The evolution of helping and harming on graphs: the return of the inclusive fitness effect.

Evolutionary graph theory has been proposed as providing new fundamental rules for the evolution of co-operation and altruism. But how do these results relate to those of inclusive fitness theory? Here, we carry out a retrospective analysis of the models for the evolution of helping on graphs of Ohtsuki et al. [Nature (2006) 441, 502] and Ohtsuki & Nowak [Proc. R. Soc. Lond. Ser. B Biol. Sci (2006) 273, 2249]. We show that it is possible to translate evolutionary graph theory models into classical kin selection models without disturbing at all the mathematics describing the net effect of selection on helping. Model analysis further demonstrates that costly helping evolves on graphs through limited dispersal and overlapping generations. These two factors are well known to promote relatedness between interacting individuals in spatially structured populations. By allowing more than one individual to live at each node of the graph and by allowing interactions to vary with the distance between nodes, our inclusive fitness model allows us to consider a wider range of biological scenarios leading to the evolution of both helping and harming behaviours on graphs.

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.

INTERMED predicts non-return to work in an occupational rehabilitation setting for individuals with orthopaedic trauma-Part I

Introduction.- Knowledge of predictors of an unfavourable outcome, e.g. non-return to work after an injury enables to identify patients at risk and to target interventions for modifiable predictors. It has been recently shown that INTERMED; a tool to measure biopsychosocial complexity in four domains (biologic, psychologic, social and care, with a score between 0-60 points) can be useful in this context. The aim of this study was to set up a predictive model for non-return to work using INTERMED in patients in vocational rehabilitation after orthopaedic injury.Patients and methods.- In this longitudinal prospective study, the cohort consisted of 2156 consecutively included inpatients with orthopaedic trauma attending a rehabilitation hospital after a work, traffic or sport related injury. Two years after discharge, a questionnaire regarding return to work was sent (1502 returned their questionnaires). In addition to INTERMED, 18 predictors known at baseline of the rehabilitation were selected based on previous research. A multivariable logistic regression was performed.Results.- In the multivariate model, not-returning to work at 2 years was significantly predicted by the INTERMED: odds-ratio (OR) 1.08 (95% confidence interval, CI [1.06; 1.11]) for a one point increase in scale; by qualified work-status before the injury OR = 0.74, CI (0.54; 0.99), by using French as preferred language OR = 0.60, CI (0.45; 0.80), by upper-extremity injury OR = 1.37, CI (1.03; 1.81), by higher education (> 9 years) OR = 0.74, CI (0.55; 1.00), and by a 10 year increase in age OR = 1.15, CI (1.02; 1.29). The area under the receiver-operator-characteristics curve (ROC)-curve was 0.733 for the full model (INTERMED plus 18 variables).Discussion.- These results confirm that the total score of the INTERMED is a significant predictor for return to work. The full model with 18 predictors combined with the total score of INTERMED has good predictive value. However, the number of variables (19) to measure is high for the use as screening tool in a clinic.

Comparative socio-economic evaluation of IBD patients with and without infliximab maintenance therapy

Background: The anti-TNFα agent Infliximab (IFX) is used for the treatment of moderate to severe inflammatory bowel disease (IBD) with insufficient response to conventional immunomodulator therapy. IFX maintenance therapy is expensive and it is unknown if indirect costs (eg. by loss of work productivity) can be reduced by this therapy. Goal: to evaluate the direct and indirect costs of an IBD patient cohort under maintenance IFX compared to a cohort under "conventional" immunomodulator therapy. Methods: Direct and indirect costs of an IBD cohort under IFX and a reference cohort (similar disease activity and location) under conventional immunomodulator therapy (Azathioprine, or 6-MP, or MTX) were retrospectively evaluated over 12 months (January to December 2008). Results: 54 IFX-patients (24f/30m, 37 CD, 10 UC, 7 IC) and 71 non-IFX-patients (38f/33m, 56 CD, 12 UC, 3 IC) were included. IFX patients were younger than non-IFX patients (36 vs. 47 years, P = 0.0003). The mean duration of inpatient stay in hospital (23 in IFX vs. 21 days for non-IFX, P = 0.909) and the hospitalization costs (7,692 in IFX vs. 4,179 SFr for non-IFX, P = 0.4540) did not differ. IFX-patients had significantly more frequently specialist outpatient consultations (8 vs. 4, P < 0.001) and outpatient-related costs (3,633 vs. 2,186 SFr, P <0.001). Total costs for all diagnostic procedures (blood work, endoscopies, radiology) were higher in the IFXcohort (2,265 vs. 1,164 SFr, P < 0.001). Sixty-five percent of IFX-patients had a 100% job employment compared to 80% in the non-IFX cohort (P = 0.001). Conclusions: The direct and indirect costs of maintenance IFX-treated IBD patients are higher compared to IBD patients under conventional immunomodulators. Care should be taken not only to judge the costs as the IFX treated population may represent a cohort with more aggressive disease phenotype, furthermore, quality of life aspects were not assessed.

