Optimal Pairs Trading Using Stochastic Control Approach---A Critical Evaluation

As of date, quantitative trading methods are a strong growing niche of trading. More and more sophisticated models are employed to chase investment opportunities. The question is whether this is over-engineering and if it adds value to practitioners. We have found an interesting quantitative pairs trading strategy that belong to the family of relative value strategies. The studied stochastic control approach has many shortcomings. Among those is pair selection method which is not defined at all. Furthermore it has not yet been applied to real market data which makes it interesting to see how well it performs against a more basic pairs trading strategy. The purpose of this thesis is to define a suitable pair selection method that supports the theoretical framework of stochastic control and to test this selection strategy against a more basic pairs trading strategy on historical market data. Through communication with hedge fund officials insight was gained on how investment strategies are applied in the market. Secondary data was gathered through the Datastream database, and the different simulations were run in MATLAB. Mathematical and economical theories were gathered through various textbooks and articles, and the direction of the study was discussed and decided with the advice of the supervisors. The method of stationarity through ADF test was found to be the best of the selection methods tested with the stochastic control approach. After finding proper time frames the stochastic control approach was benchmarked against a basic control strategy. The outcome shows that the specific quantitative strategy chosen for this study is flawed and therefore might not perform as well as it should with less assumptions made in the modeling. This is a sign of a possible over-engineering phenomenon that exists in the market in competition for investment opportunities

Academic and Demographic Cluster Analysis of Engineering Student Success

Contribution: This article uses student semester grade point average (GPA) as a measure of student success to take into account the temporal effects in student success. The findings highlight the student performance based on their demographic status and use of university resources such as financial aid. College campuses should not only increase current resources but also raise awareness of current resources and make them more accessible (e.g., easier to apply or automatic applications). This is especially important for some demographics such as Hispanic first-generation students. Background: Higher education institutions are facing retention and graduation problems. One way to improve this is by understanding why students are not academically successful. Research Questions: In this study, demographic information and past academic records were analyzed to understand patterns of student success. Methodology: A cluster analysis was conducted to understand groups of students based on academic performance and demographic information. Examples of these factors are enrollment status, financial status, first-generation status, housing status, and transfer status. For the purpose of getting more accurate results, the students were separated into two different groups according to their admission status: 1) freshman and 2) transfer. Findings: The results indicate Hispanic, first-generation, low-income students are not likely to apply for financial aid although they are eligible. They have lower GPA and take fewer units per semester than other students. This can cause delayed graduation and accumulating more debt

Why Do Players Stick to a Specific Online Game? The Users and Gratifications Perspective

Driven by the dominant Internet usage and the prospective profits from the game industry, especially from the thriving and robust free-to-play model of online games, there is a need to realize players’ behaviors. Playing online games is experienceoriented but rare studies further explore what reactions of initial (trial) experiences in game playing are and how they will further influence players’ behaviors. Uses and gratification theory can be seen in cases such as online games selection. Players select an online game not only to fit particular interests but also to attempt to show empowerment or other socially conscience motives. This study, therefore, seeks to explore the important antecedents (i.e. gratifications, presence, service mechanisms, and continuance motivation) of stickiness intention on the online game and examine the associated relationships among them. The implications of findings to both researchers and practitioners are also discussed

Cijepni soj virusa zaraznog bronhitisa patogeniji je za pileće zametke od divljeg soja 2575/98.

