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.

Fluorescein and indocyanine-green angiography in ocular syphilis: an exploratory study.

BACKGROUND: Fluorescein (FA) and indocyanine-green angiography (ICGA) may offer valuable information concerning disease severity and prognosis in ocular syphilis. The aim of the present study is to describe angiographic patterns encountered in the context of ocular syphilis, and to explore the associations between specific angiographic manifestations and severity of disease presentation, as well as disease evolution after treatment. METHODS: We performed a retrospective institutional study with the inclusion of 23 patients with ocular syphilis presenting to the uveitis clinic of the Jules-Gonin Eye Hospital in a 10-year period. FA and ICGA were performed following a standard protocol for posterior uveitis. Patterns of fluorescence were noted, and statistical associations between each angiographic pattern and any demographic, clinical, or laboratory parameter at baseline and after treatment were sought. RESULTS: The presence of any dark dots in ICGA was significantly associated with anterior uveitis (p = 0.031). The presence of hot spots in ICGA was significantly associated with longer duration of symptoms prior to initial visit (p = 0.032) and with male gender (p = 0.012). Weak non-significant trends were found associating vascular staining in FA with anterior uveitis (p = 0.066), vitritis (p = 0.069), and younger age (p = 0.061), as well as disc hyperfluorescence in FA with seropositivity for HIV (p = 0.089) and macular edema in FA with longer disease duration (p = 0.061). The presence of any dark dots in ICGA exhibited a weak trend of association with anterior uveitis and/or vitritis (p = 0.079). CONCLUSIONS: Out of the several associations identified implicating specific angiographic features, we underline the possible role of the presence of dark dots in ICGA for identifying active inflammation, and the role of hot spots in ICGA as markers of long-standing disease. Vascular staining in FA appears to be more common in patients with severe ocular inflammation with presence of anterior uveitis and/or vitritis.

Four 13-lipoxygenases contribute to rapid jasmonate synthesis in wounded Arabidopsis thaliana leaves: a role for lipoxygenase 6 in responses to long-distance wound signals.

Damage-inducible defenses in plants are controlled in part by jasmonates, fatty acid-derived regulators that start to accumulate within 30 s of wounding a leaf. Using liquid chromatography-tandem mass spectrometry, we sought to identify the 13-lipoxygenases (13-LOXs) that initiate wound-induced jasmonate synthesis within a 190-s timeframe in Arabidopsis thaliana in 19 single, double, triple and quadruple mutant combinations derived from the four 13-LOX genes in this plant. All four 13-LOXs were found to contribute to jasmonate synthesis in wounded leaves: among them LOX6 showed a unique behavior. The relative contribution of LOX6 to jasmonate synthesis increased with distance from a leaf tip wound, and LOX6 was the only 13-LOX necessary for the initiation of early jasmonate synthesis in leaves distal to the wounded leaf. Herbivory assays that compared Spodoptera littoralis feeding on the lox2-1 lox3B lox4A lox6A quadruple mutant and the lox2-1 lox3B lox4A triple mutant revealed a role for LOX6 in defense of the shoot apical meristem. Consistent with this, we found that LOX6 promoter activity was strong in the apical region of rosettes. The LOX6 promoter was active in and near developing xylem cells and in expression domains we term subtrichomal mounds.

Long-term sequelae in children surviving adult respiratory distress syndrome.

Nine children surviving severe adult respiratory distress syndrome were studied 0.9 to 4.2 years after the acute illness. They had received artificial ventilation for a mean of 9.4 days, with an Fio2 greater than 0.5 during a mean time of 34 hours and maximal positive end expiratory pressure levels in the range of 8 to 20 cm H2O. Three children had recurrent respiratory symptoms (moderate exertional dyspnea and cough), and two had evidence of fibrosis on chest radiographs. All patients had abnormal lung function; the most prominent findings were ventilation inequalities, as judged by real-time moment ratio analysis of multibreath nitrogen washout curves (abnormal in eight of nine patients) and hypoxemia (seven of nine). Lung volumes were less abnormal; one patient had restrictive and two had obstructive disease. A significant correlation between intensive care measures (Fio2 greater than 0.5 in hours and peak inspiratory plateau pressure) and lung function abnormalities (moment ratio analysis and hypoxemia) was found. A possibly increased susceptibility of the pediatric age group to the primary insult or respiratory therapy of adult respiratory distress syndrome is suggested.

