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.

Soins palliatifs et soins de support: à la frontière de la toute-puissance médicale [Palliative and supportive care: at the frontiers of medical omnipotence].

Cancer patients have physical, social, spiritual and emotional needs. They may suffer from severe physical symptoms, from social isolation, spiritual abandonment, and emotions such as sadness and anxiety, or feelings of deception, helplessness, anger and guilt. In some of them, the disease is rapidly progressing and ultimately they die. Their demanding care evokes intense feelings in health care providers, the more since these incurable patients represent a challenge, which could be condensed under the heading "the challenge of medical omnipotence". We suppose that the way health care providers cope with these circumstances has a profound influence on the way these patients are cared for. The attitudes towards the emerging heterogeneous movement of palliative and supportive care and towards its different models of implementation can be viewed from this point of view. We try to demonstrate these interrelations and to discuss the danger that may arise if they remain obscure and unreflected.

Markov chain montecarlo method applied to rounding zeros of compositional data: first approach

As stated in Aitchison (1986), a proper study of relative variation in a compositional data set should be based on logratios, and dealing with logratios excludes dealing with zeros. Nevertheless, it is clear that zero observations might be present in real data sets, either because the corresponding part is completelyabsent –essential zeros– or because it is below detection limit –rounded zeros. Because the second kind of zeros is usually understood as “a trace too small to measure”, it seems reasonable to replace them by a suitable small value, and this has been the traditional approach. As stated, e.g. by Tauber (1999) and byMartín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000), the principal problem in compositional data analysis is related to rounded zeros. One should be careful to use a replacement strategy that does not seriously distort the general structure of the data. In particular, the covariance structure of the involvedparts –and thus the metric properties– should be preserved, as otherwise further analysis on subpopulations could be misleading. Following this point of view, a non-parametric imputation method isintroduced in Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000). This method is analyzed in depth by Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2003) where it is shown that thetheoretical drawbacks of the additive zero replacement method proposed in Aitchison (1986) can be overcome using a new multiplicative approach on the non-zero parts of a composition. The new approachhas reasonable properties from a compositional point of view. In particular, it is “natural” in the sense thatit recovers the “true” composition if replacement values are identical to the missing values, and it is coherent with the basic operations on the simplex. This coherence implies that the covariance structure of subcompositions with no zeros is preserved. As a generalization of the multiplicative replacement, in thesame paper a substitution method for missing values on compositional data sets is introduced

EU “actorness” in International Relations: The Non-Proliferation Policy of the EU in the Southern Mediterranean

El punt de partida d'aquesta investigació és una retòrica molt utilitzada que la UE és un actor global. En vista d'això, la no proliferació de la política comunitària al sud de la Mediterrània s'examina. L'estudi es realitza sobre la base de la conceptualització de la UE "actorness" ia través d'alguns criteris (context extern, l'evolució de l'aparell de política exterior de la UE, la Unió Europea l'auto-presentació i la percepció de tercers, la consistència i la disponibilitat d'instruments de política i accions concretes) que involucren tant factors ideacionals i materials, d'acord amb el "pluralisme metodològic". Aquest marc conceptual va ajudar a avaluar la no proliferació de la política comunitària en aquesta regió en particular on la UE té interessos i bones raons per actuar. Cada un dels criteris de manifest els avantatges i desavantatges de la UE "actorness" en aquest camp seleccionat i la caixa. Aquest document sosté que la no proliferació "actorness" de la UE a la regió del sud de la Mediterrània ha estat limitat a causa d'una varietat de raons.

Study of protein haptenation by amoxicillin through the use of a biotinylated antibiotic.

Allergic reactions towards β-lactam antibiotics pose an important clinical problem. The ability of small molecules, such as a β-lactams, to bind covalently to proteins, in a process known as haptenation, is considered necessary for induction of a specific immunological response. Identification of the proteins modified by β-lactams and elucidation of the relevance of this process in allergic reactions requires sensitive tools. Here we describe the preparation and characterization of a biotinylated amoxicillin analog (AX-B) as a tool for the study of protein haptenation by amoxicillin (AX). AX-B, obtained by the inclusion of a biotin moiety at the lateral chain of AX, showed a chemical reactivity identical to AX. Covalent modification of proteins by AX-B was reduced by excess AX and vice versa, suggesting competition for binding to the same targets. From an immunological point of view, AX and AX-B behaved similarly in RAST inhibition studies with sera of patients with non-selective allergy towards β-lactams, whereas, as expected, competition by AX-B was poorer with sera of AX-selective patients, which recognize AX lateral chain. Use of AX-B followed by biotin detection allowed the observation of human serum albumin (HSA) modification by concentrations 100-fold lower that when using AX followed by immunological detection. Incubation of human serum with AX-B led to the haptenation of all of the previously identified major AX targets. In addition, some new targets could be detected. Interestingly, AX-B allowed the detection of intracellular protein adducts, which showed a cell type-specific pattern. This opens the possibility of following the formation and fate of AX-B adducts in cells. Thus, AX-B may constitute a valuable tool for the identification of AX targets with high sensitivity as well as for the elucidation of the mechanisms involved in allergy towards β-lactams.

