Topics in financial econometrics

In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

Examining the Role of Vocational Rehabilitation on Access to Care and Public Health Outcomes for People Living with HIV/AIDS

The purpose of this study is to examine the role of vocational rehabilitation services in contributing to the goals of the National HIV/AIDS strategy. Three key research questions are addressed: (a) What is the relationship among factors associated with the use of vocational rehabilitation services for people living with HIV/AIDS? (b) Are the factors associated with use of vocational rehabilitation also associated with access to health care, supplemental employment services and reduced risk of HIV transmission? And (c) What unique role does use of vocational rehabilitation services play in access to health care and HIV prevention? Survey research methods were used to collect data from a broad sample of volunteer respondents who represented diverse racial (37% Black, 37% White, 18% Latino, 7% other), gender (65% male, 34% female, 1% transgender) and sexual orientation (48% heterosexual, 44% gay, 8% bisexual) backgrounds. The fit of the final structural equation model was good (root mean square error of approximation = .055, Comparative Fit Index=.953, Tucker Lewis Index=.945). Standardized effects with bootstrap confidence intervals are reported. Overall, the findings support the hypothesis that vocational rehabilitation services can play an important role in health and prevention strategies outlined in the National HIV/AIDS strategy.

Cascading climate effects and related ecological consequences during past centuries

The interface between climate and ecosystem structure and function is incompletely understood, partly because few ecological records start before the recent warming phase. Here, we analyse an exceptional 100-yr long record of the great tit (Parus major) population in Switzerland in relation to climate and habitat phenology. Using structural equation analysis, we demonstrate an uninterrupted cascade of significant influences of the large-scale atmospheric circulation (North-Atlantic Oscillation, NAO, and North-sea – Caspian Pattern, NCP) on habitat and breeding phenology, and further on fitness-relevant life history traits within great tit populations. We then apply the relationships of this analysis to reconstruct the circulation-driven component of fluctuations in great tit breeding phenology and productivity on the basis of new seasonal NAO and NCP indices back to 1500 AD. According to the structural equation model, the multi-decadal oscillation of the atmospheric circulation likely led to substantial variation in habitat phenology, productivity and consequently, tit population fluctuations with minima during the "Maunder Minimum" (∼ 1650–1720) and the Little Ice Age Type Event I (1810–1850). The warming since 1975 was not only related with a quick shift towards earlier breeding, but also with the highest productivity since 1500, and thus, the impact of the NAO and NCP has contributed to an unprecedented increase of the population. A verification of the structural equation model against two independent data series (1970–2000 and 1750–1900) corroborates that the retrospective model reliably depicts the major long-term NAO/NCP impact on ecosystem parameters. The results suggest a complex cascade of climate effects beginning at a global scale and ending at the level of individual life histories. This sheds light on how large-scale climate conditions substantially affect major life history parameters within a population, and thus influence key ecosystem parameters at the scale of centuries.

