Behavioural queueing : cellular automata and a laboratory experiment

Dans cette thèse, nous étudions les aspects comportementaux d'agents qui interagissent dans des systèmes de files d'attente à l'aide de modèles de simulation et de méthodologies expérimentales. Chaque période les clients doivent choisir un prestataire de servivce. L'objectif est d'analyser l'impact des décisions des clients et des prestataires sur la formation des files d'attente. Dans un premier cas nous considérons des clients ayant un certain degré d'aversion au risque. Sur la base de leur perception de l'attente moyenne et de la variabilité de cette attente, ils forment une estimation de la limite supérieure de l'attente chez chacun des prestataires. Chaque période, ils choisissent le prestataire pour lequel cette estimation est la plus basse. Nos résultats indiquent qu'il n'y a pas de relation monotone entre le degré d'aversion au risque et la performance globale. En effet, une population de clients ayant un degré d'aversion au risque intermédiaire encoure généralement une attente moyenne plus élevée qu'une population d'agents indifférents au risque ou très averses au risque. Ensuite, nous incorporons les décisions des prestataires en leur permettant d'ajuster leur capacité de service sur la base de leur perception de la fréquence moyenne d'arrivées. Les résultats montrent que le comportement des clients et les décisions des prestataires présentent une forte "dépendance au sentier". En outre, nous montrons que les décisions des prestataires font converger l'attente moyenne pondérée vers l'attente de référence du marché. Finalement, une expérience de laboratoire dans laquelle des sujets jouent le rôle de prestataire de service nous a permis de conclure que les délais d'installation et de démantèlement de capacité affectent de manière significative la performance et les décisions des sujets. En particulier, les décisions du prestataire, sont influencées par ses commandes en carnet, sa capacité de service actuellement disponible et les décisions d'ajustement de capacité qu'il a prises, mais pas encore implémentées. - Queuing is a fact of life that we witness daily. We all have had the experience of waiting in line for some reason and we also know that it is an annoying situation. As the adage says "time is money"; this is perhaps the best way of stating what queuing problems mean for customers. Human beings are not very tolerant, but they are even less so when having to wait in line for service. Banks, roads, post offices and restaurants are just some examples where people must wait for service. Studies of queuing phenomena have typically addressed the optimisation of performance measures (e.g. average waiting time, queue length and server utilisation rates) and the analysis of equilibrium solutions. The individual behaviour of the agents involved in queueing systems and their decision making process have received little attention. Although this work has been useful to improve the efficiency of many queueing systems, or to design new processes in social and physical systems, it has only provided us with a limited ability to explain the behaviour observed in many real queues. In this dissertation we differ from this traditional research by analysing how the agents involved in the system make decisions instead of focusing on optimising performance measures or analysing an equilibrium solution. This dissertation builds on and extends the framework proposed by van Ackere and Larsen (2004) and van Ackere et al. (2010). We focus on studying behavioural aspects in queueing systems and incorporate this still underdeveloped framework into the operations management field. In the first chapter of this thesis we provide a general introduction to the area, as well as an overview of the results. In Chapters 2 and 3, we use Cellular Automata (CA) to model service systems where captive interacting customers must decide each period which facility to join for service. They base this decision on their expectations of sojourn times. Each period, customers use new information (their most recent experience and that of their best performing neighbour) to form expectations of sojourn time at the different facilities. Customers update their expectations using an adaptive expectations process to combine their memory and their new information. We label "conservative" those customers who give more weight to their memory than to the xiv Summary new information. In contrast, when they give more weight to new information, we call them "reactive". In Chapter 2, we consider customers with different degree of risk-aversion who take into account uncertainty. They choose which facility to join based on an estimated upper-bound of the sojourn time which they compute using their perceptions of the average sojourn time and the level of uncertainty. We assume the same exogenous service capacity for all facilities, which