Statistical evidences of cyclic changes in volcanic gas chemistry composition by inverse modelling

The identification of compositional changes in fumarolic gases of active and quiescent volcanoes is one of the mostimportant targets in monitoring programs. From a general point of view, many systematic (often cyclic) and randomprocesses control the chemistry of gas discharges, making difficult to produce a convincing mathematical-statisticalmodelling.Changes in the chemical composition of volcanic gases sampled at Vulcano Island (Aeolian Arc, Sicily, Italy) fromeight different fumaroles located in the northern sector of the summit crater (La Fossa) have been analysed byconsidering their dependence from time in the period 2000-2007. Each intermediate chemical composition has beenconsidered as potentially derived from the contribution of the two temporal extremes represented by the 2000 and 2007samples, respectively, by using inverse modelling methodologies for compositional data. Data pertaining to fumarolesF5 and F27, located on the rim and in the inner part of La Fossa crater, respectively, have been used to achieve theproposed aim. The statistical approach has allowed us to highlight the presence of random and not random fluctuations,features useful to understand how the volcanic system works, opening new perspectives in sampling strategies and inthe evaluation of the natural risk related to a quiescent volcano

Respiratory quotient evolution during normal pregnancy: what nutritional or clinical information can we get out of it?

Food intake increases to a varying extent during pregnancy to provide extra energy for the growing fetus. Measuring the respiratory quotient (RQ) during the course of pregnancy (by quantifying O2 consumption and CO2 production with indirect calorimetry) could be potentially useful since it gives an insight into the evolution of the proportion of carbohydrate vs. fat oxidized during pregnancy and thus allows recommendations on macronutrients for achieving a balanced (or slightly positive) substrate intake. A systematic search of the literature for papers reporting RQ changes during normal pregnancy identified 10 papers reporting original research. The existing evidence supports an increased RQ of varying magnitude in the third trimester of pregnancy, while the discrepant results reported for the first and second trimesters (i.e. no increase in RQ), explained by limited statistical power (small sample size) or fragmentary data, preclude safe conclusions about the evolution of RQ during early pregnancy. From a clinical point of view, measuring RQ during pregnancy requires not only sophisticated and costly indirect calorimeters but appears of limited value outside pure research projects, because of several confounding variables: (1) spontaneous changes in food intake and food composition during the course of pregnancy (which influence RQ); (2) inter-individual differences in weight gain and composition of tissue growth; (3) technical factors, notwithstanding the relatively small contribution of fetal metabolism per se (RQ close to 1.0) to overall metabolism of the pregnant mother.

Photoletter to the editor: Response of linear porokeratosis to photodynamic therapy in an 11-year-old girl.

Porokeratoses are a group of different entities that belong to the skin keratinization disorders. From the histological point of view the main and common characteristic of these disorders is the presence of compact parakeratotic columns known as cornoid lamellae. All varieties should be carefully treated and followed-up because of the risk of developing malignant epithelial tumors. We report the successful response to photodynamic therapy (PDT) in a pediatric patient diagnosed with linear porokeratosis.

Towards smart user models in open environments

Our work is concerned with user modelling in open environments. Our proposal then is the line of contributions to the advances on user modelling in open environments thanks so the Agent Technology, in what has been called Smart User Model. Our research contains a holistic study of User Modelling in several research areas related to users. We have developed a conceptualization of User Modelling by means of examples from a broad range of research areas with the aim of improving our understanding of user modelling and its role in the next generation of open and distributed service environments. This report is organized as follow: In chapter 1 we introduce our motivation and objectives. Then in chapters 2, 3, 4 and 5 we provide the state-of-the-art on user modelling. In chapter 2, we give the main definitions of elements described in the report. In chapter 3, we present an historical perspective on user models. In chapter 4 we provide a review of user models from the perspective of different research areas, with special emphasis on the give-and-take relationship between Agent Technology and user modelling. In chapter 5, we describe the main challenges that, from our point of view, need to be tackled by researchers wanting to contribute to advances in user modelling. From the study of the state-of-the-art follows an exploratory work in chapter 6. We define a SUM and a methodology to deal with it. We also present some cases study in order to illustrate the methodology. Finally, we present the thesis proposal to continue the work, together with its corresponding work scheduling and temporalisation