MODELING AND PROTOCOL DESIGN FOR EMERGING WIRELESS SYSTEMS

Mobile Mesh Network based In-Transit Visibility (MMN-ITV) system facilitates global real-time tracking capability for the logistics system. In-transit containers form a multi-hop mesh network to forward the tracking information to the nearby sinks, which further deliver the information to the remote control center via satellite. The fundamental challenge to the MMN-ITV system is the energy constraint of the battery-operated containers. Coupled with the unique mobility pattern, cross-MMN behavior, and the large-spanned area, it is necessary to investigate the energy-efficient communication of the MMN-ITV system thoroughly. First of all, this dissertation models the energy-efficient routing under the unique pattern of the cross-MMN behavior. A new modeling approach, pseudo-dynamic modeling approach, is proposed to measure the energy-efficiency of the routing methods in the presence of the cross-MMN behavior. With this approach, it could be identified that the shortest-path routing and the load-balanced routing is energy-efficient in mobile networks and static networks respectively. For the MMN-ITV system with both mobile and static MMNs, an energy-efficient routing method, energy-threshold routing, is proposed to achieve the best tradeoff between them. Secondly, due to the cross-MMN behavior, neighbor discovery is executed frequently to help the new containers join the MMN, hence, consumes similar amount of energy as that of the data communication. By exploiting the unique pattern of the cross-MMN behavior, this dissertation proposes energy-efficient neighbor discovery wakeup schedules to save up to 60% of the energy for neighbor discovery. Vehicular Ad Hoc Networks (VANETs)-based inter-vehicle communications is by now growingly believed to enhance traffic safety and transportation management with low cost. The end-to-end delay is critical for the time-sensitive safety applications in VANETs, and can be a decisive performance metric for VANETs. This dissertation presents a complete analytical model to evaluate the end-to-end delay against the transmission range and the packet arrival rate. This model illustrates a significant end-to-end delay increase from non-saturated networks to saturated networks. It hence suggests that the distributed power control and admission control protocols for VANETs should aim at improving the real-time capacity (the maximum packet generation rate without causing saturation), instead of the delay itself. Based on the above model, it could be determined that adopting uniform transmission range for every vehicle may hinder the delay performance improvement, since it does not allow the coexistence of the short path length and the low interference. Clusters are proposed to configure non-uniform transmission range for the vehicles. Analysis and simulation confirm that such configuration can enhance the real-time capacity. In addition, it provides an improved trade off between the end-to-end delay and the network capacity. A distributed clustering protocol with minimum message overhead is proposed, which achieves low convergence time.

Social inequality and smoking in young Swiss men: intergenerational transmission of cultural capital and health orientation

OBJECTIVES Smoking is related to income and education and contributes to social inequality in morbidity and mortality. Socialisation theories focus on one's family of origin as regards acquisition of norms, attitudes and behaviours. Aim of this study is to assess associations of daily smoking with health orientation and academic track in young Swiss men. Further, to assess associations of health orientation and academic track with family healthy lifestyle, parents' cultural capital, and parents' economic capital. METHODS Cross-sectional data were collected during recruitment for compulsory military service in Switzerland during 2010 and 2011. A structural equation model was fitted to a sample of 18- to 25-year-old Swiss men (N = 10,546). RESULTS Smoking in young adults was negatively associated with academic track and health orientation. Smoking was negatively associated with parents' cultural capital through academic track. Smoking was negatively associated with health orientation which in turn was positively associated with a healthy lifestyle in the family of origin. CONCLUSIONS Results suggest two different mechanisms of intergenerational transmissions: first, the family transmission path of health-related dispositions, and secondly, the structural transmission path of educational inequality.

Online social networks: why we disclose

On online social networks such as Facebook, massive self-disclosure by users has attracted the attention of industry players and policymakers worldwide. Despite the impressive scope of this phenomenon, very little is understood about what motivates users to disclose personal information. Integrating focus group results into a theoretical privacy calculus framework, we develop and empirically test a Structural Equation Model of self-disclosure with 259 subjects. We find that users are primarily motivated to disclose information because of the convenience of maintaining and developing relationships and platform enjoyment. Countervailing these benefits, privacy risks represent a critical barrier to information disclosure. However, users’ perception of risk can be mitigated by their trust in the network provider and availability of control options. Based on these findings, we offer recommendations for network providers.

Dynamic Chemical Shift Imaging for Image-Guided Thermal Therapy

Magnetic resonance temperature imaging (MRTI) is recognized as a noninvasive means to provide temperature imaging for guidance in thermal therapies. The most common method of estimating temperature changes in the body using MR is by measuring the water proton resonant frequency (PRF) shift. Calculation of the complex phase difference (CPD) is the method of choice for measuring the PRF indirectly since it facilitates temperature mapping with high spatiotemporal resolution. Chemical shift imaging (CSI) techniques can provide the PRF directly with high sensitivity to temperature changes while minimizing artifacts commonly seen in CPD techniques. However, CSI techniques are currently limited by poor spatiotemporal resolution. This research intends to develop and validate a CSI-based MRTI technique with intentional spectral undersampling which allows relaxed parameters to improve spatiotemporal resolution. An algorithm based on autoregressive moving average (ARMA) modeling is developed and validated to help overcome limitations of Fourier-based analysis allowing highly accurate and precise PRF estimates. From the determined acquisition parameters and ARMA modeling, robust maps of temperature using the k-means algorithm are generated and validated in laser treatments in ex vivo tissue. The use of non-PRF based measurements provided by the technique is also investigated to aid in the validation of thermal damage predicted by an Arrhenius rate dose model.

