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.

Impact of a Nurse Vaccination Program on Hepatitis B Immunity in a Swiss HIV Clinic.

ABSTRACT: We evaluated the impact of a nurse program for hepatitis B virus vaccination in a center from the Swiss HIV Cohort Study. Immunity (anti-HBs >10 IU/mL) increased from 32% to 76% in the intervention center (n = 238) where vaccine management was endorsed by nurses, but only from 33% to 39% in control centers (n = 2712, P < 0.001) where management remained in charge of physicians. Immunity against HBV in the HIV population is insufficient in Switzerland. Specific nurse vaccination program may efficiently improve health care.

Using the costs of drug therapy to screen patients for a community pharmacy-based medication review program

Objectives: To measure the positive predictive value (PPV) of the cost of drug therapy (threshold = 2000 Swiss francs [CHF], US$1440, <euro>1360) as a screening criterion for identifying patients who may benefit from medication review (MR). To describe identified drug-related problems (DRPs) and expense problems (EPs), and to estimate potential savings if all recommendations were accepted. Setting Five voluntary Swiss community pharmacies. Methods: Of 12,680 patients, 592 (4.7%) had drug therapy costs exceeding 2000 CHF over a six-month period from July 1 to December 31, 2002. This threshold limit was set to identify high-risk patients for DRPs and EPs. Three pharmacists consecutively conducted a medication review based on the pharmaceutical charts of 125 sampled patients who met the inclusion criterion. Main outcome measure: The PPV of a threshold of 2000 CHF for identifying patients who might benefit from a MR: true positives were patients with at least one DRP, while false positives were patients with no DRP. Results: The selection based on this criterion had a PPV of 86% for detecting patients with at least one DRP and 95% if EPs were also considered. There was a mean of 2.64 (SD = 2.20) DRPs per patient and a mean of 2.14 (SD = 1.39) EPs per patient. Of these patients, 90% were over 65 years old or were treated with at least five chronic medications, two common criteria for identifying patients at risk of DRPs. The main types of DRPs were drug-drug interactions, compliance problems and duplicate drugs. Mean daily drug cost per patient was CHF 14.87 (US$10.70, <euro>10.10). A potential savings of CHF 1.67 (US$1.20, <euro>1.14) per day (11%) was estimated if all recommendations to solve DRPs and EPs suggested herein were implemented. Conclusion: Further studies should investigate whether the potential benefit of medication reviews in preventing DRPs and containing costs in this patient group can be confirmed in a real practice environment. [Authors]

Positive deviance study to inform a Chagas disease control program in southern Ecuador

Chagas disease is caused by Trypanosoma cruzi, which is mainly transmitted by the faeces of triatomine insects that find favourable environments in poorly constructed houses. Previous studies have documented persistent triatomine infestation in houses in the province of Loja in southern Ecuador despite repeated insecticide and educational interventions. We aim to develop a sustainable strategy for the interruption of Chagas disease transmission by promoting living environments that are designed to prevent colonisation of rural houses by triatomines. This study used positive deviance to inform the design of an anti-triatomine prototype house by identifying knowledge, attitudes and practices used by families that have remained triatomine-free (2010-2012). Positive deviants reported practices that included maintenance of structural elements of the house, fumigation of dwellings and animal shelters, sweeping with "insect repellent" plants and relocation of domestic animals away from the house, among others. Participants favoured construction materials that do not drastically differ from those currently used (adobe walls and tile roofs). They also expressed their belief in a clear connection between a clean house and health. The family's economic dynamics affect space use and must be considered in the prototype's design. Overall, the results indicate a positive climate for the introduction of housing improvements as a protective measure against Chagas disease in this region.

Prevalence of overweight and obesity in children and adolescents in Seychelles : results of the School Screening Program in 2013

Results related to overweight and obesity in 2013: Participation to the school screening program was satisfactory in 2013, but a bit less than in previous years (4220 children seen out of a total of approximately 6000 eligible ones). Less than maximal participation to the screening program can relate to different factors, e.g.; a trend for obese children to decline participation; lack of time of school nurses to complete the screening program due to competing duties at health centre level. Good organization by the school nurses and adequate facilities for screening are also important factors for a good conduct of the screening program.

Cost-effectiveness of an exercise intervention program in perimenopausal women: the Fitness League Against MENopause COst (FLAMENCO) randomized controlled trial.