remains constant throughout. We first analyse the collective behaviour generated by the customers' decisions. We show that the system achieves low weighted average sojourn times when the collective behaviour results in neighbourhoods of customers loyal to a facility and the customers are approximately equally split among all facilities. The lowest weighted average sojourn time is achieved when exactly the same number of customers patronises each facility, implying that they do not wish to switch facility. In this case, the system has achieved the Nash equilibrium. We show that there is a non-monotonic relationship between the degree of risk-aversion and system performance. Customers with an intermediate degree of riskaversion typically achieve higher sojourn times; in particular they rarely achieve the Nash equilibrium. Risk-neutral customers have the highest probability of achieving the Nash Equilibrium. Chapter 3 considers a service system similar to the previous one but with risk-neutral customers, and relaxes the assumption of exogenous service rates. In this sense, we model a queueing system with endogenous service rates by enabling managers to adjust the service capacity of the facilities. We assume that managers do so based on their perceptions of the arrival rates and use the same principle of adaptive expectations to model these perceptions. We consider service systems in which the managers' decisions take time to be implemented. Managers are characterised by a profile which is determined by the speed at which they update their perceptions, the speed at which they take decisions, and how coherent they are when accounting for their previous decisions still to be implemented when taking their next decision. We find that the managers' decisions exhibit a strong path-dependence: owing to the initial conditions of the model, the facilities of managers with identical profiles can evolve completely differently. In some cases the system becomes "locked-in" into a monopoly or duopoly situation. The competition between managers causes the weighted average sojourn time of the system to converge to the exogenous benchmark value which they use to estimate their desired capacity. Concerning the managers' profile, we found that the more conservative Summary xv a manager is regarding new information, the larger the market share his facility achieves. Additionally, the faster he takes decisions, the higher the probability that he achieves a monopoly position. In Chapter 4 we consider a one-server queueing system with non-captive customers. We carry out an experiment aimed at analysing the way human subjects, taking on the role of the manager, take decisions in a laboratory regarding the capacity of a service facility. We adapt the model proposed by van Ackere et al (2010). This model relaxes the assumption of a captive market and allows current customers to decide whether or not to use the facility. Additionally the facility also has potential customers who currently do not patronise it, but might consider doing so in the future. We identify three groups of subjects whose decisions cause similar behavioural patterns. These groups are labelled: gradual investors, lumpy investors, and random investor. Using an autocorrelation analysis of the subjects' decisions, we illustrate that these decisions are positively correlated to the decisions taken one period early. Subsequently we formulate a heuristic to model the decision rule considered by subjects in the laboratory. We found that this decision rule fits very well for those subjects who gradually adjust capacity, but it does not capture the behaviour of the subjects of the other two groups. In Chapter 5 we summarise the results and provide suggestions for further work. Our main contribution is the use of simulation and experimental methodologies to explain the collective behaviour generated by customers' and managers' decisions in queueing systems as well as the analysis of the individual behaviour of these agents. In this way, we differ from the typical literature related to queueing systems which focuses on optimising performance measures and the analysis of equilibrium solutions. Our work can be seen as a first step towards understanding the interaction between customer behaviour and the capacity adjustment process in queueing systems. This framework is still in its early stages and accordingly there is a large potential for further work that spans several research topics. Interesting extensions to this work include incorporating other characteristics of queueing systems which affect the customers' experience (e.g. balking, reneging and jockeying); providing customers and managers with additional information to take their decisions (e.g. service price, quality, customers' profile); analysing different decision rules and studying other characteristics which determine the profile of customers and managers.

