Forecasting commodity futures using Principal Component Analysis and Copula

The ever ongoing battle to beat the market is in this thesis fought with the help of mathematics with a way to reduce the information to its core. It is called PCA, Principal Component Analysis. This is used to build a model of future commodity prices. To assist PCA, Copula is used - a sort of mathematical glue which can bring multiple distributions together and represented as one. The data used is 5 years of prices for Brent Oil, WTI Oil, Gold, Copper and Aluminium. The model parameters are tted to 2.5 years of data and then tested on the remaining 2.5 years. MLE, Maximum Likelihood Estimation, was used for parameter estimation and distributions that were found tting were logistic and Student's T distribution Cramer-von Mises tests were used to determine that T Copula was the most suitable Copula. The main results are that the mathematical estimations t well and prot can be generated, but with a low Sharpe Ratio.Introduktion Inom nansbranschen sa krigar handlare dagligen om att overlista deras ende - marknaden. Men, med dagens kommunikationsmedel sa blir handlarna overosta med information och for att kunna salla bland all den informationen - sa kan matematik anvandas. Denna studien forsoker ta ut den mest vitala informationen man kan fa fran historisk data - och bygga en modell av hur man tror priserna kommer att forandras. De matematiska hjalpmedlena som anvands kallas principalkomponentanalys och copula. For att sedan se hur val modellen utfaller, anvands framforallt tva handelsstrategier - "atergang till medelvarde" och "momentum". Historia Studien inriktar sig generellt pa ravaror och specikt pa olja, guld, koppar och aluminium. Sjalva handeln med ravaror stracker sig era artusenden tillbaka. Man far ga tillbaka till den summeriska civilisationen, cirka ar 4500-4000 f.kr., for att nna de forsta tecknen pa ravaruhandel. Da anvandes lertavlor for att visa pa exempelvis hur manga getter som skulle levereras vid en viss tidpunkt. Ravaruhandel Nufortiden slipper man skriva kontrakt pa lertavlor och en leverans av guld eller majs ar latt tillgangligt fran din dator. Det vanligaste sattet att handla med ravaror ar att anvanda en typ av kontrakt som kallas futures. Med dessa specieras exakt hur mycket av en viss ravara skall levereras pa en viss tidpunkt for ett visst pris. Priset varierar och beror framst pa utbud och efterfragan men mangden och tidpunkten for leverans forblir detsamma. Principalkomponentanalys Sjalva "sallandet av information" kallas i detta fall principalkomponentanalys. Denna analys gors for att fa ut de variabler som kan forklara hur prissvangningarna pa ravarorna sker. Variablerna optimeras pa den forsta halvan av datan och appliceras sedan pa den andra halvan. Denna metoden, da man optimerar pa forsta halvan och testar pa andra halvan, ar valdigt vanlig inom modellering av handelsstrategier. Detta da om man optimerar pa hela dataperioden, sa kan man latt "overoptimera" sina resultat och anpassa sin modell till det som har varit istallet for att forsoka skapa nagot som haller i framtiden. 1 Copula For att modellera de olika ravarornas priser sa anpassas de till olika slags fordelningar. Dessa fordelningar kan vara individuella for varje ravara och "klistras" sedan samman med copula. Det vill saga att man ser hur fordelningarna forhaller sig till varandra, hur de "klistras" samman. Detta klister kan man sedan anvanda for att forutspa framtida prissvangningar. Aterg ang till medelv arde En av de vanligaste handelsstrategierna som nns kallas pa engelska mean- reversion (atergang till medelvarde pa svenska). Denna strategin bygger pa att man tror att alla priser kommer att jamna ut sig till sist och aterga till det priset som det har varit(dess gamla medelvarde). Men, detta ar en strategi som inte tar nagon beaktan i de manskliga faktorer som kan nnas pa borser. Momentum Momentum ar den strategi som tar de mer mjuka vardena i beaktan, sasom vissa typer av ockbeteenden (folk koper nar andra koper och vice versa da folk saljer). Detta kanaterspeglas i matematik och ar i princip den motsatta strategin till "atergang till medelvarde". Men i studien balanserar dessa tva strategier varandra och beroende pa hur de historiska prissvangningarna har sett ut sa dominerar antingen den ena eller den andra strategin. Detta fram till da "copula-klistret" trader in. Da kan klistret bli den an mer dominerande faktorn och bestamma handelsstrategi. Resultat Da endast principalkomponentanalysen med sina tillhorande handelsstrategier "atergang till medelvarde" och momentum tas i beaktan sa genereras ingen vinst. Detta kan bero pa manga orsaker men som oftast i matematiken sa vill man utoka mangden data. Om studien gjorts pa er antal ravaror sa ar det mojligt att denna del visat ett battre resultat. Nar sedan "copulaklistret" blir en del av modellen, kan vinst genereras. Den ar huruvida inte sa stor men det forefaller att modellen har potential. Nar samtliga handelsstrategier har tagits i beaktan in i modellen sa visas alltsa att man kan tjana pengar pa modellen. Tankarna och iderna som modellen bygger pa kan alltsa forhoppningsvis hjalpa nagon handlare i slaget mot marknaden

