Quantile based stop-loss transform and its applications

Partial moments are extensively used in actuarial science for the analysis of risks. Since the first order partial moments provide the expected loss in a stop-loss treaty with infinite cover as a function of priority, it is referred as the stop-loss transform. In the present work, we discuss distributional and geometric properties of the first and second order partial moments defined in terms of quantile function. Relationships of the scaled stop-loss transform curve with the Lorenz, Gini, Bonferroni and Leinkuhler curves are developed

Aplicação de uma regra de stop-loss no mercado brasileiro

Nesta dissertação é proposta uma estrutura de trading para analisar o desempenho da estratégia de Stop-Loss em termos de ganho de valor. Fundamentada no paper de Kaminsky e Lo (2014), a regra consiste em alternar de um ativo de alta volatilidade para um ativo livre de risco baseado em uma regra binária de Stop-Loss. Foram encontrados resultados nominais positivos, redução de volatilidade e consequente aumento do coeficiente retorno/volatilidade.

The characterization of twenty sequenced human genomes.

We present the analysis of twenty human genomes to evaluate the prospects for identifying rare functional variants that contribute to a phenotype of interest. We sequenced at high coverage ten "case" genomes from individuals with severe hemophilia A and ten "control" genomes. We summarize the number of genetic variants emerging from a study of this magnitude, and provide a proof of concept for the identification of rare and highly-penetrant functional variants by confirming that the cause of hemophilia A is easily recognizable in this data set. We also show that the number of novel single nucleotide variants (SNVs) discovered per genome seems to stabilize at about 144,000 new variants per genome, after the first 15 individuals have been sequenced. Finally, we find that, on average, each genome carries 165 homozygous protein-truncating or stop loss variants in genes representing a diverse set of pathways.

MA348exam 2000 pdf

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MA348exam 2000

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Sistemas técnicas de trading no mercado de ações brasileiro: testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se análise técnica agrega valor

Diante do inédito momento vivido pela economia brasileira e, especialmente, pela bolsa de valores nacional, principalmente após a obtenção do grau de investimento pelo Brasil, este trabalho aborda um tema que ganhou um enorme espaço na mídia atual que é a análise técnica. A partir de uma amostra de 37 ações listadas na Bolsa de Valores de São Paulo no período compreendido entre janeiro de 1999 e agosto de 2009, este trabalho examina se a análise técnica agrega valor 'as decisões de investimentos. Através da elaboração de intervalos de confiança, construídos através da técnica de Bootstrap de inferência amostral, e consistentes com a hipótese nula de eficiência de mercado na sua forma fraca, foram testados 4 sistemas técnicos de trading. Mais especificamente, obteve-se os resultados de cada sistema aplicado às series originais dos ativos. Então, comparou-se esses resultados com a média dos resultados obtidos quando os mesmos sistemas foram aplicados a 1000 séries simuladas, segundo um random walk, de cada ativo. Caso os mercados sejam eficientes em sua forma fraca, não haveria nenhuma razão para se encontrar estratégias com retornos positivos, baseando-se apenas nos valores históricos dos ativos. Ou seja, não haveria razão para os resultados das séries originais serem maiores que os das séries simuladas. Os resultados empíricos encontrados sugeriram que os sistemas testados não foram capazes de antecipar o futuro utilizando-se apenas de dados passados. Porém, alguns deles geraram retornos expressivos e só foram superados pelas séries simuladas em aproximadamente 25% da amostra, indicando que a análise técnica tem sim seu valor.

Pairs trading: uma aplicação ao mercado acionário brasileiro

Neste trabalho, verificamos viabilidade de aplicação da estratégia de pairs trading no mercado acionário brasileiro. Diferentemente de outros estudos do mesmo tema, construímos ativos sintéticos a partir de uma combinação linear de preços de ações. Conforme Burgeois e Minko (2005), utilizamos a metodologia de Johansen para a formação dos pares a serem testados. Após a identificação de pares cointegrados, para assegurar a estacionaridade do ativo sintético contruído a partir da relação linear de preços das ações, utilizamos os testes DF-GLS e KPSS e filtramos àqueles que apresentavam raiz unitária em sua série de tempo. A seguir, simulamos a estratégia (backtesting) com os pares selecionados e para encontrar os melhores parâmetros, testamos diferentes períodos de formação dos pares, de operação e de parâmetros de entrada, saída e stop-loss. A fim de realizarmos os testes de forma mais realista possível, incluímos os custos de corretagem, de emolumentos e de aluguel, além de adicionar um lag de um dia para a realização das operações

