Most of the notations and terminological conventions used in this thesis are Statistical. The aim in risk management is to describe the risk factors present in time series. In order to group these risk factors, one needs to distinguish between different stochastic processes and put them into different classes. The risk factors discussed in this thesis are fat tails and mean reversion. The presence of these risk factors fist need to be found in the historical dataset. I will refer to the historical dataset as the original dataset. The Ljung- Box-Pierce test will be used in this thesis to determine if the distribution of the original dataset has mean reversion or no mean reversion. / Mathematical Sciences / M.Sc. (Applied Mathematics)

Made available in DSpace on 2014-06-11T19:33:26Z (GMT). No. of bitstreams: 0 Previous issue date: 2007-12-18Bitstream added on 2014-06-13T21:06:07Z : No. of bitstreams: 1 borges_fa_dr_jabo.pdf: 465595 bytes, checksum: 54f3defcb12b86c4f559cfac83cd1c2f (MD5) / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / A presente pesquisa teve como objetivo caracterizar e isolar uma estirpe de campo de Haemonchus contortus resistente à ivermectina, avaliar a ação reversora do verapamil, por meio de testes in vitro (migração de larvas em gel de ágar) e in vivo (redução de OPG e necropsias parasitológicas), e realizar a análise de genes relacionados à glicoproteína-P e canais de cloro ativados por glutamato (GP-P e HcGluCL). A estirpe de H. conctortus isolada apresentou elevada resistência à ivermectina, sendo observada eficácia ínfima de 6,59%. O verapamil isoladamente não apresentou efeito nematodicida, porém, em concentrações crescentes, associado à ivermectina (DL50-4,317μmol) proporcionou aumento de eficácia contra a cepa resistente de H. contortus, alcançando o percentual de 94,3% (verapamil 100 mmol). Os resultados do teste anti-helmíntico controlado, em que foram utilizados 42 ovinos experimentalmente infectados com H. contortus resistente à ivermectina, revelaram que o verapamil apresentou uma atividade de reversão parcial significativa (P<0,05) da resistência. Pela análise genotípica efetuada nas sete amostras desta população de H. contortus, submetidas aos diferentes tratamentos com ivermectina, verapamil ou associação entre estas drogas, verificou-se similaridade em relação à glicoproteína-P e pouca semalhança em relação aos canais de cloro ativados por glutamato. / The present work aimed to identify and isolate a field ivermectin-resistant Haemonchus contortus strain, evaluate the effect of verapamil as a P-GP modulator agent by in vitro (agar gel larval migration assay) and in vivo (FECRT and controlled test), and analyze the genes related to the P-glycoprotein (P-GP) and H. contortus glutamate chloride (HcCluCl) chanel expression. The H. contortus field strain isolated was highly resistant to ivermectin, showing only 6.59% of efficacy. Verapamil alone didn’t show any in vitro anthelmintic action but increasing concentrations of this drug associated to ivermectin (LD50-4.317μmol) resulted in higher efficacy, when compared to ivermectin alone, with 94.3% efficacy in the 100 mmol concentration. The results of the anthelmintic controlled test, in wich it was used 42 sheep experimentally infected with the field ivermectin-resistant H. contortus strain, showed a significant (P<0,05) parcial ivermectin resistance reversion by verapamil. The genomic analysis of the seven samples from this H. contortus resistant population submited to diferent treatment with ivermctin, verapamil and the association between theese two drugs, showed similarity in the genes related to the expression of P-GP and high polimorfism related to HcGluCL.