Higher CNS penetration-effectiveness of long-term combination antiretroviral therapy is associated with better HIV-1 viral suppression in cerebrospinal fluid.

OBJECTIVES: To determine HIV-1 RNA in cerebrospinal fluid (CSF) of successfully treated patients and to evaluate if combination antiretroviral treatments with higher central nervous system penetration-effectiveness (CPE) achieve better CSF viral suppression. METHODS: Viral loads (VLs) and drug concentrations of lopinavir, atazanavir, and efavirenz were measured in plasma and CSF. The CPE was calculated using 2 different methods. RESULTS: The authors analyzed 87 CSF samples of 60 patients. In 4 CSF samples, HIV-1 RNA was detectable with 43-82 copies per milliliter. Median CPE in patients with detectable CSF VL was significantly lower compared with individuals with undetectable VL: CPE of 1.0 (range, 1.0-1.5) versus 2.3 (range, 1.0-3.5) using the method of 2008 (P = 0.011) and CPE of 6 (range, 6-8) versus 8 (range, 5-12) using the method of 2010 (P = 0.022). The extrapolated CSF trough levels for atazanavir (n = 12) were clearly above the 50% inhibitory concentration (IC50) in only 25% of samples; both patients on atazanavir/ritonavir with detectable CSF HIV-1 RNA had trough levels in the range of the presumed IC50. The extrapolated CSF trough level for lopinavir (n = 42) and efavirenz (n = 18) were above the IC50 in 98% and 78%, respectively, of samples, including the patients with detectable CSF HIV-1 RNA. CONCLUSIONS: This study suggests that treatment regimens with high intracerebral efficacy reflected by a high CPE score are essential to achieve CSF HIV-1 RNA suppression. The CPE score including all drug components was a better predictor for treatment failure in the CSF than the sole concentrations of protease inhibitor or nonnucleoside reverse transcriptase inhibitor in plasma or CSF.

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.

Long-term data from the swiss pulmonary hypertension registry.

BACKGROUND: Registries are important for real-life epidemiology on different pulmonary hypertension (PH) groups. OBJECTIVE: To provide long-term data of the Swiss PH registry of 1998-2012. METHODS: PH patients have been classified into 5 groups and registered upon written informed consent at 5 university and 8 associated hospitals since 1998. New York Heart Association (NYHA) class, 6-min walk distance, hemodynamics and therapy were registered at baseline. Patients were regularly followed, and therapy and events (death, transplantation, endarterectomy or loss to follow-up) registered. The data were stratified according to the time of diagnosis into prevalent before 2000 and incident during 2000-2004, 2005-2008 and 2009-2012. RESULTS: From 996 (53% female) PH patients, 549 had pulmonary arterial hypertension (PAH), 36 PH due to left heart disease, 127 due to lung disease, 249 to chronic thromboembolic PH (CTEPH) and 35 to miscellaneous PH. Age and BMI significantly increased over time, whereas hemodynamic severity decreased. Overall, event-free survival was 84, 72, 64 and 58% for the years 1-4 and similar for time periods since 2000, but better during the more recent periods for PAH and CTEPH. Of all PAH cases, 89% had target medical therapy and 43% combination therapy. Of CTEPH patients, 14 and 2% underwent pulmonary endarterectomy or transplantation, respectively; 87% were treated with PAH target therapy. CONCLUSION: Since 2000, the incident Swiss PH patients registered were older, hemodynamically better and mostly treated with PAH target therapies. Survival has been better for PAH and CTEPH diagnosed since 2008 compared with earlier diagnosis or other classifications.