Previsão da estrutura a termo de taxa de juros aplicando o Filtro de Kalman ao modelo Vasicek: o caso brasileiro

Este trabalho tem o objetivo de testar a qualidade preditiva do Modelo Vasicek de dois fatores acoplado ao Filtro de Kalman. Aplicado a uma estratégia de investimento, incluímos um critério de Stop Loss nos períodos que o modelo não responde de forma satisfatória ao movimento das taxas de juros. Utilizando contratos futuros de DI disponíveis na BMFBovespa entre 01 de março de 2007 a 30 de maio de 2014, as simulações foram realizadas em diferentes momentos de mercado, verificando qual a melhor janela para obtenção dos parâmetros dos modelos, e por quanto tempo esses parâmetros estimam de maneira ótima o comportamento das taxas de juros. Os resultados foram comparados com os obtidos pelo Modelo Vetor-auto regressivo de ordem 1, e constatou-se que o Filtro de Kalman aplicado ao Modelo Vasicek de dois fatores não é o mais indicado para estudos relacionados a previsão das taxas de juros. As limitações desse modelo o restringe em conseguir estimar toda a curva de juros de uma só vez denegrindo seus resultados.

Impact of atmosphere, organic acids, and calcium on quality of fresh-cut 'Kensington' mango

Fresh-cut slices from ripe 'Kensington' mango (Mangifera indica L.) were prepared aseptically and stored under various treatments at 3 degrees C. Treatments included reduced oxygen (2.5%), enhanced carbon dioxide (5-40%), organic acid application, calcium chloride application, and combinations of the above. Symptoms limiting shelf-life were characterised by tissue darkening, development of a 'glassy' appearance, surface desiccation, and loss of firmness. Reduced oxygen (2.5%) was effective at controlling tissue darkening and the development of a 'glassy' appearance, while calcium application (3%) was partly effective at controlling darkening. Calcium chloride however significantly slowed (but did not stop) loss of tissue firmness. Carbon dioxide (5-40%) and citric acid had little positive effect on shelf-life, with both treatments appearing to promote tissue softening. A combination of low oxygen and calcium allowed 'Kensington' slices to be held for at least 15 days at 3 degrees C. (C) 2006 Elsevier B.V All rights reserved.

HIV-1 p24 may persist during long-term highly active antiretroviral therapy, increases little during short treatment breaks, and its rebound after treatment stop correlates with CD4(+) T cell loss

The dynamics of HIV-1 RNA during structured treatment interruptions (STIs) are well established, but little is known about viral proteins like p24. We studied 65 participants of an STI trial. Before the trial, continuous highly active antiretroviral therapy (HAART) had suppressed their viral load to <50 copies/mL during 6 months. They then interrupted HAART during weeks 1 through 2, 11 through 12, 21 through 22, 31 through 32, and 41 through 52. The p24 was measured by boosted enzyme-linked immunosorbent assay of plasma pretreated by efficient virus disruption and heat denaturation. At time point 0, p24 was measurable in 22 patients (34%), who had maintained a viral load <50 copies/mL for 25.4 months (median, range: 6.2-38.9 months) under HAART. Viral rebounds during 2-week STIs led to a mean p24 increase of only 0.08 to 0.19 log10 (ie, 20%-60%). Pre-HAART viral load and p24 at time 0 independently predicted p24 rebounds during the 4 2-week STIs. The p24 at time 0 and HIV-1 RNA rebound during weeks 41 through 52 independently determined the concomitant p24 rebound. An increase of p24 but not viral load during the first 8 weeks of the long STI correlated significantly with concomitant CD4(+) T cell loss. Persisting p24 despite successful HAART may reflect virus replication in reservoirs not represented by plasma viral load and has implications for the concept of therapeutic vaccination.

Freeway traffic oscillations : microscopic analysis of formations and propagations using Wavelet Transform

In this paper we identify the origins of stop-and-go (or slow-and-go) driving and measure microscopic features of their propagations by analyzing vehicle trajectories via Wavelet Transform. Based on 53 oscillation cases analyzed, we find that oscillations can be originated by either lane-changing maneuvers (LCMs) or car-following behavior (CF). LCMs were predominantly responsible for oscillation formations in the absence of considerable horizontal or vertical curves, whereas oscillations formed spontaneously near roadside work on an uphill segment. Regardless of the trigger, the features of oscillation propagations were similar in terms of propagation speed, oscillation duration, and amplitude. All observed cases initially exhibited a precursor phase, in which slow-and-go motions were localized. Some of them eventually transitioned into a well developed phase, in which oscillations propagated upstream in queue. LCMs were primarily responsible for the transition, although some transitions occurred without LCMs. Our findings also suggest that an oscillation has a regressive effect on car following behavior: a deceleration wave of an oscillation affects a timid driver (with larger response time and minimum spacing) to become less timid and an aggressive driver less aggressive, although this change may be short-lived. An extended framework of Newell’s CF is able to describe the regressive effects with two additional parameters with reasonable accuracy, as verified using vehicle trajectory data.