Resumo: A presente pesquisa teve como objetivo caracterizar e isolar uma estirpe de campo de Haemonchus contortus resistente à ivermectina, avaliar a ação reversora do verapamil, por meio de testes in vitro (migração de larvas em gel de ágar) e in vivo (redução de OPG e necropsias parasitológicas), e realizar a análise de genes relacionados à glicoproteína-P e canais de cloro ativados por glutamato (GP-P e HcGluCL). A estirpe de H. conctortus isolada apresentou elevada resistência à ivermectina, sendo observada eficácia ínfima de 6,59%. O verapamil isoladamente não apresentou efeito nematodicida, porém, em concentrações crescentes, associado à ivermectina (DL50-4,317μmol) proporcionou aumento de eficácia contra a cepa resistente de H. contortus, alcançando o percentual de 94,3% (verapamil 100 mmol). Os resultados do teste anti-helmíntico controlado, em que foram utilizados 42 ovinos experimentalmente infectados com H. contortus resistente à ivermectina, revelaram que o verapamil apresentou uma atividade de reversão parcial significativa (P<0,05) da resistência. Pela análise genotípica efetuada nas sete amostras desta população de H. contortus, submetidas aos diferentes tratamentos com ivermectina, verapamil ou associação entre estas drogas, verificou-se similaridade em relação à glicoproteína-P e pouca semalhança em relação aos canais de cloro ativados por glutamato. / Abstract: The present work aimed to identify and isolate a field ivermectin-resistant Haemonchus contortus strain, evaluate the effect of verapamil as a P-GP modulator agent by in vitro (agar gel larval migration assay) and in vivo (FECRT and controlled test), and analyze the genes related to the P-glycoprotein (P-GP) and H. contortus glutamate chloride (HcCluCl) chanel expression. The H. contortus field strain isolated was highly resistant to ivermectin, showing only 6.59% of efficacy. Verapamil alone didn't show any in vitro anthelmintic action but increasing concentrations of this drug associated to ivermectin (LD50-4.317μmol) resulted in higher efficacy, when compared to ivermectin alone, with 94.3% efficacy in the 100 mmol concentration. The results of the anthelmintic controlled test, in wich it was used 42 sheep experimentally infected with the field ivermectin-resistant H. contortus strain, showed a significant (P<0,05) parcial ivermectin resistance reversion by verapamil. The genomic analysis of the seven samples from this H. contortus resistant population submited to diferent treatment with ivermctin, verapamil and the association between theese two drugs, showed similarity in the genes related to the expression of P-GP and high polimorfism related to HcGluCL. / Orientador: Alvimar José da Costa / Coorientador: Marcelo Beltrão Molento / Banca: Giane Serafim da Silva / Banca: Alessandro Francisco Talamini do Amarante / Banca: Gilson Pereira de Oliveira / Banca: Adjair Antonio do Nascimento / Doutor

Made available in DSpace on 2014-07-29T15:04:36Z (GMT). No. of bitstreams: 1 Dissertacao - Claudia de Paula Guimaraes.pdf: 1751048 bytes, checksum: 9cbbf6c0507b0dd6294049b187ee383c (MD5) Previous issue date: 2007-12-18 / Esterilização cirúrgica, também chamada de laqueadura tubária, embora seja um método contraceptivo seguro e eficaz tem a finalidade de evitar, em caráter definitivo, a gestação. O estudo teve como objetivo geral analisar a experiência de mulheres submetidas à esterilização cirúrgica, que solicitam a reversão do procedimento. Pesquisa de natureza descritiva-exploratória com abordagem qualitativa, realizada no município de Goiânia-GO. A população do estudo constituiu-se de 25 mulheres esterilizadas, que procuraram o Laboratório de Reprodução Humana do Hospital das Clínicas da Universidade Federal de Goiás para realizar a reversão da laqueadura tubária. Os resultados das entrevistas possibilitaram descrever o perfil das mulheres esterilizadas e identificar os fatores determinantes que levaram mulheres a se submeterem à esterilização cirúrgica e posteriormente solicitarem a reversão do procedimento. Os fatores determinantes pela escolha da esterilização cirúrgica identificados foram os problemas conjugais, a falta e conhecimento acerca dos métodos contraceptivos, o tamanho da prole e a oferta e facilidade da laqueadura tubária. O fator determinante para a reversão da esterilização foi a nova situação conjugal das mulheres entrevistadas que se revelou como sentimento de arrependimento, como forma de querer voltar atrás, de querer outro filho, especialmente após constituírem outra união. Recomenda-se a realização de estudos semelhantes, em outros contextos, que possam ampliar o debate e contribuir para a implementação de políticas públicas de saúde na promoção do planejamento familiar, para melhorar o processo de orientação e aconselhamento, referente à opção por métodos contraceptivos reversíveis e eficazes

CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / Machos de tilÃpia chegam a crescer de 1,8 a 2,5 vezes mais rÃpido do que as fÃmeas, sob condiÃÃes de cultivo intensivo. Assim, as estratÃgias para obter populaÃÃes monossexo estÃo focadas na produÃÃo de lotes de alevinos machos. A produÃÃo de indivÃduos 100% machos atravÃs do uso do andrÃgeno 17-&#945;-metiltestosterona à considerada a tÃcnica mais efetiva e de menor custo. No entanto, o uso de hormÃnios e o aumento na densidade de cultivo tendem a afetar adversamente a saÃde dos organismos cultivados, aumentando os Ãndices de mortalidade. O objetivo deste trabalho foi avaliar o efeito de polissacarÃdeos sulfatados, extraÃdos da alga marinha vermelha Gracilaria caudata, na sobrevivÃncia e ganho de peso de pÃs-larvas da tilÃpia do Nilo, Oreochromis niloticus, submetidas à reversÃo sexual. O experimento consistiu em quatro tratamentos com trÃs repetiÃÃes cada, em um total de doze aquÃrios com capacidade para 40L. Em cada tratamento foram utilizadas 960 pÃs-larvas (plâs) de tilÃpias, na densidade de estocagem de 8 plâs/L. No tratamento controle nÃo foi utilizado o polissacarÃdeo e, nos outros trÃs tratamentos, foram utilizadas doses crescentes (0,05, 0,1 e 0,2mg/g de peso vivo das larvas) do polissacarÃdeo na raÃÃo. Durante as duas primeiras semanas de reversÃo, foi utilizada aeraÃÃo constante e uma renovaÃÃo de Ãgua de 20% em cada repetiÃÃo. A partir da terceira semana, foi elevado o estresse em todos os tratamentos atravÃs da supressÃo da aeraÃÃo e/ou da renovaÃÃo de Ãgua, a fim de induzir o aumento da mortalidade. Ao final do experimento, nÃo houve diferenÃa significativa entre os tratamentos com relaÃÃo ao peso mÃdio final e ganho mÃdio de peso diÃrio das pÃs-larvas. No entanto, com relaÃÃo à mortalidade, houve diferenÃa significativa (&#945; = 0,05) no final ao final da Ãltima semana de reversÃo e cinco dias apÃs o experimento (&#945; = 0,01), quando o estresse foi de moderado a elevado, respectivamente. Desta forma, as plâs que receberam a dose de 0,1 e 0,2mg/g se tornaram mais resistentes Ãs situaÃÃes de estresse induzidas no experimento. / Under intensive culture conditions males of tilapia grow 1.8 to 2.5 times faster than females. Thus, strategies to get monosex populations are concentrated on male production fingerlings lots. The production of 100% males individuals through the use of the androgen 17-&#945;-methyl-testosterone is considered the most effective and lesser cost technique. However, hormone administration and culture density enhan cement tend to adversely affect cultivated organisms health, increasing mortality indices. The aim of this work was to evaluate the effect of sulfated polysaccharides extracted from the red marine alga Gracilaria caudata in the Nile tilapia, Oreochromis niloticus, post-larvae (pl's) survival and weight gain submitted to sexual reversion. The experiment consisted of four treatments with three repetitions in twelve 40L capacity aquariums. In each treatment were used 960 tilapias pl's in a stockage density of 8 pl's/L. In the control treatment was not used the polysaccharide and in the others three ones were used increasing doses (0.05,0.1 and 0.2mg/g live weight) of the polysaccharide in the ration. During the two first weeks of reversion a constant aeration and a 20% water exchange were done in each treatment. In order to induc e mortality, stress was raised in all treatments by aeration and/or water exchange suppression from the th ird week until the end of the experiment. Final mean weight and daily mean weight gain of pl's in all treatments did not showed significant difference at a 5% level. However, pl's mortality showed significant difference at the end of the last week of reversion (&#945; = 0.05) and at the end of the last five days of the experiment (&#945; = 0.01), when stress was raised of moderate to elevated, respectively. Then, pl's that received the polysaccharides doses of 0.1 and 0.2mg/g live weight became more resistant to stress situations induced in the experiment.

