Experimental Computational Simulation Environments for Algorithmic Trading

This thesis investigates experimental Computational Simulation Environments for Computational Finance that for the purpose of this study focused on Algorithmic Trading (AT) models and their risk. Within Computational Finance, AT combines different analytical techniques from statistics, machine learning and economics to create algorithms capable of taking, executing and administering investment decisions with optimal levels of profit and risk. Computational Simulation Environments are crucial for Big Data Analytics, and are increasingly being used by major financial institutions for researching algorithm models, evaluation of their stability, estimation of their optimal parameters and their expected risk and performance profiles. These large-scale Environments are predominantly designed for testing, optimisation and monitoring of algorithms running in virtual or real trading mode. The stateof-the-art Computational Simulation Environment described in this thesis is believed to be the first available for academic research in Computational Finance; specifically Financial Economics and AT. Consequently, the aim of the thesis was: 1) to set the operational expectations of the environment, and 2) to holistically evaluate the prototype software architecture of the system by providing access to it to the academic community via a series of trading competitions. Three key studies have been conducted as part of this thesis: a) an experiment investigating the design of Electronic Market Simulation Models; b) an experiment investigating the design of a Computational Simulation Environment for researching Algorithmic Trading; c) an experiment investigating algorithms and the design of a Portfolio Selection System, a key component of AT systems. Electronic Market Simulation Models (Experiment 1): this study investigates methods of simulating Electronic Markets (EMs) to enable computational finance experiments in trading. EMs are central hubs for bilateral exchange of securities in a well-defined, contracted and controlled manner. Such modern markets rely on electronic networks and are designed to replace Open Outcry Exchanges for the advantage of increased speed, reduced costs of transaction, and programmatic access. Study of simulation models of EMs is important from the point of view of testing trading paradigms, as it allows users to tailor the simulation to the needs of particular trading paradigms. This is a common practice amongst investment institutions to use EMs to fine-tune their algorithms before allowing the algorithms to trade with real funds. Simulations of EMs provide users with the ability to investigate the market micro-structure and to participate in a market, receive live data feeds and monitor their behaviour without bearing any of the risks associated with real-time market trading. Simulated EMs are used by risk managers to test risk characteristics and by quant developers to build and test quantitative financial systems against market behaviour. Computational Simulation Environments (Experiment 2): this study investigates the design, implementation and testing of an experimental Environment for Algorithmic Trading able to support a variety of AT strategies. The Environment consists of a set of distributed, multi-threaded, event-driven, real-time, Linux services communicating with each other via an asynchronous messaging system. The Environment allows multi-user real and virtual trading. It provides a proprietary application programming interface (API) to support research into algorithmic trading models and strategies. It supports advanced trading-signal generation and analysis in near real-time, with use of statistical and technical analysis as well as data mining methods. It provides data aggregation functionalities to process and store market data feeds. Portfolio Selection System (Experiment 3): this study investigates a key component of Computational Finance systems to discover exploitable relationships between financial time-series applicable amongst others to algorithmic trading; where the challenge lays in identification of similarities/dissimilarities in behaviour of elements within variable-size portfolios of tradable and non-tradable securities. Recognition of sets of securities characterized by a very similar/dissimilar behaviour over time, is beneficial from the perspective of risk management, recognition of statistical arbitrage and hedge opportunities, and can be also beneficial from the point of view of portfolio diversification. Consequently, a large-scale search algorithm enabling discovery of sets of securities with AT domain-specific similarity characteristics can be utilized in creation of better portfolio-based strategies, pairs-trading strategies, statistical arbitrage strategies, hedging and mean-reversion strategies. This thesis has the following contributions to science: Electronic Markets Simulation - identifies key features, modes of operation and software architecture of an electronic financial exchange for simulated (virtual) trading. It also identifies key exchange simulation models. These simulation models are crucial in the process of evaluation of trading algorithms and systemic risk. Majority of the proposed models are believed to be unique in the academia. Computational Simulation Environment - design, implementation and testing of a prototype experimental Computational Simulation Environment for Computational Finance research, currently supporting the design of trading algorithms and their associated risk. This is believed to be unique in the academia. Portfolio Selection System - defines what is believed to be a unique software system for portfolio selection containing a combinatorial framework for discovery of subsets of internally cointegrated time-series of financial securities and a graph-guided search algorithm for combinatorial selection of such time-series subsets

A new method for normalized interpretation of antimicrobial resistance from disk test results for comparative purposes.

