Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. Résumé Cette thèse présente des modèles théoriques dévaluation des actifs et leurs applications empiriques. Mon objectif est d'étudier les problèmes suivants: la relation entre l'évaluation des actifs et les tendances des investisseurs à parier et à crainadre le désastre varie selon le temps ; les indications contraires pour l'entreprise et l'asymétrie des niveaux de marché peuvent être expliquées par les risques de perte en cas de baisse; l'apprentissage coûteux augmente le risque de liquidité. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles découvertes en ce qui concerne l'évaluation des actifs, les décisions relatives aux investissements et la liquidité de financement des entreprises. Le premier chapitre examine un modèle d'équilibre où les investisseurs ont des tendances hétérogènes à parier et à craindre le désastre. La préférence asymétrique représente le désir de parier, alors que le kurtosis d'aversion représente la crainte du désastre. En utilisant les données des Etats-Unis de 1988 à 2012, mon modèle démontre que dans les mauvaises périodes, l'aversion du risque est plus grande, plus de gens craignent le désastre et moins de gens parient, conatrairement aux bonnes périodes. Ceci mène à une nouvelle découverte empirique: la préférence relative au pari a un plus grand impact sur les évaluations des actifs durant les ralentissements de marché que durant les booms économiques. Exploitant uniquement cette relation générera un revenu excédentaire annuel de 7,74% qui n'est pas expliqué par les modèles factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour décomposer l'asymétrie du marché. Nous avons découvert que les mouvements de hausses et de baisses majeures du marché peuvent être prédits par les mouvements communs des bêtas. Un inadicateur appelé Systematic Downside Risk, SDR (risque de ralentissement systématique) est créé pour caractériser cette asymétrie dans les mouvements communs des bêtas. Nous avons découvert que le risque de ralentissement systématique peut prévoir les prochains mouvements des marchés boursiers de manière efficace, et nous obtenons des carrés R hors échantillon (comparés avec une stratégie utilisant des moyens historiques) de plus de 2,272% avec des données mensuelles. Un investisseur qui évalue le marché en utilisant le risque de ralentissement systématique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asymétrie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asymétriques conduit à un revenu de marché négativement asymétrique. Nous décomposons l'asymétrie des revenus du marché au niveau de l'entreprise et faisons cadrer ce fait par une plus grande réaction des entreprises aux nouvelles négatives du marché qu'aux nouvelles positives du marché. Cette décomposition révélé plusieurs variables de revenus de marché efficaces tels que l'asymétrie caractéristique pondérée par la volatilité ainsi que l'asymétrie caractéristique de ralentissement. Le troisième chapitre fournit une nouvelle base théorique pour les problèmes de liquidité qui varient selon le temps au sein d'un environnement de marché incomplet. Nous proposons un modèle d'équilibre général avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le véritable état de l'entreprise, par conséquent, les informations de paiement coutent de l'argent. La nouveauté est que l'acquisition de l'information coute plus cher durant les mauvaises périodes que durant les bonnes périodes, comme cela a été confirmé par de précédentes expériences. Lorsque la récession comamence, l'apprentissage coûteux fait augmenter les primes de liquidité causant un problème d'évaporation de liquidité, comme cela a été aussi confirmé par de précédentes expériences.

Turnover in Nursing and Midwifery

The Report of the Commission on Nursing (1998) identified a need to strengthen the workforce planning functions. The Nursing Policy Division of the Department of Health and Children acted on the recommendation by establishing a Study of the Nursing and Midwifery Resource (December 1998). The main objective of the study was to forecast future nursing and midwifery needs which included estimating the turnover rate among registered nurses and midwives employed in the health services. Click here to download PDF

Arctic warming will promote Atlantic-Pacific fish interchange

Throughout much of the Quaternary Period, inhospitable environmental conditions above the Arctic Circle have been a formidable barrier separating most marine organisms in the North Atlantic from those in the North Pacific(1,2). Rapid warming has begun to lift this barrier(3), potentially facilitating the interchange of marine biota between the two seas(4). Here, we forecast the potential northward progression of 515 fish species following climate change, and report the rate of potential species interchange between the Atlantic and the Pacific via the Northwest Passage and the Northeast Passage. For this, we projected niche-based models under climate change scenarios and simulated the spread of species through the passages when climatic conditions became suitable. Results reveal a complex range of responses during this century, and accelerated interchange after 2050. By 2100 up to 41 species could enter the Pacific and 44 species could enter the Atlantic, via one or both passages. Consistent with historical and recent biodiversity interchanges(5,6), this exchange of fish species may trigger changes for biodiversity and food webs in the North Atlantic and North Pacific, with ecological and economic consequences to ecosystems that at present contribute 39% to global marine fish landings.

