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.

Inverse agonism and neutral antagonism at alpha(1a)- and alpha(1b)-adrenergic receptor subtypes.

We have characterized the pharmacological antagonism, i.e., neutral antagonism or inverse agonism, displayed by a number of alpha-blockers at two alpha1-adrenergic receptor (AR) subtypes, alpha(1a)- and alpha(1b)-AR. Constitutively activating mutations were introduced into the alpha(1a)-AR at the position homologous to A293 of the alpha(1b)-AR where activating mutations were previously described. Twenty-four alpha-blockers differing in their chemical structures were initially tested for their effect on the agonist-independent inositol phosphate response mediated by the constitutively active A271E and A293E mutants expressed in COS-7 cells. A selected number of drugs also were tested for their effect on the small, but measurable spontaneous activity of the wild-type alpha(1a)- and alpha(1b)-AR expressed in COS-7 cells. The results of our study demonstrate that a large number of structurally different alpha-blockers display profound negative efficacy at both the alpha(1a)- and alpha(1b)-AR subtypes. For other drugs, the negative efficacy varied at the different constitutively active mutants. The most striking difference concerns a group of N-arylpiperazines, including 8-[2-[4-(5-chloro-2-methoxyphenyl)-1-piperazinyl]ethyl]-8-azaspiro [4, 5] decane-7,9-dione (REC 15/3039), REC 15/2739, and REC 15/3011, which are inverse agonists with profound negative efficacy at the wild-type alpha(1b)-AR, but not at the alpha(1a)-AR.

Using a single tablet daily to treat latent tuberculosis infection in Brazil: bioequivalence of two different isoniazid formulations (300 mg and 100 mg) demonstrated by a sensitive and rapid high-performance liquid chromatography-tandem mass spectrometry method in a randomised, crossover study

The recommended treatment for latent tuberculosis (TB) infection in adults is a daily dose of isoniazid (INH) 300 mg for six months. In Brazil, INH was formulated as 100 mg tablets. The treatment duration and the high pill burden compromised patient adherence to the treatment. The Brazilian National Programme for Tuberculosis requested a new 300 mg INH formulation. The aim of our study was to compare the bioavailability of the new INH 300 mg formulation and three 100 mg tablets of the reference formulation. We conducted a randomised, single dose, open label, two-phase crossover bioequivalence study in 28 healthy human volunteers. The 90% confidence interval for the INH maximum concentration of drug observed in plasma and area under the plasma concentration vs. time curve from time zero to the last measurable concentration “time t” was 89.61-115.92 and 94.82-119.44, respectively. The main limitation of our study was that neither adherence nor the safety profile of multiple doses was evaluated. To determine the level of INH in human plasma, we developed and validated a sensitive, simple and rapid high-performance liquid chromatography-tandem mass spectrometry method. Our results showed that the new formulation was bioequivalent to the 100 mg reference product. This finding supports the use of a single 300 mg tablet daily strategy to treat latent TB. This new formulation may increase patients’ adherence to the treatment and quality of life.

Dissecting TCR-MHC/peptide complex interactions with A2/peptide multimers incorporating tumor antigen peptide variants: crucial role of interaction kinetics on functional outcomes.

Soluble peptide/MHC-class-I (pMHC) multimers have recently emerged as unique reagents for the study of specific interactions between the pMHC complex and the TCR. Here, we assessed the relative binding efficiency of a panel of multimers incorporating single-alanine-substituted variants of the tumor-antigen-derived peptide MAGE-A10(254-262) to specific CTL clones displaying different functional avidity. For each individual clone, the efficiency of binding of multimers incorporating MAGE-A10 peptide variants was, in most cases, in good although not linear correlation with the avidity of recognition of the corresponding variant. In addition, we observed two types of discrepancies between efficiency of recognition and multimer binding. First, for some peptide variants, efficient multimer binding was detected in the absence of measurable effector functions. Some of these peptide variants displayed antagonist activity. Second, when comparing different clones we found clear discrepancies between the dose of peptide required to obtain half-maximal lysis in CTL assays and the binding efficiency of the corresponding multimers. These discrepancies, however, were resolved when the differential stability of the TCR/pMHC complexes was determined. For individual clones, decreased recognition correlated with increased TCR/pMHC off-rate. TCR/pMHC complexes formed by antagonist ligands displayed off-rates faster than those of TCR/pMHC complexes formed with weak agonists. In addition, when comparing different clones, the efficiency of multimer staining correlated better with relative multimer off-rates than with half-maximal lysis values. Altogether, the data presented here reconcile and extend our previous results on the impact of the kinetics of interaction of TCR with pMHC complexes on multimer binding and underline the crucial role of TCR/pMHC off-rates for the functional outcome of such interactions.

