Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

Registries in rheumatological and musculoskeletal conditions. Paediatric Behçet's disease: an international cohort study of 110 patients. One-year follow-up data.

OBJECTIVE: To set-up an international cohort of patients suspected with Behçet's disease (BD). The cohort is aimed at defining an algorithm for definition of the disease in children. METHODS: International experts have defined the inclusion criteria as follows: recurrent oral aphthosis (ROA) plus one of following-genital ulceration, erythema nodosum, folliculitis, pustulous/acneiform lesions, positive pathergy test, uveitis, venous/arterial thrombosis and family history of BD. Onset of disease is <16 years, disease duration is ≤3 years, future follow-up duration is ≥4 years and informed consent is obtained. The expert committee has classified the included patients into: definite paediatric BD (PED-BD), probable PED-BD and no PED-BD. Statistical analysis is performed to compare the three groups of patients. Centres document their patients into a single database. RESULTS: At January 2010, 110 patients (56 males/54 females) have been included. Mean age at first symptom: 8.1 years (median 8.2 years). At inclusion, 38% had only one symptom associated with ROA, 31% had two and 31% had three or more symptoms. A total of 106 first evaluations have been done. Seventeen patients underwent the first-year evaluation, and 36 had no new symptoms, 12 had one and 9 had two. Experts have examined 48 files and classified 30 as definite and 18 as probable. Twenty-six patients classified as definite fulfilled the International Study Group criteria. Seventeen patients classified as probable did not meet the international criteria. CONCLUSION: The expert committee has classified the majority of patients in the BD group although they presented with few symptoms independently of BD classification criteria.

Fuel metabolism during exercise in euglycaemia and hyperglycaemia in patients with type 1 diabetes mellitus--a prospective single-blinded randomised crossover trial.

Aims/hypothesis We assessed systemic and local muscle fuel metabolism during aerobic exercise in patients with type I diabetes at euglycaemia and hyperglycaemia with identical insulin levels.Methods This was a single-blinded randomised crossover study at a university diabetes unit in Switzerland. We studied seven physically active men with type I diabetes (mean +/- SEM age 33.5 +/- 2.4 years, diabetes duration 20.1 +/- 3.6 years, HbA(1c) 6.7 +/- 0.2% and peak oxygen uptake [VO2peak] 50.3 +/- 4.5 ml min(-1) kg(-1)). Men were studied twice while cycling for 120 min at 55 to 60% of VO2peak, with a blood glucose level randomly set either at 5 or 11 mmol/l and identical insulinaemia. The participants were blinded to the glycaemic level; allocation concealment was by opaque, sealed envelopes. Magnetic resonance spectroscopy was used to quantify intramyocellular glycogen and lipids before and after exercise. Indirect calorimetry and measurement of stable isotopes and counter-regulatory hormones complemented the assessment of local and systemic fuel metabolism.Results The contribution of lipid oxidation to overall energy metabolism was higher in euglycaemia than in hyperglycaemia (49.4 +/- 4.8 vs 30.6 +/- 4.2%; p<0.05). Carbohydrate oxidation accounted for 48.2 +/- 4.7 and 66.6 +/- 4.2% of total energy expenditure in euglycaemia and hyperglycaemia, respectively (p<0.05). The level of intramyocellular glycogen before exercise was higher in hyperglycaemia than in euglycaemia (3.4 +/- 0.3 vs 2.7 +/- 0.2 arbitrary units [AU]; p<0.05). Absolute glycogen consumption tended to be higher in hyperglycaemia than in euglycaemia (1.3 +/- 0.3 vs 0.9 +/- 0.1 AU). Cortisol and growth hormone increased more strongly in euglycaemia than in hyperglycaemia (levels at the end of exercise 634 52 vs 501 +/- 32 nmol/l and 15.5 +/- 4.5 vs 7.4 +/- 2.0 ng/ml, respectively; p<0.05).Conclusions/interpretation Substrate oxidation in type I diabetic patients performing aerobic exercise in euglycaemia is similar to that in healthy individuals revealing a shift towards lipid oxidation during exercise. In hyperglycaemia fuel metabolism in these patients is dominated by carbohydrate oxidation. Intramyocellular glycogen was not spared in hyperglycaemia.