Diseño e implementación de un capturador de paquetes de red

En l'actualitat les xarxes de comunicacions són bàsicament digitals; el camí que s'ha avançat en els darrers quaranta anys ha estat molt llarg, amb un desenvolupament tan ràpid que ha fet que qualsevol previsió quedés molt endarrerida abans d'hora (o que de vegades se sobreestimés aquest desenvolupament, com va passar amb el

Health Inequalities Target Data Web Tool - Updated to 2003-05

This tool contains the data for the LHO briefing "The London Health Inequalities Forecast: A briefing on inequalities in life expectancy and deaths from cancers, heart disease and stroke in London". The tool enables local areas to monitor their progress towards the national health inequalities targets for life expectancy, mortality from heart disease and stroke, and mortality from cancers.

Coherent forecasting of multiple-decrement life tables: a test using Japanese cause of death data

Planners in public and private institutions would like coherent forecasts of the components of age-specic mortality, such as causes of death. This has been di cult toachieve because the relative values of the forecast components often fail to behave ina way that is coherent with historical experience. In addition, when the group forecasts are combined the result is often incompatible with an all-groups forecast. It hasbeen shown that cause-specic mortality forecasts are pessimistic when compared withall-cause forecasts (Wilmoth, 1995). This paper abandons the conventional approachof using log mortality rates and forecasts the density of deaths in the life table. Sincethese values obey a unit sum constraint for both conventional single-decrement life tables (only one absorbing state) and multiple-decrement tables (more than one absorbingstate), they are intrinsically relative rather than absolute values across decrements aswell as ages. Using the methods of Compositional Data Analysis pioneered by Aitchison(1986), death densities are transformed into the real space so that the full range of multivariate statistics can be applied, then back-transformed to positive values so that theunit sum constraint is honoured. The structure of the best-known, single-decrementmortality-rate forecasting model, devised by Lee and Carter (1992), is expressed incompositional form and the results from the two models are compared. The compositional model is extended to a multiple-decrement form and used to forecast mortalityby cause of death for Japan

Current status of pediatric home enteral nutrition in Spain: the importance of the NEPAD register.

Home enteral nutrition (HEN) is a type of enteral nutrition (EN) which is becoming progressively more widespread in pediatrics due to the benefits it affords to patients, their families and to reducing hospital costs. However, the true extent of its use is unknown in Spain as the data-base set up for this purpose is still underused (Registro de Nutrición Enteral Pediátrica Ambulatoria y Domiciliaria -NEPAD-). More thorough registration of patients in the NEPAD online register will provide information about the characteristics of HEN in Spain: prevalence, diagnosis, the population sector being administered HEN, complications and developments. Likewise, forecast and planning of the necessary resources could be made while those in use could be analysed.

Predictors of local malaria outbreaks: an approach to the development of an early warning system in Colombia

Risk factor surveillance is a complementary tool of morbidity and mortality surveillance that improves the likelihood that public health interventions are implemented in a timely fashion. The aim of this study was to identify population predictors of malaria outbreaks in endemic municipalities of Colombia with the goal of developing an early warning system for malaria outbreaks. We conducted a multiple-group, exploratory, ecological study at the municipal level. Each of the 290 municipalities with endemic malaria that we studied was classified according to the presence or absence of outbreaks. The measurement of variables was based on historic registries and logistic regression was performed to analyse the data. Altitude above sea level [odds ratio (OR) 3.65, 95% confidence interval (CI) 1.34-9.98], variability in rainfall (OR 1.85, 95% CI 1.40-2.44) and the proportion of inhabitants over 45 years of age (OR 0.17, 95% CI 0.08-0.38) were factors associated with malaria outbreaks in Colombian municipalities. The results suggest that environmental and demographic factors could have a significant ability to predict malaria outbreaks on the municipal level in Colombia. To advance the development of an early warning system, it will be necessary to adjust and standardise the collection of required data and to evaluate the accuracy of the forecast models.