There and back again? Combining habitat suitability modelling and connectivity analyses to assess a potential return of the otter to Switzerland

After a steady decline in the early 20th century, several terrestrial carnivore species have recently recovered in Western Europe, either through reintroductions or natural recolonization. Because of the large space requirements of these species and potential conflicts with human activities, ensuring their recovery requires the implementation of conservation and management measures that address the environmental, landscape and social dimensions of the problem. Few examples exist of such integrated management. Taking the case of the otter (Lutra lutra) in Switzerland, we propose a multi-step approach that allows to (1) identify areas with potentially suitable habitat, (2) evaluate their connectivity, (3) verify the potentiality of the species recolonization from populations in neighbouring countries. We showed that even though suitable habitat is available for the species and the level of structural connectivity within Switzerland is satisfactory, the level of connectivity with neighbouring populations is crucial to prioritize strategies that favour the species recovery in the field. This research is the first example integrating habitat suitability and connectivity assessment at different scales with other factors in a multi-step assessment for species recovery.

Self perceptions as predictors for return to work 2 years after rehabilitation in orthopedic trauma inpatients.

Purpose This study aimed to identify self-perception variables which may predict return to work (RTW) in orthopedic trauma patients 2 years after rehabilitation. Methods A prospective cohort investigated 1,207 orthopedic trauma inpatients, hospitalised in rehabilitation, clinics at admission, discharge, and 2 years after discharge. Information on potential predictors was obtained from self administered questionnaires. Multiple logistic regression models were applied. Results In the final model, a higher likelihood of RTW was predicted by: better general health and lower pain at admission; health and pain improvements during hospitalisation; lower impact of event (IES-R) avoidance behaviour score; higher IES-R hyperarousal score, higher SF-36 mental score and low perceived severity of the injury. Conclusion RTW is not only predicted by perceived health, pain and severity of the accident at the beginning of a rehabilitation program, but also by the changes in pain and health perceptions observed during hospitalisation.

Policy Change and the Politics of Expertise. Economic Ideas and immigration Control Reforms in switzerland

This article analyses the varying influence across time of the "epistemic community" of free-market economists on immigration policy making in Switzerland. To this end, a framework for the analysis of the impact of economic expertise is provided, and then used in an historical analysis comparing the 1960s with the 1990s. Whereas this influence can be considered to have been weak in the 1960s, it gained significantly in importance in the 1990s, when a period of economic unrest seriously challenged previous immigration policies. It is argued that economic experts played an important role in framing the reforms undertaken during this latter period, notably by providing a "credible causal story" about the links between the existing immigration policy and the social problems which arose in the country in the 1990s. As compared to the 1960s, economic expertise in the 1990s enjoyed more credibility, more political support and took full advantage of a more uncertain social and economic context

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Looking for orders of magnitude : five essays in trade and the environment and economic geography

