36 th IAMPS Split

ABSTRACT Making organizational changes is a serious challenge for everyone who is in one wa

Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange

Due to copyright restrictions, the access to the full text of this article is only available via subscription.We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, market-neutral portfolio is created by long in the synthetic ETF, which is based on constrained least squares regression of selected Istanbul Stock Exchange stocks and short in Turkish Derivatives Exchange (Turkdex) index futures contract. We performed pairs trading strategy based on a comparative mean reversion of asset prices with daily data over the period February 2005 through July 2011 in Istanbul Stock Exchange (ISE) and Turkdex. We constructed a hypothetical ISE30 ETF Index on a daily basis in order to originate pairs trading strategy with Turkdex. Because of the leverage rule of (1–10) index futures contracts, we had to evaluate spot stock pairs formation with futures contracts pairs strategy. The results indicate that applied pairs strategy produced overall returns of 901 per cent during the investment period, whereas naive strategy (buy and hold ISE-30 index) return for the same period was 111 per cent. Similar outperformance was observed in the Sharpe and Sortino ratios

High frequency statistical arbitrage via the optimal thermal causal path

We consider the problem of identifying similarities and causality relationships in a given set of financial time series data streams. We develop further the “Optimal Thermal Causal Path” method, which is a non-parametric method proposed by Sornette et al. The method considers the mismatch between a given pair of time series in order to identify the expected minimum energy path lead-lag structure between the pair. Traders may find this a useful tool for directional trading, to spot arbitrage opportunities. We add a curvature energy term to the method and we propose an approximation technique to reduce the computational time. We apply the method and approximation technique on various market sectors of NYSE data and extract the highly correlated pairs of time series. We show how traders could exploit arbitrage opportunities by using the method

The effect of different skin-ankle brace application pressures on quiet single-limb balance and electromyographic activation onset of lower limb muscles

<p>Abstract</p> <p>Background</p> <p>Several studies have been carried out in order to investigate the effect of ankle bracing on ankle joint function and performance. However, no study so far has examined the role of skin-brace interface pressure in neuromuscular control. The aim of this study was to investigate the effect of different skin-ankle brace interface pressures on quiet single limb balance and the electromyographic (EMG) activation sequence of four lower limb muscles.</p> <p>Methods</p> <p>Thirty three male physical education students who volunteered to take part in the study were measured under three ankle brace conditions: i) without brace, ii) with brace and 30 kPa application pressure and iii) with brace and 60 kPa application pressure. Single limb balance (anteroposterior and mediolateral parameter) was assessed on the dominant lower limb, with open and closed eyes, on a force platform, simultaneously with the EMG recording of four lower lower limb muscles' (gastrocnemius, peroneus longus, rectus femoris and biceps femoris) activation onset.</p> <p>Results</p> <p>The results showed that overall balance (total stability parameter) was not significantly affected in any of the three ankle brace conditions. However, the anteroposterior centre of pressure excursion and centre of pressure excursion velocity were significantly increased with the application of ankle brace, both with 30 and 60 kPa application pressures. Furthermore, it was found that single limb balance was significantly worse with closed eyes compared to open eyes. EMG measurements showed that the sequence of lower limb activation onset was not affected in any of the three ankle brace application conditions. The results of this study showed that the application of an ankle brace with two different skin-brace interface pressures had no effect on overall single limb balance and the sequence of lower limb muscle activation.</p> <p>Conclusion</p> <p>These findings suggest that peripheral joint receptors are either not adequately stimulated by the brace application and therefore are not able to alter the balance control strategy of the CNS, or that they play a less important role in the control of single limb balance. Further research is needed in this area with more dynamic and functional measurements, before the safe use of ankle bracing can be widely recommended.</p

Changing pattern in the basal ganglia: motor switching under reduced dopaminergic drive