Does evolution lead to maximizing behavior?

A long-standing question in biology and economics is whether individual organisms evolve to behave as if they were striving to maximize some goal function. We here formalize this "as if" question in a patch-structured population in which individuals obtain material payoffs from (perhaps very complex multimove) social interactions. These material payoffs determine personal fitness and, ultimately, invasion fitness. We ask whether individuals in uninvadable population states will appear to be maximizing conventional goal functions (with population-structure coefficients exogenous to the individual's behavior), when what is really being maximized is invasion fitness at the genetic level. We reach two broad conclusions. First, no simple and general individual-centered goal function emerges from the analysis. This stems from the fact that invasion fitness is a gene-centered multigenerational measure of evolutionary success. Second, when selection is weak, all multigenerational effects of selection can be summarized in a neutral type-distribution quantifying identity-by-descent between individuals within patches. Individuals then behave as if they were striving to maximize a weighted sum of material payoffs (own and others). At an uninvadable state it is as if individuals would freely choose their actions and play a Nash equilibrium of a game with a goal function that combines self-interest (own material payoff), group interest (group material payoff if everyone does the same), and local rivalry (material payoff differences).

Scaling behavior and equilibrium lengths of knotted polymers

We use numerical simulations to investigate how the chain length and topology of freely fluctuating knotted polymer rings affect their various spatial characteristics such as the radius of the smallest sphere enclosing momentary configurations of simulated polymer chains. We describe how the average value of a characteristic changes with the chain size and how this change depends on the topology of the modeled polymers. Although the scaling profiles of a spatial characteristic for distinct knot types do not intersect (at least, in the range of our data), the profiles for nontrivial knots intersect the corresponding profile obtained for phantom polymers, i.e., those that are free to explore all available topological states. For each knot type, this point of intersection defines its equilibrium length with respect to the spatial characteristic. At this chain length, a polymer forming a given knot type will not tend to increase or decrease. on average, the value of the spatial characteristic when the polymer is released from its topological constraint. We show interrelations between equilibrium lengths defined with respect to spatial characteristics of different character and observe that they are related to the lengths of ideal geometric configurations of the corresponding knot types.

Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

Kinetics of crystal growth and equilibrium domains in eclogite of the Sesia Zone, Western Alps