Objective To evaluate a calibration method for disk diffusion antibiotic susceptibility tests, using zone diameter values generated in the individual laboratory as the internal calibrator for combinations of antibiotic and bacterial species. Methods The high-zone side of zone histogram distributions was first analyzed by moving averages to determine the peak position of the susceptible population. The accumulated percentages of isolates for the high zone diameter values were calculated and converted into probit values. The normal distribution of the ideal population of susceptible strains was then determined by using the least-squares method for probit values against zone diameters, and the ideal population was thereby defined, including mean and standard deviation. Zone diameter values were obtained from laboratories at the Karolinska Hospital (KS) and Växjö Hospital (VX), and from two laboratories (LabA, LabB) in Argentina. The method relies on well standardized disk tests, but is independent of differences in MIC limits and zone breakpoints, and does not require the use of reference strains. Resistance was tentatively set at below 3 SD from the calculated, ideal mean zone diameter of the susceptible population. Results The method, called normalized interpretation of antimicrobial resistance, was tested on results from the KS and VX clinical microbiology laboratories, using the disk diffusion method for antimicrobial susceptibility tests, and for two bacterial species, Staphylococcus aureus and Escherichia coli. In total, 114 217 test results were included for the clinical isolates, and 3582 test results for control strains. The methodology at KS and VX followed the standard of the Swedish Reference Group for Antibiotics (SRGA). Zone diameter histograms for control strains were first analyzed to validate the procedure, and a comparison of actual means with the calculated means showed a correlation coefficient of r = 0.998. Results for clinical isolates at the two laboratories showed an excellent agreement for 54 of 57 combinations of antibiotic and bacterial species between normalized interpretations and the interpretations given by the laboratories. There were difficulties with E. coli and mecillinam, and S. aureus and tetracycline and rifampicin. The method was also tested on results from two laboratories using the NCCLS standard, and preliminary results showed very good agreement with quality-controlled laboratory interpretations. Conclusions The normalized resistance interpretation offers a new approach to comparative surveillance studies whereby the inhibition zone diameter results from disk tests in clinical laboratories can be used for calibration of the test

Interpretation of UV Absorption Lines in SN1006

We present a theoretical interpretation of the broad silicon and iron UV absorption features observed with the Hubble Space Telescope in the spectrum of the Schweizer-Middleditch star behind the remnant of Supernova 1006. These features are caused by supernova ejecta in SN1006. We propose that the redshifted SiII2 1260 A feature consists of both unshocked and shocked SiII. The sharp red edge of the line at 7070 km/s indicates the position of the reverse shock, while its Gaussian blue edge reveals shocked Si with a mean velocity of 5050 km/s and a dispersion of 1240 km/s, implying a reverse shock velocity of 2860 km/s. The measured velocities satisfy the energy jump condition for a strong shock, provided that all the shock energy goes into ions, with little or no collisionless heating of electrons. The line profiles of the SiIII and SiIV absorption features indicate that they arise mostly from shocked Si. The total mass of shocked and unshocked Si inferred from the SiII, SiIII and SiIV profiles is M_Si = 0.25 \pm 0.01 Msun on the assumption of spherical symmetry. Unshocked Si extends upwards from 5600 km/s. Although there appears to be some Fe mixed with the Si at lower velocities < 7070 km/s, the absence of FeII absorption with the same profile as the shocked SiII suggests little Fe mixed with Si at higher (before being shocked) velocities. The column density of shocked SiII is close to that expected for SiII undergoing steady state collisional ionization behind the reverse shock, provided that the electron to SiII ratio is low, from which we infer that most of the shocked Si is likely to be of a fairly high degree of purity, unmixed with other elements. We propose that the ambient interstellar density on the far side of SN1006 is anomalously low compared to the density around the rest of the remnant. ThisComment: 24 pages, with 8 figures included. Accepted for publication in the Astrophysical Journa