Identification of new MHC class I-restricted human tumor antigens for immunotherapy

Summary Cancer is a leading cause of morbidity and mortality in Western countries (as an example, colorectal cancer accounts for about 300'000 new cases and 200'000 deaths each year in Europe and in the USA). Despite that many patients with cancer have complete macroscopic clearance of their disease after resection, radiotherapy and/or chemotherapy, many of these patients develop fatal recurrence. Vaccination with immunogenic peptide tumor antigens has shown encouraging progresses in the last decade; immunotherapy might therefore constitute a fourth therapeutic option in the future. We dissect here and critically evaluate the numerous steps of reverse immunology, a forecast procedure to identify antigenic peptides from the sequence of a gene of interest. Bioinformatic algorithms were applied to mine sequence databases for tumor-specific transcripts. A quality assessment of publicly available sequence databanks allowed defining strengths and weaknesses of bioinformatics-based prediction of colon cancer-specific alternative splicing: new splice variants could be identified, however cancer-restricted expression could not be significantly predicted. Other sources of target transcripts were quantitatively investigated by polymerase chain reactions, as cancer-testis genes or reported overexpressed transcripts. Based on the relative expression of a defined set of housekeeping genes in colon cancer tissues, we characterized a precise procedure for accurate normalization and determined a threshold for the definition of significant overexpression of genes in cancers versus normal tissues. Further steps of reverse immunology were applied on a splice variant of the Melan¬A gene. Since it is known that the C-termini of antigenic peptides are directly produced by the proteasome, longer precursor and overlapping peptides encoded by the target sequence were synthesized chemically and digested in vitro with purified proteasome. The resulting fragments were identified by mass spectroscopy to detect cleavage sites. Using this information and based on the available anchor motifs for defined HLA class I molecules, putative antigenic peptides could be predicted. Their relative affinity for HLA molecules was confirmed experimentally with functional competitive binding assays and they were used to search patients' peripheral blood lymphocytes for the presence of specific cytolytic T lymphocytes (CTL). CTL clones specific for a splice variant of Melan-A could be isolated; although they recognized peptide-pulsed cells, they failed to lyse melanoma cells in functional assays of antigen recognition. In the conclusion, we discuss advantages and bottlenecks of reverse immunology and compare the technical aspects of this approach with the more classical procedure of direct immunology, a technique introduced by Boon and colleagues more than 10 years ago to successfully clone tumor antigens.

Forecasting changes in population genetic structure of alpine plants in response to global warming.

Species range shifts in response to climate and land use change are commonly forecasted with species distribution models based on species occurrence or abundance data. Although appealing, these models ignore the genetic structure of species, and the fact that different populations might respond in different ways because of adaptation to their environment. Here, we introduced ancestry distribution models, that is, statistical models of the spatial distribution of ancestry proportions, for forecasting intra-specific changes based on genetic admixture instead of species occurrence data. Using multi-locus genotypes and extensive geographic coverage of distribution data across the European Alps, we applied this approach to 20 alpine plant species considering a global increase in temperature from 0.25 to 4 °C. We forecasted the magnitudes of displacement of contact zones between plant populations potentially adapted to warmer environments and other populations. While a global trend of movement in a north-east direction was predicted, the magnitude of displacement was species-specific. For a temperature increase of 2 °C, contact zones were predicted to move by 92 km on average (minimum of 5 km, maximum of 212 km) and by 188 km for an increase of 4 °C (minimum of 11 km, maximum of 393 km). Intra-specific turnover-measuring the extent of change in global population genetic structure-was generally found to be moderate for 2 °C of temperature warming. For 4 °C of warming, however, the models indicated substantial intra-specific turnover for ten species. These results illustrate that, in spite of unavoidable simplifications, ancestry distribution models open new perspectives to forecast population genetic changes within species and complement more traditional distribution-based approaches.

Shocking policy coefficients

This paper proposes an empirical framework to study the effects of a policy regime change defined as an unpredictable and permanent change in the policy parameters. In particular I show how to make conditional forecast and perform impulse response functions and counterfactual analysis. As an application, the effects of changes in fiscal policy rules in the US are investigated. I find that discretionary fiscal policy has become more countercyclical over the last decades. In absence of such a change, surplus would have been higher, debt lower and output gap more volatile but only until mid 80s. An increase in the degree of counter-cyclicality of fiscal policy has a positive effect on output gap in periods where the level of debt-to-GDP ratio is low and a zero or negative effect when the ratio is high. This explains why a more countercylical stance of the systematic fiscal policy taking place in 2008:II is predicted to be rather ineffective for recovering from the crisis.