Full Exploration of the Diels–Alder Cycloaddition on Metallofullerenes M3N@C80 (M=Sc, Lu, Gd): The D5h versus Ih Isomer and the Influence of the Metal Cluster

In this work a detailed investigation of the exohedral reactivity of the most important and abundant endohedral metallofullerene (EMF) is provided, that is, Sc3N@Ih-C80 and its D5h counterpart Sc3N@D5h-C80, and the (bio)chemically relevant lutetium- and gadolinium-based M3N@Ih/D5h-C80 EMFs (M=Sc, Lu, Gd). In particular, we analyze the thermodynamics and kinetics of the Diels–Alder cycloaddition of s-cis-1,3-butadiene on all the different bonds of the Ih-C80 and D5h-C80 cages and their endohedral derivatives. First, we discuss the thermodynamic and kinetic aspects of the cycloaddition reaction on the hollow fullerenes and the two isomers of Sc3N@C80. Afterwards, the effect of the nature of the metal nitride is analyzed in detail. In general, our BP86/TZP//BP86/DZP calculations indicate that [5,6] bonds are more reactive than [6,6] bonds for the two isomers. The [5,6] bond D5h-b, which is the most similar to the unique [5,6] bond type in the icosahedral cage, Ih-a, is the most reactive bond in M3N@D5h-C80 regardless of M. Sc3N@C80 and Lu3N@C80 give similar results; the regioselectivity is, however, significantly reduced for the larger and more electropositive M=Gd, as previously found in similar metallofullerenes. Calculations also show that the D5h isomer is more reactive from the kinetic point of view than the Ih one in all cases which is in good agreement with experiments

Equilibrium of drops on inclined hydrophilic surfaces

Why does not gravity make drops slip down the inclined surfaces, e.g., plant leaves? The current explanation is based on the existence of surface inhomogeneities, which cause a sustaining force that pins the contact line. Following this theory, the drop remains in equilibrium until a critical value of the sustaining force is reached. We propose an alternative analysis, from the point of view of energy balance, for the particular case in which the drop leaves a liquid film behind. The critical angle of the inclined surface at which the drop slips down is predicted. This result does not depend explicitly on surface inhomogeneities, but only on the drop size and surface tensions. There is good agreement with experiments for contact angles below 90° where the formation of the film is expected, whereas for greater contact angles great discrepancies arise