Comparison of reproducibility, accuracy, sensitivity, and specificity of miRNA quantification platforms

Given the increasing interest in their use as disease biomarkers, the establishment of reproducible, accurate, sensitive, and specific platforms for microRNA (miRNA) quantification in biofluids is of high priority. We compare four platforms for these characteristics: small RNA sequencing (RNA-seq), FirePlex, EdgeSeq, and nCounter. For a pool of synthetic miRNAs, coefficients of variation for technical replicates are lower for EdgeSeq (6.9%) and RNA-seq (8.2%) than for FirePlex (22.4%); nCounter replicates are not performed. Receiver operating characteristic analysis for distinguishing present versus absent miRNAs shows small RNA-seq (area under curve 0.99) is superior to EdgeSeq (0.97), nCounter (0.94), and FirePlex (0.81). Expected differences in expression of placenta-associated miRNAs in plasma from pregnant and non-pregnant women are observed with RNA-seq and EdgeSeq, but not FirePlex or nCounter. These results indicate that differences in performance among miRNA profiling platforms impact ability to detect biological differences among samples and thus their relative utility for research and clinical use

TRANSMIT: Training Research and Applications Network to Support the Mitigation of Ionospheric Threats

TRANSMIT is an initiative funded by the European Commission through a Marie Curie Initial Training Network (ITN). Main aim of such networks is to improve the career perspectives of researchers who are in the first five years of their research career in both public and private sectors. In particular TRANSMIT will provide a coordinated program of academic and industrial training, focused on atmospheric phenomena that can significantly impair a wide range of systems and applications that are at the core of several activities embedded in our daily life. TRANSMIT deals with the harmful effects of the ionosphere on these systems, which will become increasingly significant as we approach the next solar maximum, predicted for 2013. Main aim of the project is to develop real time integrated state of the art tools to mitigate ionospheric threats to Global Navigation Satellite Systems (GNSS) and several related applications, such as civil aviation, marine navigation and land transportation. The project will provide Europe with the next generation of researchers in this field, equipping them with skills developed through a comprehensive and coordinated training program. Theirs research projects will develop real time integrated state of the art tools to mitigate these ionospheric threats to GNSS and several applications that rely on these systems. The main threat to the reliable and safe operation of GNSS is the variable propagation conditions encountered by GNSS signals as they pass through the ionosphere. At a COST 296 MIERS (Mitigation of Ionospheric Effects on Radio Systems) workshop held at the University of Nottingham in 2008, the establishment of a sophisticated Ionospheric Perturbation Detection and Monitoring (IPDM) network (http://ipdm.nottingham.ac.uk/) was proposed by European experts and supported by the European Space Agency (ESA) as the way forward to deliver the state of the art to protect the range of essential systems vulnerable to these ionospheric threats. Through a set of carefully designed research work packages TRANSMIT will be the enabler of the IPDM network. The goal of TRANSMIT is therefore to provide a concerted training programme including taught courses, research training projects, secondments at the leading European institutions, and a set of network wide events, with summer schools, workshops and a conference, which will arm the researchers of tomorrow with the necessary skills and knowledge to set up and run the proposed service. TRANSMIT will count on an exceptional set of partners, encompassing both academia and end users, including the aerospace and satellite communications sectors, as well as GNSS system designers and service providers, major user operators and receiver manufacturers. TRANSMIT's objectives are: A. Develop new techniques to detect and monitor ionospheric threats, with the introduction of new prediction and forecasting models, mitigation tools and improved system design; B. Advance the physical modeling of the underlying processes associated with the ionospheric plasma environment and the knowledge of its influences on human activity; C. Establish a prototype of a real time system to monitor the ionosphere, capable of providing useful assistance to users, which exploits all available resources and adds value for European services and products; D. Incorporate solutions to this system that respond to all end user needs and that are applicable in all geographical regions of European interest (polar, high and mid-latitudes, equatorial region). TRANSMIT will pave the way to establish in Europe a system capable of mitigating ionospheric threats on GNSS signals in real tim

