State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. It is argued that traditional tests, which assume that the underlying data generating process is constant, might be prone to overstate the lead-lag relationship. Using a new test for lead-lag relationships based on cross correlations and cross bicorrelations it is found that, contrary to results from using the traditional methodology, periods where the futures market leads the cash market are few and far between and when any lead-lag relationship is detected, it does not last long. Overall, the results are consistent with the prediction of the standard cost-of-carry model and market efficiency.

Marriage Matching with Correlated Preferences

Authors of experimental, empirical, theoretical and computational studies of two-sided matching markets have recognized the importance of correlated preferences. We develop a general method for the study of the effect of correlation of preferences on the outcomes generated by two-sided matching mechanisms. We then illustrate our method by using it to quantify the effect of correlation of preferences on satisfaction with the men-propose Gale-Shapley matching for a simple one-to-one matching problem.

Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

The Market for Tractors in the EU: Price Differences and Convergence. Factor Markets Working Documents No. 35, February 2013

This study evaluates the degree of segmentation of the market for agricultural machinery and equipment in the EU. We focus on agricultural tractors, the most common and biggest investment in machinery and equipment in the agricultural sector. By using country price data for individual tractor models, we test the law of one price, i.e. the existence of a common price for tractors across EU member states. We find that significant price differences exist, yet unlike most other studies we find that large price deviations are penalised within a short time. The study also shows that transport costs are an important source of price differences, as domestic production leads to lower prices on the domestic market and as price convergence is negatively correlated with distance. Finally, price differences should not solely be understood from a geographical perspective, as evidence supports the idea that farmers’ buying power is significant in explaining price differences within countries.

Determinants of Farm Labour Use: A Comparison between Ireland and Italy. Factor Markets Working Documents No. 60, August 2013

This paper examines the effect of the decoupling of farm direct payments upon the off-farm labour supply decisions of farmers in both Ireland and Italy, using panel data from the Farm Business Survey (REA) and FADN database covering the period from 2002 to 2009 to model these decisions. Drawing from the conceptual agricultural household model, the authors hypothesise that the decoupling of direct payments led to an increase in off-farm labour activity despite some competing factors. This hypothesis rests largely upon the argument that the effects of changes in relative wages have dominated other factors. At a micro level, the decoupling-induced decline in the farm wage relative to the non-farm wage ought to have provoked a greater incentive for off-farm labour supply. The main known competing argument is that decoupling introduced a new source of non-labour income i.e. a wealth effect. This may in turn have suppressed or eliminated the likelihood of increased off-farm labour supply for some farmers. For the purposes of comparative analysis, the Italian model utilises the data from the REA database instead of the FADN as the latter has a less than satisfactory coverage of labour issues. Both models are developed at a national level. The paper draws from the literature on female labour supply and uses a sample selection corrected ordinary least squares model to examine both the decisions of off-farm work participation and the decisions regarding the amount of time spent working off-farm. The preliminary results indicate that decoupling has not had a significant impact on off-farm labour supply in the case of Ireland but there appears to be a significantly negative relationship in the Italian case. It still remains the case in both countries that the wealth of the farmer is negatively correlated with the likelihood of off-farm employment.