>Magister Scientiae - MSc / This research undertakes to investigate both long-term and short-term investor overreaction on the JSE Limited (JSE) over the period from 1 January 2002 to 31 December 2009. The period covers the restructuring and reform of the JSE in the early 2000s to the end of global financial market crisis in late 2008/2009, which can be regarded as a complete economic cycle. The performances of the winner and loser portfolios are evaluated by assessing their cumulative abnormal returns (CAR) over a 24-month holding period. The test results show no evidence of mean reversion for winner and loser portfolios formed based on prior returns of 12 months or less. However, test results show evidence of significant mean reversion for the winner and loser portfolios constructed based on their prior 24 months and 36 months returns. In addition, the study reveals that the mean reversion is more significant for longer-formation-period portfolios as well as for longer holding periods. The examination of the cumulative loser-winner spreads obtained from the contrarian portfolios based on the constituents’ prior 24 month and 36 month returns indicates that the contrarian returns increase for portfolios formed between 2004 and 2006, and declines thereafter towards the end of the examination period. The deterioration of contrarian returns coincides with the subprime mortgage crisis in 2007 and the subsequent global financial crisis in 2008. This evidence suggests that the degree of mean reversion on the JSE is positively correlated to the South African business cycle.

The study examined the momentum in the fundamentals of companies over time, and whether the information content in the momentum of the fundamentals improved the understanding of the long-standing price momentum and earnings momentum anomalies on the Johannesburg Stock Exchange (JSE). Fundamental momentum is defined as the difference between the change of a fundamental variable over consecutive time periods. The study included all industrial companies that were listed on the JSE between the period January 1990 and December 2013. The purpose of the study was to investigate whether price momentum or earnings momentum was subsumed by fundamental momentum. Price momentum and earnings momentum are long-standing anomalies that have been widely researched, yet no definitive explanation has been provided in the literature. The objective of the study was to improve the understanding of price momentum and earnings momentum through the analysis of fundamental momentum. The study also provided insight into the persistence of fundamental momentum of earnings. The study tested the profitability of the price momentum, earnings momentum and the fundamental momentum of earnings trading strategies. The research hypotheses were formulated and tested using equal-weighted sort analysis. The sustainability of fundamental momentum of earnings was also analysed. The size and value risk factors were taken into account to ensure that the results were not influenced by such risk factors. The Fama and French three-factor model was employed to test whether the results captured one of these risk effects. The fourth research question investigated whether the fundamental momentum of an underlying component of earnings increased the persistence of the fundamental momentum of future earnings. Earnings were shown to be mean reverting over time, and therefore, the expectation was that positive or negative fundamental momentum of earnings was not sustainable over a prolonged period of time. However, by decomposing earnings into the accrual and cash flow components, and their respective sub-components, the study undertook regression analysis to see whether a specific component of earnings could improve the sustainability of fundamental momentum. The final research question tested whether price momentum and/or earnings momentum was subsumed by fundamental momentum. Two-way analysis was conducted to test whether the strategies captured similar effects. Sort analysis was used by first constructing equal-weighted portfolios based on either price momentum or earnings momentum. Each portfolio was then further subdivided based on the fundamental momentum of earnings. The profitability of the resultant portfolios was then compared with the initial portfolio. The results confirmed that the price momentum and earnings momentum anomalies were present on the JSE for the sample selected for the study. The fundamental momentum of earnings trading strategy was also shown to be a profitable trading strategy for the extreme quintile portfolios. Using the