An avian infectious bronchitis virus (IBV) strain 2575/98 was attenuated using serial chicken embryo passage to become a vaccine in Taiwan. The aim of this study was to investigate the replication ability, pathogenicity, and tissue tropism of the wild and vaccine strains in chicken embryos. The embryos were inoculated with different titers of wild and vaccine strains. Quantification of virus in allantoic fluid was evaluated using real time RT-PCR. The results showed that the vaccine strain replicated in higher titers than the wild strain, and caused embryo death so quickly that only a few dwarfisms occurred. The embryos inoculated with wild and vaccine strains had similar lesions that were confined primarily to the chorionallantoic membrane (CAM), liver, and kidneys. The immunohistochemical data showed that IBV was present predominantly in the lungs, kidneys, and CAM. Although both strains caused hepatic damage, very few virus antigens were detected in the hepatic tissue. The pathogenicity of the vaccine becomes higher in embryos although it is lower in chickens than its wild strain. The vaccine strain could be used as a possible new vaccine candidate for IBV control.Virus zaraznog bronhitisa peradi soj 2575/98 bio je oslabljen uzastopnim pasažama u pilećim zametcima da bi poslužio kao cijepni soj u Tajvanu. Cilj je ovog rada bio istražiti mogućnost umnožavanja, patogenost i tropizam terenskog i cijepnog soja u pilećim zametcima. Zametci su bili inokulirani cijepnim sojem različitog titra. Količina virusa u alantoisnoj tekućini bila je određena RT-PCR-om u stvarnom vremenu. Rezultati su pokazali da se cijepni soj umnažao u višem titru od divljeg soja i prouzročio uginuće zametaka tako brzo da se uspjelo razviti svega nekoliko kržljavih. U inokuliranih zametaka, bez obzira na divlji ili cijepni soj, razvile su se slične promjene pretežito na korioalantoisnoj opni, jetrima i bubrezima. Imunohistokemijski je dokazano da se virus zaraznog bronhitisa prvenstveno nalazio u plućima, bubrezima i korioalantoisnoj opni. Iako su oba soja prouzročila oštećenja jetara, neznatna količina virusnog antigena bila je dokazana u jetrenom tkivu. Patogenost cijepnog soja bila je u zametcima jača, a u pilićima slabija od divljeg soja. Cijepni soj bi se mogao rabiti kao mogući kandidat za proizvodnju novog cjepiva protiv zaraznog bronhitisa

The Taiwan ECDFS Near-Infrared Survey: Ultra-deep J and Ks Imaging in the Extended Chandra Deep Field-South

We present ultra-deep J and Ks imaging observations covering a 30' * 30' area of the Extended Chandra Deep Field-South (ECDFS) carried out by our Taiwan ECDFS Near-Infrared Survey (TENIS). The median 5-sigma limiting magnitudes for all detected objects in the ECDFS reach 24.5 and 23.9 mag (AB) for J and Ks, respectively. In the inner 400 arcmin^2 region where the sensitivity is more uniform, objects as faint as 25.6 and 25.0 mag are detected at 5-sigma. So this is by far the deepest J and Ks datasets available for the ECDFS. To combine the TENIS with the Spitzer IRAC data for obtaining better spectral energy distributions of high-redshift objects, we developed a novel deconvolution technique (IRACLEAN) to accurately estimate the IRAC fluxes. IRACLEAN can minimize the effect of blending in the IRAC images caused by the large point-spread functions and reduce the confusion noise. We applied IRACLEAN to the images from the Spitzer IRAC/MUSYC Public Legacy in the ECDFS survey (SIMPLE) and generated a J+Ks selected multi-wavelength catalog including the photometry of both the TENIS near-infrared and the SIMPLE IRAC data. We publicly release the data products derived from this work, including the J and Ks images and the J+Ks selected multiwavelength catalog.Comment: 25 pages, 25 figures, ApJS in pres

Childhood tuberculosis in southern Taiwan, with emphasis on central nervous system complications

