artery). Systolic and diastolic frozen images were analyzed off-line by two blinded observers in the control and stress conditions. The results showed that 1) the sensitivity of dobutamine, dipyridamole and pacing stress tests was 57, 57 and 36%, respectively; 2) in animals with positive tests, the mean percent change of wall thickening in left ventricular ischemic segments was larger in the pacing (-19 ± 11%) and dipyridamole (-18 ± 16%) tests as compared to dobutamine (-9 ± 6%) (P = 0.05), but a similar mean reduction of wall thickening was observed when this variable was normalized to a control left ventricular segment (area related to the left anterior descending artery) (pacing: -16 ± 7%; dipyridamole: -25 ± 16%; dobutamine: -26 ± 10%; not significant), and 3) a significant correlation was observed between magnitude of coronary stenosis and left ventricular segmental dysfunction induced by ischemia in dogs submitted to positive stress tests. We conclude that the dobutamine and dipyridamole stress tests showed identical sensitivities for the detection of myocardial ischemia in this one-vessel disease animal model with a wide range of left circumflex artery stenosis. The pacing stress test was less sensitive, but the difference was not statistically significant. The magnitude of segmental left ventricular dysfunction induced by ischemia was similar in all stress tests evaluated.

A comparison of public and private obstructive sleep apnea clinics

The aim of the present study was to compare the clinical findings and polysomnography results obtained at public and private clinics in Brazil, the follow-up after diagnosis, and the therapeutic aspects related to continuous positive airway pressure. Patients who snore and who have obstructive sleep apnea were retrospectively divided into two groups, i.e., public clinic (N = 307) and private clinic (N = 317). Data concerning age, sex, body mass index (BMI), neck circumference, medical history, sleepiness scale, follow-up after diagnosis, and acceptance of continuous positive airway pressure therapy were collected. Mean age was 50 ± 12 (range: 15-80) for public patients and 48 ± 12 years (range: 19-91) for private patients. Mean BMI was 30 ± 6 (range: 19-67) for public patients and 31 ± 6 kg/m² (range: 21-59) for private patients. The public clinic had a significantly higher frequency of women than the private clinic (M:F ratio of 2.0:1 and 6.9:1, respectively). The condition of private patients (apnea-hypopnea index = 31 ± 25) was more severe than that of public patients (apnea-hypopnea index = 25 ± 24 events/h; P = 0.0004). In the public and private clinics, 19 and 15% of patients were snorers, respectively, and 81 and 85% of them had sleep apnea. After diagnosis, follow-up was longer in the private group. The continuous positive airway pressure acceptance was similar for both groups (32 vs 35%), but patients from the public clinic abandoned treatment more than private ones (65 vs 13%). Social status was significant in terms of the severity of obstructive sleep apnea age and gender distribution. Private patients look for a diagnosis earlier in the course of the disease than public patients, adhere more to follow-up, and abandon continuous positive airway pressure treatment less than public patients do.