Fama-MacBeth regression methodology, size and value effects were not found to impact the results across all three momentum strategies. A behavioural overreaction or underreaction hypothesis was argued to explain the profitability of the fundamental momentum of earnings strategy. The market was shown to anticipate the earnings surprise that resulted in earnings momentum up to 12 months prior to portfolio formation. Similarly, the market anticipated fundamental momentum of earnings 12 months prior to the earnings announcement. The fundamental momentum of future earnings was shown to be more sustainable when the fundamental momentum of the cash flow component of prior earnings was higher than the fundamental momentum of the accrual component of prior earnings. This result did not give insight into the nominal size effect of the underlying earnings components, rather, it only gave insight into the rates of change of the earnings components. The final result of the study showed that price momentum and fundamental momentum captured different effects. However, the earnings momentum and fundamental momentum results were not as clear cut. Both strategies used a variant of earnings to construct the quintile portfolios and thus it was very plausible that they captured a similar effect. The study contributed to the current literature in a number of ways. A new trading strategy based on the fundamental momentum of earnings was tested. Fundamental momentum of earnings as a trading strategy has yet to be defined; as a result, it has not been researched prior to this study. Given the results, it may be seen as a derivative of earnings momentum. Understanding the sustainability of fundamental momentum of future earnings was also researched. The final contribution of the study was the two-way analysis of price momentum and fundamental momentum, and earnings momentum and fundamental momentum. / Thesis (PhD)--University of Pretoria, 2016. / tm2016 / Financial Management / PhD / Unrestricted

The activity of algorithmic trading is increasing steadily across capital markets due to technological developments. This thesis analyses the common algorithmic intraday trading strategies of momentum, mean reversion, and statistical arbitrage. Conclusions were drawn from a literature review of prior and current research. Algorithmic arbitrage was found to be the most profitable of the three evaluated strategies, because it typically takes place in high frequency trading. Furthermore, this thesis analyses the impact of algorithmic trading on market liquidity and volatility. While the literature mainly agrees that algorithmic trading has a positive effect on liquidity, its impact on volatility is subject to discussion. Algorithmic and high-frequency trading carry risks that will likely lead to new future regulations.:1 INTRODUCTION 1.1 Background 1.2 Problem description and goal of the research 1.3 Structure of the thesis and research questions 2 THEORETICAL FUNDAMENTALS 2.1 Intraday trading 2.1.1 Definition 2.1.2 Characteristics of intraday trading markets 2.1.3 Financial instruments of intraday trading 2.1.4 Goals and profit chances of individual intraday traders 2.2 Algorithmic trading 2.2.1 Algorithm definitions 2.2.2 Algorithmic trading definitions 2.2.3 High-frequency trading 2.2.4 Characteristics of algorithmic trading and high-frequency trading 2.2.5 Trading algorithm characteristics 3 METHODOLOGY 3.1 Data collection 3.2 Data analysis 4 ALGORITHM-BASED INTRADAY TRADING STRATEGIES AND THEIR PROFIT POTENTIAL 4.1 Momentum strategy 4.1.1 Definition and basic principle of the strategy 4.1.2 Underlying theories of the momentum strategy 4.1.3 Selected studies of an algorithmic intraday momentum strategy 4.2 Mean reversion strategy 4.2.1 Definition and basic principle of the strategy 4.2.2 Underlying theories of the mean reversion strategy 4.2.3 Relation of mean reversion and momentum 4.2.4 Selected studies of an algorithmic intraday mean reversion strategy 4.3 Arbitrage strategy 4.3.1 Definition and basic principle of the strategy 4.3.2 Types of Arbitrage 4.3.3 Underlying theories of the arbitrage strategy 4.3.4 Selected studies of an algorithmic intraday statistical arbitrage strategy 4.4 Further trading algorithms and strategy components 4.4.1 Speed Advantage algorithms 4.4.2 Accuracy Advantage Algorithms 5 IMPACT OF ALGORITHMIC TRADING ON MARKET LIQUIDITY AND VOLATILITY 5.1 Market liquidity 5.1.1 Definition 5.1.2 Bid-Ask Spread 5.1.3 Dimensions of liquidity 5.1.4 The impact of algorithmic trading on market liquidity 5.2 Market volatility 5.2.1 Definition and characteristics of volatility 5.2.2 The impact of algorithmic trading on market volatility 6 CONCLUSION AND FUTURE DEVELOPMENTS OF ALGORITHMIC TRADING PUBLICATION BIBLIOGRAPHY DECLARATION OF HONOR

