How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Solving a concrete sleepers production scheduling by genetic algorithms

PRECON S.A is a manufacturing company dedicated to produce prefabricatedconcrete parts to several industries as rail transportation andagricultural industries.Recently, PRECON signed a contract with RENFE,the Spanish Nnational Rail Transportation Company to manufacturepre-stressed concrete sleepers for siding of the new railways of the highspeed train AVE. The scheduling problem associated with the manufacturingprocess of the sleepers is very complex since it involves severalconstraints and objectives. The constraints are related with productioncapacity, the quantity of available moulds, satisfying demand and otheroperational constraints. The two main objectives are related withmaximizing the usage of the manufacturing resources and minimizing themoulds movements. We developed a deterministic crowding genetic algorithmfor this multiobjective problem. The algorithm has proved to be a powerfuland flexible tool to solve the large-scale instance of this complex realscheduling problem.

Non-stationary job search when jobs are not forever: A structural estimation

This paper considers a job search model where the environment is notstationary along the unemployment spell and where jobs do not lastforever. Under this circumstance, reservation wages can be lower thanwithout separations, as in a stationary environment, but they can alsobe initially higher because of the non-stationarity of the model. Moreover,the time-dependence of reservation wages is stronger than with noseparations. The model is estimated structurally using Spanish data forthe period 1985-1996. The main finding is that, although the decrease inreservation wages is the main determinant of the change in the exit ratefrom unemployment for the first four months, later on the only effect comesfrom the job offer arrival rate, given that acceptance probabilities areroughly equal to one.

Unemployment insurance with endogenous search intensity and precautionary saving

A welfare analysis of unemployment insurance (UI) is performed in a generalequilibrium job search model. Finitely-lived, risk-averse workers smooth consumption over time by accumulating assets, choose search effort whenunemployed, and suffer disutility from work. Firms hire workers, purchasecapital, and pay taxes to finance worker benefits; their equity is the assetaccumulated by workers. A matching function relates unemployment, hiringexpenditure, and search effort to the formation of jobs. The model is calibrated to US data; the parameters relating job search effort to the probability of job finding are chosen to match microeconomic studies ofunemployment spells. Under logarithmic utility, numerical simulation shows rather small welfaregains from UI. Even without UI, workers smooth consumption effectivelythrough asset accumulation. Greater risk aversion leads to substantiallylarger welfare gains from UI; however, even in this case much of its welfareimpact is due not to consumption smoothing effects, but rather to decreased work disutility, or to a variety of externalities.

On the complexity of rationalizing behavior

We study the complexity of rationalizing choice behavior. We do so by analyzing two polar cases, and a number of intermediate ones. In our most structured case, that is where choice behavior is defined in universal choice domains and satisfies the "weak axiom of revealed preference," finding the complete preorder rationalizing choice behavior is a simple matter. In the polar case, where no restriction whatsoever is imposed, either on choice behavior or on choice domain, finding the complete preordersthat rationalize behavior turns out to be intractable. We show that the task of finding the rationalizing complete preorders is equivalent to a graph problem. This allows the search for existing algorithms in the graph theory literature, for the rationalization of choice.

Exploiting fitness distance correlation of set covering problems

The set covering problem is an NP-hard combinatorial optimization problemthat arises in applications ranging from crew scheduling in airlines todriver scheduling in public mass transport. In this paper we analyze searchspace characteristics of a widely used set of benchmark instances throughan analysis of the fitness-distance correlation. This analysis shows thatthere exist several classes of set covering instances that have a largelydifferent behavior. For instances with high fitness distance correlation,we propose new ways of generating core problems and analyze the performanceof algorithms exploiting these core problems.

Fixed and random effects in Classical and Bayesian regression

This paper proposes a common and tractable framework for analyzingdifferent definitions of fixed and random effects in a contant-slopevariable-intercept model. It is shown that, regardless of whethereffects (i) are treated as parameters or as an error term, (ii) areestimated in different stages of a hierarchical model, or whether (iii)correlation between effects and regressors is allowed, when the sameinformation on effects is introduced into all estimation methods, theresulting slope estimator is also the same across methods. If differentmethods produce different results, it is ultimately because differentinformation is being used for each methods.

Job search and asset accumulation under borrowing constraints

In this paper I show how borrowing constraints and job search interact.I fit a dynamic model to data from the National Longitudinal Survey(1979-cohort) and show that borrowing constraints are significant. Agentswith more initial assets and more access to credit attain higher wagesfor several periods after high school graduation. The unemployed maintaintheir consumption by running down their assets, while the employed saveto buffer against future unemployment spells. I also show that, unlikein models with exogenous income streams, unemployment transfers, byallowing agents to attain higher wages do not 'crowd out' but increasesaving.

Temporal variation in the composition of ant assemblages (Hymenoptera, Formicidae) on trees in the Pantanal floodplain, Mato Grosso do Sul, Brazil

Temporal variation in the composition of ant assemblages (Hymenoptera, Formicidae) on trees in the Pantanal floodplain, Mato Grosso do Sul, Brazil. In this paper we investigate how seasonal flooding influences the composition of assemblages of ants foraging on trees in the Pantanal of Mato Grosso do Sul. During the flood in the Pantanal, a large area is covered by floods that are the main forces that regulate the pattern of diversity in these areas. However, the effects of such natural disturbances in the ant communities are poorly known. In this sense, the objective of this study was to evaluate the effect of temporal variation in assemblages of ants foraging on trees in the Pantanal of Miranda. Samples were collected during a year in two adjacent areas, one who suffered flooding during the wet period and another that did not suffer flooding throughout the year. In 10 sites for each evaluated habitat, five pitfall traps were installed at random in trees 25 m apart from each other. In the habitat with flooding, the highest richness was observed during the flooding period, while there was no significant change in richness in the area that does not suffer flooding. The diversity of species between the two evaluated habitats varied significantly during the two seasons. Most ants sampled belong to species that forage and nest in soil. This suggests that during the flood in flooded habitats, ants that did not migrate to higher areas without flooding adopt the strategy to search for resources in the tree canopy.

