Fourth order pseudo maximum likelihood methods

We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in Gourieroux et al. (1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed. The key numerical tool that we use is the Gauss-Freud integration scheme that solves a computational problem that has previously been raised in several fields. Simulation exercises demonstrate the feasibility and robustness of the methods [Authors]

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.

The Ciliogenic Transcription Factor RFX3 Regulates Early Midline Distribution of Guidepost Neurons Required for Corpus Callosum Development.

The corpus callosum (CC) is the major commissure that bridges the cerebral hemispheres. Agenesis of the CC is associated with human ciliopathies, but the origin of this default is unclear. Regulatory Factor X3 (RFX3) is a transcription factor involved in the control of ciliogenesis, and Rfx3-deficient mice show several hallmarks of ciliopathies including left-right asymmetry defects and hydrocephalus. Here we show that Rfx3-deficient mice suffer from CC agenesis associated with a marked disorganisation of guidepost neurons required for axon pathfinding across the midline. Using transplantation assays, we demonstrate that abnormalities of the mutant midline region are primarily responsible for the CC malformation. Conditional genetic inactivation shows that RFX3 is not required in guidepost cells for proper CC formation, but is required before E12.5 for proper patterning of the cortical septal boundary and hence accurate distribution of guidepost neurons at later stages. We observe focused but consistent ectopic expression of Fibroblast growth factor 8 (Fgf8) at the rostro commissural plate associated with a reduced ratio of GLIoma-associated oncogene family zinc finger 3 (GLI3) repressor to activator forms. We demonstrate on brain explant cultures that ectopic FGF8 reproduces the guidepost neuronal defects observed in Rfx3 mutants. This study unravels a crucial role of RFX3 during early brain development by indirectly regulating GLI3 activity, which leads to FGF8 upregulation and ultimately to disturbed distribution of guidepost neurons required for CC morphogenesis. Hence, the RFX3 mutant mouse model brings novel understandings of the mechanisms that underlie CC agenesis in ciliopathies.

Simulated-annealing-based conditional simulation for the local-scale characterization of heterogeneous aquifers

Simulated-annealing-based conditional simulations provide a flexible means of quantitatively integrating diverse types of subsurface data. Although such techniques are being increasingly used in hydrocarbon reservoir characterization studies, their potential in environmental, engineering and hydrological investigations is still largely unexploited. Here, we introduce a novel simulated annealing (SA) algorithm geared towards the integration of high-resolution geophysical and hydrological data which, compared to more conventional approaches, provides significant advancements in the way that large-scale structural information in the geophysical data is accounted for. Model perturbations in the annealing procedure are made by drawing from a probability distribution for the target parameter conditioned to the geophysical data. This is the only place where geophysical information is utilized in our algorithm, which is in marked contrast to other approaches where model perturbations are made through the swapping of values in the simulation grid and agreement with soft data is enforced through a correlation coefficient constraint. Another major feature of our algorithm is the way in which available geostatistical information is utilized. Instead of constraining realizations to match a parametric target covariance model over a wide range of spatial lags, we constrain the realizations only at smaller lags where the available geophysical data cannot provide enough information. Thus we allow the larger-scale subsurface features resolved by the geophysical data to have much more due control on the output realizations. Further, since the only component of the SA objective function required in our approach is a covariance constraint at small lags, our method has improved convergence and computational efficiency over more traditional methods. Here, we present the results of applying our algorithm to the integration of porosity log and tomographic crosshole georadar data to generate stochastic realizations of the local-scale porosity structure. Our procedure is first tested on a synthetic data set, and then applied to data collected at the Boise Hydrogeophysical Research Site.

Distribution of the human intracellular serpin protease inhibitor 8 in human tissues.

Ovalbumin-like serine protease inhibitors are mainly localized intracellularly and their in vivo functions are largely unknown. To elucidate their physiological role(s), we studied the expression of one of these inhibitors, protease inhibitor 8 (PI-8), in normal human tissues by immunohistochemistry using a PI-8-specific monoclonal antibody. PI-8 was strongly expressed in the nuclei of squamous epithelium of mouth, pharynx, esophagus, and epidermis, and by the epithelial layer of skin appendages, particularly by more differentiated epithelial cells. PI-8 was also expressed by monocytes and by neuroendocrine cells in the pituitary gland, pancreas, and digestive tract. Monocytes showed nuclear and cytoplasmic localization of PI-8, whereas neuroendocrine cells showed only cytoplasmic staining. In vitro nuclear localization of PI-8 was confirmed by confocal analysis using serpin-transfected HeLa cells. Furthermore, mutation of the P(1) residue did not affect the subcellular distribution pattern of PI-8, indicating that its nuclear localization is independent of the interaction with its target protease. We conclude that PI-8 has a unique distribution pattern in human tissues compared to the distribution patterns of other intracellular serpins. Additional studies must be performed to elucidate its physiological role.

