Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Systematic property risk: quantifying UK property betas 1983-2005

The increased frequency in reporting UK property performance figures, coupled with the acceptance of the IPD database as the market standard, has enabled property to be analysed on a comparable level with other more frequently traded assets. The most widely utilised theory for pricing financial assets, the Capital Asset Pricing Model (CAPM), gives market (systematic) risk, beta, centre stage. This paper seeks to measure the level of systematic risk (beta) across various property types, market conditions and investment holding periods. This paper extends the authors’ previous work on investment holding periods and how excess returns (alpha) relate to those holding periods. We draw on the uniquely constructed IPD/Gerald Eve transactions database, containing over 20,000 properties over the period 1983-2005. This research allows us to confirm our initial findings that properties held over longer periods perform in line with overall market performance. One implication of this is that over the long-term performance may be no different from an index tracking approach.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

A noninvasive method for measuring the velocity of diffuse hydrothermal flow by tracking moving refractive index anomalies

Diffuse flow velocimetry (DFV) is introduced as a new, noninvasive, optical technique for measuring the velocity of diffuse hydrothermal flow. The technique uses images of a motionless, random medium (e.g.,rocks) obtained through the lens of a moving refraction index anomaly (e.g., a hot upwelling). The method works in two stages. First, the changes in apparent background deformation are calculated using particle image velocimetry (PIV). The deformation vectors are determined by a cross correlation of pixel intensities across consecutive images. Second, the 2-D velocity field is calculated by cross correlating the deformation vectors between consecutive PIV calculations. The accuracy of the method is tested with laboratory and numerical experiments of a laminar, axisymmetric plume in fluids with both constant and temperaturedependent viscosity. Results show that average RMS errors are ∼5%–7% and are most accurate in regions of pervasive apparent background deformation which is commonly encountered in regions of diffuse hydrothermal flow. The method is applied to a 25 s video sequence of diffuse flow from a small fracture captured during the Bathyluck’09 cruise to the Lucky Strike hydrothermal field (September 2009). The velocities of the ∼10°C–15°C effluent reach ∼5.5 cm/s, in strong agreement with previous measurements of diffuse flow. DFV is found to be most accurate for approximately 2‐D flows where background objects have a small spatial scale, such as sand or gravel

Conceptual development of a harmonised method for tracking change and evaluating policy in the agri-environment: The Agri-environmental Footprint Index

An aggregated farm-level index, the Agri-environmental Footprint Index (AFI), based on multiple criteria methods and representing a harmonised approach to evaluation of EU agri-environmental schemes is described. The index uses a common framework for the design and evaluation of policy that can be customised to locally relevant agri-environmental issues and circumstances. Evaluation can be strictly policy-focused, or broader and more holistic in that context-relevant assessment criteria that are not necessarily considered in the evaluated policy can nevertheless be incorporated. The Index structure is flexible, and can respond to diverse local needs. The process of Index construction is interactive, engaging farmers and other relevant stakeholders in a transparent decision-making process that can ensure acceptance of the outcome, help to forge an improved understanding of local agri-environmental priorities and potentially increase awareness of the critical role of farmers in environmental management. The structure of the AFI facilitates post-evaluation analysis of relative performance in different dimensions of the agri-environment, permitting identification of current strengths and weaknesses, and enabling future improvement in policy design. Quantification of the environmental impact of agriculture beyond the stated aims of policy using an 'unweighted' form of the AFI has potential as the basis of an ongoing system of environmental audit within a specified agricultural context. (C) 2009 Elsevier Ltd. All rights reserved.

Tracking changes to a microplankton community in a North Atlantic sea loch using the microplankton index PI(mp).

Microplankton plays a vital part in marine ecosystems and its importance has been recognised by the inclusion of microplankton community composition in regulatory frameworks such as the European Water Framework Directive and the Marine Strategy Framework Directive as an indicator of ecological status. Quantitative techniques are therefore required to assess the environmental status of the microplankton in a water body. Here we demonstrate the use of a method known as the Microplankton Index PI(mp) to evaluate changes in the microplankton community of the West coast Scottish Sea Loch Creran. Microplankton in this fjord has been studied since the 1970’s providing a data set spanning four decades. Our analysis compares an arbitrarily chosen reference period between 1979 and 1981 with a period between 2011 and 2013 and demonstrates that between these two periods community structure has changed considerably with a substantial drop in the numbers of observed diatoms accompanied by a rise in the number of autotrophic/mixotrophic dinoflagellates as well as an increase in the potentially toxin producing genus Pseudo-nitzschia and that these are related to changes in both the intensity and timing of local patterns of precipitation. The PI(mp) is shown to be a useful and robust method to visualise and quantify changes in the underlying structure of the microplankton community and is a powerful addition to the toolbox of techniques needed to determine the health of our seas.