Privacy concerns and identity in online social networks

Driven by privacy-related fears, users of Online Social Networks may start to reduce their network activities. This trend can have a negative impact on network sustainability and its business value. Nevertheless, very little is understood about the privacy-related concerns of users and the impact of those concerns on identity performance. To close this gap, we take a systematic view of user privacy concerns on such platforms. Based on insights from focus groups and an empirical study with 210 subjects, we find that (i) Organizational Threats and (ii) Social Threats stemming from the user environment constitute two underlying dimensions of the construct “Privacy Concerns in Online Social Networks”. Using a Structural Equation Model, we examine the impact of the identified dimensions of concern on the Amount, Honesty, and Conscious Control of individual self-disclosure on these sites. We find that users tend to reduce the Amount of information disclosed as a response to their concerns regarding Organizational Threats. Additionally, users become more conscious about the information they reveal as a result of Social Threats. Network providers may want to develop specific mechanisms to alleviate identified user concerns and thereby ensure network sustainability.

Leveraging Trust and Privacy Concerns in Online Social Networks: an Empirical Study

Unprecedented success of Online Social Networks, such as Facebook, has been recently overshadowed by the privacy risks they imply. Weary of privacy concerns and unable to construct their identity in the desired way, users may restrict or even terminate their platform activities. Even though this means a considerable business risk for these platforms, so far there have been no studies on how to enable social network providers to address these problems. This study fills this gap by adopting a fairness perspective to analyze related measures at the disposal of the provider. In a Structural Equation Model with 237 subjects we find that ensuring interactional and procedural justice are two important strategies to support user participation on the platform.

"It won't happen to me!": self-disclosure in online social networks

Despite the considerable amount of self-disclosure in Online Social Networks (OSN), the motivation behind this phenomenon is still little understood. Building on the Privacy Calculus theory, this study fills this gap by taking a closer look at the factors behind individual self-disclosure decisions. In a Structural Equation Model with 237 subjects we find Perceived Enjoyment and Privacy Concerns to be significant determinants of information revelation. We confirm that the privacy concerns of OSN users are primarily determined by the perceived likelihood of a privacy violation and much less by the expected damage. These insights provide a solid basis for OSN providers and policy-makers in their effort to ensure healthy disclosure levels that are based on objective rationale rather than subjective misconceptions.

Effects of depressive symptoms on antecedents of lapses during a smoking cessation attempt: an ecological momentary assessment study

AIMS: To investigate pathways through which momentary negative affect and depressive symptoms affect risk of lapse during smoking cessation attempts. DESIGN: Ecological momentary assessment was carried out during 2 weeks after an unassisted smoking cessation attempt. A 3-month follow-up measured smoking frequency. SETTING: Data were collected via mobile devices in German-speaking Switzerland. PARTICIPANTS: A total of 242 individuals (age 20-40, 67% men) reported 7112 observations. MEASUREMENTS: Online surveys assessed baseline depressive symptoms and nicotine dependence. Real-time data on negative affect, physical withdrawal symptoms, urge to smoke, abstinence-related self-efficacy and lapses. FINDINGS: A two-level structural equation model suggested that on the situational level, negative affect increased the urge to smoke and decreased self-efficacy (β = 0.20; β = -0.12, respectively), but had no direct effect on lapse risk. A higher urge to smoke (β = 0.09) and lower self-efficacy (β = -0.11) were confirmed as situational antecedents of lapses. Depressive symptoms at baseline were a strong predictor of a person's average negative affect (β = 0.35, all P < 0.001). However, the baseline characteristics influenced smoking frequency 3 months later only indirectly, through influences of average states on the number of lapses during the quit attempt. CONCLUSIONS: Controlling for nicotine dependence, higher depressive symptoms at baseline were associated strongly with a worse longer-term outcome. Negative affect experienced during the quit attempt was the only pathway through which the baseline depressive symptoms were associated with a reduced self-efficacy and increased urges to smoke, all leading to the increased probability of lapses.