Species distribution models reveal apparent competitive and facilitative effects of a dominant species on the distribution of tundra plants

Abiotic factors are considered strong drivers of species distribution and assemblages. Yet these spatial patterns are also influenced by biotic interactions. Accounting for competitors or facilitators may improve both the fit and the predictive power of species distribution models (SDMs). We investigated the influence of a dominant species, Empetrum nigrum ssp. hermaphroditum, on the distribution of 34 subordinate species in the tundra of northern Norway. We related SDM parameters of those subordinate species to their functional traits and their co-occurrence patterns with E. hermaphroditum across three spatial scales. By combining both approaches, we sought to understand whether these species may be limited by competitive interactions and/or benefit from habitat conditions created by the dominant species. The model fit and predictive power increased for most species when the frequency of occurrence of E. hermaphroditum was included in the SDMs as a predictor. The largest increase was found for species that 1) co-occur most of the time with E. hermaphroditum, both at large (i.e. 750 m) and small spatial scale (i.e. 2 m) or co-occur with E. hermaphroditum at large scale but not at small scale and 2) have particularly low or high leaf dry matter content (LDMC). Species that do not co-occur with E. hermaphroditum at the smallest scale are generally palatable herbaceous species with low LDMC, thus showing a weak ability to tolerate resource depletion that is directly or indirectly induced by E. hermaphroditum. Species with high LDMC, showing a better aptitude to face resource depletion and grazing, are often found in the proximity of E. hermaphroditum. Our results are consistent with previous findings that both competition and facilitation structure plant distribution and assemblages in the Arctic tundra. The functional and co-occurrence approaches used were complementary and provided a deeper understanding of the observed patterns by refinement of the pool of potential direct and indirect ecological effects of E. hermaphroditum on the distribution of subordinate species. Our correlative study would benefit being complemented by experimental approaches.

Notch1 and T-cell development: insights from conditional knockout mice.

Notch proteins influence cell-fate decisions in many developmental systems. Gain-of-function studies have suggested a crucial role for Notch1 signaling at several stages during lymphocyte development, including the B/T, alphabeta/gammadelta and CD4/CD8 lineage choices. Here, we critically re-evaluate these conclusions in the light of recent studies that describe inducible and tissue-specific targeting of the Notch1 gene.

Low-Dose Vascular Photodynamic Therapy Decreases Tumor Interstitial Fluid Pressure, which Promotes Liposomal Doxorubicin Distribution in a Murine Sarcoma Metastasis Model.

INTRODUCTION: Solid tumors are known to have an abnormal vasculature that limits the distribution of chemotherapy. We have recently shown that tumor vessel modulation by low-dose photodynamic therapy (L-PDT) could improve the uptake of macromolecular chemotherapeutic agents such as liposomal doxorubicin (Liporubicin) administered subsequently. However, how this occurs is unknown. Convection, the main mechanism for drug transport between the intravascular and extravascular spaces, is mostly related to interstitial fluid pressure (IFP) and tumor blood flow (TBF). Here, we determined the changes of tumor and surrounding lung IFP and TBF before, during, and after vascular L-PDT. We also evaluated the effect of these changes on the distribution of Liporubicin administered intravenously (IV) in a lung sarcoma metastasis model. MATERIALS AND METHODS: A syngeneic methylcholanthrene-induced sarcoma cell line was implanted subpleurally in the lung of Fischer rats. Tumor/surrounding lung IFP and TBF changes induced by L-PDT were determined using the wick-in-needle technique and laser Doppler flowmetry, respectively. The spatial distribution of Liporubicin in tumor and lung tissues following IV drug administration was then assessed in L-PDT-pretreated animals and controls (no L-PDT) by epifluorescence microscopy. RESULTS: L-PDT significantly decreased tumor but not lung IFP compared to controls (no L-PDT) without affecting TBF. These conditions were associated with a significant improvement in Liporubicin distribution in tumor tissues compared to controls (P < .05). DISCUSSION: L-PDT specifically enhanced convection in blood vessels of tumor but not of normal lung tissue, which was associated with a significant improvement of Liporubicin distribution in tumors compared to controls.