Adaptive frequency tracking of the baseline ECG identifies the site of atrial fibrillation termination by catheter ablation

Multiple organization indices have been used to predict the outcome of stepwise catheter ablation in long-standing persistent atrial fibrillation (AF), however with limited success. Our study aims at developinginnovative organization indices from baseline ECG (i.e. during the procedure, before ablation) in orderto identify the site of AF termination by catheter ablation. Seventeen consecutive male patients (age60 ± 5 years, AF duration 7 ± 5 years) underwent a stepwise catheter ablation. Chest lead V6 was placedin the back (V6b). QRST cancelation was performed from chest leads V1 to V6b. Using an innovativeadaptive harmonic frequency tracking, two measures of AF organization were computed to quantify theharmonics components of ECG activity: (1) the adaptive phase difference variance (APD) between theAF harmonic components as a measure of AF regularity, and (2) and adaptive organization index (AOI)evaluating the cyclicity of the AF oscillations. Both adaptive indices were compared to indices computedusing a time-invariant approach: (1) ECG AF cycle length (AFCL), (2) the spectrum based organizationindex (OI), and (3) the time-invariant phase difference TIPD. Long-standing persistent AF was terminatedinto sinus rhythm or atrial tachycardia in 13/17 patients during stepwise ablation, 11 during left atriumablation (left terminated patients - LT), 2 during the right atrium ablation (right terminated patients -RT), and 4 were non terminated (NT) and required electrical cardioversion. Our findings showed that LTpatients were best separated from RT/NT before ablation by the duration of sustained AF and by AOI onchest lead V1 and APD from the dorsal lead V6b as compared to ECG AFCL, OI and TIPD, respectively. Ourresults suggest that adaptive measures of AF organization computed before ablation perform better thantime-invariant based indices for identifying patients whose AF will terminate during ablation within theleft atrium. These findings are indicative of a higher baseline organization in these patients that could beused to select candidates for the termination of AF by stepwise catheter ablation.© 2013 Elsevier Ltd. All rights reserved.

Diet and breeding success of long-eared owls in a semi-arid environment

Only a few studies, and mostly in temperate climates in Europe, have examined the breeding and diet of long-eared owls (Asia otus) compared to studies of cavity-breeding owls, possibly because of the difficulties in reaching the nests of the former. Here we studied a population of long-eared owls, monitoring the diet of breeding owls and that of owls at a communal roost, every two to three months during 2006 -2009, in a semi-arid region in Israel. It was found that the studied owls produced more young than in most countries in Europe. Diet was not associated with breeding parameters of the owls, whereas laying date was negatively correlated with both clutch size and number of nestlings. We found that more social voles (Microtus socialis) and fewer birds and house mice (Mus musculus) made up the diet at nests than that of adults at the roosts. The diet and breeding of long-eared owls in Israel differ from that in Europe, with birds and mice comprising an important part of the diet, in addition to voles.

Pharmacogenetic Study on Risperidone Long-Acting Injection: Influence of Cytochrome P450 2D6 and Pregnane X Receptor on Risperidone Exposure and Drug-Induced Side-Effects.

Risperidone is metabolized by polymorphic enzymes, and a large variability in plasma concentration and therapeutic response is observed. Risperidone long-acting injection (RLAI) avoids the first-pass effect, and little is known about the influence of gene polymorphisms involved in its pharmacokinetics. The influence on plasma concentrations of risperidone (RIS), its metabolite 9-hydroxy-risperidone, and on adverse effects were investigated for polymorphisms of cytochrome P450 2D6 (CYP2D6) (*3, *4, *5, *6), CYP3A (CYP3A4*1B, CYP3A4 rs4646437, CYP3A5*3, CYP3A7*1C), ABCB1 (1236C>T, 2677G>T, 3435C>T), NR1/2 coding for pregnane X receptor (rs1523130, rs2472677, rs7643645), and for CYP3A activity measured by a phenotyping test. Forty-two patients with at least 4 consecutive unchanged doses of RLAI were included in a multicenter cross-sectional study. A 55% lower dose-adjusted plasma levels of RIS were observed for CYP2D6 ultrarapid metabolizers (n = 5) as compared with CYP2D6 intermediate metabolizers (P < 0.007). NR1/2 polymorphism (rs7643645A>G) influenced RIS exposure with a 2.8-fold lower active moiety (P = 0.031) in GG compared with the AA genotype. This was confirmed in a second independent cohort (n = 16). Furthermore, high-density lipoprotein cholesterol was positively correlated with CYP3A activity (P = 0.01), and the NR1/2 (rs2472677) polymorphism was associated with different adverse effects including prolactin plasma levels adjusted for age and sex. In conclusion, our results confirmed the influence of CYP2D6 genotype on plasma levels of RIS. This is the first report on the influence of NR1/2 polymorphisms on RLAI exposure and on drug-induced adverse effects. These results should be validated in larger cohorts.