Local Seafood Availability in San Diego, California Seafood Markets

Like many developed coastal cities, San Diego, California has strong geographic and recreational ties to the adjacent ocean, but weak culinary ones. Less than 10% of the seafood consumed in the U.S., and San Diego in particular, is domestic. The popularity and abundance of farmers’ markets and other local markets in San Diego indicates an interest among producers and the public alike in cultivating local, diverse food systems, but this trend has been slower to catch on for seafood. The goal of this project was, therefore, to define and begin to understand the influences on the patterns of locally sourced, domestic seafood availability in San Diego. This study focused on seafood availability in seafood markets including researching market websites and contacting seafood counter managers to determine the general frequency (consistent, occasional, none) at which the markets sold seafood produced by San Diego fishermen or aquafarmers. Seafood market locations were mapped, and demographic and spatial information was gathered for each market’s zip code. The results of the study revealed that only 8% of San Diego’s 86 seafood markets consistently carried San Diego-sourced seafood, and 14% of markets carried it on occasion. Increased density of these local seafood markets was correlated with proximity to the coast, with almost 80% of the markets located within 2 km of the coast. Neither per capita income nor racial diversity was correlated with local seafood market density, indicating that factors contributing to coastal isolation matter more than wealth or diversity in determining where local seafood is sold. The geographic disparity in local seafood availability may be due to a variety of factors, including a small fishing fleet, prevalence of imported seafood, limited waterfront and urban infrastructure needed to support a local seafood system, and a lack of public awareness about local fisheries. Information gleaned from this study can inform further investigation into the influences on local, equitable seafood systems, as well as help consumers, producers and marketers to make informed decisions about seafood purchases and marketing efforts.

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Preference Mapping Of Dulce De Leche Commercialized In Brazilian Markets.

Dulce de leche samples available in the Brazilian market were submitted to sensory profiling by quantitative descriptive analysis and acceptance test, as well sensory evaluation using the just-about-right scale and purchase intent. External preference mapping and the ideal sensory characteristics of dulce de leche were determined. The results were also evaluated by principal component analysis, hierarchical cluster analysis, partial least squares regression, artificial neural networks, and logistic regression. Overall, significant product acceptance was related to intermediate scores of the sensory attributes in the descriptive test, and this trend was observed even after consumer segmentation. The results obtained by sensometric techniques showed that optimizing an ideal dulce de leche from the sensory standpoint is a multidimensional process, with necessary adjustments on the appearance, aroma, taste, and texture attributes of the product for better consumer acceptance and purchase. The optimum dulce de leche was characterized by high scores for the attributes sweet taste, caramel taste, brightness, color, and caramel aroma in accordance with the preference mapping findings. In industrial terms, this means changing the parameters used in the thermal treatment and quantitative changes in the ingredients used in formulations.

A Longitudinal Evaluation Of Anti-fviii Antibodies Demonstrated Igg4 Subclass Is Mainly Correlated With High-titre Inhibitor In Haemophilia A Patients.

The development of inhibitory antibodies against factor VIII (FVIII) (inhibitor) is the major complication in haemophilia A patients. The FVIII-binding antibodies development comprises a polyclonal immunoglobulin (Ig) G response. Recent studies showed strong correlation between the presence of neutralizing anti-FVIII antibodies (inhibitors) and IgG4 subclass. The aim of this study was to evaluate anti-FVIII IgG subclasses in haemophilia A patients with inhibitor both in a cross-sectional and in a longitudinal analysis. Inhibitors were determined by Nijmegen-Bethesda assay. Anti-FVIII IgG subclasses were performed by ELISA, and samples from 20 healthy individuals were used to validate the test. We studied 25 haemophilia A patients with inhibitor, previously treated exclusively with plasma-derived FVIII concentrates or bypassing agents. The IgG subclasses distributions were evaluated in two groups of patients classified according to inhibitor response. IgG1 and IgG4 antibodies were most prominent in haemophilia A patients with inhibitors when compared with IgG2 and IgG3. This study reports for the first time the behaviour of FVIII-binding IgG1 and IgG4 subclasses in a longitudinal analysis, in a clinical setting, of high-response inhibitor haemophilia A patients, showing the correlation of IgG4 and the inhibitor titres. In spite of being considered a non-pathologic antibody subclass with anti-inflammatory properties in other situations, IgG4 is correlated with the presence of high-titre inhibitor in the haemophilia setting. The comprehension of the IgG4 role in immune response may be crucial to establish the process for designing specific tolerance to FVIII.