Random measurement error and regression dilution bias.

Summary points: - The bias introduced by random measurement error will be different depending on whether the error is in an exposure variable (risk factor) or outcome variable (disease) - Random measurement error in an exposure variable will bias the estimates of regression slope coefficients towards the null - Random measurement error in an outcome variable will instead increase the standard error of the estimates and widen the corresponding confidence intervals, making results less likely to be statistically significant - Increasing sample size will help minimise the impact of measurement error in an outcome variable but will only make estimates more precisely wrong when the error is in an exposure variable

Diagnostic Performances of 18F-FDG Positron Emission Tomography in Large Vessels Vasculitis: Meta-analysis

Toperform a meta-analysis of FDG-PET performances in the diagnosis of largevessels vasculitis (Giant Cell Arteritis (GCA) associated or not withPolymyalgia Rheumatica(PMR), Takayasu). Materials and methods : The MEDLINE,Cochrane Library, Embase were searched for relevant original articlesdescribing FDG-PET for vasculitis assessment, using MesH terms ("GiantCell Arteritis or Vasculitis" AND "PET"). Criteria for inclusionwere:(1)FDG-PET for diagnosis of vasculitis(2)American College of Rheumatologycriteria as reference standard(3)control group. After data extraction, analyseswere performed using a random-effects model. Results : Of 184 citations(database search and references screening),70 articles were reviewed of which12 eligible studies were extracted (sensitivity range from 32% to 97%). 7studies fulfilled all inclusion criteria. Owing to overlapping population, 1study was excluded. Statistical heterogeneity justified the random-effectsmodel. Pooled 6 studies analysis(116 vasculitis,224 controls) showed a 81%sensitivity (95%CI:70-89%);a 89% specificity (95%CI:77-95%);a 85%PPV(95%CI:63-95%); a 90% NPV(95%CI:79-95%);a 7.1 positive LR(95%CI:3.4-14.9); a0.2 negative LR(95%CI:0.14-0.35) and 90.1 DOR(95%CI: 18.6-437). Conclusion :FDG-PET has good diagnostic performances in the detection of large vesselsvasculitis. Its promising role could be extended to follow up patients undertreatment, but further studies are needed to confirm this possibility.

Sistema de almacén y dispensación robotizada de productos farmacéuticos

Actualmente, las necesidades de mejora en gestión de stocks y la mayor disponibilidad de sistemas automáticos, están haciendo que muchas empresas inviertan en técnicas modernas para almacenamiento y manipulación de productos. Esta inquietud también ha llegado a las farmacias, que de forma lenta pero firme se van apuntando a su robotización. Uno de los principales problemas a los que se enfrentan las farmacias es la pérdida de tiempo en la gestión y búsqueda de medicamentos, provocando situaciones negativas como las esperas, la falta de tiempo para una atención más personalizada y como consecuencia, la pérdida de clientes. Este inconveniente y la necesidad de mejora en la gestión de los stocks han hecho que aparezcan los Sistemas de dispensación automática de productos farmacéuticos. El dispensador automático facilita el trabajo del farmacéutico al automatizar la búsqueda de la medicina requerida, aumentando la dedicación al cliente y reduciendo los tiempos no productivos y las colas. El presente estudio desarrolla un sistema de dispensación automático de fármacos aplicado a farmacias con una rotación de medicamentos media/ baja, valorando tanto su viabilidad técnica como económica. El almacén propuesto es de tipo caótico con sistema de carga, almacenamiento y descarga completamente automáticos. La mayoría de diseños y conceptos expuestos en este trabajo son de desarrollo propio del autor con el único objetivo de la búsqueda de nuevas soluciones para conseguir un sistema de almacenamiento efectivo y de máximo rendimiento.

Escacs, un sistema intel·ligent

Des dels inicis dels ordinadors com a màquines programables, l’home ha intentat dotar-los de certa intel•ligència per tal de pensar o raonar el més semblant possible als humans. Un d’aquests intents ha sigut fer que la màquina sigui capaç de pensar de tal manera que estudiï jugades i guanyi partides d’escacs. En l’actualitat amb els actuals sistemes multi tasca, orientat a objectes i accés a memòria i gràcies al potent hardware del que disposem, comptem amb una gran varietat de programes que es dediquen a jugar a escacs. Però no hi ha només programes petits, hi ha fins i tot màquines senceres dedicades a calcular i estudiar jugades per tal de guanyar als millors jugadors del món. L’objectiu del meu treball és dur a terme un estudi i implementació d’un d’aquests programes, per això es divideix en dues parts. La part teòrica o de l’estudi, consta d’un estudi dels sistemes d’intel•ligència artificial que es dediquen a jugar a escacs, estudi i cerca d’una funció d’avaluació vàlida i estudi dels algorismes de cerca. La part pràctica del treball es basa en la implementació d’un sistema intel•ligent capaç de jugar a escacs amb certa lògica. Aquesta implementació es porta a terme amb l’ajuda de les llibreries SDL, utilitzant l’algorisme minimax amb poda alfa-beta i codi c++. Com a conclusió del projecte m’agradaria remarcar que l’estudi realitzat m’ha deixat veure que crear un joc d’escacs no era tan fàcil com jo pensava però m’ha aportat la satisfacció d’aplicar tot el que he après durant la carrera i de descobrir moltes altres coses noves.