Labor market heterogeneity and the aggregate matching function

The matching function -a key building block in models of labor market frictions- impliesthat the job finding rate depends only on labor market tightness. We estimate such amatching function and find that the relation, although remarkably stable over 1967-2007,broke down spectacularly after 2007. We argue that labor market heterogeneities are notfully captured by the standard matching function, but that a generalized matching functionthat explicitly takes into account worker heterogeneity and market segmentation is fullyconsistent with the behavior of the job finding rate. The standard matching function canbreak down when, as in the Great Recession, the average characteristics of the unemployedchange too much, or when dispersion in labor market conditions -the extent to which somelabor markets fare worse than others- increases too much.

Expression and function of the NALP3 inflammasome in rheumatoid synovium.

Summary The NACHT, LRR and PYD domains containing protein (NALP3) inflammasome is a key regulator of interleukin-1beta (IL-1beta) secretion. As there is strong evidence for a pro-inflammatory role of IL-1beta in rheumatoid arthritis (RA) and in murine models of arthritis, we explored the expression of the different components of the NALP3 inflammasome as well as other nucleotide oligomerization domain (NOD)-like receptors (NLRs) in synovium obtained from patients with RA. The expression of NLRs was also studied in fibroblast lines derived from joint tissue. By immunohistology, NALP3 and apoptosis-associated speck-like protein containing a CARD domain (ASC) were expressed in myeloid and endothelial cells and B cells. T cells expressed ASC but lacked NALP3. In synovial fibroblast lines, NALP3 expression was not detected at the RNA and protein levels and stimulation with known NALP3 agonists failed to induce IL-1beta secretion. Interestingly, we were unable to distinguish RA from osteoarthritis synovial samples on the basis of their basal level of RNA expression of known NLR proteins, though RA samples contained higher levels of caspase-1 assayed by enzyme-linked immunsorbent assay. These results indicate that myeloid and endothelial cells are the principal sources of inflammasome-mediated IL-1beta production in the synovium, and that synovial fibroblasts are unable to activate caspase-1 because they lack NALP3. The NALP3 inflammasome activity does not account for the difference in level of inflammation between RA and osteoarthritis.

Dynamic compact thermal models with multiple power sources: application to an ultrathin chip stacking technology

Whereas numerical modeling using finite-element methods (FEM) can provide transient temperature distribution in the component with enough accuracy, it is of the most importance the development of compact dynamic thermal models that can be used for electrothermal simulation. While in most cases single power sources are considered, here we focus on the simultaneous presence of multiple sources. The thermal model will be in the form of a thermal impedance matrix containing the thermal impedance transfer functions between two arbitrary ports. Eachindividual transfer function element ( ) is obtained from the analysis of the thermal temperature transient at node ¿ ¿ after a power step at node ¿ .¿ Different options for multiexponential transient analysis are detailed and compared. Among the options explored, small thermal models can be obtained by constrained nonlinear least squares (NLSQ) methods if the order is selected properly using validation signals. The methods are applied to the extraction of dynamic compact thermal models for a new ultrathin chip stack technology (UTCS).

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Enhancing clinically-relevant shoulder function assessment using only essential movements.

Kinematic functional evaluation with body-worn sensors provides discriminative and responsive scores after shoulder surgery, but the optimal movements' combination has not yet been scientifically investigated. The aim of this study was the development of a simplified shoulder function kinematic score including only essential movements. The P Score, a seven-movement kinematic score developed on 31 healthy participants and 35 patients before surgery and at 3, 6 and 12 months after shoulder surgery, served as a reference.Principal component analysis and multiple regression were used to create simplified scoring models. The candidate models were compared to the reference score. ROC curve for shoulder pathology detection and correlations with clinical questionnaires were calculated.The B-B Score (hand to the Back and hand upwards as to change a Bulb) showed no difference to the P Score in time*score interaction (P > .05) and its relation with the reference score was highly linear (R(2) > .97). Absolute value of correlations with clinical questionnaires ranged from 0.51 to 0.77. Sensitivity was 97% and specificity 94%.The B-B and reference scores are equivalent for the measurement of group responses. The validated simplified scoring model presents practical advantages that facilitate the objective evaluation of shoulder function in clinical practice.

Towards a resolution of conflicting models of illusory contour processing in humans.