The frequency of CD127(low) expressing CD4(+)CD25(high) T regulatory cells is inversely correlated with human T lymphotrophic virus type-1 (HTLV-1) proviral load in HTLV-1-infection and HTLV-1-associated myelopathy/tropical spastic paraparesis

Background: CD4(+)CD25(high) regulatory T (T(Reg)) cells modulate antigen-specific T cell responses, and can suppress anti-viral immunity. In HTLV-1 infection, a selective decrease in the function of T(Reg) cell mediated HTLV-1-tax inhibition of FOXP3 expression has been described. The purpose of this study was to assess the frequency and phenotype of T(Reg) cells in HTLV-1 asymptomatic carriers and in HTLV-1-associated neurological disease (HAM/TSP) patients, and to correlate with measures of T cell activation. Results: We were able to confirm that HTLV-1 drives activation, spontaneous IFN gamma production, and proliferation of CD4+ T cells. We also observed a significantly lower proportion of CTLA-4(+) T(Reg) cells (CD4(+)CD25(high) T cells) in subjects with HAM/TSP patients compared to healthy controls. Ki-67 expression was negatively correlated to the frequency of CTLA-4(+) T(Reg) cells in HAM/TSP only, although Ki-67 expression was inversely correlated with the percentage of CD127(low) T(Reg) cells in healthy control subjects. Finally, the proportion of CD127(low) T(Reg) cells correlated inversely with HTLV-1 proviral load. Conclusion: Taken together, the results suggest that T(Reg) cells may be subverted in HAM/TSP patients, which could explain the marked cellular activation, spontaneous cytokine production, and proliferation of CD4(+) T cells, in particular those expressing the CD25(high)CD127(low) phenotype. T(Reg) cells represent a potential target for therapeutic intervention for patients with HTLV-1-related neurological diseases.

249 TP53 mutation has high prevalence and is correlated with larger and poorly differentiated HCC in Brazilian patients

Background: Ser-249 TP53 mutation (249(Ser)) is a molecular evidence for aflatoxin-related carcinogenesis in Hepatocellular Carcinoma (HCC) and it is frequent in some African and Asian regions, but it is unusual in Western countries. HBV has been claimed to add a synergic effect on genesis of this particular mutation with aflatoxin. The aim of this study was to investigate the frequency of 249Ser mutation in HCC from patients in Brazil. Methods: We studied 74 HCC formalin fixed paraffin blocks samples of patients whom underwent surgical resection in Brazil. 249Ser mutation was analyzed by RFLP and DNA sequencing. HBV DNA presence was determined by Real-Time PCR. Results: 249Ser mutation was found in 21/74 (28%) samples while HBV DNA was detected in 13/74 (16%). 249Ser mutation was detected in 21/74 samples by RFLP assay, of which 14 were confirmed by 249Ser mutant-specific PCR, and 12 by nucleic acid sequencing. All HCC cases with p53-249ser mutation displayed also wild-type p53 sequences. Poorly differentiated HCC was more likely to have 249Ser mutation (OR = 2.415, 95% CI = 1.001 - 5.824, p = 0.05). The mean size of 249Ser HCC tumor was 9.4 cm versus 5.5 cm on wild type HCC (p = 0.012). HBV DNA detection was not related to 249Ser mutation. Conclusion: Our results indicate that 249Ser mutation is a HCC important factor of carcinogenesis in Brazil and it is associated to large and poorly differentiated tumors.

Use of correlated potential harmonic basis functions for the description of the (4)He trimer and small clusters

A correlated many-body basis function is used to describe the (4)He trimer and small helium clusters ((4)HeN) with N = 4-9. A realistic helium dimer potential is adopted. The ground state results of the (4)He dimer and trimer are in close agreement with earlier findings. But no evidence is found for the existence of Efimov state in the trimer for the actual (4)He-(4)He interaction. However, decreasing the potential strength we calculate several excited states of the trimer which exhibit Efimov character. We also solve for excited state energies of these clusters which are in good agreement with Monte Carlo hyperspherical description. (C) 2011 American Institute of Physics. [doi:10.1063/1.3583365]