Long-term safety and effectiveness of ritonavir, nelfinavir, and lopinavir/ritonavir in antiretroviral-experienced HIV-infected children.

AIM: To evaluate the long-term safety and effectiveness of ritonavir, nelfinavir, and lopinavir/ritonavir in antiretroviral-experienced, initially protease inhibitor (PI)-naive, human immunodeficiency virus (HIV)-1-infected children. METHODS: HIV-1-infected children enrolled in the Swiss Mother and Child HIV Cohort Study were eligible for this observational cohort study if they received at least 1 PI of interest between March 1996 and October 2003: ritonavir, nelfinavir, or lopinavir/ritonavir. Data regarding demographics, clinical disease and antiretroviral treatment history, HIV-1 RNA copies/mL, CD4 T-cell counts [absolute (cells/microL) and percentages (%)], adverse events, clinical laboratory values, reasons for discontinuation of PIs, and concomitant medications were extracted from the database for PI-naive (first-line) and PI-experienced (second- or higher-line) PI use. RESULTS: The total duration of ritonavir, nelfinavir, and lopinavir/ritonavir use for 133 HIV-1-infected children was 163.8, 235.0, and 46.1 patient-years, respectively. In an on-treatment analysis, first-line therapy with any of the PIs significantly reduced HIV-1 concentrations and increased CD4 T-cell counts and percentages from baseline throughout the 288-week study (P <or= 0.05) for ritonavir and nelfinavir and throughout 84 weeks of use for lopinavir/ritonavir, which was introduced into treatment more recently. All PIs investigated were most effective in PI-naive children. Thirteen PI-associated toxicities occurred requiring treatment changes or interruptions (neurologic symptoms, n = 2; pancreatitis, n = 1; allergic reactions, n = 4; visual symptoms, n = 3; and hyperlipidemia, n = 3). CONCLUSIONS: Long-term PI-based therapy seems to be safe and to result in durable virologic and immunologic effectiveness in HIV-1-infected antiretroviral-experienced children.

Development of the Crohn's disease digestive damage score, the Lémann score.

Crohn's disease (CD) is a chronic progressive destructive disease. Currently available instruments measure disease activity at a specific point in time. An instrument to measure cumulative structural damage to the bowel, which may predict long-term disability, is needed. The aim of this article is to outline the methods to develop an instrument that can measure cumulative bowel damage. The project is being conducted by the International Program to develop New Indexes in Crohn's disease (IPNIC) group. This instrument, called the Crohn's Disease Digestive Damage Score (the Lémann score), should take into account damage location, severity, extent, progression, and reversibility, as measured by diagnostic imaging modalities and the history of surgical resection. It should not be "diagnostic modality driven": for each lesion and location, a modality appropriate for the anatomic site (for example: computed tomography or magnetic resonance imaging enterography, and colonoscopy) will be used. A total of 24 centers from 15 countries will be involved in a cross-sectional study, which will include up to 240 patients with stratification according to disease location and duration. At least 120 additional patients will be included in the study to validate the score. The Lémann score is expected to be able to portray a patient's disease course on a double-axis graph, with time as the x-axis, bowel damage severity as the y-axis, and the slope of the line connecting data points as a measure of disease progression. This instrument could be used to assess the effect of various medical therapies on the progression of bowel damage. (Inflamm Bowel Dis 2011).

Symptom-triggered vs fixed-schedule doses of benzodiazepine for alcohol withdrawal: a randomized treatment trial.

