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.

Practical signal-to-noise ratio quantification for sensitivity encoding: Application to coronary MR angiography.

Purpose: To develop and evaluate a practical method for the quantification of signal-to-noise ratio (SNR) on coronary MR angiograms (MRA) acquired with parallel imaging.Materials and Methods: To quantify the spatially varying noise due to parallel imaging reconstruction, a new method has been implemented incorporating image data acquisition followed by a fast noise scan during which radio-frequency pulses, cardiac triggering and navigator gating are disabled. The performance of this method was evaluated in a phantom study where SNR measurements were compared with those of a reference standard (multiple repetitions). Subsequently, SNR of myocardium and posterior skeletal muscle was determined on in vivo human coronary MRA.Results: In a phantom, the SNR measured using the proposed method deviated less than 10.1% from the reference method for small geometry factors (<= 2). In vivo, the noise scan for a 10 min coronary MRA acquisition was acquired in 30 s. Higher signal and lower SNR, due to spatially varying noise, were found in myocardium compared with posterior skeletal muscle.Conclusion: SNR quantification based on a fast noise scan is a validated and easy-to-use method when applied to three-dimensional coronary MRA obtained with parallel imaging as long as the geometry factor remains low.

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.

Assessment of myocardial edema and area-at-risk in acute myocardial infarction by CMR: Evaluation of a novel T2-mapping method

Objectives. The goal of this study is to evaluate a T2-mapping sequence by: (i) measuring the reproducibility intra- and inter-observer variability in healthy volunteers in two separate scanning session with a T2 reference phantom; (2) measuring the mean T2 relaxation times by T2-mapping in infarcted myocardium in patients with subacute MI and compare it with patient's the gold standard X-ray coronary angiography and healthy volunteers results. Background. Myocardial edema is a consequence of an inflammation of the tissue, as seen in myocardial infarct (MI). It can be visualized by cardiovascular magnetic resonance (CMR) imaging using the T2 relaxation time. T2-mapping is a quantitative methodology that has the potential to address the limitation of the conventional T2-weighted (T2W) imaging. Methods. The T2-mapping protocol used for all MRI scans consisted in a radial gradient echo acquisition with a lung-liver navigator for free-breathing acquisition and affine image registration. Mid-basal short axis slices were acquired.T2-maps analyses: 2 observers semi- automatically segmented the left ventricle in 6 segments accordingly to the AHA standards. 8 healthy volunteers (age: 27 ± 4 years; 62.5% male) were scanned in 2 separate sessions. 17 patients (age : 61.9 ± 13.9 years; 82.4% male) with subacute STEMI (70.6%) and NSTEMI underwent a T2-mapping scanning session. Results. In healthy volunteers, the mean inter- and intra-observer variability over the entire short axis slice (segment 1 to 6) was 0.1 ms (95% confidence interval (CI): -0.4 to 0.5, p = 0.62) and 0.2 ms (95% CI: -2.8 to 3.2, p = 0.94, respectively. T2 relaxation time measurements with and without the correction of the phantom yielded an average difference of 3.0 ± 1.1 % and 3.1 ± 2.1 % (p = 0.828), respectively. In patients, the inter-observer variability in the entire short axis slice (S1-S6), was 0.3 ms (95% CI: -1.8 to 2.4, p = 0.85). Edema location as determined through the T2-mapping and the coronary artery occlusion as determined on X-ray coronary angiography correlated in 78.6%, but only in 60% in apical infarcts. All except one of the maximal T2 values in infarct patients were greater than the upper limit of the 95% confidence interval for normal myocardium. Conclusions. The T2-mapping methodology is accurate in detecting infarcted, i.e. edematous tissue in patients with subacute infarcts. This study further demonstrated that this T2-mapping technique is reproducible and robust enough to be used on a segmental basis for edema detection without the need of a phantom to yield a T2 correction factor. This new quantitative T2-mapping technique is promising and is likely to allow for serial follow-up studies in patients to improve our knowledge on infarct pathophysiology, on infarct healing, and for the assessment of novel treatment strategies for acute infarctions.

Evaluation of the quantity of Fe3+ in spinels for obtaining the oxygen fugacities in xenoliths.

The analysis by electron microprobe allows the evaluation of the quantity of Fe3+ ih spinels with considerable errors. The use of a correction equation which is based on a the calibration of analyses with an electron microprobe in relation to those carried out with Mossbauer spectroscopy gives more precise evaluations of Fe3+. In fact, it allows a calculation of the oxygen fugacity in peridotitic xenoliths. The obtained results show that peridotites of the French Central Massif crystallised under oxygen fugacities which were higher than those of the Moroccan Anti-Atlas.

