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.

JULIDE: a software tool for 3D reconstruction and statistical analysis of autoradiographic mouse brain sections.

In this article we introduce JULIDE, a software toolkit developed to perform the 3D reconstruction, intensity normalization, volume standardization by 3D image registration and voxel-wise statistical analysis of autoradiographs of mouse brain sections. This software tool has been developed in the open-source ITK software framework and is freely available under a GPL license. The article presents the complete image processing chain from raw data acquisition to 3D statistical group analysis. Results of the group comparison in the context of a study on spatial learning are shown as an illustration of the data that can be obtained with this tool.

Field testing of arsenic in groundwater samples of Bangladesh using a test kit based on lyophilized bioreporter bacteria.

A test kit based on living, lyophilized bacterial bioreporters emitting bioluminescence as a response to arsenite and arsenate was applied during a field campaign in six villages across Bangladesh. Bioreporter field measurements of arsenic in groundwater from tube wells were in satisfying agreement with the results of spectroscopic analyses of the same samples conducted in the lab. The practicability of the bioreporter test in terms of logistics and material requirements, suitability for high sample throughput, and waste disposal was much better than that of two commercial chemical test kits that were included as references. The campaigns furthermore demonstrated large local heterogeneity of arsenic in groundwater, underscoring the use of well switching as an effective remedy to avoid high arsenic exposure.

CoDaPack. An Excel and Visual Basic based software of compositional data analysis. Current version and discussion form upcoming versions

In the eighties, John Aitchison (1986) developed a new methodological approach for the statistical analysis of compositional data. This new methodology was implemented in Basic routines grouped under the name CODA and later NEWCODA inMatlab (Aitchison, 1997). After that, several other authors have published extensions to this methodology: Marín-Fernández and others (2000), Barceló-Vidal and others (2001), Pawlowsky-Glahn and Egozcue (2001, 2002) and Egozcue and others (2003). (...)

Decreased well-being after job loss : testing omitted causes

Job loss is widely known to lead to a substantial decrease in workers' subjective well-being. Functionalist theories explain this fact by arguing that the fundamental needs that work fulfills are absent during unemployment. Recent evidence from longitudinal studies however contradicts this approach, showing that workers who find a new job do not fully regain their former level of well-being upon reemployment. Therefore other mechanisms must be at work. We suggest that changes in social or economic domains of workers' lives - triggered by job displacement - lead to the observed changes in well-being. Drawing on a unique data set from a survey of workers displaced by plant closure in Switzerland after the financial crisis of 2008, our analysis confirms the previous result that finding a job after displacement does not completely restore workers' pre-displacement level of well-being. The factors that best explain this outcome are changes in social domains, notably changes in workers' job - related social status and their relationships to friends. This result provides valuable insights about the long lasting scars job displacement leaves on workers' lives.

Molecular testing for fragile X: analysis of 5062 tests from 1105 fragile X families--performed in 12 clinical laboratories in Spain.

Fragile X syndrome is the most common inherited form of intellectual disability. Here we report on a study based on a collaborative registry, involving 12 Spanish centres, of molecular diagnostic tests in 1105 fragile X families comprising 5062 individuals, of whom, 1655 carried a full mutation or were mosaic, three cases had deletions, 1840 had a premutation, and 102 had intermediate alleles. Two patients with the full mutation also had Klinefelter syndrome. We have used this registry to assess the risk of expansion from parents to children. From mothers with premutation, the overall rate of allele expansion to full mutation is 52.5%, and we found that this rate is higher for male than female offspring (63.6% versus 45.6%; P < 0.001). Furthermore, in mothers with intermediate alleles (45-54 repeats), there were 10 cases of expansion to a premutation allele, and for the smallest premutation alleles (55-59 repeats), there was a 6.4% risk of expansion to a full mutation, with 56 repeats being the smallest allele that expanded to a full mutation allele in a single meiosis. Hence, in our series the risk for alleles of <59 repeats is somewhat higher than in other published series. These findings are important for genetic counselling.

Comparativa de dues eines de software pel desenvolupament de classificadors d'espectroscòpia de ressonància magnètica nuclear de tumors cerebrals humans