Implementation of Provably Stable MaxNet

MaxNet TCP is a congestion control protocol that uses explicit multi-bit signalling from routers to achieve desirable properties such as high throughput and low latency. In this paper we present an implementation of an extended version of MaxNet. Our contributions are threefold. First, we extend the original algorithm to give both provable stability and rate fairness. Second, we introduce the MaxStart algorithm which allows new MaxNet connections to reach their fair rates quickly. Third, we provide a Linux kernel implementation of the protocol. With no overhead but 24-bit price signals, our implementation scales from 32 bit/s to 1 peta-bit/s with a 0.001% rate accuracy. We confirm the theoretically predicted properties by performing a range of experiments at speeds up to 1 Gbit/sec and delays up to 180 ms on the WAN-in-Lab facility

Comparative Analysis of European Examples of Freight Electric Vehicles Schemes—A Systematic Case Study Approach with Examples from Denmark, Germany, the Netherlands, Sweden and the UK.

E-Mobility is a hot topic, in the public policy area as well as in business and scientific communities. Literature on electric freight transport is still relatively scarce. Urban freight transport is considered as one of the most promising fields of application of vehicle electrification, and there are on-going demonstration projects. This paper will discuss case study examples of electric freight vehicle initiatives in Denmark, Germany, the Netherlands, Sweden and the UK and identify enablers and barriers for common trends

A novel von Willebrand factor binding protein expressed by Staphylococcus aureus

When a shotgun phage-display library of Staphylococcus aureus Newman was affinity selected (panned) against recombinant von Willebrand factor (vWf), a novel von Willebrand factor binding protein (vWbp) was found. Experimental data indicate that the interaction between vWbp and vWf is very specific and mediated by a region of 26 aa residues in the C-terminal part of vWbp. vWbp has an N-terminal secretory signal sequence but no cell wall anchoring motif, suggesting a soluble extracellular location. Mature vWbp could be purified from the culture supernatant and the identity of the protein was confirmed by N-terminal sequencing. vWbp migrates with an apparent molecular mass of 66 kDa and the deduced protein consists of 482 aa. The gene encoding vWbp, named vwb, was present in all S. aureus strains investigated

Mining metadata from unidentified ITS sequences in GenBank: A case study in Inocybe (Basidiomycota)

<p>Abstract</p> <p>Background</p> <p>The lack of reference sequences from well-identified mycorrhizal fungi often poses a challenge to the inference of taxonomic affiliation of sequences from environmental samples, and many environmental sequences are thus left unidentified. Such unidentified sequences belonging to the widely distributed ectomycorrhizal fungal genus <it>Inocybe </it>(<it>Basidiomycota</it>) were retrieved from GenBank and divided into species that were identified in a phylogenetic context using a reference dataset from an ongoing study of the genus. The sequence metadata of the unidentified <it>Inocybe </it>sequences stored in GenBank, as well as data from the corresponding original papers, were compiled and used to explore the ecology and distribution of the genus. In addition, the relative occurrence of <it>Inocybe </it>was contrasted to that of other mycorrhizal genera.</p> <p>Results</p> <p>Most species of <it>Inocybe </it>were found to have less than 3% intraspecific variability in the ITS2 region of the nuclear ribosomal DNA. This cut-off value was used jointly with phylogenetic analysis to delimit and identify unidentified <it>Inocybe </it>sequences to species level. A total of 177 unidentified <it>Inocybe </it>ITS sequences corresponding to 98 species were recovered, 32% of which were successfully identified to species level in this study. These sequences account for an unexpectedly large proportion of the publicly available unidentified fungal ITS sequences when compared with other mycorrhizal genera. Eight <it>Inocybe </it>species were reported from multiple hosts and some even from hosts forming arbutoid or orchid mycorrhizae. Furthermore, <it>Inocybe </it>sequences have been reported from four continents and in climate zones ranging from cold temperate to equatorial climate. Out of the 19 species found in more than one study, six were found in both Europe and North America and one was found in both Europe and Japan, indicating that at least many north temperate species have a wide distribution.</p> <p>Conclusion</p> <p>Although DNA-based species identification and circumscription are associated with practical and conceptual difficulties, they also offer new possibilities and avenues for research. Metadata assembly holds great potential to synthesize valuable information from community studies for use in a species and taxonomy-oriented framework.</p

