Machine learning analysis and modeling of interest rate curves

The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal and clustering structures helps to understand the relevance of model and its potential use for the forecasting. Mapping of IRC in a maturity-date feature space is presented and analyzed for the visualization and forecasting purposes.

Interest rates mapping

The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Exploratory data analysis includes a variety of tools widely used in econophysics and geostatistics. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and pattern perception purposes, to develop and to explore economical hypotheses, to produce dynamic asset-liability simulations and for financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well. (C) 2008 Elsevier B.V. All rights reserved.

Le prêt à intérêt dans l'Antiquité préchrétienne : Jérusalem, Athènes, Rome : étude juridique, philosophique et historiographique

Le prêt à intérêt était pratiqué par tous les peuples de l'Antiquité préchrétienne, à l'exception du peuple d'Israël. L'auteur examine d'abord l'interdiction du prêt à intérêt dans l'Ancien Testament. Il expose ensuite la pratique du prêt à intérêt en Grèce, avant de détailler les critiques d'Aristote. Enfin, l'auteur retrace l'évolution du prêt (mutuum) et de la réglementation de l'intérêt à Rome, des origines à Constantin. Il met l'accent sur trois grandes controverses parmi les romanistes modernes (XVIe - XXIe s.) : sur le nexum, sur la centesima et, surtout, sur le mystérieux fenus unciarium, le taux d'intérêt fixé par les Douze Tables, pour lequel l'éventail des interprétations va de 1 à 100 % par an ! L'auteur recense les opinions de plus de 400 juristes et historiens, discute les plus importantes et propose sa conclusion. The loan at interest was used by all the peoples of pre-Christian Antiquity, excepting the people of Israel. The author first focuses on the prohibition of lending at interest in the Old Testament. He then explores the use of loans at interest in Greece before examining Aristotle's criticism. Eventually, the author follows the evolution of loan (mutuum) and interest regulation in Rome, from the origins to Constantine. Three great controversies among modern Roman law scholars (16th - 21th) are considered: nexum, centesima and above all, the mysterious fenus unciarium, the interest rate defined by the Twelve Tables, for which the range of interpretations varies between 1 and 100% per year! The author gives an inventory of more than 400 opinions expressed by jurists and historians, discusses the most important ones and suggests a solution.

Capital Controls with International Reserve Accumulation: Can this Be Optimal ?

Motivated by the Chinese experience, we analyze a semi-open economy where the central bank has access to international capital markets, but the private sector has not. This enables the central bank to choose an interest rate different from the international rate. We examine the optimal policy of the central bank by modelling it as a Ramsey planner who can choose the level of domestic public debt and of international reserves. The central bank can improve savings opportunities of credit-constrained consumers modelled as in Woodford (1990). We find that in a steady state it is optimal for the central bank to replicate the open economy, i.e., to issue debt financed by the accumulation of reserves so that the domestic interest rate equals the foreign rate. When the economy is in transition, however, a rapidly growing economy has a higher welfare without capital mobility and the optimal interest rate differs from the international rate. We argue that the domestic interest rate should be temporarily above the international rate. We also find that capital controls can still help reach the first best when the planner has more fiscal instruments.

Safety Traps

Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to risk aversion, two equilibria can emerge: a standard equilibrium and a "safe" one in which investors invest in safer assets. We refer to the dynamics of this second equilibrium as a safety trap because it is self-reinforcing as investors accumulate more wealth and show it to be consistent with Japan's lost decade.

What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?

Purpose - The purpose of this paper is to analyze what transaction costs are acceptable for customers in different investments. In this study, two life insurance contracts, a mutual fund and a risk-free investment, as alternative investment forms are considered. The first two products under scrutiny are a life insurance investment with a point-to-point capital guarantee and a participating contract with an annual interest rate guarantee and participation in the insurer's surplus. The policyholder assesses the various investment opportunities using different utility measures. For selected types of risk profiles, the utility position and the investor's preference for the various investments are assessed. Based on this analysis, the authors study which cost levels can make all of the products equally rewarding for the investor. Design/methodology/approach - The paper notes the risk-neutral valuation calibration using empirical data utility and performance measurement dynamics underlying: geometric Brownian motion numerical examples via Monte Carlo simulation. Findings - In the first step, the financial performance of the various saving opportunities under different assumptions of the investor's utility measurement is studied. In the second step, the authors calculate the level of transaction costs that are allowed in the various products to make all of the investment opportunities equally rewarding from the investor's point of view. A comparison of these results with transaction costs that are common in the market shows that insurance companies must be careful with respect to the level of transaction costs that they pass on to their customers to provide attractive payoff distributions. Originality/value - To the best of the authors' knowledge, their research question - i.e. which transaction costs for life insurance products would be acceptable from the customer's point of view - has not been studied in the above described context so far.

Evolutionary implications of a high selfing rate in the freshwater snail Lymnaea truncatula.