En aquest treball s’ha fet una avaluació comparativa dels resultats que es poden obtenir amb el software SpectraClassifier 1.0 (SC) desenvolupat al nostre grup de recerca, comparant‐lo amb l’SPSS, un programa estadístic informàtic estàndard, en un problema de classificació de tumors cerebrals humans amb dades d’espectroscopia de ressonància magnètica de protó (1H‐ERM). El interès d’aquesta avaluació comparativa radica en la documentació dels resultats obtinguts amb els dos sistemes quan en la correcció dels resultats obtinguts, així com ponderar la versatilitat i usabilitat dels dos paquets de software per a una aplicació concreta d’interès al treball del GABRMN. Per a aquest treball s’han utilitzat dades provinents de dos projecte europeus multicèntrics (INTERPRET i eTumour) en els quals vam participar. Les classes tumorals utilitzades (d’un total de 217 pacients) han sigut les majoritàries des del punt de vista epidemiològic: glioblastoma multiforme, metàstasi, astrocitomes de grau II, ligodendrogliomes de grau II, oligoastrocitomes de grau II i meningiomes de baix grau. Amb les dades d’aquests pacients s’han dissenyat classificadors basats en l’anàlisi discriminant lineal (LDA), s’han avaluat amb diferents mètodes matemàtics i s’han testat amb dades independents. Els resultats han estat satisfactoris, obtenint amb l’SC resultats més robusts amb dades independents respecte la classificació realitzada per l’SPSS.

Sensitivity and specificity of parallel or serial serological testing for detection of canine Leishmania infection

In Brazil, human and canine visceral leishmaniasis (CVL) caused byLeishmania infantum has undergone urbanisation since 1980, constituting a public health problem, and serological tests are tools of choice for identifying infected dogs. Until recently, the Brazilian zoonoses control program recommended enzyme-linked immunosorbent assays (ELISA) and indirect immunofluorescence assays (IFA) as the screening and confirmatory methods, respectively, for the detection of canine infection. The purpose of this study was to estimate the accuracy of ELISA and IFA in parallel or serial combinations. The reference standard comprised the results of direct visualisation of parasites in histological sections, immunohistochemical test, or isolation of the parasite in culture. Samples from 98 cases and 1,327 noncases were included. Individually, both tests presented sensitivity of 91.8% and 90.8%, and specificity of 83.4 and 53.4%, for the ELISA and IFA, respectively. When tests were used in parallel combination, sensitivity attained 99.2%, while specificity dropped to 44.8%. When used in serial combination (ELISA followed by IFA), decreased sensitivity (83.3%) and increased specificity (92.5%) were observed. Serial testing approach improved specificity with moderate loss in sensitivity. This strategy could partially fulfill the needs of public health and dog owners for a more accurate diagnosis of CVL.

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

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

Profiling of 19-norandrosterone sulfate and glucuronide in human urine: implications in athlete's drug testing.

19-Norandrosterone (19-NA) as its glucuronide derivative is the target metabolite in anti-doping testing to reveal an abuse of nandrolone or nandrolone prohormone. To provide further evidence of a doping with these steroids, the sulfoconjugate form of 19-norandrosterone in human urine might be monitored as well. In the present study, the profiling of sulfate and glucuronide derivatives of 19-norandrosterone together with 19-noretiocholanolone (19-NE) were assessed in the spot urines of 8 male subjects, collected after administration of 19-nor-4-androstenedione (100mg). An LC/MS/MS assay was employed for the direct quantification of sulfoconjugates, whereas a standard GC/MS method was applied for the assessment of glucuroconjugates in urine specimens. Although the 19-NA glucuronide derivative was always the most prominent at the excretion peak, inter-individual variability of the excretion patterns was observed for both conjugate forms of 19-NA and 19-NE. The ratio between the glucuro- and sulfoconjugate derivatives of 19-NA and 19-NE could not discriminate the endogenous versus the exogenous origin of the parent compound. However, after ingestion of 100mg 19-nor-4-androstenedione, it was observed in the urine specimens that the sulfate conjugates of 19-NA was detectable over a longer period of time with respect to the other metabolites. These findings indicate that more interest shall be given to this type of conjugation to deter a potential doping with norsteroids.

Elementos para guiar ações visando à orientação empreendedora em organizações de software

Neste artigo, aborda-se a orientação empreendedora (OE) em organizações de software. Tem-se por objetivo propor um conjunto consolidado de elementos que possibilitem guiar ações visando à orientação empreendedora em organizações de software. Para tanto, realizou-se pesquisa de natureza exploratória, com o uso de dados qualitativos. A coleta de dados foi feita por meio de entrevistas em profundidade com executivos de 13 organizações com o intuito de realizar um levantamento de práticas efetivas de orientação empreendedora, para compreensão desse comportamento nas organizações e confirmação dos elementos da base conceitual de orientação empreendedora adotada no estudo. Como resultado, apresenta-se um conjunto de elementos da orientação empreendedora, consolidado a partir da literatura e da prática efetiva das organizações, que constitui importante referência para guiar ações visando à orientação empreendedora em organizações de software. O estudo conclui com o enriquecimento e o detalhamento da base conceitual de orientação empreendedora, com a proposição de categorias, agregação de novos elementos decorrentes da prática organizacional e a consolidação do conjunto de elementos, oferecendo subsídios às organizações de software que desejem desenvolver esse comportamento.