Kinetics of crystal growth and equilibrium domains in eclogite of the Sesia Zone, Western Alps Darbellay Bastien Institut de Minéralogie et Géochimie Résumé grand public Comme toute matière, la roche est sensible à son environnement et cherche à s'adapter pour acquérir un état stable (état d'équilibre). Les changements des conditions physiques (température et pression) vont ainsi impliquer des modifications dans la roche. Le métamorphisme est l'étude de ces changements. Les minéraux qui constituent la roche peuvent modifier, leur structure, leur chimie ou être remplacer par d'autres minéraux plus stables. Il est ainsi crucial de déterminer les processus responsables et limitant de la croissance minérale. Trois processus permettent la croissance ; (1) la dissolution des éléments du réactant, (2) le transport de ces éléments vers le site de croissance, (3) l'incorporation de ces éléments dans la nouvelle structure. Cette thèse se focalise sur les structures des minéraux de haute pression (forme, zonation chimique, structure interne) pour essayer de déterminer les facteurs importants à l'origine de leur état final. Les zones d'étude se situent dans la zone de Sésia. La première partie traite de la problématique liée à l'incorporation d'un élément dans une structure minérale. A l'image de la croissance humaine, les irrégularités minéralogiques permettent de mettre en lumière un dysfonctionnement de la croissance due à un excès ou à une carence d'un élément. Bien dosé, cet élément est cependant essentiel à la croissance. Les zoisites (épidotes) des métabasites de la région de Cima di Bonze montrent une zonation chimique en sablier. Dans cette zonation la teneur en fer excède la capacité maximum que peut contenir la structure orthorhombique de la zoisite. Des défauts de structure permettent l'accommodation de cet excès. La zoisite peut ainsi adapter sa structure pour permettre l'incorporation d'une relativement grande quantité de fer. Les études précédentes montraient, pour des conditions similaires, la formation de deux épidotes distinctes. La deuxième partie se penche sur la compétition entre le minéral qui fait sa croissance et les minéraux (réactants) qui l'entourent. Les métapélites de la région du Monte Mucrone contiennent des grenats atollaires. Des études détaillées de la texture et de la zonation chimique du grenat ainsi qu'une modélisation thermodynamique ont permis de mieux cerner les facteurs importants responsables de la forme atollaire. Cette structure est obtenue par un changement du comportement de la croissance du grenat le long d'un chemin P-T hercynien. Dans un premier stade, le grenat croît rapidement et consume peu le quartz de la matrice. La croissance se fait ainsi le long des jointures des grains de quartz. Dans un second temps, les changements de conditions PT donnent une croissance lente du grenat et une forte consommation du quartz. Le grenat peut ainsi développer sa forme dodécaédrale classique. La troisième partie s'intéresse aux distances de transport par diffusion d'un élément (ici l'argon) durant la haute pression. Pour ce faire, un profile d'âges 40Ar/39Ar sur biotite a été mesuré depuis un veine de haute pression riche en argon jusque dans son encaissant (granitoïd du Monte Mucrone). Le profile montre une répartition des âges suivant une courbe de diffusion. Le transport se fait sur une longueur de deux centimètre avec l'aide d'un fluide. Il est réduit à une échelle millimétrique quand la phase fluide disparaît. Cette étude montre ainsi les difficultés de transport des éléments durant la haute pression ne permettant pas un rééquilibrage de la roche à grande échelle. Kinetics of crystal growth and equilibrium domains in eclogite of the Sesia Zone, Western Alps Darbellay Bastien Institut de Minéralogie et Géochimie Résumé de thèse Les processus de croissance (diffusion des éléments et les réactions d'interface) et les conditions dans lesquelles les minéraux grandissent (température, pression, fluide, composition chimique de la roche), déterminent la texture ainsi que la zonation des minéraux. Cette thèse se focalise, par le biais de textures peu communes, sur trois différents processus impliqués dans la croissance minérale à haute pression (Zone de Sésia, Alpes de l'Ouest, Italie). L'incorporation d'un élément dans une structure minérale ne peut se faire que dans des sites en accord avec la taille et la charge ionique de l'élément. De plus, la balance de charge doit être maintenue dans le minéral. La régularité de la structure cristalline fixe ainsi une limite maximum de concentration d'un élément donné. Les zoisites provenant des métabasites de la région de Cima di Bonze montrent des zonations en sablier caractérisées par une concentration anormale en fer. La zonation se marque par une différente teinte de biréfringence et par un plus grand angle d'extinction que le reste de la zoisite. Une inter-croissance de clinozoisite à l'intérieur de la structure orthorhombique de la zoisite peut ainsi être suspectée. Les analyses XRD (diffraction des rayons x) ainsi que les analyses Raman ne confirment pas cette suspicion. Seules les analyses TEM (microscope à électrons transmis) montrent des défauts de structure pouvant être interprétés comme des modules de clinozoisite. Ils ne peuvent cependant pas être considérés comme une phase thermodynamique. Un nouveau trou d'immiscibilité entre deux zoisite (X ep= 0.1 and Xep = 0.15) a ainsi pu être établi. Dans les métapélites la région du Monte Mucrone, des grenats fortement zonés