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.

Early Cretaceous life, climate and anoxia

Early Cretaceous life and the environment were strongly influenced by the accelerated break up of Pangaea, which was associated with the formation of a multitude of rift basins, intensified spreading, and important volcanic activity on land and in the sea. These processes likely interacted with greenhouse conditions, and Early Cretaceous climate oscillated between "normal" greenhouse, predominantly arid conditions, and intensified greenhouse, predominantly humid conditions. Arid conditions were important during the latest Jurassic and early Berriasian, the late Barremian, and partly also during the late Aptian. Humid conditions were particularly intense and widespread during shorter episodes of environmental change (EECs): the Valanginian Weissert, the latest Hauterivian Faraoni, the latest Barremian earliest Aptian Taxy, the early Aptian Selli, the early late Aptian Fallot and the late Aptian-early Albian Paquier episodes. Arid conditions were associated with evaporation, low biogeochemical weathering rates, low nutrient fluxes, and partly stratified oceans, leading to oxygen depletion and enhanced preservation of laminated, organic-rich mud (LOM). Humid conditions enabled elevated biogeochemical weathering rates and nutrient fluxes, important runoff and the buildup of freshwater lids in proximal basins, intensified oceanic and atmospheric circulation, widespread upwelling and phosphogenesis, important primary productivity and enhanced preservation of LOM in expanded oxygen-minimum zones. The transition of arid to humid climates may have been associated with the net transfer of water to the continent owing to the infill of dried-out groundwater reservoirs in internally drained inland basins. This resulted in shorter-term sea-level fall, which was followed by sea-level rise. These sea-level changes and the influx of freshwater into the ocean may have influenced oxygen-isotope signatures. Climate change preceding and during the Early Cretaceous EECs may have been rapid, but in general, the EECs had a "pre"-history, during which the stage was set for environmental change. Negative feedback on the climate through increased marine LOM preservation was unlikely, because of the low overall organic-carbon accumulation rates during these episodes. Life and climate co-evolved during the Early Cretaceous. Arid conditions may have affected continental life, such as across the Tithonian/Berriasian boundary. Humid conditions and the corresponding tendency to develop dys- to anaerobic conditions in deeper ocean waters led to phases of accelerated extinction in oceans, but may have led to more luxuriant vegetation cover on continents, such as during the Valanginian, to the benefit of herbivores. During Early Cretaceous EECs, reef systems and carbonate platforms in general were particularly vulnerable. They were the first to disappear and the last to recover, often only after several million years. (C) 2011 Elsevier Ltd. All rights reserved.

Economic structure and key sectors analysis of greenhouse gas emissions in Uruguay

This paper identifies the key sectors in greenhouse gas emissions of the Uruguayan economy through input-output analysis. This allows to precisely determine the role played by the different productive sectors and their relationship with other sectors in the relation between the Uruguayan productive structure and atmospheric pollution. In order to guide policy design for GHG reduction, we decompose sectors liability between the pollution generated through their own production processes and the pollution indirectly generated in the production processes of other sectors. The results show that all the key polluting sectors for the different contaminants considered are relevant because of their own emissions, except for the sector Motor vehicles and oil retail trade, which is relevant in CO2 emissions because of its pure, both backward and forward, linkages. Finally, the best policy channels for controlling and reducing GHGs emissions are identified, and compared with the National Climate Change Response Plan (NCCRP) lines of action.

The role of biotic interactions in shaping distributions and realised assemblages of species: implications for species distribution modelling.