Coexistence of specialist and generalist species is shaped by dispersal and environmental factors.

Disentangling the mechanisms mediating the coexistence of habitat specialists and generalists has been a long-standing subject of investigation. However, the roles of species traits and environmental and spatial factors have not been assessed in a unifying theoretical framework. Theory suggests that specialist species are more competitive in natural communities. However, empirical work has shown that specialist species are declining worldwide due to habitat loss and fragmentation. We addressed the question of the coexistence of specialist and generalist species with a spatially explicit metacommunity model in continuous and heterogeneous environments. We characterized how species' dispersal abilities, the number of interacting species, environmental spatial autocorrelation, and disturbance impact community composition. Our results demonstrated that species' dispersal ability and the number of interacting species had a drastic influence on the composition of metacommunities. More specialized species coexisted when species had large dispersal abilities and when the number of interacting species was high. Disturbance selected against highly specialized species, whereas environmental spatial autocorrelation had a marginal impact. Interestingly, species richness and niche breadth were mainly positively correlated at the community scale but were negatively correlated at the metacommunity scale. Numerous diversely specialized species can thus coexist, but both species' intrinsic traits and environmental factors interact to shape the specialization signatures of communities at both the local and global scales.

Endovascular abdominal aneurysm repair and impact of systematic preoperative embolization of collateral arteries: endoleak analysis and long-term follow-up.

PURPOSE: To report our results of endovascular aneurysm repair (EVAR) over a 10-year period using systematic preoperative collateral artery embolization. METHODS: From 1999 until 2009, 124 patients (117 men; mean age 70.8 years) with abdominal aortic aneurysm (AAA) underwent embolization of patent lumbar and/or inferior mesenteric arteries prior to elective EVAR procedures. Embolization was systematically attempted and, whenever possible, performed using microcoils and a coaxial technique. Follow-up included computed tomography and/or magnetic resonance imaging and abdominal radiography. RESULTS: The technical success for EVAR was 96% (119/124), with 4 patients dying within 30 days (3.2% perioperative mortality) and 1 type III endoleak accounting for the failures. Collateral arteries were occluded spontaneously or by embolization in 60 (48%) of 124 patients. The endoleak rate was 50.9% (74 in 61 patients), most of which were type II (19%). Over a mean clinical follow-up of 60.5±34.1 months (range 1-144), aneurysm sac dimensions decreased in 66 patients, increased in 19 patients, and were stable in 35. The endoleak rate was significantly higher in the patients with increasing sac diameter (p<0.001). Among the patients with patent collateral arteries, 38/64 (59.3%) developed 46 leaks, while 28 leaks appeared in 23 (41%) of 56 patients with collateral artery occlusion (p=0.069). The type II endoleak rate significantly differed between these two groups (47.8% vs. 3.6%, p<0.001). CONCLUSION: Preoperative collateral embolization seems to be a valid method of reducing the incidence of type II endoleak, improving the long-term outcome.

Anemia on admission predicts short- and long-term outcomes in patients with acute ischemic stroke.