montrent une évolution texturale singulière. Ils présentent une forme initiale de `champignon' qui se développe pour former une structure atollaire finale. L'étude conjuguée de la structure 3D et des zonations, ainsi que l'établissement d'un model thermodynamique, indiquent que ces structures proviennent de deux épisodes de croissances : (1) La croissance du grenat durant un chemin prograde hercynien (de 525 °C et 6.2 kbar à 640 °C et 9 kbar) permet la formation des textures atollaires. Elles sont le résultat d'une croissance poecilitique initiale suivie d'une croissance idiomorphique du grenat. (2) La structure est rendue plus complexe par la cristallisation d'un grenat homogène tout autour ainsi qu'à l'intérieur du grenat hercynien durant la haute pression alpine (550 °C and 20 kbar). L'arrivée de l'eau durant la haute pression facilite le transport d'éléments et permet une cristallisation rapide du grenat. La diffusion peut être un facteur limitant de la croissance minéralogique. Elle a aussi une grande importance pour la géochronologie. Une veine de haute pression à l'intérieur du granitoïde du Monte Mucrone a été étudiée dans le but de déterminer la distance de diffusion de l'argon. Le profile d'âges 40Ar/39Ar sur biotites, établi de la veine vers le métagranitoïde, suit une courbe de diffusion. Les âges sont élevés proche de la veine (800 Ma) puis décroissent jusqu'à des âges homogènes (170-150 Ma) à deux centimètres de la veine. La présence de fluide, marqué par de hautes concentrations en chlore, permet une diffusion centimétrique. Cependant, la distance est réduite à une échelle millimétrique quand le fluide est absent. Les très faibles distances de diffusion préservent les âges pré-alpins et impliquent un événement géologique pour les âges de 170-150 Ma. Kinetics of crystal growth and equilibrium domains in eclogite of the Sesia Zone, Western Alps Darbellay Bastien Institut de Minéralogie et Géochimie Thesis abstract Rock textures and zonings are the consequence of growth processes (element diffusion and interface reaction) steered by the environment in which they grew (pressure, differential stress, temperature, fluid and rock composition). The thesis presented here focuses on three different topics, each of it dealing with aspects of mineral growth processes during subduction, in a high-pressure environment. All studies were conducted in the Sesia Zone of the Western European Alps, Italy. The first study addresses the crystallography and geochemistry of element incorporation in zoisite, one of the major hydrous minerals found in subduction zone rocks. Elements can be incorporated into a mineral structure only on crystallographic sites that offer enough space for the ion and the overall charge balance has to be maintained. Element concentrations are hence limited. Incorporation of some elements produces complex zoning, including hourglass like patterns, which are the focus of the first contribution. Zoisites from Cima di Bonze (Sesia Zone) show spectacular hourglass zoning defined by Fe-content variations. The hourglass zones have a distinct birefringence and a different extinction angle than the regular part of the zoisite. We show by detailed XRD (X-ray diffraction) and confocal Raman analyses that the high Fe-zones are nevertheless zoisite, and not clinozoisite as one might expect. High resolution TEM (transmission electron microscopy) analyses show planar defects on (100) that can be interpreted as small-scale clinozoisite modules. However, these clinozoisites cannot be interpreted as a distinctive thermodynamic phase and the entire mineral has to be considered as zoisite. The miscibility gap between two zoisites (Xep = 0.1 and Xep = 0.15) can be then definite at 550 ± 50°C and 14 to 20 Kbar. Strongly zoned garnets in quartz rich metapelite from the Monte Mucrone area (Sesia Zone) show evolution form 3D mushroom to atoll structure. The second contribution presents textural investigations, garnet zoning and thermodynamic modeling that demonstrate that atoll garnets are the result of two distinctive growth events. (1) Garnet atoll structure is already formed during a prograde Hercynian path from 525 °C and 6.2 kbar to 640 °C and 9 kbar. It results in an initial poikilitic growth followed by a final idiomorphic growth event. (2) Alpine HP garnet are homogenous (550 °C and 20 kbar) and grew around and also inside the Hercynian garnet. Lack of prograde Alpine garnet and fast growth of the HP garnet is explained by the absence of water during much of the prograde path. Water saturation was only observed towards the end, close towards the peak metamorphic conditions. Diffusion could be a limiting factor for crystal growth. It has also a great importance in geochronology. HP vein inside the metagranitoide of the Monte Mucrone (~300 Ma) was investigated to determine argon diffusion scales during high-pressure metamorphism. 40Ar/39Ar biotite ages profile from the vein toward the metagranodiorite show a diffusion curve: old ages (800 Ma) located close to the vein decrease until homogenous 170-150 Ma ages are obtained, two centimeter away from the vein. Centimeter-scale diffusion occurs with help of a fluid phase marked by high chlorine concentrations. Argon diffusion is reduced to a millimeter scale when free fluid is absent. Very short diffusion distance permits to preserve pre-Alpine ages. The 170-150 Ma ages are considered to be geologic meaningful, probably resulting from the extensional tectonics linked to opening of the Tethian ocean.