General Summary Although the chapters of this thesis address a variety of issues, the principal aim is common: test economic ideas in an international economic context. The intention has been to supply empirical findings using the largest suitable data sets and making use of the most appropriate empirical techniques. This thesis can roughly be divided into two parts: the first one, corresponding to the first two chapters, investigates the link between trade and the environment, the second one, the last three chapters, is related to economic geography issues. Environmental problems are omnipresent in the daily press nowadays and one of the arguments put forward is that globalisation causes severe environmental problems through the reallocation of investments and production to countries with less stringent environmental regulations. A measure of the amplitude of this undesirable effect is provided in the first part. The third and the fourth chapters explore the productivity effects of agglomeration. The computed spillover effects between different sectors indicate how cluster-formation might be productivity enhancing. The last chapter is not about how to better understand the world but how to measure it and it was just a great pleasure to work on it. "The Economist" writes every week about the impressive population and economic growth observed in China and India, and everybody agrees that the world's center of gravity has shifted. But by how much and how fast did it shift? An answer is given in the last part, which proposes a global measure for the location of world production and allows to visualize our results in Google Earth. A short summary of each of the five chapters is provided below. The first chapter, entitled "Unraveling the World-Wide Pollution-Haven Effect" investigates the relative strength of the pollution haven effect (PH, comparative advantage in dirty products due to differences in environmental regulation) and the factor endowment effect (FE, comparative advantage in dirty, capital intensive products due to differences in endowments). We compute the pollution content of imports using the IPPS coefficients (for three pollutants, namely biological oxygen demand, sulphur dioxide and toxic pollution intensity for all manufacturing sectors) provided by the World Bank and use a gravity-type framework to isolate the two above mentioned effects. Our study covers 48 countries that can be classified into 29 Southern and 19 Northern countries and uses the lead content of gasoline as proxy for environmental stringency. For North-South trade we find significant PH and FE effects going in the expected, opposite directions and being of similar magnitude. However, when looking at world trade, the effects become very small because of the high North-North trade share, where we have no a priori expectations about the signs of these effects. Therefore popular fears about the trade effects of differences in environmental regulations might by exaggerated. The second chapter is entitled "Is trade bad for the Environment? Decomposing worldwide SO2 emissions, 1990-2000". First we construct a novel and large database containing reasonable estimates of SO2 emission intensities per unit labor that vary across countries, periods and manufacturing sectors. Then we use these original data (covering 31 developed and 31 developing countries) to decompose the worldwide SO2 emissions into the three well known dynamic effects (scale, technique and composition effect). We find that the positive scale (+9,5%) and the negative technique (-12.5%) effect are the main driving forces of emission changes. Composition effects between countries and sectors are smaller, both negative and of similar magnitude (-3.5% each). Given that trade matters via the composition effects this means that trade reduces total emissions. We next construct, in a first experiment, a hypothetical world where no trade happens, i.e. each country produces its imports at home and does no longer produce its exports. The difference between the actual and this no-trade world allows us (under the omission of price effects) to compute a static first-order trade effect. The latter now increases total world emissions because it allows, on average, dirty countries to specialize in dirty products. However, this effect is smaller (3.5%) in 2000 than in 1990 (10%), in line with the negative dynamic composition effect identified in the previous exercise. We then propose a second experiment, comparing effective emissions with the maximum or minimum possible level of SO2 emissions. These hypothetical levels of emissions are obtained by reallocating labour accordingly across sectors within each country (under the country-employment and the world industry-production constraints). Using linear programming techniques, we show that emissions are reduced by 90% with respect to the worst case, but that they could still be reduced further by another 80% if emissions were to be minimized. The findings from this chapter go together with those from chapter one in the sense that trade-induced composition effect do not seem to be the main source of pollution, at least in the recent past. Going now to the economic geography part of this thesis, the third chapter, entitled "A Dynamic Model with Sectoral Agglomeration Effects" consists of a short note that derives the theoretical model estimated in the fourth chapter. The derivation is directly based on the multi-regional framework by Ciccone (2002) but extends it in order to include sectoral disaggregation and a temporal dimension. This allows us formally to write present productivity as a function of past productivity and other contemporaneous and past control variables. The fourth chapter entitled "Sectoral Agglomeration Effects in a Panel of European Regions" takes the final equation derived in chapter three to the data. We investigate the empirical link between density and labour productivity based on regional data (245 NUTS-2 regions over the period 1980-2003). Using dynamic panel techniques allows us to control for the possible endogeneity of density and for region specific effects. We find a positive long run elasticity of density with respect to labour productivity of about 13%. When using data at the sectoral level it seems that positive cross-sector and negative own-sector externalities are present in manufacturing while financial services display strong positive own-sector effects. The fifth and last chapter entitled "Is the World's Economic Center of Gravity Already in Asia?" computes the world economic, demographic and geographic center of gravity for 1975-2004 and compares them. Based on data for the largest cities in the world and using the physical concept of center of mass, we find that the world's economic center of gravity is still located in Europe, even though there is a clear shift towards Asia. To sum up, this thesis makes three main contributions. First, it provides new estimates of orders of magnitudes for the role of trade in the globalisation and environment debate. Second, it computes reliable and disaggregated elasticities for the effect of density on labour productivity in European regions. Third, it allows us, in a geometrically rigorous way, to track the path of the world's economic center of gravity.