Application of discriminant function analysis and change-point problem in dating volcanic ashes

The application of Discriminant function analysis (DFA) is not a new idea in the studyof tephrochrology. In this paper, DFA is applied to compositional datasets of twodifferent types of tephras from Mountain Ruapehu in New Zealand and MountainRainier in USA. The canonical variables from the analysis are further investigated witha statistical methodology of change-point problems in order to gain a betterunderstanding of the change in compositional pattern over time. Finally, a special caseof segmented regression has been proposed to model both the time of change and thechange in pattern. This model can be used to estimate the age for the unknown tephrasusing Bayesian statistical calibration

An alternative method for dating unknown tephras based on a segmented regression model

In CoDaWork’05, we presented an application of discriminant function analysis (DFA) to 4 differentcompositional datasets and modelled the first canonical variable using a segmented regression modelsolely based on an observation about the scatter plots. In this paper, multiple linear regressions areapplied to different datasets to confirm the validity of our proposed model. In addition to dating theunknown tephras by calibration as discussed previously, another method of mapping the unknown tephrasinto samples of the reference set or missing samples in between consecutive reference samples isproposed. The application of these methodologies is demonstrated with both simulated and real datasets.This new proposed methodology provides an alternative, more acceptable approach for geologists as theirfocus is on mapping the unknown tephra with relevant eruptive events rather than estimating the age ofunknown tephra.Kew words: Tephrochronology; Segmented regression

Determining the activity of Pu-241 by liquid scintillation counting

Liquid scintillation counting (LSC) is one of the most widely used methods for determining the activity of 241Pu. One of the main challenges of this counting method is the efficiency calibration of the system for the low beta energies of 241Pu (Emax = 20.8 keV). In this paper we compare the two most frequently used methods, the CIEMAT/NIST efficiency tracing (CNET) method and the experimental quench correction curve method. Both methods proved to be reliable, and agree within their uncertainties, for the expected quenching conditions of the sources.

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.

Mapeo con robot móvil: construcción y seguimiento

El projecte tracta de la fabricació d’un robot mòbil que sigui capaç de realitzar el mapeig d’una superfície, evitant els obstacles que es pugui trobar en el transcurs del seu recorregut. És un projecte complex, per aquest motiu la part de procés de dades s'ha fet en un projecte posterior. Aquesta memòria tracta del muntatge i calibració dels components, a més de la realització dels algorismes de control dels mateixos, per tal de realitzar el mapeig de la superfície, aconseguint així l’objectiu plantejat.

Training effects with the observer-rated cognitive errors and the coping action patterns scales

The use of observer-rated scales requires that raters be trained until they have become reliable in using the scales. However, few studies properly report how training in using a given rating scale is conducted or indeed how it should be conducted. This study examined progress in interrater reliability over 6 months of training with two observer-rated scales, the Cognitive Errors Rating Scale and the Coping Action Patterns Rating Scale. The evolution of the intraclass correlation coefficients was modeled using hierarchical linear modeling. Results showed an overall training effect as well as effects of the basic training phase and of the rater calibration phase, the latter being smaller than the former. The results are discussed in terms of implications for rater training in psychotherapy research.

Debris flow susceptibility mapping at a regional scale along the National Road N7, Argentina

A first assessment of debris flow susceptibility at a large scale was performed along the National Road N7, Argentina. Numerous catchments are prone to debris flows and likely to endanger the road-users. A 1:50,000 susceptibility map was created. The use of a DEM (grid 30 m) associated to three complementary criteria (slope, contributing area, curvature) allowed the identification of potential source areas. The debris flow spreading was estimated using a process- and GISbased model (Flow-R) based on basic probabilistic and energy calculations. The best-fit values for the coefficient of friction and the mass-to-drag ratio of the PCM model were found to be ? = 0.02 and M/D = 180 and the resulting propagation on one of the calibration site was validated using the Coulomb friction model. The results are realistic and will be useful to determine which areas need to be prioritized for detailed studies.