Despite myriad studies, neurophysiologic mechanisms mediating illusory contour (IC) sensitivity remain controversial. Among the competing models one favors feed-forward effects within lower-tier cortices (V1/V2). Another situates IC sensitivity first within higher-tier cortices, principally lateral-occipital cortices (LOC), with later feedback effects in V1/V2. Still others postulate that LOC are sensitive to salient regions demarcated by the inducing stimuli, whereas V1/V2 effects specifically support IC sensitivity. We resolved these discordances by using misaligned line gratings, oriented either horizontally or vertically, to induce ICs. Line orientation provides an established assay of V1/V2 modulations independently of IC presence, and gratings lack salient regions. Electrical neuroimaging analyses of visual evoked potentials (VEPs) disambiguated the relative timing and localization of IC sensitivity with respect to that for grating orientation. Millisecond-by-millisecond analyses of VEPs and distributed source estimations revealed a main effect of grating orientation beginning at 65 ms post-stimulus onset within the calcarine sulcus that was followed by a main effect of IC presence beginning at 85 ms post-stimulus onset within the LOC. There was no evidence for differential processing of ICs as a function of the orientation of the grating. These results support models wherein IC sensitivity occurs first within the LOC.

Dual Blockade of PD-1 and CTLA-4 Combined with Tumor Vaccine Effectively Restores T-Cell Rejection Function in Tumors.

Tumor progression is facilitated by regulatory T cells (Treg) and restricted by effector T cells. In this study, we document parallel regulation of CD8(+) T cells and Foxp3(+) Tregs by programmed death-1 (PD-1, PDCD1). In addition, we identify an additional role of CTL antigen-4 (CTLA-4) inhibitory receptor in further promoting dysfunction of CD8(+) T effector cells in tumor models (CT26 colon carcinoma and ID8-VEGF ovarian carcinoma). Two thirds of CD8(+) tumor-infiltrating lymphocytes (TIL) expressed PD-1, whereas one third to half of CD8(+) TIL coexpressed PD-1 and CTLA-4. Double-positive (PD-1(+)CTLA-4(+)) CD8(+) TIL had characteristics of more severe dysfunction than single-positive (PD-1(+) or CTLA-4(+)) TIL, including an inability to proliferate and secrete effector cytokines. Blockade of both PD-1 and CTLA-4 resulted in reversal of CD8(+) TIL dysfunction and led to tumor rejection in two thirds of mice. Double blockade was associated with increased proliferation of antigen-specific effector CD8(+) and CD4(+) T cells, antigen-specific cytokine release, inhibition of suppressive functions of Tregs, and upregulation of key signaling molecules critical for T-cell function. When used in combination with GVAX vaccination (consisting of granulocyte macrophage colony-stimulating factor-expressing irradiated tumor cells), inhibitory pathway blockade induced rejection of CT26 tumors in 100% of mice and ID8-VEGF tumors in 75% of mice. Our study indicates that PD-1 signaling in tumors is required for both suppressing effector T cells and maintaining tumor Tregs, and that PD-1/PD-L1 pathway (CD274) blockade augments tumor inhibition by increasing effector T-cell activity, thereby attenuating Treg suppression. Cancer Res; 73(12); 3591-603. ©2013 AACR.

Exactly solvable phase oscillator models with syncrhonization dynamics

Populations of phase oscillators interacting globally through a general coupling function f(x) have been considered. We analyze the conditions required to ensure the existence of a Lyapunov functional giving close expressions for it in terms of a generating function. We have also proposed a family of exactly solvable models with singular couplings showing that it is possible to map the synchronization phenomenon into other physical problems. In particular, the stationary solutions of the least singular coupling considered, f(x) = sgn(x), have been found analytically in terms of elliptic functions. This last case is one of the few nontrivial models for synchronization dynamics which can be analytically solved.

On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

MODELING OF SOIL LOAD-BEARING CAPACITY AS A FUNCTION OF SOIL MECHANICAL RESISTANCE TO PENETRATION

Estimation of soil load-bearing capacity from mathematical models that relate preconsolidation pressure (σp) to mechanical resistance to penetration (PR) and gravimetric soil water content (U) is important for defining strategies to prevent compaction of agricultural soils. Our objective was therefore to model the σp and compression index (CI) according to the PR (with an impact penetrometer in the field and a static penetrometer inserted at a constant rate in the laboratory) and U in a Rhodic Eutrudox. The experiment consisted of six treatments: no-tillage system (NT); NT with chiseling; and NT with additional compaction by combine traffic (passing 4, 8, 10, and 20 times). Soil bulk density, total porosity, PR (in field and laboratory measurements), U, σp, and CI values were determined in the 5.5-10.5 cm and 13.5-18.5 cm layers. Preconsolidation pressure (σp) and CI were modeled according to PR in different U. The σp increased and the CI decreased linearly with increases in the PR values. The correlations between σp and PR and PR and CI are influenced by U. From these correlations, the soil load-bearing capacity and compaction susceptibility can be estimated by PR readings evaluated in different U.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Insight in protein S deficiency from mouse models