Phylogeny of shrews (Soricidae) : taxonomic and biogeographic implications

Résumé Les Soricidae sont l'une des plus grandes familles de mammifères avec plus de 300 espèces décrites. Elle a été récemment divisée en trois sous-familles, les Soricidae, qui sont distribuées dans la région Holarctique, les Crocidurinae en Afrique et en Eurasie, et les Myosoricinae en Afrique. La diversité spécifique de cette famille a conduit à des interprétations taxonomiques multiples, qui sont à l'origine de polémiques entre spécialistes, et même les premiers résultats moléculaires ont été fortement contradictoires. Le but de cette thèse est donc d'appliquer des meilleures techniques sur des échantillons mieux ciblés, afin de résoudre les contradictions taxonomiques et comprendre l'histoire de cette famille. Par le biais de marqueurs génétiques mitochondriaux et nucléaires, j'ai étudié: (i) Les relations taxonomiques à différent niveaux hiérarchiques au sein des Soricidae, c'est-à dire, entre les sous-familles, tribus, et genres, ainsi qu'au sein de deux complexes d'espèces largement distribués, et d'une espèce européenne, le but étant d'établir la congruence entre les données génétiques et les interprétations morphologiques classiques. (ii) Les relations biogéographiques, soit l'origine potentielle des différentes sous-familles, tribus, et genres, le nombre d'échanges intercontinentaux, ainsi que la structure phylogéographique à un niveau (péri)-spécifique, afin d'établir l'histoire de la diversification de cette famille. Les analyses combinées d'ADN mitochondrial et nucléaire ont montré un rapport clair entre les taxa à un niveau taxonomique élevé, mettant en évidence les rapports entre les sous-familles, les tribus, et les genres. Bien que Myosorex constitue un groupe monophylétique distinct, sa définition en tant que sous-famille séparée ne peut pas être reconnue. Ainsi, nous proposons d'attribuer un niveau de tribu pour ce clade (inclus dans les Crocidurinae). Nous avons également montré l'inclusion du genre Anourosorex dans les Soricinae et non en position basale dans les Soricidae. Au sein des Crocidurinae, Suncus s'est révélé être paraphylétique, et le genre Diplomesodon devrait être considéré d'un point de vue génétique comme invalide, puisque il se trouve au sein du clade du genre Crocidura. À un niveau taxonomique plus bas, nous avons montré la monophylie de deux complexes d'espèces largement distribués, le groupe de C. suaveolens et de C. olivieri. Néanmoins à l'intérieur de ceux-ci, des différences majeures avec la classification morphologique se sont révélées. Par exemples, C. sibirica n'est pas une espèce valide, les analyses de phylogénie moléculaire ne montrant pas de variations génétiques entre celle-ci et un échantillon de la localité type de C. suaveolens. D'un point de vue biogéographique, les fluctuations climatiques et les activités tectoniques des 20 derniers millions d'années ont fortement influencé la diversité actuelle des Soricidae. À un niveau taxonomique élevé, l'apparition de connexions de terre temporaires entre le Vieux et le Nouveau Monde au Miocène moyen ont mené à plusieurs colonisations indépendantes de l'Amérique par les Soricinae. Celles-ci ónt conduit à une diversification d'une tribu (Notiosoricini), ainsi que de genres (par ex: Cryptotis, Blarina) et d'un sous-genre (Otisorex) endémique au Néarctique. Dans le Vieux Monde, les barrières entre l'Afrique et Eurasie étaient plus perméables, menant à plusieurs échanges bidirectionnels de Crocidurinae. La diversification des clades principaux s'est produite au Miocène, certains clades étant endémiques d'Afrique ou d'Eurasie, tandis que d'autres se sont diversifiés à travers le Vieux Monde. À un niveau spécifique ou péri-spécifique, la fluctuation climatique du Pliocène et les glaciations du Pléistocène ont fortement divisé les populations dans tout le Paléarctique, menant à des entités génétiques distinctes. En Europe, les populations du groupe de C. suaveolens ont été divisées en une lignée Sud-Ouest et une Sud-Est, alors qu'au Proche-Orient et au Moyen-Orient, la diversité de clades est plus importante. En conclusion, mes études ont révélé que du Miocène à nos jours, la diversification des Soricidae a été provoquée par la colonisation de nouveaux habitats (dispersion), ainsi que par l'isolement des populations par diverses barrières (vicariance). Abstract The Soricidae is one of the largest mammalian families with more than 300 species described. It has been recently divided into three subfamilies, the Soricinae, which are distributed in the Holartic region, the Crocidurinae in Africa and Eurasia, and the Myosoricinae in Africa. The specific diversity of this family have led to multiple systematic interpretations and controversies between authors. Fortunately, today, cytotaxonomic, allozymic and molecular studies have permitted to clarify some uncertainties. Nevertheless, the Soricidae remains still poorly known. In this thesis, we aim at understanding with the use of mitochondrial and nuclear markers: (i) the taxonomic relationships at different hierarchical levels within Soricidae, i.e., between the subfamilies, tribes, and genera, as well as within two largely distributed species complexes, and within a European species, the goal being to establish congruence between the genetic data and traditional morphological interpretations; (ii) the biogeographic relationships, especially the potential origin of the different subfamilies, tribes, and genera, the number of transcontinental exchanges, as well as the phylogeographic structure at a (peri)-specific level, in order to establish the history of the genetic diversification of this family. The combined analyses of mitochondrial and nuclear DNA highlight for the first time a clear relationship between taxa at a high taxonomical level, permitting to distinguish the relationships between subfamilies, tribes, and genera. Although Myosorex formed a distinct monophyletic group, its definition as a distinct sub-family cannot be advocated. Thus, we propose to attribute a tribe level for this Glade (included within the Crocidurinae). Additionally, this combination of genes pleads in favour of the inclusion of the genus Anourosorex within the Soricinae and not in a basal position within the Soricidae. Within the Crocidurinae, Suncus appeared to be paraphyletic, and Diplomesodon should be considered from a genetic point of view as invalid, and is presently considered as Crocidura. At a lower taxonomic level, we showed the monophyly of two widely distributed species complexes, the C. suaveolens group and the C. olivieri group. Nevertheless within those, we showed major differences compared to morphological classification. For examples, C. sibirica revealed to not be a valid species, the molecular phylogenetic analyses failed to evidence genetical variations between it and samples of the type locality of C. suaveolens. In a biogeographic point of view, the climatic fluctuations and the tectonic plate activities of the last 20 Myr have strongly influenced the actual diversity of the family. At a high taxonomic level, the successive land bridge connections between the Old and the New World, which occurred during the Middle Miocene, have led to several independent colonisations of America by Soricinae, and a subsequent diversification of endemic Nearctic's tribe (Notiosoricini), genera (e.g. Cryptotis, Blaring) and sub-genus (Otisorex) within the Soricinae. Within the Old World, the barriers between Africa and Eurasia were more permeable, leading to several bidirectional exchanges within the Crocidurinae. The diversification of major clades occurred through the Miocene, some clades being endemic to Africa or Eurasia, whereas others diversified through the Old World. At a species level or a peri-specific level, the Pliocene climatic fluctuation and the Pleistocene glaciations have strongly divided the populations throughout the Palaearctic, leading to well defined genetic entities. In Europe, populations of the C. suaveolens group were split in a classical south-western and south-eastern lineage. In contrast, the Near East and the Middle East reveal many differentiated clades. In conclusion, our studies revealed that, from the Miocene to present, the diversification and speciation events within the Soricidae were caused by natural colonisation of new habitats (dispersion) and isolation of populations by various barriers (vicariance).