Spatial relationship between the atmospheric circulation and the precipitation measured in the western Swiss Alps by means of the analogue method

An adaptation technique based on the synoptic atmospheric circulation to forecast local precipitation, namely the analogue method, has been implemented for the western Swiss Alps. During the calibration procedure, relevance maps were established for the geopotential height data. These maps highlight the locations were the synoptic circulation was found of interest for the precipitation forecasting at two rain gauge stations (Binn and Les Marécottes) that are located both in the alpine Rhône catchment, at a distance of about 100 km from each other. These two stations are sensitive to different atmospheric circulations. We have observed that the most relevant data for the analogue method can be found where specific atmospheric circulation patterns appear concomitantly with heavy precipitation events. Those skilled regions are coherent with the atmospheric flows illustrated, for example, by means of the back trajectories of air masses. Indeed, the circulation recurrently diverges from the climatology during days with strong precipitation on the southern part of the alpine Rhône catchment. We have found that for over 152 days with precipitation amount above 50 mm at the Binn station, only 3 did not show a trajectory of a southerly flow, meaning that such a circulation was present for 98% of the events. Time evolution of the relevance maps confirms that the atmospheric circulation variables have significantly better forecasting skills close to the precipitation period, and that it seems pointless for the analogue method to consider circulation information days before a precipitation event as a primary predictor. Even though the occurrence of some critical circulation patterns leading to heavy precipitation events can be detected by precursors at remote locations and 1 week ahead (Grazzini, 2007; Martius et al., 2008), time extrapolation by the analogue method seems to be rather poor. This would suggest, in accordance with previous studies (Obled et al., 2002; Bontron and Obled, 2005), that time extrapolation should be done by the Global Circulation Model, which can process atmospheric variables that can be used by the adaptation method.

Constraints on the permeability structure of alluvial aquifers from P-wave sonic logs

Modern sonic logging tools designed for shallow environmental and engineering applications allow for P-wave phase velocity measurements over a wide frequency band. Methodological considerations indicate that, for saturated unconsolidated sediments in the silt to sand range and source frequencies ranging from approximately 1 to 30 kHz, the observable poro-elastic P-wave velocity dispersion is sufficiently pronounced to allow for reliable first-order estimations of the underlying permeability structure. These predictions have been tested on and verified for a surficial alluvial aquifer. Our results indicate that, even without any further calibration, the thus obtained permeability estimates as well as their variabilities within the pertinent lithological units are remarkably close to those expected based on the corresponding granulometric characteristics.

Comparison of three bone ultrasounds for the discrimination of subjects with and without osteoporotic fractures among 7562 elderly women.

Bone ultrasound measures (QUSs) can assess fracture risk in the elderly. We compared three QUSs and their association with nonvertebral fracture history in 7562 Swiss women 70-80 years of age. The association between nonvertebral fracture was higher for heel than phalangeal QUS. INTRODUCTION: Because of the high morbidity and mortality associated with osteoporotic fractures, it is essential to detect subjects at risk for such fractures with screening methods. Because quantitative bone ultrasound (QUS) discriminated subjects with osteoporotic fractures from controls in several cross-sectional studies and predicted fractures in prospective studies, QUS could be more practical than DXA for screening. MATERIAL AND METHODS: This cross-sectional and retrospective multicenter (10 centers) study was performed to compare three QUSs (two heel ultrasounds: Achilles+ [GE-Lunar] and Sahara [Hologic]; the phalanges: ultrasound DBM sonic 1200 [IGEA]) for determining by logistic regression nonvertebral fracture odds ratio (OR) in a sample of 7562 Swiss women, 75.3 +/- 3.1 years of age. The two heel QUSs measured the broadband ultrasound attenuation (BUA) and the speed of sound (SOS). In addition, Achilles+ calculated the stiffness index (SI) and the Sahara calculated the quantitative ultrasound index (QUI) from BUA and SOS. The DBM sonic 1200 measured the amplitude-dependent SOS (AD-SOS). RESULTS: Eighty-six women had a history of a traumatic hip fracture after the age of 50, 1594 had a history of forearm fracture, and 2016 had other nonvertebral fractures. No fracture history was reported by 3866 women. Discrimination for hip fracture was higher than for the other nonvertebral fractures. The two heel QUSs had a significantly higher discrimination power than the QUSs of the phalanges, with standardized ORs, adjusted for age and body mass index, ranging from 2.1 to 2.7 (95% CI = 1.6, 3.5) compared with 1.4 (95% CI = 1.1, 1.7) for the AD-SOS of DBM sonic 1200. CONCLUSION: This study showed a high association between heel QUS and hip fracture history in elderly Swiss women. This could justify integration of QUS among screening strategies for identifying elderly women at risk for osteoporotic fractures.