Protein S (ProS) is an important negative regulator of blood coagulation. Its physiological importance is evident in purpura fulminans and other life-threatening thrombotic disorders typical of ProS deficient patients. Our previous characterization of ProS deficiency in mouse models has shown similarities with the human phenotypes: heterozygous ProS-deficient mice (Pros+/-) had increased thrombotic risk whereas homozygous deficiency in ProS (Pros-/-) was incompatible with life (Blood 2009; 114:2307-2314). In tissues, ProS exerts cellular functions by binding to and activating tyrosine kinase receptors of the Tyro3 family (TAM) on the cell surface.To extend the analysis of coagulation defects beyond the Pros-/- phenotype and add new insights into the sites of synthesis ProS and its action, we generated mice with inactivated ProS in hepatocytes (Proslox/loxAlbCre+) as well as in endothelial and hematopoietic cells (Proslox/loxTie2Cre+). Both models resulted in significant reduction of circulating ProS levels and in a remarkable increased thrombotic risk in vivo. In a model of tissue factor (TF)-induced venous thromboembolism (VTE), only 17% of Proslox/loxAlbCre+ mice (n=12) and only 13% of Proslox/loxTie2Cre+ mice (n=14) survived, compared with 86% of Proslox/lox mice (n=14; P<0.001).To mimic a severe acquired ProS deficiency, ProS gene was inactivated at the adult stage using the polyI:C-inducible Mx1-Cre system (Proslox/loxMx1Cre+). Ten days after polyI:C treatment, Proslox/loxMx1Cre+ mice developed disseminated intravascular coagulation with extensive lung and liver thrombosis.It is worth noting that no skin lesions compatible with purpura fulminans were observed in any of the above-described models of partial ProS deficiency. In order to shed light on the pathogenesis of purpura fulminans, we exposed the different ProS-deficient mice to warfarin (0.2 mg/day). We observed that Pros+/-, Proslox/loxAlbCre+ and Proslox/loxTie2Cre+ mice developed retiform purpura (characterized by erythematous and necrotic lesions of the genital region and extremities) and died after 3 to 5 days after the first warfarin administration.In human, ProS is also synthesized by megakaryocytes and hence stored at high concentrations in circulating platelets (pProS). The role of pProS has been investigated by generating megakaryocyte ProS-deficient model using the PF4 promoter as Cre driver (Proslox/loxPf4Cre+). In the TF-induced VTE model, Proslox/loxPf4Cre+ (n=15) mice showed a significant increased risk of thrombosis compared to Proslox/lox controls (n=14; survival rate 47% and 86%, respectively; P<0.05). Furthermore, preliminary results suggest survival to be associated with higher circulating ProS levels. In order to evaluate the potential role of pProS in thrombus formation, we investigated the thrombotic response to intravenous injection of collagen-epinephrine in vivo and platelet function in vitro. Both in vivo and in vitro experiments showed similar results between Proslox/loxPf4Cre+ and Proslox/lox, indicating that platelet reactivity was not influenced by the absence of pProS. These data suggest that pProS is delivered at the site of thrombosis to inhibit thrombin generation.We further investigated the ability of ProS to function as a ligand of TAM receptors, by using homozygous and heterozygous deficient mice for both the TAM ligands ProS and Gas6. Gas6-/-Pros-/- mice died in utero and showed comparable dramatic bleeding and thrombotic phenotype as described for Pros-/- embryos.In conclusion, like complete ProS deficiency, double deficiency in ProS and Gas6 was lethal, whereas partial ProS deficiency was not. Mice partially deficient in ProS displayed a prothrombotic phenotype, including those with only deficiency in pProS. Purpura fulminans did not occur spontaneously in mice with partial Pros deficiency but developed upon warfarin administration.Thus, the use of different mice models of ProS deficiency can be instrumental in the study of its highly variable thrombotic phenotype and in the investigation of additional roles of ProS in inflammation and autoimmunity through TAM signaling.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)