Predicting which species will occur together in the future, and where, remains one of the greatest challenges in ecology, and requires a sound understanding of how the abiotic and biotic environments interact with dispersal processes and history across scales. Biotic interactions and their dynamics influence species' relationships to climate, and this also has important implications for predicting future distributions of species. It is already well accepted that biotic interactions shape species' spatial distributions at local spatial extents, but the role of these interactions beyond local extents (e.g. 10 km(2) to global extents) are usually dismissed as unimportant. In this review we consolidate evidence for how biotic interactions shape species distributions beyond local extents and review methods for integrating biotic interactions into species distribution modelling tools. Drawing upon evidence from contemporary and palaeoecological studies of individual species ranges, functional groups, and species richness patterns, we show that biotic interactions have clearly left their mark on species distributions and realised assemblages of species across all spatial extents. We demonstrate this with examples from within and across trophic groups. A range of species distribution modelling tools is available to quantify species environmental relationships and predict species occurrence, such as: (i) integrating pairwise dependencies, (ii) using integrative predictors, and (iii) hybridising species distribution models (SDMs) with dynamic models. These methods have typically only been applied to interacting pairs of species at a single time, require a priori ecological knowledge about which species interact, and due to data paucity must assume that biotic interactions are constant in space and time. To better inform the future development of these models across spatial scales, we call for accelerated collection of spatially and temporally explicit species data. Ideally, these data should be sampled to reflect variation in the underlying environment across large spatial extents, and at fine spatial resolution. Simplified ecosystems where there are relatively few interacting species and sometimes a wealth of existing ecosystem monitoring data (e.g. arctic, alpine or island habitats) offer settings where the development of modelling tools that account for biotic interactions may be less difficult than elsewhere.

Molecular mechanisms involved in the activation and regulation of the alpha 1-adrenergic receptor subtypes.

The adrenergic receptors (ARs) belong to the superfamily of membrane-bound G protein coupled receptors (GPCRs). Our investigation has focused on the structure-function relationship of the alpha 1b-AR subtype used as the model system for other GPCRs. Site-directed mutagenesis studies have elucidated the structural domains of the alpha 1b-AR involved in ligand binding, G protein coupling or desensitization. In addition, a combined approach using site-directed mutagenesis and molecular dynamics analysis of the alpha 1b-AR has provided information about the potential mechanisms underlying the activation process of the receptor, i.e. its transition from the 'inactive' to the 'active' conformation.

Migrating concepts: Immigrant integration and the regulation of religious dress in France and Canada

Religion in general, and Islam in particular, has become one of the main focal points of policy-making and constitutional politics in many Western liberal states. This article proposes to examine the legal and political dynamics behind new regulations targeting individual religious practices of Muslims. Although one could presuppose that church-state relations or the understanding of secularism is the main factor accounting for either accommodation or prohibition of Muslim religious practices, I make the case that the policy frame used to conceptualize the integration of immigrants in each national context is a more significant influence on how a liberal state approaches the legal regulation of individual practices such as veiling. However, this influence must be assessed carefully since it may have different effects on the different institutional actors in charge of regulating religion, such as the Courts and the legislature. To assess these hypotheses I compare two countries, France and Canada, which are solid examples of two contrasting national policy frames for the integration of immigrants.

The dynamics of US inflation: Can monetary policy explain the changes?

We investigate the relationship between monetary policy and inflation dynamics in theUS using a medium scale structural model. The specification is estimated with Bayesiantechniques and fits the data reasonably well. Policy shocks account for a part of the declinein inflation volatility; they have been less effective in triggering inflation responses overtime and qualitatively account for the rise and fall in the level of inflation. A number ofstructural parameter variations contribute to these patterns.

Fiscal policy, pricing frictions and monetary accommodation

We investigate the theoretical conditions for effectiveness of government consumptionexpenditure expansions using US, Euro area and UK data. Fiscal expansions taking placewhen monetary policy is accommodative lead to large output multipliers in normal times.The 2009-2010 packages need not produce significant output multipliers, may havemoderate debt effects, and only generate temporary inflation. Expenditure expansionsaccompanied by deficit/debt consolidations schemes may lead to short run output gains buttheir success depends on how monetary policy and expectations behave. Trade opennessand the cyclicality of the labor wedge explain cross-country differences in the magnitude ofthe multipliers.