СОЦИАЛЬНО-ЭКОНОМИЧЕСКИЕ И ПОЛИТИКО-ПРАВОВЫЕ АСПЕКТЫ ПОСТКРИЗИСНОЙ МИГРАЦИИ

The paper deals with the socio-economic and political-legal aspects of the post-crisis migration over time between 2012 and the first half of 2016 based on the data of the Automated Analytical Reporting System (AARS) of the Federal Migration Service, the State Statistical Records of the Federal State Statistics Service, statistical information of the General Directorate for Migration of the RF Interior Ministry. The purpose of the study was to analyze the factors of the migration processes development in problem regions of the post-Soviet space as well as the aftershock problems of the secondary migration from European countries that have to solve the problems of the mass flow of migrants from regions of armed and political conflicts. To achieve the goal, the author posed the following tasks: 1) the review of labor, capital, financial and other resources of the migration donor regions in the context of optimizing management decisions on the regulation of migration processes over the territory of the Russian Federation with a focus on individual economic sectors and occupational skill characteristics; 2) the study of migration processes in the labor market in accordance with indices established by the Russian Rules for Labor Market Monitoring; 3) the study of the migration activity in the DPRK and the PRC compared with political and legal decisions of local and central authorities of the Russian Federation in demographically unstable regions of the Far East and Siberia; 4) assessing the prospects for Russian investments in migration donor countries to level migration flows on financial and economic conditions favorable for the recipient country; 5) systematization of mechanisms for managing the goal setting for migration flows and attracting foreign workers in priority occupational skill groups in line with the Russian economy demands and the public consent interests. Based on the task solution results, it is intended to develop a mid-term forecast of external migration risks for the Russian Federation and propose a system of measures to prevent the migration threats of the post-crisis migration.В статье рассматриваются социально-экономические и политико-правовые аспекты посткризисной миграции в динамике с 2012 г. до первой половины 2016 г. на основе данных Автоматизированной системы аналитической отчетности Федеральной миграционной службы (АСАО), Государственной статистической отчетности Росстата, статистической информации Главного управления по вопросам миграции Министерства внутренних дел Российской Федерации. Цель исследования - анализ факторов развития миграционных процессов в проблемных регионах постсоветского пространства, проблемы афтершока вторичной миграции из стран Европы, вынужденных решать проблемы массового потока мигрантов из регионов вооруженных и политических конфликтов. Для достижения цели автор поставил следующие задачи: 1) рассмотрение потенциала трудовых, капитальных, финансовых, других ресурсов регионов - миграционных доноров в контексте оптимизации управленческих решений по регулированию миграционных процессов на территории Российской Федерации, в том числе в разрезе отдельных отраслей экономики, профессионально-квалификационных характеристик; 2) изучение миграционных процессов на рынке труда согласно показателям, установленным Правилами проведения мониторинга ситуации на рынке труда Российской Федерации; 3) исследование миграционной активности КНДР, КНР в сопоставлении с политико-правовыми решениями местной и центральной власти Российской Федерации в демографически неустойчивых регионах Дальнего Востока, Сибири; 4) выяснение перспектив российского инвестирования в страны, являющиеся миграционными донорами для нивелирования миграционных потоков на выгодных для страны реципиента финансово-экономических условиях; 5) систематизация механизмов управления целеполаганием миграционных потоков и привлечение иностранных работников по приоритетным профессионально-квалификационным группам в соответствии со спросом российской экономики и интересами общественного согласия. В результате решения поставленных задач предполагается сформулировать среднесрочный прогноз внешних миграционных рисков для Российской Федерации и предложить систему мер по превентизации миграционных угроз посткризисной миграции