La réversion tumorale est un événement naturel qui conduit les cellules cancéreuses à retrouver spontanément un phénotype tumoral significativement atténué. Ce processus de reprogrammation cellulaire survient très rarement (au rythme d’une cellule par million), et suggère que des composés (petites molécules chimiques) seraient susceptibles de stimuler la réversion tumorale dans le but de constituer une nouvelle classe de médicaments novateurs pour soigner des patients atteints du cancer. Pour ce faire, la protéine TCTP (« Translationally Controlled Tumor Protein ») a été identifiée comme étant une cible moléculaire majeure dans la réversion tumorale. Par conséquent, identifier des composés capables de stimuler cette réversion, par inhibition de la protéine TCTP, constitue une nouvelle stratégie prometteuse dans le traitement des cancers.Dans ce contexte, ce projet de thèse vise à concevoir et synthétiser de nouveaux inhibiteurs de la protéine TCTP, des analogues de la sertraline, un médicament actuellement sur le marché en tant qu’antidépresseur, mais ayant montré une efficacité significative dans le phénomène de réversion tumorale. Dans un second temps, ces analogues seront testés lors de contrôles variés (affinité, cytotoxicité, processus ADMET, etc.) afin de déterminer un "pré-lead" qui sera finalement évalué in vivo. De plus, ces travaux de recherches sont aussi axés sur les optimisations des méthodes initialement utilisées, ainsi que le développement de nouvelles voies de synthèse innovantes pour la formation des inhibiteurs de la protéine TCTP. / Tumor reversion is a natural process that was discovered for the first time in the early 1960s. It is a biological phenomenon by which highly tumorigenic cells lose at great extent or entirely their malignant phenotype. This is a rare molecular program (one cell for a million cancer cells) which suggests that organic compounds could stimulate this process and form a new class of medicinal products susceptible to treat cancer patients. For those purposes, the translationally controlled tumor protein (TCTP) has been identified as a major therapeutic target of tumor reversion. Consequently, identification of products that are capable of stimulating this phenomenon, by TCTP inhibition, will constitute a promising new strategy for the treatment of the disease.In this context, the goal of this thesis is to design and synthesis new TCTP inhibitors, analogues of sertraline. This latter is a widely used antidepressive drug but it also shows significant efficacy throughout the tumor reversion program. In the second part, those analogues will undergo diverse biological essays (affinity, cytotoxicity, ADMET process…) in the aim of identifying a potential lead compound which will be evaluate under in vivo conditions. Moreover, this research is also focus on the optimizations of the first synthetic route and the development of innovative methods to access to those new TCTP inhibitors.

The purpose of this study is to examine whether the returns on the Stockholm Stock Exchange and its different sectors is mean reverting during the period 2003–2019. In addition to the examination of the entire period, the study also examines the periods before, during and after the global financial crisis. Daily, weekly and monthly data is used in combination with three different statistical methods in the form of ADF-tests, KPSS-tests and GPH-tests. The previous research conducted within the area yield different results but the tendency to find support for mean reversion increases during periods of economic uncertainty. The main standpoint used in previous literature and also this study is based on Famas (1970) publication about the efficient market hypothesis (EMH).  The results from the entire period are in line with the EMH where no robust indications for mean reversion is found neither for the specific sectors or the index itself. However, when the different periods are examined, in the period following the global financial crisis the healthcare and real estate sector show signs of mean reversion. In summary, the results show more support for mean reversion when the sectors are examined in relation to the entire Stockholm Stock Exchange. The conclusion based on these results is that an investor, in contrast to the EMH, can use the serial correlation in returns for these sectors as an indicator for when to buy and sell assets during periods as the one following the global financial crisis.