Vaccination of melanoma patients with Melan-A/Mart-1 peptide and Klebsiella outer membrane protein p40 as an adjuvant.

Toll-like receptor ligands are potentially useful adjuvants for the development of clinical T cell vaccination. Here we investigated the novel Toll-like receptor2 ligand P40, the outer membrane protein A derived from Klebsiella pneumoniae. Seventeen human leukocyte antigen-A*0201 positive stage III/IV melanoma patients were vaccinated with P40 and Melan-A/Mart-1 peptide subcutaneously in monthly intervals. Adverse reactions were mild-to-moderate. Fourteen patients received at least 8 vaccinations and were thus evaluable for clinical tumor and immune responses. Seven patients experienced progressive disease, whereas 2 patients had stable disease throughout the trial period, 1 of them with regression of multiple skin metastases. The remaining 5 patients had no measurable disease. Melan-A/Mart-1 specific CD8 T cells were analyzed ex vivo, with positive results in 6 of 14 evaluable patients. Increased percentages of T cells were found in three patients, memory/effector T cell differentiation in 4 patients, and a positive interferon-gamma Elispot assay in 1 patient. Antibody responses to P40 were observed in all patients. We conclude that vaccination with peptide and P40 was feasible and induced ex vivo detectable tumor antigen specific T cell responses in 6 of 14 patients with advanced melanoma.

Epidemiology of uveitis in children over a 10-year period.

OBJECTIVES: The aim of the present study is to investigate the demographics, aetiologies, complications, treatments and visual outcomes in paediatric uveitis patients in the French-speaking part of Switzerland. METHODS: Chart review of all patients diagnosed with uveitis before the age of 16 years, presenting to two tertiary referral centres (uveitis and paediatric rheumatology clinics) in Lausanne, Switzerland, between 2000 and 2009. RESULTS: Seventy-nine children (37 girls) were identified, 62 living in Switzerland, 15 in Europe and 2 in North Africa. Median age at first symptoms was 9.0 years (range 1.5-15.8 years), with a median follow-up time of 1.8 years (0-8 years). Both eyes were involved in 51 patients (64.6%). The course was acute in 30.4%, chronic in 60.8% and recurrent in 8.9%. Anterior uveitis occurred in 39.2%, intermediate in 32.9%, posterior in 22.8% and panuveitis in 5.1%. The three main diagnoses were idiopathic uveitis (34.2%), JIA-related uveitis (22.8%) and toxoplasmic retinochoroiditis (15.2%). During the last follow-up visit, the visual acuity (VA) was ≥8/10 in 72% of all eyes with a measurable VA. Cataract (8%), ocular hypertension/glaucoma (8%) and macular fibrosis (4%) were the three most common severe complications. Systemic steroids were given to 56% and biological agents to 24% of patients with inflammatory uveitis. CONCLUSIONS: Uveitis in children can be a devastating disease. A strict classification of aetiologies and a tight collaboration between paediatric rheumatologists and ophthalmologists are important to ensure early control of ocular inflammation and improve long-term visual prognosis.

Predictions from information-theoretical models of nonequilibrium radiation

The radiation distribution function used by Domínguez and Jou [Phys. Rev. E 51, 158 (1995)] has been recently modified by Domínguez-Cascante and Faraudo [Phys. Rev. E 54, 6933 (1996)]. However, in these studies neither distribution was written in terms of directly measurable quantities. Here a solution to this problem is presented, and we also propose an experiment that may make it possible to determine the distribution function of nonequilibrium radiation experimentally. The results derived do not depend on a specific distribution function for the matter content of the system

Functional expression of a pseudohypoaldosteronism type I mutated epithelial Na+ channel lacking the pore-forming region of its alpha subunit.

