Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

After Satan: Essays in Honour of Neil Forsyth

This volume is the result of a collective desire to pay homage to Neil Forsyth, whose work has significantly contributed to scholarship on Satan. This volume is "after" Satan in more ways than one, tracing the afterlife of both the satanic figure in literature and of Neil Forsyth's contribution to the field, particularly in his major books The Old Enemy: Satan and the Combat Myth (Princeton University Press, 1987, revised 1990) and The Satanic Epic (Princeton University Press, 2003). The essays in this volume draw on Forsyth's work as a focus for their analyses of literary encounters with evil or with the Devil himself, reflecting the richness and variety of contemporary approaches to the age-old question of how to represent evil. All the contributors acknowledge Neil Forsyth's influence in the study of both the Satan-figure and Milton's Paradise Lost. But beyond simply paying homage to Neil Forsyth, the articles collected here trace the lineage of the Satan figure through literary history, showing how evil can function as a necessary other against which a community may define itself. They chart the demonised other through biblical history and medieval chronicle, Shakespeare and Milton, to nineteenth-century fiction and the contemporary novel. Many of the contributors find that literary evil is mediated through the lens of the Satan of Paradise Lost, and their articles address the notion, raised by Neil Forsyth in The Satanic Epic, that the literary Devil-figures under consideration are particularly interested in linguistic ambivalence and the twisted texture of literary works themselves. The multiple responses to evil and the continuous reinvention of the devil figure through the centuries all reaffirm the textual presence of the Devil, his changing forms necessarily inscribed in the shifting history of western literary culture. These essays are a tribute to the work of Neil Forsyth, whose scholarship has illuminated and guided the study of the Devil in English and other literatures.

Soft tissue sarcomas of the trunk wall (STS-TW): a study of 343 patients from the French Sarcoma Group (FSG) database.

BACKGROUND: Soft tissue sarcomas of the trunk wall (STS-TW) are usually studied together with soft tissue sarcomas of other locations. We report a study on STS-TW forming part of the French Sarcoma Group database. PATIENTS AND METHODS: Three hundred and forty-three adults were included. We carried out univariate and multivariate analysis for overall survival (OS), metastasis-free survival (MFS) and local recurrence-free survival (LRFS). RESULTS: Tumor locations were as follows: thoracic wall, 82.5%; abdominal wall, 12.3% and pelvic wall, 5.2%. Median tumor size was 6.0 cm. The most frequent tumor types were unclassified sarcoma (27.7%) and myogenic sarcoma (19.2%). A total of 44.6% of cases were grade 3. In all, 21.9% of patients had a previous medical history of radiotherapy (PHR). Median follow-up was 7.6 years. The 5-year OS, MFS and LRFS rates were 60.4%, 68.9% and 58.4%, respectively. Multivariate analysis retained PHR and grade for predicting LRFS and PHR, size and grade as prognostic factors of MFS. Factors influencing OS were age, size, PHR, depth, grade and surgical margins. The predictive factors of incomplete response were PHR, size and T3. CONCLUSIONS: Our results suggest similar classical prognostic factors as compared with sarcomas of other locations. However, a separate analysis of STS-TW revealed a significant poor prognosis subgroup of patients with PHR.

A further examination of the distinction between dependency-oriented and achievement-oriented parental psychological control: Psychometric properties of the DAPCS with French-speaking late adolescents

Psychological control refers to parental behaviors that intrude on the psychological and emotional development of the child. In 2010, Soenens and colleagues proposed a distinction between two domain-specific expressions of psychological control, that is, Dependency-oriented Psychological Control (DPC) and Achievement-oriented Psychological Control (APC). The aim of this study was to evaluate the factor structure, reliability, and convergent validity of the French form of the Dependency-oriented and Achievement-oriented Psychological Control Scale (DAPCS; Soenens, Vansteenkiste, and Luyten, 2010) in a sample of late adolescents (N = 291, mean age = 21.65). Confirmatory factor analyses confirmed the hypothesized two-factor solution of the DAPCS for paternal as well as for maternal ratings. Moreover, high indices of internal consistency indicated that both subscales produced reliable scores. Further, convergent validity was confirmed by theoretically consistent associations between the DAPCS' subscales and well-established assessments of general parenting style dimensions. Finally, results evidenced gender specific patterns supporting the relevance of domain differentiation in the assessment of psychological control. Overall, the results of this study indicated that the French form of the DAPCS might be a useful instrument to assess two domainspecific types of parental psychological control among French-speaking adolescents.

Link between genotype and antimicrobial resistance in bovine mastitis-related Staphylococcus aureus strains, determined by comparing Swiss and French isolates from the Rhône Valley.

Staphylococcus aureus is a major bovine mastitis pathogen. Although the reported antimicrobial resistance was generally low, the emergence of new genetic clusters in bovine mastitis requires examination of the link between antimicrobial resistance and genotypes. Here, amplified fragment length polymorphism (AFLP) profiles and standard antimicrobial resistance profiles were determined in order to characterize a total of 343 S. aureus cow mastitis isolates from two geographically close regions of Switzerland and France. AFLP profiles revealed similar population compositions in the two regions, with 4 major clusters (C8, C20, C97, and C151), but the proportions of isolates in each cluster significantly diverged between the two countries (P = 9.2 × 10⁻⁹). Antimicrobial resistance was overall low (< 5% resistance to all therapeutically relevant molecules), with the exception of penicillin resistance, which was detected in 26% of the isolates. Penicillin resistance proportions differed between clusters, with only 1 to 2% of resistance associated with C20 and C151 and up to 70% associated with bovine C97. The prevalence of C20 and C8 was unexpectedly high and requires further investigation into the mechanism of adaptation to the bovine host. The strong association of penicillin resistance with few clusters highlights the fact that the knowledge of local epidemiology is essential for rational choices of antimicrobial treatment in the absence of susceptibility testing. Taken together, these observations argue in favor of more routine scrutiny of antimicrobial resistance and antibiotic-resistant clones in cattle and the farm environment.

Limited genetic diversity and high differentiation among the remnant adder (Vipera berus) populations in the Swiss and French Jura Mountains

Although the adder (Vipera berus) has a large distribution area, this species is particularly threatened in Western Europe due to high habitat fragmentation and human persecution. We developed 13 new microsatellite markers in order to evaluate population structure and genetic diversity in the Swiss and French Jura Mountains, where the species is limited to only a few scattered populations. We found that V. berus exhibits a considerable genetic differentiation among populations (global F-ST = 0.269), even if these are not geographically isolated. Moreover, the genetic diversity within populations in the Jura Mountains and in the less perturbed Swiss Alps is significantly lower than in other French populations, possibly due to post-glacial recolonisation processes. Finally, in order to minimize losses of genetic diversities within isolated populations, suggestions for the conservation of this species in fragmented habitats are proposed.

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.