Background/PurposeChildhood tuberculosis (TB) continues to be a major public health problem in Taiwan. Taiwan remains a highly endemic area despite neonatal Bacillus Calmette–Guérin (BCG) vaccination and the availability of anti-TB therapy. The presentation is highly variable and it is often difficult to make an accurate diagnosis. This study was designed to evaluate the demographic, clinical, and laboratory findings and outcomes of TB in children with emphasis on central nervous system (CNS) complications.MethodsThe medical records of 80 children diagnosed with TB at a medical center in southern Taiwan over the past 24 years (1988–2012) were reviewed.ResultsAmong them, 48.8% (39/80) had pulmonary TB, 27.5% (22/80) had isolated extrapulmonary TB, and 23.7% (19/80) had disseminated TB. Most infected cases were aged either < 4 years or > 12 years. TB contact history was found in 42.5% (34/80) cases. Fourteen (17.5%) of the cases had CNS involvement. The most common presentations were fever (85.7%), signs of increased intracranial pressure (71.4%), drowsiness (64.3%), and focal neurological signs (57.1%). The major radiological findings were tuberculoma (50%), basilar enhancement (41.6%), infarction (41.6%), hydrocephalus (16.6%), and transverse myelitis (16.6%). The case fatality of CNS TB was 14.3% and 21.4% had neurologic sequelae.ConclusionFindings suggest that positive exposure history and suspicious clinical presentations are important clues for further confirmatory laboratory and image studies in childhood TB. CNS TB usually presented as part of disseminated TB in children. Early diagnosis and treatment may lead to favorable outcomes in CNS TB

Perceived Importance of Portfolios in a Smart CV after an Education Reform: An Empirical Analysis

Recent developments in recruitment processes have demonstrated that job applicants are increasingly using online Smart CVs instead of traditional approaches like hardcopy or emailing CVs. This study aims at examining perceived importance university undergraduate students of Hong Kong place or put on portfolios of Smart CVs, such as internship experience, exchange experience, scholarships & awards, participation in competitions, academic performance, and extra-curricular activities when building a Smart CV, and on investigating potential effects of the 3+3+4 academic reform in Hong Kong and admission mode. Participants were 256 undergraduate students in BBA majoring either in Information Management or in Electronic Commerce. A survey consisting of 44 items, which measured perceptions on the importance of the 6 proposed portfolios of Smart CVs, was used to collect data. Principal component analysis was used to analyze the items and 34 items were included in the final factor structure out of which 27 items got retained after subsequent reliability analysis. The 6 portfolios were positively inter-correlated. Students who were admitted under the new 4-year undergraduate curriculum using examination results of the new Hong Kong Diploma of Secondary Education (HKDSE) perceived internship experience and participation in competitions as more important in their Smart CVs, which was not the case with those who were admitted under the 3-year undergraduate curriculum using the results of the Hong Kong Advanced Level Examination (HKALE), which is no longer in use since 2012. The admission routes of students did not affect perceived importance in a Smart CV of the 6 proposed portfolios

Long-term Characteristics of Healthcare-associated Infections in a Neonatal Intensive Care Unit

Background/PurposeHealthcare-associated infections in neonatal intensive care units (NICUs) are associated with a significant risk of morbidity and mortality. Knowledge regarding pathogens, primary sources of infection and antibiotic resistance in the NICU is essential for developing management strategies. This study aimed to analyze the long-term characteristics of healthcare-associated infections in a tertiary referral center in southern Taiwan.MethodsInfants < 30 days old, with positive blood, cerebrospinal fluid, urine or tissue fluid cultures during hospitalization in the NICU of National Cheng Kung University Hospital from July 1989 to June 2008 were included in the study.ResultsIn total, 1,417 organisms and episodes were identified during the study period. Gram-positive organisms, Gram-negative organisms and fungi constituted 923 (65.1%), 358 (25.3%) and 136 (9.6%) of the pathogens, respectively. Of the Gram-positive organisms, coagulase-negative staphylococci (51.5%), Staphylococcus aureus (34.8%) and Enterococcus spp. (6.1%) were the major pathogens; and 27% of Staphylococcus aureus isolates were oxacillin-resistant. For the Gram-negative organisms, Klebsiella pneumoniae (22%), Pseudomonas aeruginosa (21.8%), Escherichia coli (16.7%) and Enterobacter cloacae (16.7%) were dominant. Also, Candida albicans accounted for 50% of fungal infections. The most common source of infection was bloodstream infection (59.0%), and 5.6% of these were catheter-related. Skin and soft tissue infections were also frequent (26.3%).ConclusionBloodstream and skin/soft tissue infections caused by commensal species play an important role in healthcare-associated infections in the NICU. New measures should be developed in response to the changing patterns in the NICU