Bubbly collateral and economic activity

This paper develops a model of the bubbly economy and uses it to study the effects of bailoutpolicies. In the bubbly economy, weak enforcement institutions do not allow firms to pledge futurerevenues to their creditors. As a result, "fundamental" collateral is scarce and this impairs the intermediationprocess that transforms savings into capital. To overcome this shortage of "fundamental"collateral, the bubbly economy creates "bubbly" collateral. This additional collateral supports anintricate array of intra- and inter-generational transfers that allow savings to be transformed intocapital and bubbles. Swings in investor sentiment lead to fluctuations in the amount of bubblycollateral, giving rise to bubbly business cycles with very rich and complex dynamics.Bailout policies can affect these dynamics in a variety of ways. Expected bailouts provideadditional collateral and expand investment and the capital stock. Realized bailouts reduce thesupply of funds and contract investment and the capital stock. Thus, bailout policies tend to fosterinvestment and growth in normal times, but to depress investment and growth during crisis periods.We show how to design bailout policies that maximize various policy objectives.

Pitfalls in the modeling of forward-looking price setting and investment decisions

The present paper makes progress in explaining the role of capital for inflation and output dynamics. We followWoodford (2003, Ch. 5) in assuming Calvo pricing combined with a convex capital adjustment cost at the firm level. Our main result is that capital accumulation affects inflation dynamics primarily through its impact on the marginal cost. This mechanism is much simpler than the one implied by the analysis in Woodford's text. The reason is that his analysis suffers from a conceptual mistake, as we show. The latter obscures the economic mechanism through which capital affects inflation and output dynamics in the Calvo model, as discussed in Woodford (2004).

Modelling state dependence and feedback effects between poverty, employment and parental home emancipation among European youth

Youth is one of the phases in the life-cycle when some of the most decisivelife transitions take place. Entering the labour market or leaving parentalhome are events with important consequences for the economic well-beingof young adults. In this paper, the interrelationship between employment,residential emancipation and poverty dynamics is studied for eight Europeancountries by means of an econometric model with feedback effects. Resultsshow that youth poverty genuine state dependence is positive and highly significant.Evidence proves there is a strong causal effect between poverty andleaving home in Scandinavian countries, however, time in economic hardshipdoes not last long. In Southern Europe, instead, youth tend to leave theirparental home much later in order to avoid falling into a poverty state that ismore persistent. Past poverty has negative consequences on the likelihood ofemployment.

Mycorrhizal ecology and evolution: the past, the present, and the future.

1406 I. 1407 II. 1408 III. 1410 IV. 1411 V. 1413 VI. 1416 VII. 1418 1418 References 1419 SUMMARY: Almost all land plants form symbiotic associations with mycorrhizal fungi. These below-ground fungi play a key role in terrestrial ecosystems as they regulate nutrient and carbon cycles, and influence soil structure and ecosystem multifunctionality. Up to 80% of plant N and P is provided by mycorrhizal fungi and many plant species depend on these symbionts for growth and survival. Estimates suggest that there are c. 50 000 fungal species that form mycorrhizal associations with c. 250 000 plant species. The development of high-throughput molecular tools has helped us to better understand the biology, evolution, and biodiversity of mycorrhizal associations. Nuclear genome assemblies and gene annotations of 33 mycorrhizal fungal species are now available providing fascinating opportunities to deepen our understanding of the mycorrhizal lifestyle, the metabolic capabilities of these plant symbionts, the molecular dialogue between symbionts, and evolutionary adaptations across a range of mycorrhizal associations. Large-scale molecular surveys have provided novel insights into the diversity, spatial and temporal dynamics of mycorrhizal fungal communities. At the ecological level, network theory makes it possible to analyze interactions between plant-fungal partners as complex underground multi-species networks. Our analysis suggests that nestedness, modularity and specificity of mycorrhizal networks vary and depend on mycorrhizal type. Mechanistic models explaining partner choice, resource exchange, and coevolution in mycorrhizal associations have been developed and are being tested. This review ends with major frontiers for further research.