Self-compatible hermaphroditic organisms that mix self-fertilization and outcrossing are of great interest for investigating the evolution of mating systems. We investigate the evolution of selfing in Lymnaea truncatula, a self-compatible hermaphroditic freshwater snail. We first analyze the consequences of selfing in terms of genetic variability within and among populations and then investigate how these consequences along with the species ecology (harshness of the habitat and parasitism) might govern the evolution of selfing. Snails from 13 localities (classified as temporary or permanent depending on their water availability) were sampled in western Switzerland and genotyped for seven microsatellite loci. F(IS) (estimated on adults) and progeny array analyses (on hatchlings) provided similar selfing rate estimates of 80%. Populations presented a low polymorphism and were highly differentiated (F(ST) = 0.58). Although the reproductive assurance hypothesis would predict higher selfing rate in temporary populations, no difference in selfing level was observed between temporary and permanent populations. However, allelic richness and gene diversity declined in temporary habitats, presumably reflecting drift. Infection levels varied but were not simply related to either estimated population selfing rate or to differences in heterozygosity. These findings and the similar selfing rates estimated for hatchlings and adults suggest that within-population inbreeding depression is low in L. truncatula.

Rate and predictors of service disengagement in an epidemiological first-episode psychosis cohort.

OBJECTIVES: To assess the prevalence and predictors of service disengagement in a treated epidemiological cohort of first-episode psychosis (FEP) patients. METHODS: The Early Psychosis Prevention and Intervention Centre (EPPIC) in Australia admitted 786 FEP patients from January 1998 to December 2000. Treatment at EPPIC is scheduled for 18 months. Data were collected from patients' files using a standardized questionnaire. Seven hundred four files were available; 44 were excluded, because of a non-psychotic diagnosis at endpoint (n=43) or missing data on service disengagement (n=1). Rate of service disengagement was the outcome of interest, as well as pre-treatment, baseline, and treatment predictors of service disengagement, which were examined via Cox proportional hazards models. RESULTS: 154 patients (23.3%) disengaged from service. A past forensic history (Hazard ratio [HR]=1.69; 95%CI 1.17-2.45), lower severity of illness at baseline (HR=0.59; 95%CI 0.48-0.72), living without family at discharge (HR=1.75; 95%CI 1.22-2.50) and persistence of substance use disorder during treatment (HR=2.30; 95%CI 1.45-3.66) were significant predictors of disengagement from service. CONCLUSIONS: While engagement strategies are a core element in the treatment of first-episode psychosis, particular attention should be paid to these factors associated with disengagement. Involvement of the family in the treatment process, and focusing on reduction of substance use, need to be pursued in early intervention services.

Estimation de la fonction rénale par l'equation MDRD: intérêt et limites pour l'adaptation des doses de médicaments [Renal function estimation by MDRD equation: interest and limitations for drug dosing].

The MDRD (Modification of diet in renal disease) equation enables glomerular filtration rate (GFR) estimation from serum creatinine only. Thus, the laboratory can report an estimated GFR (eGFR) with each serum creatinine assessment, increasing therefore the recognition of renal failure. Predictive performance of MDRD equation is better for GFR < 60 ml/min/1,73 m2. A normal or near-normal renal function is often underestimated by this equation. Overall, MDRD provides more reliable estimations of renal function than the Cockcroft-Gault (C-G) formula, but both lack precision. MDRD is not superior to C-G for drug dosing. Being adjusted to 1,73 m2, MDRD eGFR has to be back adjusted to the patient's body surface area for drug dosing. Besides, C-G has the advantage of a greater simplicity and a longer use.

Increasing lactate turnover rate during exercise by means of altitude training and fructose ingestion : effects on substrate metabolism and endurance performance

