Liquidity, governance and adverse selection in asset pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company's shares. Hence, we jointly examine both the factors, namely, governance and liquidity - in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll's (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.^

A Fuzzy Preprocessing Module for Optimizing the Access Network Selection in Wireless Networks

A heterogeneous wireless network is characterized by the presence of different wireless access technologies that coexist in an overlay fashion. These wireless access technologies usually differ in terms of their operating parameters. On the other hand, Mobile Stations (MSs) in a heterogeneous wireless network are equipped with multiple interfaces to access different types of services from these wireless access technologies. The ultimate goal of these heterogeneous wireless networks is to provide global connectivity with efficient ubiquitous computing to these MSs based on the Always Best Connected (ABC) principle. This is where the need for intelligent and efficient Vertical Handoffs (VHOs) between wireless technologies in a heterogeneous environment becomes apparent. This paper presents the design and implementation of a fuzzy multicriteria based Vertical Handoff Necessity Estimation (VHONE) scheme that determines the proper time for VHO, while considering the continuity and quality of the currently utilized service, and the end-users' satisfaction.

The role of parasite-driven selection in shaping landscape genomic structure in red grouse (Lagopus lagopus scotica)

This article is protected by copyright. All rights reserved. Acknowledgements This study was funded by a BBSRC studentship (MAW) and NERC grants NE/H00775X/1 and NE/D000602/1 (SBP). The authors are grateful to Mario Röder and Keliya Bai for fieldwork assistance, and all estate owners, factors and keepers for access to field sites, most particularly MJ Taylor and Mike Nisbet (Airlie), Neil Brown (Allargue), RR Gledson and David Scrimgeour (Delnadamph), Andrew Salvesen and John Hay (Dinnet), Stuart Young and Derek Calder (Edinglassie), Kirsty Donald and David Busfield (Glen Dye), Neil Hogbin and Ab Taylor (Glen Muick), Alistair Mitchell (Glenlivet), Simon Blackett, Jim Davidson and Liam Donald (Invercauld), Richard Cooke and Fred Taylor† (Invermark), Shaila Rao and Christopher Murphy (Mar Lodge), and Ralph Peters and Philip Astor (Tillypronie). Data accessibility • Genotype data (DataDryad: doi:10.5061/dryad.4t7jk) • Metadata (information on sampling sites, phenotypes and medication regimen) (DataDryad: doi:10.5061/dryad.4t7jk)

The Hurst exponent as an indicator of the behaviour of a model monopile in an ocean wave testing basin

With the importance of renewable energy well-established worldwide, and targets of such energy quantified in many cases, there exists a considerable interest in the assessment of wind and wave devices. While the individual components of these devices are often relatively well understood and the aspects of energy generation well researched, there seems to be a gap in the understanding of these devices as a whole and especially in the field of their dynamic responses under operational conditions. The mathematical modelling and estimation of their dynamic responses are more evolved but research directed towards testing of these devices still requires significant attention. Model-free indicators of the dynamic responses of these devices are important since it reflects the as-deployed behaviour of the devices when the exposure conditions are scaled reasonably correctly, along with the structural dimensions. This paper demonstrates how the Hurst exponent of the dynamic responses of a monopile exposed to different exposure conditions in an ocean wave basin can be used as a model-free indicator of various responses. The scaled model is exposed to Froude scaled waves and tested under different exposure conditions. The analysis and interpretation is carried out in a model-free and output-only environment, with only some preliminary ideas regarding the input of the system. The analysis indicates how the Hurst exponent can be an interesting descriptor to compare and contrast various scenarios of dynamic response conditions.

Evaluating Document Retrieval Methods for Resource Selection in Clustered P2P IR

Resource Selection (or Query Routing) is an important step in P2P IR. Though analogous to document retrieval in the sense of choosing a relevant subset of resources, resource selection methods have evolved independently from those for document retrieval. Among the reasons for such divergence is that document retrieval targets scenarios where underlying resources are semantically homogeneous, whereas peers would manage diverse content. We observe that semantic heterogeneity is mitigated in the clustered 2-tier P2P IR architecture resource selection layer by way of usage of clustering, and posit that this necessitates a re-look at the applicability of document retrieval methods for resource selection within such a framework. This paper empirically benchmarks document retrieval models against the state-of-the-art resource selection models for the problem of resource selection in the clustered P2P IR architecture, using classical IR evaluation metrics. Our benchmarking study illustrates that document retrieval models significantly outperform other methods for the task of resource selection in the clustered P2P IR architecture. This indicates that clustered P2P IR framework can exploit advancements in document retrieval methods to deliver corresponding improvements in resource selection, indicating potential convergence of these fields for the clustered P2P IR architecture.

Ant Colony Optimization for Requirement selection in Incremental Software development

This proposal shows that ACO systems can be applied to problems of requirements selection in software incremental development, with the idea of obtaining better results of those produced by expert judgment alone. The evaluation of the ACO systems should be done through a compared analysis with greedy and simulated annealing algorithms, performing experiments with some problems instances

Nested Rollout Policy Adaptation for optimizing vehicle selection in complex VRPs

The goal of Vehicle Routing Problems (VRP) and their variations is to transport a set of orders with the minimum number of vehicles at least cost. Most approaches are designed to solve specific problem variations independently, whereas in real world applications, different constraints are handled concurrently. This research extends solutions obtained for the traveling salesman problem with time windows to a much wider class of route planning problems in logistics. The work describes a novel approach that:  supports a heterogeneous fleet of vehicles  dynamically reduces the number of vehicles  respects individual capacity restrictions  satisfies pickup and delivery constraints  takes Hamiltonian paths (rather than cycles) The proposed approach uses Monte-Carlo Tree Search and in particular Nested Rollout Policy Adaptation. For the evaluation of the work, real data from the industry was obtained and tested and the results are reported.