BACKGROUND The high prevalence of women that do not reach the recommended level of physical activity is worrisome. A sedentary lifestyle has negative consequences on health status and increases health care costs. The main objective of this project is to assess the cost-effectiveness of a primary care-based exercise intervention in perimenopausal women. METHODS/DESIGN The present study is a Randomized Controlled Trial. A total of 150 eligible women will be recruited and randomly assigned to either a 16-week exercise intervention (3 sessions/week), or to usual care (control) group. The primary outcome measure is the incremental cost-effectiveness ratio. The secondary outcome measures are: i) socio-demographic and clinical information; ii) body composition; iii) dietary patterns; iv) glycaemic and lipid profile; v) physical fitness; vi) physical activity and sedentary behaviour; vii) sleep quality; viii) quality of life, mental health and positive health; ix) menopause symptoms. All outcomes will be assessed at baseline and post intervention. The data will be analysed on an intention-to-treat basis and per protocol. In addition, we will conduct a cost effectiveness analysis from a health system perspective. DISCUSSION The intervention designed is feasible and if it proves to be clinically and cost effective, it can be easily transferred to other similar contexts. Consequently, the findings of this project might help the Health Systems to identify strategies for primary prevention and health promotion as well as to reduce health care requirements and costs. TRIAL REGISTRATION ClinicalTrials.gov Identifier: NCT02358109 . Date of registration: 05/02/2015.

A fast-track program reduces complications and length of hospital stay after open colonic surgery.

BACKGROUND & AIMS: A fast-track program is a multimodal approach for patients undergoing colonic surgery that combines stringent regimens of perioperative care (fluid restriction, optimized analgesia, forced mobilization, and early oral feeding) to reduce perioperative morbidity, hospital stay, and cost. We investigated the impact of a fast-track protocol on postoperative morbidity in patients after open colonic surgery. METHODS: A randomized trial of patients in 4 teaching hospitals in Switzerland included 156 patients undergoing elective open colonic surgery who were assigned to either a fast-track program or standard care. The primary end point was the 30-day complication rate. Secondary end points were severity of complications, hospital stay, and compliance with the fast-track protocol. RESULTS: The fast-track protocol significantly decreased the number of complications (16 of 76 in the fast-track group vs 37 of 75 in the standard care group; P = .0014), resulting in shorter hospital stays (median, 5 days; range, 2-30 vs 9 days, respectively; range, 6-30; P < .0001). There was a trend toward less severe complications in the fast-track group. A multiple logistic regression analysis revealed fluid administration greater than the restriction limits (odds ratio, 4.198; 95% confidence interval, 1.7-10.366; P = .002) and a nonfunctioning epidural analgesia (odds ratio, 3.365; 95% confidence interval, 1.367-8.283; P = .008) as independent predictors of postoperative complications. CONCLUSIONS: The fast-track program reduces the rate of postoperative complications and length of hospital stay and should be considered as standard care. Fluid restriction and an effective epidural analgesia are the key factors that determine outcome of the fast-track program.

Detection of possible variant forms of hemoglobin in HbA1c measurements by chromatography liquid ion exchange high resolution (HPLC)

Background: The glycosylated hemoglobin (HbA1c) is used to help monitor the degree of a diabetic’s hyperglycemia. Security and accuracy of the methods used in its detection are affected by variants forms of Hb or elevations in levels of Fetal Hb (HbF). These interference are the result of a change in the haemoglobin total net charge of the variant due of a substitution of one amino acid in the remaining amino terminal of the beta chain. International Standardization for HbA1c values (NGSP) not include interference assessment as part of the certification program. Therefore, the effect of each variant or the lifting of the HbF on HbA1c result should be examined in each sample depending on the detected variant and the method used for the detection of the same. The objectives were: to describe the possible variants of Hb and their interference in HbA1c measurement by our method, after the implementation of a computer program for their detection. To identify some variants detected by chromatography liquid ion exchange high resolution (HPLC) with DNA molecular sequencing.