Steady-state equilibrium phase inversion recovery ON-resonant water suppression (IRON) MR angiography in conjunction with superparamagnetic nanoparticles. A robust technique for imaging within a wide range of contrast agent dosages.

PURPOSE: To investigate the ability of inversion recovery ON-resonant water suppression (IRON) in conjunction with P904 (superparamagnetic nanoparticles which consisting of a maghemite core coated with a low-molecular-weight amino-alcohol derivative of glucose) to perform steady-state equilibrium phase MR angiography (MRA) over a wide dose range. MATERIALS AND METHODS: Experiments were approved by the institutional animal care committee. Rabbits (n = 12) were imaged at baseline and serially after the administration of 10 incremental dosages of 0.57-5.7 mgFe/Kg P904. Conventional T1-weighted and IRON MRA were obtained on a clinical 1.5 Tesla (T) scanner to image the thoracic and abdominal aorta, and peripheral vessels. Contrast-to-noise ratios (CNR) and vessel sharpness were quantified. RESULTS: Using IRON MRA, CNR and vessel sharpness progressively increased with incremental dosages of the contrast agent P904, exhibiting constantly higher contrast values than T1 -weighted MRA over a very wide range of contrast agent doses (CNR of 18.8 ± 5.6 for IRON versus 11.1 ± 2.8 for T1 -weighted MRA at 1.71 mgFe/kg, P = 0.02 and 19.8 ± 5.9 for IRON versus -0.8 ± 1.4 for T1-weighted MRA at 3.99 mgFe/kg, P = 0.0002). Similar results were obtained for vessel sharpness in peripheral vessels, (Vessel sharpness of 46.76 ± 6.48% for IRON versus 33.20 ± 3.53% for T1-weighted MRA at 1.71 mgFe/Kg, P = 0.002, and of 48.66 ± 5.50% for IRON versus 19.00 ± 7.41% for T1-weighted MRA at 3.99 mgFe/Kg, P = 0.003). CONCLUSION: Our study suggests that quantitative CNR and vessel sharpness after the injection of P904 are consistently higher for IRON MRA when compared with conventional T1-weighted MRA. These findings apply for a wide range of contrast agent dosages.

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.

Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies

The Organization of the Thesis The remainder of the thesis comprises five chapters and a conclusion. The next chapter formalizes the envisioned theory into a tractable model. Section 2.2 presents a formal description of the model economy: the individual heterogeneity, the individual objective, the UI setting, the population dynamics and the equilibrium. The welfare and efficiency criteria for qualifying various equilibrium outcomes are proposed in section 2.3. The fourth section shows how the model-generated information can be computed. Chapter 3 transposes the model from chapter 2 in conditions that enable its use in the analysis of individual labor market strategies and their implications for the labor market equilibrium. In section 3.2 the Swiss labor market data sets, stylized facts, and the UI system are presented. The third section outlines and motivates the parameterization method. In section 3.4 the model's replication ability is evaluated and some aspects of the parameter choice are discussed. Numerical solution issues can be found in the appendix. Chapter 4 examines the determinants of search-strategic behavior in the model economy and its implications for the labor market aggregates. In section 4.2, the unemployment duration distribution is examined and related to search strategies. Section 4.3 shows how the search- strategic behavior is influenced by the UI eligibility and section 4.4 how it is determined by individual heterogeneity. The composition effects generated by search strategies in labor market aggregates are examined in section 4.5. The last section evaluates the model's replication of empirical unemployment escape frequencies reported in Sheldon [67]. Chapter 5 applies the model economy to examine the effects on the labor market equilibrium of shocks to the labor market risk structure, to the deep underlying labor market structure and to the UI setting. Section 5.2 examines the effects of the labor market risk structure on the labor market equilibrium and the labor market strategic behavior. The effects of alterations in the labor market deep economic structural parameters, i.e. individual preferences and production technology, are shown in Section 5.3. Finally, the UI setting impacts on the labor market are studied in Section 5.4. This section also evaluates the role of the UI authority monitoring and the differences in the Way changes in the replacement rate and the UI benefit duration affect the labor market. In chapter 6 the model economy is applied in counterfactual experiments to assess several aspects of the Swiss labor market movements in the nineties. Section 6.2 examines the two equilibria characterizing the Swiss labor market in the nineties, the " growth" equilibrium with a "moderate" UI regime and the "recession" equilibrium with a more "generous" UI. Section 6.3 evaluates the isolated effects of the structural shocks, while the isolated effects of the UI reforms are analyzed in section 6.4. Particular dimensions of the UI reforms, the duration, replacement rate and the tax rate effects, are studied in section 6.5, while labor market equilibria without benefits are evaluated in section 6.6. In section 6.7 the structural and institutional interactions that may act as unemployment amplifiers are discussed in view of the obtained results. A welfare analysis based on individual welfare in different structural and UI settings is presented in the eighth section. Finally, the results are related to more favorable unemployment trends after 1997. The conclusion evaluates the features embodied in the model economy with respect to the resulting model dynamics to derive lessons from the model design." The thesis ends by proposing guidelines for future improvements of the model and directions for further research.