The role of phylogeny in the spatial distributions and assembly of mountain plant communities.

A major challenge in community ecology is a thorough understanding of the processes that govern the assembly and composition of communities in time and space. The growing threat of climate change to the vascular plant biodiversity of fragile ecosystems such as mountains has made it equally imperative to develop comprehensive methodologies to provide insights into how communities are assembled. In this perspective, the primary objective of this PhD thesis is to contribute to the theoretical and methodological development of community ecology, by proposing new solutions to better detect the ecological and evolutionary processes that govern community assembly. As phylogenetic trees provide by far, the most advanced tools to integrate the spatial, ecological and evolutionary dynamics of plant communities, they represent the cornerstone on which this work was based. In this thesis, I proposed new solutions to: (i) reveal trends in community assembly on phylogenies, depicted by the transition of signals at the nodes of the different species and lineages responsible for community assembly, (ii) contribute to evidence the importance of evolutionarily labile traits in the distribution of mountain plant species. More precisely, I demonstrated that phylogenetic and functional compositional turnover in plant communities was driven by climate and human land use gradients mostly influenced by evolutionarily labile traits, (iii) predict and spatially project the phylogenetic structure of communities using species distribution models, to identify the potential distribution of phylogenetic diversity, as well as areas of high evolutionary potential along elevation. The altitudinal setting of the Diablerets mountains (Switzerland) provided an appropriate model for this study. The elevation gradient served as a compression of large latitudinal variations similar to a collection of islands within a single area, and allowed investigations on a large number of plant communities. Overall, this thesis highlights that stochastic and deterministic environmental filtering processes mainly influence the phylogenetic structure of plant communities in mountainous areas. Negative density-dependent processes implied through patterns of phylogenetic overdispersion were only detected at the local scale, whereas environmental filtering implied through phylogenetic clustering was observed at both the regional and local scale. Finally, the integration of indices of phylogenetic community ecology with species distribution models revealed the prospects of providing novel and insightful explanations on the potential distribution of phylogenetic biodiversity in high mountain areas. These results generally demonstrate the usefulness of phylogenies in inferring assembly processes, and are worth considering in the theoretical and methodological development of tools to better understand phylogenetic community structure.

Occurrence and damages of Danothrips trifasciatus (Thysanoptera, Thripidae) on Calophyllum brasiliense (Clusiaceae) in Brazil

Occurrence and damages of Danothrips trifasciatus (Thysanoptera: Thripidae) on Calophyllum brasiliense (Clusiaceae) in Brazil. Danothrips trifasciatus Sakimura, 1975 (Thysanoptera, Thripidae) is recorded for the first time in Brazil, in the municipality of Garça, São Paulo state. Individuals were collected in April 2011 damaging young leaves of guanandi, Calophyllum brasiliense Cambess. (Clusiaceae), forest species of increasing importance in Brazil. Future studies involving aspects on biology and population dynamics of the thrips in this plant species need to be carried out, in order to establish its potential economic importance to guanandi.

Extraction of soil water by plants: development and validation of a model

A quantitative model of water movement within the immediate vicinity of an individual root is developed and results of an experiment to validate the model are presented. The model is based on the assumption that the amount of water transpired by a plant in a certain period is replaced by an equal volume entering its root system during the same time. The model is based on the Darcy-Buckingham equation to calculate the soil water matric potential at any distance from a plant root as a function of parameters related to crop, soil and atmospheric conditions. The model output is compared against measurements of soil water depletion by rice roots monitored using γ-beam attenuation in a greenhouse of the Escola Superior de Agricultura "Luiz de Queiroz"/Universidade de São Paulo(ESALQ/USP) in Piracicaba, State of São Paulo, Brazil, in 1993. The experimental results are in agreement with the output from the model. Model simulations show that a single plant root is able to withdraw water from more than 0.1 m away within a few days. We therefore can assume that root distribution is a less important factor for soil water extraction efficiency.