A distributed environment for virtual and/or real experiments for underwater robots

This paper presents the distributed environment for virtual and/or real experiments for underwater robots (DEVRE). This environment is composed of a set of processes running on a local area network composed of three sites: 1) the onboard AUV computer; 2) a surface computer used as human-machine interface (HMI); and 3) a computer used for simulating the vehicle dynamics and representing the virtual world. The HMI can be transparently linked to the real sensors and actuators dealing with a real mission. It can also be linked with virtual sensors and virtual actuators, dealing with a virtual mission. The aim of DEVRE is to assist engineers during the software development and testing in the lab prior to real experiments

The appropriateness of renal angioplasty: the ANPARIA software: a multidisciplinary expert panel approach

Percutaneous transluminal renal angioplasty (PTRA) is an invasive technique that is costly and involves the risk of complications and renal failure. The ability of PTRA to reduce the administration of antihypertensive drugs has been demonstrated. A potentially greater benefit, which nevertheless remains to be proven, is the deferral of the need for chronic dialysis. The aim of the study (ANPARIA) was to assess the appropriateness of PTRA to impact on the evolution of renal function. A standardized expert panel method was used to assess the appropriateness of medical treatment alone or medical treatment with revascularization in various clinical situations. The choice of revascularization by either PTRA or surgery was examined for each clinical situation. Analysis was based on a detailed literature review and on systematically elicited expert opinion, which were obtained during a two-round modified Delphi process. The study provides detailed responses on the appropriateness of PTRA for 1848 distinct clinical scenarios. Depending on the major clinical presentation, appropriateness of revascularization varied from 32% to 75% for individual scenarios (overal 48%). Uncertainty as to revascularization was 41% overall. When revascularization was appropriate, PTRA was favored over surgery in 94% of the scenarios, except in certain cases of aortic atheroma where sugery was the preferred choice. Kidney size [7 cm, absence of coexisting disease, acute renal failure, a high degree of stenosis (C70%), and absence of multiple arteries were identified as predictive variables of favorable appropriateness ratings. Situations such as cardiac failure with pulmonary edema or acute thrombosis of the renal artery were defined as indications for PTRA. This study identified clinical situations in which PTRA or surgery are appropriate for renal artery disease. We built a decision tree which can be used via Internet: the ANPARIA software (http://www.chu-clermontferrand.fr/anparia/). In numerous clinical situations uncertainty remains as to whether PTRA prevents deterioration of renal function.

Migración a software libre del Excmo. Ayto. de Alicante

Este proyecto aborda la migración de los sistemas de información de una administración pública de tamaño medio con las simulaciones más importantes propuestas.

A relação entre a satisfação dos funcionários e a satisfação dos clientes: estudo nas empresas de software do município de Belo Horizonte

A indústria de software tem apresentado crescimento vigoroso nos últimos anos, não só em termos mundiais, como também no Brasil. O segmento é composto basicamente por empresas de pequeno porte, com utilização intensiva de mão de obra especializada. No entanto, estudos indicam que o setor pouco se preocupa com a qualificação de funcionários, talvez porque, normalmente, a demanda supere a oferta, o que relega a um plano secundário as preocupações com a gestão de pessoas, ficando as atenções voltadas para o desenvolvimento e a formatação do serviço propriamente dito. Segundo os modelos teóricos, a participação dos funcionários é de vital importância para o fornecimento de um serviço de qualidade, podendo acarretar a satisfação dos clientes, sua lealdade e, consequentemente, incrementar a rentabilidade da organização. A satisfação dos funcionários pode ser alcançada pela introdução de práticas adequadas de gerenciamento de recursos humanos, incluindo boa comunicação, treinamento e desenvolvimento, trabalho em equipe, incentivo à participação e poder de decisão. Diversos modelos foram propostos para avaliar a satisfação dos clientes, a qual é fruto da qualidade percebida do serviço, de suas expectativas e do valor percebido, de acordo com um dos modelos em questão. Alguns estudos relatam a existência de relação positiva e significativa entre satisfação de clientes e de funcionários. Nesse contexto, procurou-se avaliar qual o impacto da satisfação dos funcionários diretamente sobre a satisfação dos clientes, com base em um modelo teórico que integrasse práticas de Recursos Humanos e antecedentes da satisfação dos clientes. Por meio de pesquisa quantitativa, foram entrevistados clientes e funcionários de 50 empresas da indústria de software de Belo Horizonte (Minas Gerais, Brasil), totalizando uma amostra válida de 147 respondentes para cada grupo. Os dados foram avaliados com o recurso da modelagem de equações estruturais, pelo método dos mínimos quadrados parciais. Com base nos resultados obtidos, infere-se que as melhores práticas de Recursos Humanos realmente influenciam a satisfação dos funcionários e que a qualidade percebida do serviço influencia positivamente a satisfação dos clientes. Contudo, não se constatou relação significativa entre a satisfação dos funcionários e a satisfação dos clientes.