Decrease in sick leave among patients with rheumatoid arthritis in the first 12 months after start of treatment with tumour necrosis factor antagonists: a population-based controlled cohort study.

OBJECTIVE: /st> To investigate the effect of tumour necrosis factor (TNF) antagonist treatment of patients with rheumatoid arthritis (RA) on sick leave (SL) and disability pension (DP) in a population-based setting in southern Sweden. METHODS: /st> All patients with RA in the South Swedish Arthritis Treatment Group register living in the county of Skåne (population 1.2 million), who started their first treatment with a TNF antagonist between January 2004 and December 2007 and were 18-58 years at treatment start (n=365), were identified. For each patient with RA, four matched reference subjects from the general population were randomly selected. Data were linked to the Swedish Social Insurance Agency register and the point prevalence of SL and DP as well as days of SL and DP per month were calculated from 360 days before until 360 days after treatment start. RESULTS: /st> At treatment start 38.6% of the patients with RA were registered for SL. During the first 6 months this share dropped to 28.5% (decrease by 26.2%, p There was a marked decline in SL during the first 6 months of TNF antagonist treatment in patients with RA in southern Sweden, maintained throughout the first year, which was not offset by a corresponding increase in DP

Gradient Optics of subwavelength nanofilms

Propagation and tunneling of light through subwavelength photonic barriers, formed by dielectric layers with continuous spatial variations of dielectric susceptibility across the film are considered. Effects of giant heterogeneity-induced non-local dispersion, both normal and anomalous, are examined by means of a series of exact analytical solutions of Maxwell equations for gradient media. Generalized Fresnel formulae, visualizing a profound influence of gradient and curvature of dielectric susceptibility profiles on reflectance/transmittance of periodical photonic heterostructures are presented. Depending on the cutoff frequency of the barrier, governed by technologically managed spatial profile of its refractive index, propagation or tunneling of light through these barriers are examined. Nonattenuative transfer of EM energy by evanescent waves, tunneling through dielectric gradient barriers, characterized by real values of refractive index, decreasing in the depth of medium, is shown. Scaling of the obtained results for different spectral ranges of visible, IR and THz waves is illustrated. Potential of gradient optical structures for design of miniaturized filters, polarizers and frequency-selective interfaces of subwavelength thickness is considered

Increase of invasive meningococcal serogroup W disease in Europe, 2013 to 2017

Background: The total incidence of invasive meningococcal disease (IMD) in Europe has been declining in recent years; however, a rising incidence due to serogroup W (MenW), predominantly sequence type 11 (ST-11), clonal complex 11 (cc11), was reported in some European countries. Aim: The aim of this study was to compile the most recent laboratory surveillance data on MenW IMD from several European countries to assess recent trends in Europe. Methods: In this observational, retrospective study, IMD surveillance data collected from 2013–17 by national reference laboratories and surveillance units from 13 European countries were analysed using descriptive statistics. Results: The overall incidence of IMD has been stable during the study period. Incidence of MenW IMD per 100,000 population (2013: 0.03; 2014: 0.05; 2015: 0.08; 2016: 0.11; 2017: 0.11) and the proportion of this serogroup among all invasive cases (2013: 5% (116/2,216); 2014: 9% (161/1,761); 2015: 13% (271/2,074); 2016: 17% (388/2,222); 2017: 19% (393/2,112)) continuously increased. The most affected countries were England, the Netherlands, Switzerland and Sweden. MenW was more frequent in older age groups (≥ 45 years), while the proportion in children (< 15 years) was lower than in other age groups. Of the culture-confirmed MenW IMD cases, 80% (615/767) were caused by hypervirulent cc11. Conclusion: During the years 2013–17, an increase in MenW IMD, mainly caused by MenW cc11, was observed in the majority of European countries. Given the unpredictable nature of meningococcal spread and the epidemiological potential of cc11, European countries may consider preventive strategies adapted to their contexts.info:eu-repo/semantics/publishedVersio