Tracking dos indicadores da aptidão fisica relacionada a saude em escolares

Universidade Estadual de Campinas . Faculdade de Educação Física

APOE and LDLR Gene Polymorphisms and Dyslipidemia Tracking. Rio de Janeiro Study

Background:Studies show an association between changes in apolipoprotein E (ApoE) and LDLR receptor with the occurrence of dyslipidemia.Objectives:To investigate the association between polymorphisms of the APOE (ε2, ε3, ε4) and LDLR (A370T) genes with the persistence of abnormal serum lipid levels in young individuals followed up for 17 years in the Rio de Janeiro Study.Methods:The study included 56 individuals (35 males) who underwent three assessments at different ages: A1 (mean age 13.30 ± 1.53 years), A2 (22.09 ± 1.91 years) and A3 (31.23 ± 1.99 years). Clinical evaluation with measurement of blood pressure (BP) and body mass index (BMI) was conducted at all three assessments. Measurement of waist circumference (WC) and serum lipids, and analysis of genetic polymorphisms by PCR-RFLP were performed at A2 and A3. Based on dyslipidemia tracking, three groups were established: 0 (no abnormal lipid value at A2 and A3), 1 (up to one abnormal lipid value at A2 or A3) and 2 (one or more abnormal lipid values at A2 and A3).Results:Compared with groups 0 and 1, group 2 presented higher mean values of BP, BMI, WC, LDL-c and TG (p < 0.01) and lower mean values of HDL-c (p = 0.001). Across the assessments, all individuals with APOE genotypes ε2/ε4 and ε4/ε4 maintained at least one abnormal lipid variable, whereas those with genotype ε2/ε3 did not show abnormal values (χ2 = 16.848, p = 0.032). For the LDLR genotypes, there was no significant difference among the groups.Conclusions:APOE gene polymorphisms were associated with dyslipidemia in young individuals followed up longitudinally from childhood.

Adaptive frequency tracking of the baseline ECG identifies the site of atrial fibrillation termination by catheter ablation

Multiple organization indices have been used to predict the outcome of stepwise catheter ablation in long-standing persistent atrial fibrillation (AF), however with limited success. Our study aims at developinginnovative organization indices from baseline ECG (i.e. during the procedure, before ablation) in orderto identify the site of AF termination by catheter ablation. Seventeen consecutive male patients (age60 ± 5 years, AF duration 7 ± 5 years) underwent a stepwise catheter ablation. Chest lead V6 was placedin the back (V6b). QRST cancelation was performed from chest leads V1 to V6b. Using an innovativeadaptive harmonic frequency tracking, two measures of AF organization were computed to quantify theharmonics components of ECG activity: (1) the adaptive phase difference variance (APD) between theAF harmonic components as a measure of AF regularity, and (2) and adaptive organization index (AOI)evaluating the cyclicity of the AF oscillations. Both adaptive indices were compared to indices computedusing a time-invariant approach: (1) ECG AF cycle length (AFCL), (2) the spectrum based organizationindex (OI), and (3) the time-invariant phase difference TIPD. Long-standing persistent AF was terminatedinto sinus rhythm or atrial tachycardia in 13/17 patients during stepwise ablation, 11 during left atriumablation (left terminated patients - LT), 2 during the right atrium ablation (right terminated patients -RT), and 4 were non terminated (NT) and required electrical cardioversion. Our findings showed that LTpatients were best separated from RT/NT before ablation by the duration of sustained AF and by AOI onchest lead V1 and APD from the dorsal lead V6b as compared to ECG AFCL, OI and TIPD, respectively. Ourresults suggest that adaptive measures of AF organization computed before ablation perform better thantime-invariant based indices for identifying patients whose AF will terminate during ablation within theleft atrium. These findings are indicative of a higher baseline organization in these patients that could beused to select candidates for the termination of AF by stepwise catheter ablation.© 2013 Elsevier Ltd. All rights reserved.

Use of a dynamic foot pressure index to monitor the effects of treatment for equinus gait in children with cerebral palsy.

The purpose of this study is to introduce and describe a newly developed index using foot pressure analysis to quantify the degree of equinus gait in children with cerebral palsy before and after injection with botulinum toxin. Data were captured preinjection and 12 weeks postinjection. Ten children aged 2(1/2) to 6(1/2) years took part (5 boys and 5 girls). Three of them had a diagnosis of spastic diplegia and 7 of congenital hemiplegia. In total, 13 limbs were analyzed. After orientation and segmentation of raw pedobarographic data, we determined a dynamic foot pressure index graded 0 to 100 that quantified the relative degree of heel and forefoot contact during stance. These data were correlated (Pearson correlation) with clinical measurements of dorsiflexion at the ankle (on a slow and fast stretch) and video observation (using the Observational Gait Scale). Pedobarograph data were strongly correlated with both the Observational Gait Scale scores (R = 0.79, P < 0.005) and clinical measurements of dorsiflexion on a fast stretch, which is reflective of spasticity (R = 0.70, P < 0.005). We demonstrated the index's sensitivity in detecting changes in spasticity and good correlation with video observations seems to indicate this technique's potential validity. When manipulated and segmented appropriately, and with the development of a simple ordinal index, we found that foot pressure data provided a useful tool in tracking changes in patients with spastic equinus.