L'analyse des renvois régionaux et interrégionaux en pratique médicale ambulatoire. [Analysis of regional and interregional referrals in ambulatory medical practice].

This article examines, in two Swiss cantons, the interdependence from a medical care point of view of various regions (health planning zones in one canton, political districts in the other). The volume and the destination of patient referrals prescribed by physicians in ambulatory practice are analyzed. The available data (on 1609 referrals) were gathered by the practitioners themselves, during a National Ambulatory Medical Care Survey type study in February-March 1981, in which 203 physicians participated. Several indicators are proposed (including an integration coefficient and an attraction coefficient for each zone); they show marked differences among the regions. This dynamic approach, based on the effective behavior of physicians, appears to be of major interest for health planning purposes (as compared with the frequent practice to use mainly parameters in relation with the availability of care services--the "supply"--numbers of professionals and/or health facilities).

Sensate lateral arm flap for defects of the lower leg.

Ideally, reconstruction of lower extremity soft tissue defects includes not only an esthetically pleasing 3-dimensional shape and solid anchoring to the underlying structures to resist shear forces, but should also address the restoration of sensation. Therefore, we present a prospective study on defect reconstruction of the lower leg and ankle to evaluate the role of sensate free fasciocutaneous lateral arm flap and the impact of sensory nerve reconstruction. Thirty patients were allocated randomly to the study group (n = 15) that obtained end-to-side sensate coaptation using the lower lateral cutaneous brachial nerve to the tibial nerve using the epineural window technique, or to the control group reconstructed without nerve coaptation. At 1-year follow-up the patients were evaluated for pain sensation, thermal sensibility, static and moving 2-point discrimination, and Semmes-Weinstein monofilament tests. Data from both groups were compared and statistically analyzed with the Mann-Whitney U test and the Fisher exact test. Flaps of the study group reached a static and moving 2-point discrimination and Semmes-Weinstein monofilament tests nearly equal to the contralateral leg area and significantly better than flaps of the control group. Donor damage morbidity of the tibial nerve did not occur. To our point of view resensation should be carried out by end-to-side neurorrhaphy to the tibial nerve because of the superior restoration of sensibility.

Large-system analysis of a CDMA dynamic channel under a Markovian input process

We study the minimum mean square error (MMSE) and the multiuser efficiency η of large dynamic multiple access communication systems in which optimal multiuser detection is performed at the receiver as the number and the identities of active users is allowed to change at each transmission time. The system dynamics are ruled by a Markov model describing the evolution of the channel occupancy and a large-system analysis is performed when the number of observations grow large. Starting on the equivalent scalar channel and the fixed-point equation tying multiuser efficiency and MMSE, we extend it to the case of a dynamic channel, and derive lower and upper bounds for the MMSE (and, thus, for η as well) holding true in the limit of large signal–to–noise ratios and increasingly large observation time T.