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.

Strength and cost of an induced immune response are associated with a heritable melanin-based colour trait in female tawny owls.

1. Melanin pigments provide the most widespread source of coloration in vertebrates, but the adaptive function of such traits remains poorly known. 2. In a wild population of tawny owls (Strix aluco), we investigated the relationships between plumage coloration, which varies continuously from dark to pale reddish, and the strength and cost of an induced immune response. 3. The degree of reddishness in tawny owl feather colour was positively correlated with the concentration of phaeomelanin and eumelanin pigments, and plumage coloration was highly heritable (h(2) = 0.93). No carotenoids were detected in the feathers. 4. In mothers, the degree of melanin-based coloration was associated with antibody production against a vaccine, with dark reddish females maintaining a stronger level of antibody for a longer period of time compared to pale reddish females, but at a cost in terms of greater loss of body mass. 5. A cross-fostering experiment showed that, independent of maternal coloration, foster chicks reared by vaccinated mothers were lighter than those reared by nonvaccinated mothers. Hence, even though dark reddish mothers suffered a stronger immune cost than pale reddish mothers, this asymmetric cost was not translated to offspring growth. 6. Our study suggests that different heritable melanin-based colorations are associated with alternative strategies to resist parasite attacks, with dark reddish individuals investing more resources towards the humoral immune response than lightly reddish conspecifics.

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

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

Blood pressure loci identified with a gene-centric array.

Raised blood pressure (BP) is a major risk factor for cardiovascular disease. Previous studies have identified 47 distinct genetic variants robustly associated with BP, but collectively these explain only a few percent of the heritability for BP phenotypes. To find additional BP loci, we used a bespoke gene-centric array to genotype an independent discovery sample of 25,118 individuals that combined hypertensive case-control and general population samples. We followed up four SNPs associated with BP at our p < 8.56 × 10(-7) study-specific significance threshold and six suggestively associated SNPs in a further 59,349 individuals. We identified and replicated a SNP at LSP1/TNNT3, a SNP at MTHFR-NPPB independent (r(2) = 0.33) of previous reports, and replicated SNPs at AGT and ATP2B1 reported previously. An analysis of combined discovery and follow-up data identified SNPs significantly associated with BP at p < 8.56 × 10(-7) at four further loci (NPR3, HFE, NOS3, and SOX6). The high number of discoveries made with modest genotyping effort can be attributed to using a large-scale yet targeted genotyping array and to the development of a weighting scheme that maximized power when meta-analyzing results from samples ascertained with extreme phenotypes, in combination with results from nonascertained or population samples. Chromatin immunoprecipitation and transcript expression data highlight potential gene regulatory mechanisms at the MTHFR and NOS3 loci. These results provide candidates for further study to help dissect mechanisms affecting BP and highlight the utility of studying SNPs and samples that are independent of those studied previously even when the sample size is smaller than that in previous studies.

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

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

Characterization of microsatellite loci and reliable genotyping in a polyploid plant, Mercurialis perennis (Euphorbiaceae).

For many applications in population genetics, codominant simple sequence repeats (SSRs) may have substantial advantages over dominant anonymous markers such as amplified fragment length polymorphisms (AFLPs). In high polyploids, however, allele dosage of SSRs cannot easily be determined and alleles are not easily attributable to potentially diploidized loci. Here, we argue that SSRs may nonetheless be better than AFLPs for polyploid taxa if they are analyzed as effectively dominant markers because they are more reliable and more precise. We describe the transfer of SSRs developed for diploid Mercurialis huetii to the clonal dioecious M. perennis. Primers were tested on a set of 54 male and female plants from natural decaploid populations. Eight of 65 tested loci produced polymorphic fragments. Binary profiles from 4 different scoring routines were used to define multilocus lineages (MLLs). Allowing for fragment differences within 1 MLL, all analyses revealed the same 14 MLLs without conflicting with merigenet, sex, or plot assignment. For semiautomatic scoring, a combination of as few as 2 of the 4 most polymorphic loci resulted in unambiguous discrimination of clones. Our study demonstrates that microsatellite fingerprinting of polyploid plants is a cost efficient and reliable alternative to AFLPs, not least because fewer loci are required than for diploids.