BACKGROUND: It is still debatable whether anemia predicts stroke outcome. AIM: To describe the characteristics of patients with acute ischemic stroke (AIS) and anemia and identify whether hemoglobin status on admission is a prognostic factor of AIS outcome. METHODS: All 2439 patients of the Acute Stroke Registry and Analysis of Lausanne (ASTRAL) between January 2003 and June 2011 were selected. Demographics, risk factors, prestroke treatment, clinical, radiological and metabolic variables in patients with and without anemia according to the definition of the World Health Organization were compared. Functional disability and mortality were recorded up to 12 months from admission. RESULTS: Anemic patients (17.5%) were older, had lower body mass index, higher rates of coronary artery disease (CAD), atrial fibrillation, diabetes mellitus and peripheral artery disease. Anemia was associated with more severe stroke manifestations, lower systolic and diastolic blood pressure measurements, worse estimated glomerular filtration rate and elevated C-reactive protein concentrations upon admission and with increased modified Rankin scores during the follow-up. Anemic patients had higher 7-day, 3-month and 12-month mortality, which was associated with hemoglobin status and other factors, including age, CAD, stroke severity, and baseline C-reactive levels. Hemoglobin levels were inversely associated with recurrent stroke and mortality throughout the 12-month follow-up. CONCLUSION: Anemia is common among AIS patients and is associated with cardiovascular comorbidities. Low hemoglobin status independently predicts short and long-term mortality.

A system to measure the kinematics during the entire ski jump sequence using inertial sensors.

Three-dimensional analysis of the entire sequence in ski jumping is recommended when studying the kinematics or evaluating performance. Camera-based systems which allow three-dimensional kinematics measurement are complex to set-up and require extensive post-processing, usually limiting ski jumping analyses to small numbers of jumps. In this study, a simple method using a wearable inertial sensors-based system is described to measure the orientation of the lower-body segments (sacrum, thighs, shanks) and skis during the entire jump sequence. This new method combines the fusion of inertial signals and biomechanical constraints of ski jumping. Its performance was evaluated in terms of validity and sensitivity to different performances based on 22 athletes monitored during daily training. The validity of the method was assessed by comparing the inclination of the ski and the slope at landing point and reported an error of -0.2±4.8°. The validity was also assessed by comparison of characteristic angles obtained with the proposed system and reference values in the literature; the differences were smaller than 6° for 75% of the angles and smaller than 15° for 90% of the angles. The sensitivity to different performances was evaluated by comparing the angles between two groups of athletes with different jump lengths and by assessing the association between angles and jump lengths. The differences of technique observed between athletes and the associations with jumps length agreed with the literature. In conclusion, these results suggest that this system is a promising tool for a generalization of three-dimensional kinematics analysis in ski jumping.

Use of long-term suppressive acyclovir after hematopoietic stem-cell transplantation: impact on herpes simplex virus (HSV) disease and drug-resistant HSV disease.

The effect that long-term use of suppressive acyclovir (ACV) has on both overall herpes simplex virus (HSV) disease and ACV-resistant HSV disease was examined in 3 consecutive cohorts of hematopoietic stem-cell transplant (HCT) recipients (n=2049); cohort 1 received ACV for 30 days after HCT, cohort 2 received it for 1 year after HCT, and cohort 3 received it for an extended period (i.e., >1 year) if the patient's immunosuppression continued after 1 year. The 2-year probability of HSV disease was 31.6% (95% confidence interval [CI], 28.0%-35%) in cohort 1, 3.9% (95% CI, 2.7%-5.2%) in cohort 2, and 0% in cohort 3 (P<.001). ACV-resistant HSV disease developed in 10 patients in cohort 1 (2-year probability, 1.3% [95% CI, 0.8%-2.7%]), in 2 patients in cohort 2 (2-year probability, 0.2% [95% CI, 0%-0.8%]; P=.006), and in 0 patients in cohort 3 (cohort 2 vs. cohort 3, P=.3). Long-term use of suppressive prophylactic ACV appears to prevent the emergence of drug-resistant HSV disease in HCT.