Species distributions and interactions in a changing world : from understanding to forecasting

Les écosystèmes fournissent de nombreuses ressources et services écologiques qui sont utiles à la population humaine. La biodiversité est une composante essentielle des écosystèmes et maintient de nombreux services. Afin d'assurer la permanence des services écosystémiques, des mesures doivent être prises pour conserver la biodiversité. Dans ce but, l'acquisition d'informations détaillées sur la distribution de la biodiversité dans l'espace est essentielle. Les modèles de distribution d'espèces (SDMs) sont des modèles empiriques qui mettent en lien des observations de terrain (présences ou absences d'une espèce) avec des descripteurs de l'environnement, selon des courbes de réponses statistiques qui décrive la niche réalisée des espèces. Ces modèles fournissent des projections spatiales indiquant les lieux les plus favorables pour les espèces considérées. Le principal objectif de cette thèse est de fournir des projections plus réalistes de la distribution des espèces et des communautés en montagne pour le climat présent et futur en considérant non-seulement des variables abiotiques mais aussi biotiques. Les régions de montagne et l'écosystème alpin sont très sensibles aux changements globaux et en même temps assurent de nombreux services écosystémiques. Cette thèse est séparée en trois parties : (i) fournir une meilleure compréhension du rôle des interactions biotiques dans la distribution des espèces et l'assemblage des communautés en montagne (ouest des Alpes Suisses), (ii) permettre le développement d'une nouvelle approche pour modéliser la distribution spatiale de la biodiversité, (iii) fournir des projections plus réalistes de la distribution future des espèces ainsi que de la composition des communautés. En me focalisant sur les papillons, bourdons et plantes vasculaires, j'ai détecté des interactions biotiques importantes qui lient les espèces entre elles. J'ai également identifié la signature du filtre de l'environnement sur les communautés en haute altitude confirmant l'utilité des SDMs pour reproduire ce type de processus. A partir de ces études, j'ai contribué à l'amélioration méthodologique des SDMs dans le but de prédire les communautés en incluant les interactions biotiques et également les processus non-déterministes par une approche probabiliste. Cette approche permet de prédire non-seulement la distribution d'espèces individuelles, mais également celle de communautés dans leur entier en empilant les projections (S-SDMs). Finalement, j'ai utilisé cet outil pour prédire la distribution d'espèces et de communautés dans le passé et le futur. En particulier, j'ai modélisé la migration post-glaciaire de Trollius europaeus qui est à l'origine de la structure génétique intra-spécifique chez cette espèce et évalué les risques de perte face au changement climatique. Finalement, j'ai simulé la distribution des communautés de bourdons pour le 21e siècle afin d'évaluer les changements probables dans ce groupe important de pollinisateurs. La diversité fonctionnelle des bourdons va être altérée par la perte d'espèces spécialistes de haute altitude et ceci va influencer la pollinisation des plantes en haute altitude. - Ecosystems provide a multitude of resources and ecological services, which are useful to human. Biodiversity is an essential component of those ecosystems and guarantee many services. To assure the permanence of ecosystem services for future generation, measure should be applied to conserve biodiversity. For this purpose, the acquisition of detailed information on how biodiversity implicated in ecosystem function is distributed in space is essential. Species distribution models (SDMs) are empirical models relating field observations to environmental predictors based on statistically-derived response surfaces that fit the realized niche. These models result in spatial predictions indicating locations of the most suitable environment for the species and may potentially be applied to predict composition of communities and their functional properties. The main objective of this thesis was to provide more accurate projections of species and communities distribution under current and future climate in mountains by considering not solely abiotic but also biotic drivers of species distribution. Mountain areas and alpine ecosystems are considered as particularly sensitive to global changes and are also sources of essential ecosystem services. This thesis had three main goals: (i) a better ecological understanding of biotic interactions and how they shape the distribution of species and communities, (ii) the development of a novel approach to the spatial modeling of biodiversity, that can account for biotic interactions, and (iii) ecologically more realistic projections of future species distributions, of future composition and structure of communities. Focusing on butterfly and bumblebees in interaction with the vegetation, I detected important biotic interactions for species distribution and community composition of both plant and insects along environmental gradients. I identified the signature of environmental filtering processes at high elevation confirming the suitability of SDMs for reproducing patterns of filtering. Using those case-studies, I improved SDMs by incorporating biotic interaction and accounting for non-deterministic processes and uncertainty using a probabilistic based approach. I used improved modeling to forecast the distribution of species through the past and future climate changes. SDMs hindcasting allowed a better understanding of the spatial range dynamic of Trollius europaeus in Europe at the origin of the species intra-specific genetic diversity and identified the risk of loss of this genetic diversity caused by climate change. By simulating the future distribution of all bumblebee species in the western Swiss Alps under nine climate change scenarios for the 21st century, I found that the functional diversity of this pollinator guild will be largely affected by climate change through the loss of high elevation specialists. In turn, this will have important consequences on alpine plant pollination.