Model Probability in Self-organising Maps

Growing models have been widely used for clustering or topology learning. Traditionally these models work on stationary environments, grow incrementally and adapt their nodes to a given distribution based on global parameters. In this paper, we present an enhanced unsupervised self-organising network for the modelling of visual objects. We first develop a framework for building non-rigid shapes using the growth mechanism of the self-organising maps, and then we define an optimal number of nodes without overfitting or underfitting the network based on the knowledge obtained from information-theoretic considerations. We present experimental results for hands and we quantitatively evaluate the matching capabilities of the proposed method with the topographic product.

Using a Combination of Phylogenetic Comparative and Paleobotanical Methods to Elucidate Patterns of Lineage Selection in Rosales (Plantae: Anthophyta)

An increasing focus in evolutionary biology is on the interplay between mesoscale ecological and evolutionary processes such as population demographics, habitat tolerance, and especially geographic distribution, as potential drivers responsible for patterns of diversification and extinction over geologic time. However, few studies to date connect organismal processes such as survival and reproduction through mesoscale patterns to long-term macroevolutionary trends. In my dissertation, I investigate how mechanism of seed dispersal, mediated through geographic range size, influences diversification rates in the Rosales (Plantae: Anthophyta). In my first chapter, I validate the phylogenetic comparative methods that I use in my second and third chapters. Available state speciation and extinction (SSE) models assumptions about evolution known to be false through fossil data. I show, however, that as long as net diversification rates remain positive – a condition likely true for the Rosales – these violations of SSE’s assumptions do not cause significantly biased results. With SSE methods validated, my second chapter reconstructs three associations that appear to increase diversification rate for Rosalean genera: (1) herbaceous habit; (2) a three-way interaction combining animal dispersal, high within-genus species richness, and geographic range on multiple continents; (3) a four-way interaction combining woody habit with the other three characteristics of (2). I suggest that the three- and four-way interactions represent colonization ability and resulting extinction resistance in the face of late Cenozoic climate change; however, there are other possibilities as well that I hope to investigate in future research. My third chapter reconstructs the phylogeographic history of the Rosales using both non-fossil-assisted SSE methods as well as fossil-informed traditional phylogeographic analysis. Ancestral state reconstructions indicate that the Rosaceae diversified in North America while the other Rosalean families diversified elsewhere, possibly in Eurasia. SSE is able to successfully identify groups of genera that were likely to have been ancestrally widespread, but has poorer taxonomic resolution than methods that use fossil data. In conclusion, these chapters together suggest several potential causal links between organismal, mesoscale, and geologic scale processes, but further work will be needed to test the hypotheses that I raise here.

Testing the link specification in binary choice models. A semiparametric approach.

Doutoramento em Matemática.

Genome selection in fruit breeding: application to table grapes.

Genomic selection (GS) has recently been proposed as a new selection strategy which represents an innovative paradigm in crop improvement, now widely adopted in animal breeding. Genomic selection relies on phenotyping and high-density genotyping of a sufficiently large and representative sample of the target breeding population, so that the majority of loci that regulate a quantitative trait are in linkage disequilibrium with one or more molecular markers and can thus be captured by selection. In this study we address genomic selection in a practical fruit breeding context applying it to a breeding population of table grape obtained from a cross between the hybrid genotype D8909-15 (Vitis rupestris × Vitis arizonica/girdiana), which is resistant to dagger nematode and Pierce?s disease (PD), and ?B90-116?, a susceptible Vitis vinifera cultivar with desirable fruit characteristics. Our aim was to enhance the knowledge on the genomic variation of agronomical traits in table grape populations for future use in marker-assisted selection (MAS) and GS, by discovering a set of molecular markers associated with genomic regions involved in this variation. A number of Quantitative Trait Loci (QTL) were discovered but this method is inaccurate and the genetic architecture of the studied population was better captured by the BLasso method of genomic selection, which allowed for efficient inference about the genetic contribution of the various marker loci. The technology of genomic selection afforded greater efficiency than QTL analysis and can be very useful in speeding up the selection procedures for agronomic traits in table grapes.

Evaluating Karner Blue Butterfly (Lycaeides Melissa Samuelis Nabokov) Habitat Selection in the State of Wisconsin, USA

The federally endangered Karner blue butterfly (Lycaeides melissa samuelis Nabokov) persists in rare oak/pine grassland communities spanning across the Great Lakes region, relying on host plant wild blue lupine (Lupinus perennis). Conservation efforts since 1992 have led to the development of several programs that restore and monitor habitat. This study aims to evaluate Karner blue habitat selection in the state of Wisconsin and develop high-resolution tools for use in conservation efforts. Spatial predictive models developed during this study accurately predicted potential habitat across state properties based on soils and canopy cover, and identified ~51-100% of Karner blue occurrences based on lupine and shrub/tree cover, and focal nectar plant abundance. When evaluated relative to American bison (Bison bison), Karner blues and lupine were more likely to occur in areas of low disturbance, but aggregated where bison were recently present in areas of moderate/high disturbance. Lupine C:N ratio increased relative to cover of shrubs/trees and focal nectar plant abundance and decreased relative to cover of groundlitter. Karner blue density increased with lupine C:N ratio, decreased with nitrogen content, and was not related to phenolic levels. We strongly suggest that areas of different soil textures must be managed differently and that maintenance techniques should generate a mix of shrubs/tree cover (10-45%), groundlitter cover (~10-40%), >5% cover of lupine, and establish an abundance of focal nectar plants. This study provides unique tools for use in conservation and should aid in focusing management efforts and recovery of this species.