Sports after Busy Work: Work-Related Cognitive Failure Corresponds to Risk Bearing Behaviors and Athletic Injury

Although employees are encouraged to take exercise after work to keep physically fit, they should not suffer injury. Some sports injuries that occur after work appear to be work-related and preventable. This study investigated whether cognitive failure mediates the influence of mental work demands and conscientiousness on risk-taking and risky and unaware behaviour during after-work sports activities. Participants were 129 employees (36% female) who regularly took part in team sports after work. A structural equation model showed that work-related cognitive failure significantly mediated the influence of mental work demands on risky behaviour during sports (p < .05) and also mediated the directional link between conscientiousness and risky behaviour during sports (p < .05). A path from risky behaviour during sports to sports injuries in the last four weeks was also significant (p < .05). Performance constraints, time pressure, and task uncertainty are likely to increase cognitive load and thereby boost cognitive failures both during work and sports activities after work. Some sports injuries after work could be prevented by addressing the issue of work redesign.

Relationship between depressive symptoms and acute low back pain at first medical consultation, three and six weeks of primary care

Background: Aim of the study was to test lagged reciprocal effects of depressive symptoms and acute low back pain (LBP) across the first weeks of primary care. Methods: In a prospective inception cohort study, 221 primary care patients with acute or subacute LBP were assessed at the time of initial consultation and then followed up at three and six weeks. Key measures were depressive symptoms (modified Zung Self-Rating Depression Scale) and LBP (sensory pain, present pain index and visual analogue scale of the Short-Form McGill Pain Questionnaire). Results: When only cross-lagged effects of six weeks were tested, a reciprocal positive relationship between LBP and depressive symptoms was shown in a cross-lagged structural equation model (β = .15 and .17, p < .01). When lagged reciprocal paths at three- and six-week follow-up were tested, depressive symptoms at the time of consultation predicted higher LBP severity after three weeks (β = .23, p < .01). LBP after three weeks had in turn a positive cross-lagged effect on depression after six weeks (β = .27, p < .001). Conclusions: Reciprocal effects of depressive symptoms and LBP seem to depend on time under medical treatment. Health practitioners should screen for and treat depressive symptoms at the first consultation to improve the LBP treatment.

Push and Pull Motivations for Quitting: A three-wave investigation of predictors and consequences of turnover

We report a new analysis of data from a multi-year study, some of which were previously published in the current journal. A longitudinal sample of 380 computer specialists was followed over two years, yielding three measures each of job satisfaction, organizational commitment, and turnover intentions, as well as actual turnover, and reasons for leaving, at Times 2 and 3. Career paths were more diverse than the classical distinction between stayers and leavers implies. Furthermore, although the largest single group of leavers cited “push” reasons, conforming to the classical withdrawal model, a sizable number were attracted to another job (“pull motivation”). In a three-wave structural equation model, job (dis)satisfaction predicted turnover, while organizational commitment exerted its influence only via its association with job satisfaction. As expected, however, attitudes predicted turnover only for participants with push motivation. Quitting, in turn, predicted an improvement in both satisfaction and commitment, indicating that it paid off for the individual. The necessity to study consequences of turnover and to distinguish between different subgroups of stayers and leavers is emphasized.

Appreciation of nature and appreciation of environmental protection: How stable are these attitudes and which comes first?

Introduction. – Attitude toward nature and attitude toward environmental protection are two separate but correlated attitudes. Little is known about the two attitudes’ stability/volatility over time, despite the practical value of such knowledge. Objectives & method. – Using longitudinal survey data from 251 adults in a cross-lagged structural equation model, we assessed the degree of spontaneous (i.e., unprompted) change in the two attitudes. We also considered whether such change could provide evidence regarding causal direction; causation could go in either of two directions between the two attitudes, or it could even be bi-directional. Results. – We corroborated the substantive connection between attitude toward nature and attitude toward environmental protection; however, the absence of change in the attitudes despite the passage of two years disallows reliable statements about causal direction. Conclusion. – It is possible to protect the environment by encouraging appreciation of nature, but change in attitude toward nature and attitude toward environmental protection may be difficult to achieve with mature individuals.