Implementation of zonal control algorithms in adaptive optical systems with sparse control matrices

Miralls deformables més i més grans, amb cada cop més actuadors estan sent utilitzats actualment en aplicacions d'òptica adaptativa. El control dels miralls amb centenars d'actuadors és un tema de gran interès, ja que les tècniques de control clàssiques basades en la seudoinversa de la matriu de control del sistema es tornen massa lentes quan es tracta de matrius de dimensions tan grans. En aquesta tesi doctoral es proposa un mètode per l'acceleració i la paral.lelitzacó dels algoritmes de control d'aquests miralls, a través de l'aplicació d'una tècnica de control basada en la reducció a zero del components més petits de la matriu de control (sparsification), seguida de l'optimització de l'ordenació dels accionadors de comandament atenent d'acord a la forma de la matriu, i finalment de la seva posterior divisió en petits blocs tridiagonals. Aquests blocs són molt més petits i més fàcils de fer servir en els càlculs, el que permet velocitats de càlcul molt superiors per l'eliminació dels components nuls en la matriu de control. A més, aquest enfocament permet la paral.lelització del càlcul, donant una com0onent de velocitat addicional al sistema. Fins i tot sense paral. lelització, s'ha obtingut un augment de gairebé un 40% de la velocitat de convergència dels miralls amb només 37 actuadors, mitjançant la tècnica proposada. Per validar això, s'ha implementat un muntatge experimental nou complet , que inclou un modulador de fase programable per a la generació de turbulència mitjançant pantalles de fase, i s'ha desenvolupat un model complert del bucle de control per investigar el rendiment de l'algorisme proposat. Els resultats, tant en la simulació com experimentalment, mostren l'equivalència total en els valors de desviació després de la compensació dels diferents tipus d'aberracions per als diferents algoritmes utilitzats, encara que el mètode proposat aquí permet una càrrega computacional molt menor. El procediment s'espera que sigui molt exitós quan s'aplica a miralls molt grans.

The effect of recalled previous work environment on return to work after a rehabilitation program including vocational aspects for trauma patients.

INTRODUCTION: The aim of the present study was to assess the association between remembered previous work place environment and return to work (RTW) after hospitalisation in a rehabilitation hospital. METHODS: A cohort of 291 orthopedic trauma patients discharged from hospital between 15 December 2004 and 31 December 2005 was included in a study addressing quality of life and work-related questions. Remembered previous work environment was measured by Karasek's 31-item Job Content Questionnaire (JCQ), given to the patients during hospitalisation. Post-hospitalisation work status was assessed 3 months, 1, and 2 years after discharge, using a questionnaire sent to the ex-patients. Logistic regression models were used to test the role of four JCQ variables on RTW at each time point while controlling for relevant confounders. RESULTS: Subjects perceiving a higher physical demand were less likely to return to work 1 year after hospital discharge. Social support at work was positively associated with RTW at all time points. A high job strain appeared to be positively associated with RTW 1 year after rehabilitation, with limitations due to large confidence intervals. CONCLUSIONS: Perceptions of previous work environment may influence the probability of RTW. In a rehabilitation setting, efforts should be made to assess those perceptions and, if needed, interventions to modify them should be applied.

The implementation of liquid chromatography tandem mass spectrometry for the official control of lipophilic toxins in seafood: Single-laboratory validation under four chromatographic conditions

We performed a comprehensive study to assess the fit for purpose of four chromatographic conditions for the determination of six groups of marine lipophilic toxins (okadaic acid and dinophysistoxins, pectenotoxins, azaspiracids, yessotoxins, gymnodimine and spirolides) by LC-MS/MS to select the most suitable conditions as stated by the European Union Reference Laboratory for Marine Biotoxins (EURLMB). For every case, the elution gradient has been optimized to achieve a total run-time cycle of 12 min. We performed a single-laboratory validation for the analysis of three relevant matrices for the seafood aquaculture industry (mussels, pacific oysters and clams), and for sea urchins for which no data about lipophilic toxins have been reported before. Moreover, we have compared the method performance under alkaline conditions using two quantification strategies: the external standard calibration (EXS) and the matrix-matched standard calibration (MMS). Alkaline conditions were the only scenario that allowed detection windows with polarity switching in a 3200 QTrap mass spectrometer, thus the analysis of all toxins can be accomplished in a single run, increasing sample throughput. The limits of quantification under alkaline conditions met the validation requirements established by the EURLMB for all toxins and matrices, while the remaining conditions failed in some cases. The accuracy of the method and the matrix effects where generally dependent on the mobile phases and the seafood species. The MMS had a moderate positive impact on method accuracy for crude extracts, but it showed poor trueness for seafood species other than mussels when analyzing hydrolyzed extracts. Alkaline conditions with EXS and recovery correction for OA were selected as the most proper conditions in the context of our laboratory. This comparative study can help other laboratories to choose the best conditions for the implementation of LC-MS/MS according to their own necessities.