Evidence for the adsorption of molecules at special sites located at copper/zinc oxide interfaces. Part 2. -- A fourier-transform infrared spectroscopy study of methanol adsorption on reduced and oxidised Cu/ZnO/SiO2 catalysts

FTIR spectra are reported of methanol adsorbed at 295 K on ZnO/SiO 2, on reduced Cu/ZnO/SiO2 and on Cu/ZnO/SiO2 which had been preoxidised by exposure to nitrous oxide. Methanol on ZnO/SiO2 gave methoxy species on ZnO and SiO, in addition to both strongly and weakly physisorbed methanol on SiO2. The corresponding adsorption of methanol on reduced Cu/ZnO/SiO2 also gave methoxy species on Cu and a small amount of bridging formate. Reaction of methanol with a reoxidised Cu/ZnO/SiO2 catalyst resulted in an enhanced quantity of methoxy species on Cu. Heating adsorbed species on Cu/ZnO/SiO2 at 393 K led to the loss of methoxy groups on Cu and the concomitant formation of formate species on both ZnO and Cu. The comparable reaction on a reoxidised Cu/ZnO/SiO2 catalyst gave an increased amount of formate species on ZnO and this correlated with an increased quantity of methoxy groups lost from Cu. An explanation is given in terms of adsorption of formate and formaldehyde species at special sites located at the copper/zinc oxide interface.

A population-specific HTR2B stop codon predisposes to severe impulsivity

Impulsivity, describing action without foresight, is an important feature of several psychiatric diseases, suicidality and violent behaviour. The complex origins of impulsivity hinder identification of the genes influencing it and the diseases with which it is associated. Here we perform exon-focused sequencing of impulsive individuals in a founder population, targeting fourteen genes belonging to the serotonin and dopamine domain. A stop codon in HTR2B was identified that is common (minor allele frequency > 1%) but exclusive to Finnish people. Expression of the gene in the human brain was assessed, as well as the molecular functionality of the stop codon, which was associated with psychiatric diseases marked by impulsivity in both population and family-based analyses. Knockout of Htr2b increased impulsive behaviours in mice, indicative of predictive validity. Our study shows the potential for identifying and tracing effects of rare alleles in complex behavioural phenotypes using founder populations, and indicates a role for HTR2B in impulsivity.

Decision support system for age-related macular degeneration using discrete wavelet transform

Age-related macular degeneration (AMD) affects the central vision and subsequently may lead to visual loss in people over 60 years of age. There is no permanent cure for AMD, but early detection and successive treatment may improve the visual acuity. AMD is mainly classified into dry and wet type; however, dry AMD is more common in aging population. AMD is characterized by drusen, yellow pigmentation, and neovascularization. These lesions are examined through visual inspection of retinal fundus images by ophthalmologists. It is laborious, time-consuming, and resource-intensive. Hence, in this study, we have proposed an automated AMD detection system using discrete wavelet transform (DWT) and feature ranking strategies. The first four-order statistical moments (mean, variance, skewness, and kurtosis), energy, entropy, and Gini index-based features are extracted from DWT coefficients. We have used five (t test, Kullback–Lieber Divergence (KLD), Chernoff Bound and Bhattacharyya Distance, receiver operating characteristics curve-based, and Wilcoxon) feature ranking strategies to identify optimal feature set. A set of supervised classifiers namely support vector machine (SVM), decision tree, k -nearest neighbor ( k -NN), Naive Bayes, and probabilistic neural network were used to evaluate the highest performance measure using minimum number of features in classifying normal and dry AMD classes. The proposed framework obtained an average accuracy of 93.70 %, sensitivity of 91.11 %, and specificity of 96.30 % using KLD ranking and SVM classifier. We have also formulated an AMD Risk Index using selected features to classify the normal and dry AMD classes using one number. The proposed system can be used to assist the clinicians and also for mass AMD screening programs.