Role of the V-ATPase in regulation of the vacuolar fission-fusion equilibrium.

Like numerous other eukaryotic organelles, the vacuole of the yeast Saccharomyces cerevisiae undergoes coordinated cycles of membrane fission and fusion in the course of the cell cycle and in adaptation to environmental conditions. Organelle fission and fusion processes must be balanced to ensure organelle integrity. Coordination of vacuole fission and fusion depends on the interactions of vacuolar SNARE proteins and the dynamin-like GTPase Vps1p. Here, we identify a novel factor that impinges on the fusion-fission equilibrium: the vacuolar H(+)-ATPase (V-ATPase) performs two distinct roles in vacuole fission and fusion. Fusion requires the physical presence of the membrane sector of the vacuolar H(+)-ATPase sector, but not its pump activity. Vacuole fission, in contrast, depends on proton translocation by the V-ATPase. Eliminating proton pumping by the V-ATPase either pharmacologically or by conditional or constitutive V-ATPase mutations blocked salt-induced vacuole fragmentation in vivo. In living cells, fission defects are epistatic to fusion defects. Therefore, mutants lacking the V-ATPase display large single vacuoles instead of multiple smaller vacuoles, the phenotype that is generally seen in mutants having defects only in vacuolar fusion. Its dual involvement in vacuole fission and fusion suggests the V-ATPase as a potential regulator of vacuolar morphology and membrane dynamics.

Catechol-binding serines of beta(2)-adrenergic receptors control the equilibrium between active and inactive receptor states.

The binding free energy for the interaction between serines 204 and 207 of the fifth transmembrane helix of the beta(2)-adrenergic receptor (beta(2)-AR) and catecholic hydroxyl (OH) groups of adrenergic agonists was analyzed using double mutant cycles. Binding affinities for catecholic and noncatecholic agonists were measured in wild-type and mutant receptors, carrying alanine replacement of the two serines (S204A, S207A beta(2)-AR), a constitutive activating mutation, or both. The free energy coupling between the losses of binding energy attributable to OH deletion from the ligand and from the receptor indicates a strong interaction (nonadditivity) as expected for a direct binding between the two sets of groups. However, we also measured a significant interaction between the deletion of OH groups from the receptor and the constitutive activating mutation. This suggests that a fraction of the decrease in agonist affinity caused by serine mutagenesis may involve a shift in the conformational equilibrium of the receptor toward the inactive state. Direct measurements using a transient transfection assay confirm this prediction. The constitutive activity of the (S204A, S207A) beta(2)-AR mutant is 50 to 60% lower than that of the wild-type beta(2)-AR. We conclude that S204 and S207 do not only provide a docking site for the agonist, but also control the equilibrium of the receptor between active (R*) and inactive (R) forms.

Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.