The autosomal recessive form of type I pseudohypoaldosteronism (PHA-I) is an inherited salt-losing syndrome resulting from diminution-of-function mutations in the 3 subunits of the epithelial Na+ channel (ENaC). A PHA-I stop mutation (alpha(R508stop)) of the ENaC alpha subunit is predicted to lack the second transmembrane domain and the intracellular COOH-terminus, regions of the protein involved in pore function. Nonetheless, we observed a measurable Na+ current in Xenopus laevis oocytes that coexpress the beta and gamma subunits with the truncated alpha subunit. The mutant alpha was coassembled with beta and gamma subunits and was present at the cell surface at a lower density, consistent with the lower Na+ current seen in oocytes with the truncated alpha subunit. The single-channel Na+ conductance for the mutant channel was only slightly decreased, and the appearance of the macroscopic currents was delayed by 48 hours with respect to wild-type. Our data suggest novel roles for the alpha subunit in the assembly and targeting of an active channel to the cell surface, and suggest that channel pores consisting of only the beta and gamma subunits can provide significant residual activity. This activity may be sufficient to explain the absence of a severe pulmonary phenotype in patients with PHA-I.

Glutathione precursor, N-acetyl-cysteine, improves mismatch negativity in schizophrenia patients.

In schizophrenia patients, glutathione dysregulation at the gene, protein and functional levels, leads to N-methyl-D-aspartate (NMDA) receptor hypofunction. These patients also exhibit deficits in auditory sensory processing that manifests as impaired mismatch negativity (MMN), which is an auditory evoked potential (AEP) component related to NMDA receptor function. N-acetyl-cysteine (NAC), a glutathione precursor, was administered to patients to determine whether increased levels of brain glutathione would improve MMN and by extension NMDA function. A randomized, double-blind, cross-over protocol was conducted, entailing the administration of NAC (2 g/day) for 60 days and then placebo for another 60 days (or vice versa). 128-channel AEPs were recorded during a frequency oddball discrimination task at protocol onset, at the point of cross-over, and at the end of the study. At the onset of the protocol, the MMN of patients was significantly impaired compared to sex- and age- matched healthy controls (p=0.003), without any evidence of concomitant P300 component deficits. Treatment with NAC significantly improved MMN generation compared with placebo (p=0.025) without any measurable effects on the P300 component. MMN improvement was observed in the absence of robust changes in assessments of clinical severity, though the latter was observed in a larger and more prolonged clinical study. This pattern suggests that MMN enhancement may precede changes to indices of clinical severity, highlighting the possible utility AEPs as a biomarker of treatment efficacy. The improvement of this functional marker may indicate an important pathway towards new therapeutic strategies that target glutathione dysregulation in schizophrenia.

DNA/NYVAC Vaccine Regimen Induces HIV-Specific CD4 and CD8 T-Cell Responses in Intestinal Mucosa

Background: HIV vaccine-candidates based on rare adenovirus serotypes such as Ad26 and Ad35 vectors, and poxvirus vectors are important components of future promising vaccine regimens that in the near future hopefully will move into a number of efficacy clinical trials in combination with protein vaccines. For these reasons, it is important to comprehensively characterize the vaccine-induced immune responses in different anatomical compartments and particularly at mucosal sites which represent the primary port of entry for HIV.Methods: In the present study, we have investigated the anatomic distribution in blood and gut mucosal tissues (rectum and ileum) of memory poxvirus-specific CD4 and CD8 T cells in subjects vaccinated with smallpox and compared with vector (NYVAC)-specific and HIV insert-specific T-cell responses induced by an experimental DNA-C/NYVAC-C vaccine regimen.Results: Smallpox-specific CD4 T-cell responses were present in the blood of 52% of subject studied, while Smallpox-specific CD8 T cells were rarely detected (12%). With one exception, Smallpoxspecific T cells were not measurable in gut tissues. Interestingly, NYVAC vector-specific and HIV-specific CD4 and CD8 T-cell responses were detected in almost 100% of the subjects immunized with DNA-C/NYVAC-C in blood and gut tissues. The large majority (83%) of NYVAC-specific CD4 T cells expressed a4b7 integrins and the HIV co-receptor CCR5.Conclusion: These results demonstrate that the experimental DNA-C/NYVAC-C HIV vaccine regimen induces the homing of potentially protective HIV-specific CD4 and CD8 T cells in the gut, the port of entry of HIV and one of the major sites for HIV spreading and depletion of CD4 T cells.