BACKGROUND: In alcohol withdrawal, fixed doses of benzodiazepine are generally recommended as a first-line pharmacologic approach. This study determines the benefits of an individualized treatment regimen on the quantity of benzodiazepine administered and the duration of its use during alcohol withdrawal treatment. METHODS: We conducted a prospective, randomized, double-blind, controlled trial including 117 consecutive patients with alcohol dependence, according to the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition, entering an alcohol treatment program at both the Lausanne and Geneva university hospitals, Switzerland. Patients were randomized into 2 groups: (1) 56 were treated with oxazepam in response to the development of signs of alcohol withdrawal (symptom-triggered); and (2) 61 were treated with oxazepam every 6 hours with additional doses as needed (fixed-schedule). The administration of oxazepam in group 1 and additional oxazepam in group 2 was determined using a standardized measure of alcohol withdrawal. The main outcome measures were the total amount and duration of treatment with oxazepam, the incidence of complications, and the comfort level. RESULTS: A total of 22 patients (39%) in the symptom-triggered group were treated with oxazepam vs 100% in the fixed-schedule group (P<.001). The mean oxazepam dose administered in the symptom-triggered group was 37.5 mg compared with 231.4 mg in the fixed-schedule group (P<.001). The mean duration of oxazepam treatment was 20.0 hours in the symptom-triggered group vs 62.7 hours in the fixed-schedule group (P<.001). Withdrawal complications were limited to a single episode of seizures in the symptom-triggered group. There were no differences in the measures of comfort between the 2 groups. CONCLUSIONS: Symptom-triggered benzodiazepine treatment for alcohol withdrawal is safe, comfortable, and associated with a decrease in the quantity of medication and duration of treatment.

Incidents occuring during anesthesia for total hip arthroplasty: a comparison of general versus regional anaesthesia

Background: The type of anesthesia to be used for total hip arthroplasty (THA) is still a matter of debate. We compared the occurrence of per- and post-anesthesia incidents in patients receiving either general (GA) or regional anesthesia (RA). Methods: We used data from 29 hospitals, routinely collected in the Anaesthesia Databank Switzerland register between January 2001 and December 2003. We used multi-level logistic regression models. Results: There were more per- and post-anesthesia incidents under GA compared to RA (35.1% vs 32.7 %, n = 3191, and 23.1% vs 19.4%, n = 3258, respectively). In multi-level logistic regression analysis, RA was significantly associated with a lower incidence of per-anesthetic problems, especially hypertension, compared with GA. During the post-anesthetic period, RA was also less associated with pain. Conversely, RA was more associated with post-anesthetic hypotension, especially for epidural technique. In addition, age and ASA were more associated with incidents under GA compared to RA. Men were more associated with per-anesthetic problems under RA compared to GA. Whereas increased age (>67), gender (male), and ASA were linked with the choice of RA, we noticed that this choice depended also on hospital practices after we adjusted for the other variables. Conclusions: Compared to RA, GA was associated with an increased proportion of per- and post-anesthesia incidents. Although this study is only observational, it is rooted in daily practice. Whereas RA might be routinely proposed, GA might be indicated because of contraindications to RA, patients' preferences or other surgical or anaesthesiology related reasons. Finally, the choice of a type of anesthesia seems to depend on local practices that may differ between hospitals.

Free β-human chorionic gonadotropin, total human chorionic gonadotropin and maternal risk of breast cancer.

BACKGROUND: We investigated whether the free β-human chorionic gonadotropin (free β-hCG) would provide additional information to that provided by total hCG alone and thus be useful in future epidemiological studies relating hCG to maternal breast cancer risk. MATERIALS & METHODS: Cases (n = 159) and controls (n = 286) were a subset of our previous study within the Northern Sweden Maternity Cohort on total hCG during primiparous pregnancy and breast cancer risk. RESULTS: The associations between total hCG (hazard ratio: 0.79; 95% CI: 0.49-1.27), free β-hCG (hazard ratio: 0.85; 95% CI: 0.33-2.18) and maternal risk of breast cancer were very similar in all analyses and mutual adjustment for either one had minor effects on the risk estimates. CONCLUSION: In the absence of a reliable assay on intact hCG, total hCG alone can be used in epidemiological studies investigating hCG and breast cancer risk, as free β-hCG does not appear to provide any additional information.