Predictors of the risk of fibrosis at 10 years after breast conserving therapy for early breast cancer: a study based on the EORTC Trial 22881-10882 'boost versus no boost'.

The EORTC 22881-10882 trial in 5178 conservatively treated early breast cancer patients showed that a 16 Gy boost dose significantly improved local control, but increased the risk of breast fibrosis. To investigate predictors for the long-term risk of fibrosis, Cox regression models of the time to moderate or severe fibrosis were developed on a random set of 1797 patients with and 1827 patients without a boost, and validated in the remaining set. The median follow-up was 10.7 years. The risk of fibrosis significantly increased (P<0.01) with increasing maximum whole breast irradiation (WBI) dose and with concomitant chemotherapy, but was independent of age. In the boost arm, the risk further increased (P<0.01) if patients had post-operative breast oedema or haematoma, but it decreased (P<0.01) if WBI was given with >6 MV photons. The c-index was around 0.62. Nomograms with these factors are proposed to forecast the long-term risk of moderate or severe fibrosis.

Spatial relationship between the atmospheric circulation and the precipitation measured in the western Swiss Alps by means of the analogue method

An adaptation technique based on the synoptic atmospheric circulation to forecast local precipitation, namely the analogue method, has been implemented for the western Swiss Alps. During the calibration procedure, relevance maps were established for the geopotential height data. These maps highlight the locations were the synoptic circulation was found of interest for the precipitation forecasting at two rain gauge stations (Binn and Les Marécottes) that are located both in the alpine Rhône catchment, at a distance of about 100 km from each other. These two stations are sensitive to different atmospheric circulations. We have observed that the most relevant data for the analogue method can be found where specific atmospheric circulation patterns appear concomitantly with heavy precipitation events. Those skilled regions are coherent with the atmospheric flows illustrated, for example, by means of the back trajectories of air masses. Indeed, the circulation recurrently diverges from the climatology during days with strong precipitation on the southern part of the alpine Rhône catchment. We have found that for over 152 days with precipitation amount above 50 mm at the Binn station, only 3 did not show a trajectory of a southerly flow, meaning that such a circulation was present for 98% of the events. Time evolution of the relevance maps confirms that the atmospheric circulation variables have significantly better forecasting skills close to the precipitation period, and that it seems pointless for the analogue method to consider circulation information days before a precipitation event as a primary predictor. Even though the occurrence of some critical circulation patterns leading to heavy precipitation events can be detected by precursors at remote locations and 1 week ahead (Grazzini, 2007; Martius et al., 2008), time extrapolation by the analogue method seems to be rather poor. This would suggest, in accordance with previous studies (Obled et al., 2002; Bontron and Obled, 2005), that time extrapolation should be done by the Global Circulation Model, which can process atmospheric variables that can be used by the adaptation method.

Modification of the Perrine-Baum diagram to improve the calculation of high voltage electric lines

Through the history of Electrical Engineering education, vectorial and phasorial diagrams have been used as a fundamental learning tool. At present, computational power has replaced them by long data lists, the result of solving equation systems by means of numerical methods. In this sense, diagrams have been shifted to an academic background and although theoretically explained, they are not used in a practical way within specific examples. This fact may be against the understanding of the complex behavior of the electrical power systems by students. This article proposes a modification of the classical Perrine-Baum diagram construction to allowing both a more practical representation and a better understanding of the behavior of a high-voltage electric line under different levels of load. This modification allows, at the same time, the forecast of the obsolescence of this behavior and line’s loading capacity. Complementary, we evaluate the impact of this tool in the learning process showing comparative undergraduate results during three academic years