Treatment of advanced ovarian cancer with surgery, chemotherapy, and consolidation of response by whole-abdominal radiotherapy.

Between April 1981 and June 1985, 195 patients with ovarian cancer, International Federation of Gynecology and Obstetrics (FIGO) Stages IIB, IIC, III, and IV, entered a trial that consisted of surgery and chemotherapy with cisplatin (P) and melphalan (PAM) with or without hexamethylmelamine (HexaPAMP or PAMP regimens) every 4 weeks for 6 cycles. Because the intent was to study the outcome by treatment after evaluation of first-line chemotherapy, patients were evaluable only if the response was assessed by a second-look operation or if measurable disease progression was documented. One hundred fifty-eight patients (81%) were evaluable for response. Forty-five (28%) achieved pathologically confirmed complete remissions (pCR), and 24 of these patients received whole-abdominal radiation (WAR) for consolidation of response. Five patients with complete remission after WAR relapsed, as did nine of the 21 with complete remission who had not undergone WAR. The 3-year time to progression percentage (TTP +/- SE) from second-look operation was 70% +/- 7% for all patients who achieved pCR, 83% +/- 8% for those who received WAR, and 49% +/- 15% for those who did not receive WAR (this was not a randomized comparison). The 3-year TTP percentage for the 49 partial responders was 21% +/- 6%, identical for the 19 who had WAR and the 30 who had no radiation therapy. Additional or alternative methods for consolidation of pCR are needed since patients continue to relapse despite optimal initial response to therapy.

Establishment of animal models to analyze the kinetics and distribution of human tumor antigen-specific CD8⁺ T cells.

Many patients develop tumor antigen-specific T cell responses detectable in peripheral blood mononuclear cells (PBMCs) following cancer vaccine. However, measurable tumor regression is observed in a limited number of patients receiving cancer vaccines. There is a need to re-evaluate systemically the immune responses induced by cancer vaccines. Here, we established animal models targeting two human cancer/testis antigens, NY-ESO-1 and MAGE-A4. Cytotoxic T lymphocyte (CTL) epitopes of these antigens were investigated by immunizing BALB/c mice with plasmids encoding the entire sequences of NY-ESO-1 or MAGE-A4. CD8(+) T cells specific for NY-ESO-1 or MAGE-A4 were able to be detected by ELISPOT assays using antigen presenting cells pulsed with overlapping peptides covering the whole protein, indicating the high immunogenicity of these antigens in mice. Truncation of these peptides revealed that NY-ESO-1-specific CD8(+) T cells recognized D(d)-restricted 8mer peptides, NY-ESO-181-88. MAGE-A4-specific CD8(+) T cells recognized D(d)-restricted 9mer peptides, MAGE-A4265-273. MHC/peptide tetramers allowed us to analyze the kinetics and distribution of the antigen-specific immune responses, and we found that stronger antigen-specific CD8(+) T cell responses were required for more effective anti-tumor activity. Taken together, these animal models are valuable for evaluation of immune responses and optimization of the efficacy of cancer vaccines.

An Investigation of User Costs and Benefits of Winter Road Closures, June 2005

This project explores the user costs and benefits of winter road closures. Severe winter weather makes travel unsafe and dramatically increases crash rates. When conditions become unsafe due to winter weather, road closures should allow users to avoid crash costs and eliminate costs associated with rescuing stranded motorists. Therefore, the benefits of road closures are the avoided safety costs. The costs of road closures are the delays that are imposed on motorists and motor carriers who would have made the trip had the road not been closed. This project investigated the costs and benefits of road closures and found that evaluating the benefits and costs is not as simple as it appears. To better understand the costs and benefits of road closures, the project investigates the literature, conducts interviews with shippers and motor carriers, and conducts case studies of road closures to determine what actually occurred on roadways during closures. The project also estimates a statistical model that relates weather severity to crash rates. Although, the statistical model is intended to illustrate the possibility to quantitatively relate measurable and predictable weather conditions to the safety performance of a roadway. In the future, weather conditions such as snow fall intensity, visibility, etc., can be used to make objective measures of the safety performance of a roadway rather than relying on subjective evaluations of field staff. The review of the literature and the interviews clearly illustrate that not all delays (increased travel time) are valued the same. Expected delays (routine delays) are valued at the generalized costs (value of the driver’s time, fuel, insurance, wear and tear on the vehicle, etc.), but unexpected delays are valued much higher because they result in interruption of synchronous activities at the trip’s destination. To reduce the costs of delays resulting from road closures, public agencies should communicate as early as possible the likelihood of a road closure.