Use of recombinant tissue plasminogen activator in children with meningococcal purpura fulminans: a retrospective study.

OBJECTIVE: Meningococcal disease causes septic shock with associated disseminated intravascular coagulation and hemorrhagic skin necrosis. In severe cases, widespread vascular thrombosis leads to gangrene of limbs and digits and contributes to morbidity and mortality. Uncontrolled case reports have suggested that thrombolytic therapy may prevent some complications, and the use of tissue plasminogen activator (t-PA) has been widespread. Our aim was to summarize the clinical outcome and adverse effects where systemic t-PA has been used to treat children with fulminant meningococcemia. DESIGN: International, multiple-center, retrospective, observational case note study between January 1992 and June 2000. SETTING: Twenty-four different hospitals in seven European countries and Australia. PATIENTS: A total of 62 consecutive infants and children with severe meningococcal sepsis in whom t-PA was used for the treatment of predicted amputations and/or refractory shock (40 to treat severe ischemia, 12 to treat shock, and ten to treat both). INTERVENTIONS: t-PA was administered with a median dose of 0.3 mg.kg(-1).hr(-1) (range, 0.008-1.13) and a median duration of 9 hrs (range, 1.2-83). MAIN RESULTS: Twenty-nine of 62 patients died (47%; 95% confidence interval, 28-65). Seventeen of 33 survivors had amputations (11 below knee/elbow or greater loss; six less severe). In 12 of 50 patients to whom t-PA was given for imminent amputation, no amputations were observed. Five developed intracerebral hemorrhages (five of 62, 8%; 95% confidence interval, 0.5-16). Of these five, three died, one developed a persistent hemiparesis, and one recovered completely. CONCLUSIONS: The high incidence of intracerebral hemorrhage in our study raises concerns about the safety of t-PA in children with fulminant meningococcemia. However, due to the absence of a control group in such a severe subset of patients, whether t-PA is beneficial or harmful cannot be answered from the unrestricted use of the drug that is described in this report. Our experience highlights the need to avoid strategies that use experimental drugs in an uncontrolled fashion and to participate in multiple-center trials, which are inevitably required to study rare diseases.

Brain Tissue Hypoxia is a Strong Predictor of Outcome after Severe Traumatic Brain Injury Independent from Elevated Intracranial Pressure