Cross-frequency coupling in EEG revealed by adaptive oscillation tracking.

Introduction: Neuronal oscillations have been the focus of increasing interest in the neuroscientific community, in part because they have been considered as a possible integrating mechanism through which internal states can influence stimulus processing in a top-down way (Engel et al., 2001). Moreover, increasing evidence indicates that oscillations in different frequency bands interact with one other through coupling mechanisms (Jensen and Colgin, 2007). The existence and the importance of these cross-frequency couplings during various tasks have been verified by recent studies (Canolty et al., 2006; Lakatos et al., 2007). In this study, we measure the strength and directionality of two types of couplings - phase-amplitude couplings and phase-phase couplings - between various bands in EEG data recorded during an illusory contour experiment that were identified using a recently-proposed adaptive frequency tracking algorithm (Van Zaen et al., 2010). Methods: The data used in this study have been taken from a previously published study examining the spatiotemporal mechanisms of illusory contour processing (Murray et al., 2002). The EEG in the present study were from a subset of nine subjects. Each stimulus was composed of 'pac-man' inducers presented in two orientations: IC, when an illusory contour was present, and NC, when no contour could be detected. The signals recorded by the electrodes P2, P4, P6, PO4 and PO6 were averaged, and filtered into the following bands: 4-8Hz, 8-12Hz, 15-25Hz, 35-45Hz, 45-55Hz, 55-65Hz and 65-75Hz. An adaptive frequency tracking algorithm (Van Zaen et al., 2010) was then applied in each band in order to extract the main oscillation and estimate its frequency. This additional step ensures that clean phase information is obtained when taking the Hilbert transform. The frequency estimated by the tracker was averaged over sliding windows and then used to compare the two conditions. Two types of cross-frequency couplings were considered: phase-amplitude couplings and phase-phase couplings. Both types were measured with the phase locking value (PLV, Lachaux et al., 1999) over sliding windows. The phase-amplitude couplings were computed with the phase of the low frequency oscillation and the phase of the amplitude of the high frequency one. Different coupling coefficients were used when measuring phase-phase couplings in order to estimate different m:n synchronizations (4:3, 3:2, 2:1, 3:1, 4:1, 5:1, 6:1, 7:1, 8:1 and 9:1) and to take into account the frequency differences across bands. Moreover, the direction of coupling was estimated with a directionality index (Bahraminasab et al., 2008). Finally, the two conditions IC and NC were compared with ANOVAs with 'subject' as a random effect and 'condition' as a fixed effect. Before computing the statistical tests, the PLV values were transformed into approximately normal variables (Penny et al., 2008). Results: When comparing the mean estimated frequency across conditions, a significant difference was found only in the 4-8Hz band, such that the frequency within this band was significantly higher for IC than NC stimuli starting at ~250ms post-stimulus onset (Fig. 1; solid line shows IC and dashed line NC). Significant differences in phase-amplitude couplings were obtained only when the 4-8 Hz band was taken as the low frequency band. Moreover, in all significant situations, the coupling strength is higher for the NC than IC condition. An example of significant difference between conditions is shown in Fig. 2 for the phase-amplitude coupling between the 4-8Hz and 55-65Hz bands (p-value in top panel and mean PLV values in the bottom panel). A decrease in coupling strength was observed shortly after stimulus onset for both conditions and was greater for the condition IC. This phenomenon was observed with all other frequency bands. The results obtained for the phase-phase couplings were more complex. As for the phase-amplitude couplings, all significant differences were obtained when the 4-8Hz band was considered as the low frequency band. The stimulus condition exhibiting the higher coupling strength depended on the ratio of the coupling coefficients. When this ratio was small, the IC condition exhibited the higher phase-phase coupling strength. When this ratio was large, the NC condition exhibited the higher coupling strength. Fig. 3 shows the phase-phase couplings between the 4-8Hz and 35-45Hz bands for the coupling coefficient 6:1, and the coupling strength was significantly higher for the IC than NC condition. By contrast, for the coupling coefficient 9:1 the NC condition gave the higher coupling strength (Fig. 4). Control analyses verified that it is not a consequence of the frequency difference between the two conditions in the 4-8Hz band. The directionality measures indicated a transfer of information from the low frequency components towards the high frequency ones. Conclusions: Adaptive tracking is a feasible method for EEG analyses, revealing information both about stimulus-related differences and coupling patterns across frequencies. Theta oscillations play a central role in illusory shape processing and more generally in visual processing. The presence vs. absence of illusory shapes was paralleled by faster theta oscillations. Phase-amplitude couplings were decreased more for IC than NC and might be due to a resetting mechanism. The complex patterns in phase-phase coupling between theta and beta/gamma suggest that the contribution of these oscillations to visual binding and stimulus processing are not as straightforward as conventionally held. Causality analyses further suggest that theta oscillations drive beta/gamma oscillations (see also Schroeder and Lakatos, 2009). The present findings highlight the need for applying more sophisticated signal analyses in order to establish a fuller understanding of the functional role of neural oscillations.