Action selection in the basal ganglia is often described within the framework of a standard model, associating low dopaminergic drive with motor suppression. Whilst powerful, this model does not explain several clinical and experimental data, including varying therapeutic efficacy across movement disorders. We tested the predictions of this model in patients with Parkinson’s disease, on and off subthalamic deep brain stimulation (DBS), focussing on adaptive sensory-motor responses to a changing environment and maintenance of an action until it is no longer suitable. Surprisingly, we observed prolonged perseverance under on-stimulation, and high inter-individual variability in terms of the motor selections performed when comparing the two conditions. To account for these data, we revised the standard model exploring its space of parameters and associated motor functions and found that, depending on effective connectivity between external and internal parts of the globus pallidus and saliency of the sensory input, a low dopaminergic drive can result in increased, dysfunctional, motor switching, besides motor suppression. This new framework provides insight into the biophysical mechanisms underlying DBS, allowing a description in terms of alteration of the signal-to-baseline ratio in the indirect pathway, which better account of known electrophysiological data in comparison with the standard model

Development and evaluation of an accelerometry system based on inverted pendulum to measure and analyze human balance

An accelerometry system was developed based on the inverted pendulum model and its effectiveness to measure the body's sway path and sway angle was verified in healthy adult volunteers. Sway path represents the body’s movement from its center of mass position projected to the ground surface while sway angle represents the body's orientation from the vertical. Mathematical models were developed to determine the sway displacement and sway angle from the accelerometry system. The resulting values were compared with the manual measurements obtained from a plumb bob based setup and found to correlate closely. Using the developed system, measures that analyzed the contribution of the visual, somatosensory and vestibular systems to balance were obtained. It was found that the accelerometry system followed the principle of motion of an inverted pendulum and provided information that can assist in better understanding of balance and thus it may assist clinicians in diagnosing balance dysfunctions

FinTech revolution: the impact of management information systems upon relative firm value and risk

The FinTech or ‘financial technology’ revolution has been gaining increasing interest as technologies are fundamentally changing the business of financial services. Consequently, financial technology is playing an increasingly important role in providing relative performance growth to firms. It is also well known that such relative performance can be observed through pairs trading investment. Therefore pairs trading have implications for understanding financial technology performance, yet the relationships between relative firm value and financial technology are not well understood. In this paper we investigate the impact of financial technology upon relative firm value in the banking sector. Firstly, using pairs trade data we show that financial technologies reveal differences in relative operational performance of firms, providing insight on the value of financial technologies. Secondly, we find that contribution of relative firm value growth from financial technologies is dependent on the specific business characteristics of the technology, such as the business application and activity type. Finally, we show that financial technologies impact the operational risk of firms and so firms need to take into account both the value and risk benefits in implementing new technological innovations. This paper will be of interest to academics and industry professionals

Regularity of center-of-pressure trajectories depends on the amount of attention invested in postural control

The influence of attention on the dynamical structure of postural sway was examined in 30 healthy young adults by manipulating the focus of attention. In line with the proposed direct relation between the amount of attention invested in postural control and regularity of center-of-pressure (COP) time series, we hypothesized that: (1) increasing cognitive involvement in postural control (i.e., creating an internal focus by increasing task difficulty through visual deprivation) increases COP regularity, and (2) withdrawing attention from postural control (i.e., creating an external focus by performing a cognitive dual task) decreases COP regularity. We quantified COP dynamics in terms of sample entropy (regularity), standard deviation (variability), sway-path length of the normalized posturogram (curviness), largest Lyapunov exponent (local stability), correlation dimension (dimensionality) and scaling exponent (scaling behavior). Consistent with hypothesis 1, standing with eyes closed significantly increased COP regularity. Furthermore, variability increased and local stability decreased, implying ineffective postural control. Conversely, and in line with hypothesis 2, performing a cognitive dual task while standing with eyes closed led to greater irregularity and smaller variability, suggesting an increase in the “efficiency, or “automaticity” of postural control”. In conclusion, these findings not only indicate that regularity of COP trajectories is positively related to the amount of attention invested in postural control, but also substantiate that in certain situations an increased internal focus may in fact be detrimental to postural control