Introduction: Low brain tissue oxygen pressure (PbtO2) is associated with worse outcome in patients with severe traumatic brain injury (TBI). However, it is unclear whether brain tissue hypoxia is merely a marker of injury severity or a predictor of prognosis, independent from intracranial pressure (ICP) and injury severity. Hypothesis: We hypothesized that brain tissue hypoxia was an independent predictor of outcome in patients wih severe TBI, irrespective of elevated ICP and of the severity of cerebral and systemic injury. Methods: This observational study was conducted at the Neurological ICU, Hospital of the University of Pennsylvania, an academic level I trauma center. Patients admitted with severe TBI who had PbtO2 and ICP monitoring were included in the study. PbtO2, ICP, mean arterial pressure (MAP) and cerebral perfusion pressure (CPP = MAP-ICP) were monitored continuously and recorded prospectively every 30 min. Using linear interpolation, duration and cumulative dose (area under the curve, AUC) of brain tissue hypoxia (PbtO2 < 15 mm Hg), elevated ICP >20 mm Hg and low CPP <60 mm Hg were calculated, and the association with outcome at hospital discharge, dichotomized as good (Glasgow Outcome Score [GOS] 4-5) vs. poor (GOS 1-3), was analyzed. Results: A total of 103 consecutive patients, monitored for an average of 5 days, was studied. Brain tissue hypoxia was observed in 66 (64%) patients despite ICP was < 20 mm Hg and CPP > 60 mm Hg (72 +/- 39% and 49 +/- 41% of brain hypoxic time, respectively). Compared with patients with good outcome, those with poor outcome had a longer duration of brain hypoxia (1.7 +/- 3.7 vs. 8.3 +/- 15.9 hrs, P<0.01), as well as a longer duration (11.5 +/- 16.5 vs. 21.6 +/- 29.6 hrs, P=0.03) and a greater cumulative dose (56 +/- 93 vs. 143 +/- 218 mm Hg*hrs, P<0.01) of elevated ICP. By multivariable logistic regression, admission Glasgow Coma Scale (OR, 0.83, 95% CI: 0.70-0.99, P=0.04), Marshall CT score (OR 2.42, 95% CI: 1.42-4.11, P<0.01), APACHE II (OR 1.20, 95% CI: 1.03-1.43, P=0.03), and the duration of brain tissue hypoxia (OR 1.13; 95% CI: 1.01-1.27; P=0.04) were all significantly associated with poor outcome. No independent association was found between the AUC for elevated ICP and outcome (OR 1.01, 95% CI 0.97-1.02, P=0.11) in our prospective cohort. Conclusions: In patients with severe TBI, brain tissue hypoxia is frequent, despite normal ICP and CPP, and is associated with poor outcome, independent of intracranial hypertension and the severity of cerebral and systemic injury. Our findings indicate that PbtO2 is a strong physiologic prognostic marker after TBI. Further study is warranted to examine whether PbtO2-directed therapy improves outcome in severely head-injured patients .

Effect of tibial tray inclination on the femoro-tibial contact pattern of a mobile total knee arthroplasty

Introduction: The posterior inclination of the tibial component is an important factor that can affect the success of total knee arthroplasty. It can reduce the posterior impingement and thus increase the range of flexion, but it may also induce instability in flexion, anterior impingement between the polyethylene of postero-stabilizing knee prosthesis, and anterior conflict with the cortical bone and the stem. Although the problem is identified, there is still a debate on the ideal inclination angle and the surgical technique to avoid an excessive posterior inclination. The aim of this study was to predict the effect of a posterior inclination of the tibial component on the contact pattern on the tibial insert, using a numerical musculoskeletal model of the knee joint. Methods: A 3D finite element model of the knee joint was developed to simulate an active and loaded squat movement after total knee arthroplasty. Flexion was actively controlled by the quadriceps muscle and muscle activations were estimated from EMG data and were synchronized by a feedback algorithm. Two inclinations of the tibial tray were considered: a posterior inclination of 0° or 10°. During the entire range of flexion, the following quantities were calculated: the tibiofemoral and patello-femoral contact force, and the contact pattern on polyethylene insert. The antero-posterior displacement of the contact pattern was also measured. Abaqus 6.7 was used for all analyses. Results: The tibio-femoral and patello-femoral contact forces increased during flexion and reached respectively 4 and 7 BW (bodyweight) at 90° of flexion. They were slightly affected by the inclination of the tibial tray. Without posterior inclination, the contact pattern on the tibial insert remained centered. The contact pressure was lower than 5 MPa below 60° of flexion, but exceeded 20 MPa at 90° of flexion. The posterior inclination displaced the contact point posteriorly by 2 to 4 mm. Conclusion: The inclination of the tibial tray displaced the contactpattern towards the posterior border of the tibial insert. However, even for 10° of inclination, the contact center remained far from the posterior border (12 mm). There was no instability predicted for this movement.

Equilibrium Unemployment and the Duration of Unemployment Benefits

This paper uses microdata to evaluate the impact on the steady-state unemployment rate of an increase in maximum benefit duration. We evaluate a policy change in Austria that extended maximum benefit duration and use this policy change to estimate the causal impact of benefit duration on labor market flows. We find that the policy change leads to a significant increase in the steady-state unemployment rate and, surprisingly, most of this increase is due to an increase in the inflow into rather than the outflow from unemployment.