Teichoic acids are not required for Streptococcus pneumoniae and Staphylococcus aureus cell walls to trigger the release of tumor necrosis factor by peripheral blood monocytes.

In gram-negative bacteria, the outer membrane lipopolysaccharide is the main component triggering cytokine release from peripheral blood mononuclear cells (PBMCs). In gram-positive bacteria, purified walls also induce cytokine release, but stimulation requires 100 times more material. Gram-positive walls are complex megamolecules reassembling distinct structures. Only some of them might be inflammatory, whereas others are not. Teichoic acids (TA) are an important portion (> or =50%) of gram-positive walls. TA directly interact with C3b of complement and the cellular receptor for platelet-activating factor. However, their contribution to wall-induced cytokine-release by PBMCs has not been studied in much detail. In contrast, their membrane-bound lipoteichoic acids (LTA) counterparts were shown to trigger inflammation and synergize with peptidoglycan (PGN) for releasing nitric oxide (NO). This raised the question as to whether TA are also inflammatory. We determined the release of tumor necrosis factor (TNF) by PBMCs exposed to a variety of TA-rich and TA-free wall fragments from Streptococcus pneumoniae and Staphylococcus aureus. TA-rich walls from both organisms induced measurable TNF release at concentrations of 1 microg/ml. Removal of wall-attached TA did not alter this activity. Moreover, purified pneumococcal and staphylococcal TA did not trigger TNF release at concentrations as high as > or =100 microg/ml. In contrast, purified LTA triggered TNF release at 1 microg/ml. PGN-stem peptide oligomers lacking TA or amino-sugars were highly active and triggered TNF release at concentrations as low as 0.01 microg/ml (P. A. Majcherczyk, H. Langen, et al., J. Biol. Chem. 274:12537-12543,1999). Thus, although TA is an important part of gram-positive walls, it did not participate to the TNF-releasing activity of PGN.

Absence of progression as assessed by response evaluation criteria in solid tumors predicts survival in advanced GI stromal tumors treated with imatinib mesylate: the intergroup EORTC-ISG-AGITG phase III trial.

PURPOSE: From February 2001 to February 2002, 946 patients with advanced GI stromal tumors (GISTs) treated with imatinib were included in a controlled EORTC/ISG/AGITG (European Organisation for Research and Treatment of Cancer/Italian Sarcoma Group/Australasian Gastro-Intestinal Trials Group) trial. This analysis investigates whether the response classification assessed by RECIST (Response Evaluation Criteria in Solid Tumors), predicts for time to progression (TTP) and overall survival (OS). PATIENTS AND METHODS: Per protocol, the first three disease assessments were done at 2, 4, and 6 months. For the purpose of the analysis (landmark method), disease response was subclassified in six categories: partial response (PR; > 30% size reduction), minor response (MR; 10% to 30% reduction), no change (NC) as either NC- (0% to 10% reduction) or NC+ (0% to 20% size increase), progressive disease (PD; > 20% increase/new lesions), and subjective PD (clinical progression). RESULTS: A total of 906 patients had measurable disease at entry. At all measurement time points, complete response (CR), PR, and MR resulted in similar TTP and OS; this was also true for NC- and NC+, and for PD and subjective PD. Patients were subsequently classified as responders (CR/PR/MR), NC (NC+/NC-), or PD. This three-class response categorization was found to be highly predictive of further progression or survival for the first two measurement points. After 6 months of imatinib, responders (CR/PR/MR) had the same survival prognosis as patients classified as NC. CONCLUSION: RECIST perfectly enables early discrimination between patients who benefited long term from imatinib and those who did not. After 6 months of imatinib, if the patient is not experiencing PD, the pattern of radiologic response by tumor size criteria has no prognostic value for further outcome. Imatinib needs to be continued as long as there is no progression according to RECIST.