Nest distribution varies with dispersal method and familiarity-mediated aggression for two sympatric ants

Dispersal mechanisms and competition together play a key role in the spatial distribution of a population. Species that disperse via fission are likely to experience high levels of localized competitive pressure from conspecifics relative to species that disperse in other ways. Although fission dispersal occurs in many species, its ecological and behavioural effects remain unclear. We compared foraging effort, nest spatial distribution and aggression of two sympatric ant species that differ in reproductive dispersal: Streblognathus peetersi, which disperse by group fission, and Plectroctena mandibularis, which disperse by solitary wingless queens. We found that although both species share space and have similar foraging strategies, they differ in nest distribution and aggressive behaviour. The spatial distribution of S. peetersi nests was extremely aggregated, and workers were less aggressive towards conspecifics from nearby nests than towards distant conspecifics and all heterospecific workers. By contrast, the spatial distribution of P. mandibularis nests was overdispersed, and workers were equally aggressive towards conspecific and heterospecific competitors regardless of nest distance. Finally, laboratory experiments showed that familiarity led to the positive relationship between aggression and nest distance in S. peetersi. While unfamiliar individuals were initially aggressive, the level of aggression decreased within 1 h of contact, and continued to decrease over 24 h. Furthermore, individuals from near nests that were not aggressive could be induced to aggression after prolonged isolation. Overall, these results suggest that low aggression mediated by familiarity could provide benefits for a species with fission reproduction and an aggregated spatial distribution.

Determination of displacement, stress- and strain-distribution in the human heart: a FE-model on the basis of MR imaging.

The determination of characteristic cardiac parameters, such as displacement, stress and strain distribution are essential for an understanding of the mechanics of the heart. The calculation of these parameters has been limited until recently by the use of idealised mathematical representations of biventricular geometries and by applying simple material laws. On the basis of 20 short axis heart slices and in consideration of linear and nonlinear material behaviour we have developed a FE model with about 100,000 degrees of freedom. Marching Cubes and Phong's incremental shading technique were used to visualise the three dimensional geometry. In a quasistatic FE analysis continuous distribution of regional stress and strain corresponding to the endsystolic state were calculated. Substantial regional variation of the Von Mises stress and the total strain energy were observed at all levels of the heart model. The results of both the linear elastic model and the model with a nonlinear material description (Mooney-Rivlin) were compared. While the stress distribution and peak stress values were found to be comparable, the displacement vectors obtained with the nonlinear model were generally higher in comparison with the linear elastic case indicating the need to include nonlinear effects.

The ghost of past species occurrence: improving species distribution models for presence-only data

1. Model-based approaches have been used increasingly in conservation biology over recent years. Species presence data used for predictive species distribution modelling are abundant in natural history collections, whereas reliable absence data are sparse, most notably for vagrant species such as butterflies and snakes. As predictive methods such as generalized linear models (GLM) require absence data, various strategies have been proposed to select pseudo-absence data. However, only a few studies exist that compare different approaches to generating these pseudo-absence data. 2. Natural history collection data are usually available for long periods of time (decades or even centuries), thus allowing historical considerations. However, this historical dimension has rarely been assessed in studies of species distribution, although there is great potential for understanding current patterns, i.e. the past is the key to the present. 3. We used GLM to model the distributions of three 'target' butterfly species, Melitaea didyma, Coenonympha tullia and Maculinea teleius, in Switzerland. We developed and compared four strategies for defining pools of pseudo-absence data and applied them to natural history collection data from the last 10, 30 and 100 years. Pools included: (i) sites without target species records; (ii) sites where butterfly species other than the target species were present; (iii) sites without butterfly species but with habitat characteristics similar to those required by the target species; and (iv) a combination of the second and third strategies. Models were evaluated and compared by the total deviance explained, the maximized Kappa and the area under the curve (AUC). 4. Among the four strategies, model performance was best for strategy 3. Contrary to expectations, strategy 2 resulted in even lower model performance compared with models with pseudo-absence data simulated totally at random (strategy 1). 5. Independent of the strategy model, performance was enhanced when sites with historical species presence data were not considered as pseudo-absence data. Therefore, the combination of strategy 3 with species records from the last 100 years achieved the highest model performance. 6. Synthesis and applications. The protection of suitable habitat for species survival or reintroduction in rapidly changing landscapes is a high priority among conservationists. Model-based approaches offer planning authorities the possibility of delimiting priority areas for species detection or habitat protection. The performance of these models can be enhanced by fitting them with pseudo-absence data relying on large archives of natural history collection species presence data rather than using randomly sampled pseudo-absence data.