Summary : With regard to exercise metabolism, lactate was long considered as a dead-end waste product responsible for muscle fatigue and a limiting factor for motor performance. However, a large body of evidence clearly indicates that lactate is an energy efficient metabolite able to link the glycolytic pathway with aerobic metabolism and has endocrine-like actions, rather than to be a dead-end waste product. Lactate metabolism is also known to be quickly upregulated by regular endurance training and is thought to be related to exercise performance. However, to what extent its modulation can increase exercise performance in already endurance-trained subjects is unknown. The general hypothesis of this work was therefore that increasing either lactate metabolic clearance rate or lactate availability could, in turn, increase endurance performance. The first study (Study I) aimed at increasing the lactate clearance rate by means of assumed interaction effects of endurance training and hypoxia on lactate metabolism and endurance performance. Although this study did not demonstrate any interaction of training and hypoxia on both lactate metabolism and endurance performance, a significant deleterious effect of endurance training in hypoxia was shown on glucose homeostasis. The methods used to determine lactate kinetics during exercise exhibited some limitations, and the second study did delineate some of the issues raised (Study 2). The third study (Study 3) investigated the metabolic and performance effects of increasing plasma lactate production and availability during prolonged exercise in the fed state. A nutritional intervention was used for this purpose: part of glucose feedings ingested during the control condition was substituted by fructose. The results of this study showed a significant increase of lactate turnover rate, quantified the metabolic fate of fructose; and demonstrated a significant decrease of lipid oxidation and glycogen breakdown. In contrast, endurance performance appeared to be unmodified by this dietary intervention, being at odds with recent reports. Altogether the results of this thesis suggest that in endurance athletes the relationship between endurance performance and lactate turnover rate remains unclear. Nonetheless, the result of the present study raises questions and opens perspectives on the rationale of using hypoxia as a therapeutic aid for the treatment of insulin resistance. Moreover, the results of the second study open perspectives on the role of lactate as an intermediate metabolite and its modulatory effects on substrate metabolism during exercise. Additionally it is suggested that the simple nutritional intervention used in the third study can be of interest in the investigation on the aforementioned roles of lactate. Résumé : Lorsque le lactate est évoqué en rapport avec l'exercice, il est souvent considéré comme un déchet métabolique responsable de l'acidose métabolique, de la fatigue musculaire ou encore comme un facteur limitant de la performance. Or la littérature montre clairement que le lactate se révèle être plutôt un métabolite utilisé efficacement par de nombreux tissus par les voies oxydatives et, ainsi, il peut être considéré comme un lien entre le métabolisme glycolytique et le métabolisme oxydatif. De plus on lui prête des propriétés endocrines. Il est connu que l'entraînement d'endurance accroît rapidement le métabolisme du lactate, et il est suggéré que la performance d'endurance est liée à son métabolisme. Toutefois la relation entre le taux de renouvellement du lactate et la performance d'endurance est peu claire, et, de même, de quelle manière la modulation de son métabolisme peut influencer cette dernière. Le but de cette thèse était en conséquence d'investiguer de quelle manière et à quel degré l'augmentation du métabolisme du lactate, par l'augmentation de sa clearance et de son turnover, pouvait à son tour améliorer la performance d'endurance de sujets entraînés. L'objectif de la première étude a été d'augmenter la clearance du lactate par le biais d'un entraînement en conditions hypoxiques chez des cyclistes d'endurance. Basé sur la littérature scientifique existante, on a fait l'hypothèse que l'entraînement d'endurance et l'hypoxie exerceraient un effet synergétique sur le métabolisme du lactate et sur la performance, ce qui permettrait de montrer des relations entre performance et métabolisme du lactate. Les résultats de cette étude n'ont montré aucun effet synergique sur la performance ou le métabolisme du lactate. Toutefois, un effet délétère sur le métabolisme du glucose a été démontré. Quelques limitations de la méthode employée pour la mesure du métabolisme du lactate ont été soulevées, et partiellement résolues dans la seconde étude de ce travail, qui avait pour but d'évaluer la sensibilité du modèle pharmacodynamique utilisé pour le calcul du turnover du lactate. La troisième étude a investigué l'effet d'une augmentation de la lactatémie sur le métabolisme des substrats et sur la performance par une intervention nutritionnelle substituant une partie de glucose ingéré pendant l'exercice par du fructose. Les résultats montrent que les composants dynamiques du métabolisme du lactate sont significativement augmentés en présence de fructose, et que les oxydations de graisse et de glycogène sont significativement diminuées. Toutefois aucun effet sur la performance n'a été démontré. Les résultats de ces études montrent que la relation entre le métabolisme du lactate et la performance reste peu claire. Les résultats délétères de la première étude laissent envisager des pistes de travail, étant donné que l'entraînement en hypoxie est considéré comme outil thérapeutique dans le traitement de pathologies liées à la résistance à l'insuline. De plus les résultats de la troisième étude ouvrent des perspectives de travail quant au rôle du lactate comme intermédiaire métabolique durant l'exercice ainsi que sur ses effets directs sur le métabolisme. Ils suggèrent de plus que la manipulation nutritionnelle simple qui a été utilisée se révèle être un outil prometteur dans l'étude des rôles et effets métaboliques que peut revêtir le lactate durant l'exercice.

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Resting metabolic rate and protein turnover in apparently healthy elderly Gambian men.

Body composition, resting energy expenditure (REE), and whole body protein metabolism were studied in 26 young and 28 elderly Gambian men matched for body mass index during the dry season in a rural village in The Gambia. REE was measured by indirect calorimetry (hood system) in the fasting state and after five successive meals. Rates of whole body nitrogen flux, protein synthesis, and protein breakdown were determined in the fed state from the level of isotopic enrichment of urinary ammonia over a period of 12 h after a single oral dose of [15N]glycine. Expressed in absolute value, REE was significantly lower in the elderly compared with the young group (3.21 +/- 0.07 vs. 4.04 +/- 0.07 kJ/min, P < 0.001) and when adjusted to body weight (3.29 +/- 0.05 vs. 3.96 +/- 0.05 kJ/min, P < 0.0001) and fat-free mass (FFM; 3.38 +/- 0.01 vs. 3.87 +/- 0.01 kJ/min, P < 0.0001). The rate of protein synthesis averaged 207 +/- 13 g protein/day in the elderly and 230 +/- 13 g protein/day in the young group, whereas protein breakdown averaged 184 +/- 13 g protein/day in the elderly and 203 +/- 13 g protein/day in the young group (nonsignificant). When values were adjusted for body weight or FFM, they did not reveal any difference between the two groups. It is concluded that the reduced REE adjusted for body composition observed in elderly Gambian men is not explained by a decrease in protein turnover.