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.

Genetic manipulation of adult-born hippocampal neurons rescues memory in a mouse model of Alzheimer's disease.

In adult mammals, neural progenitors located in the dentate gyrus retain their ability to generate neurons and glia throughout lifetime. In rodents, increased production of new granule neurons is associated with improved memory capacities, while decreased hippocampal neurogenesis results in impaired memory performance in several memory tasks. In mouse models of Alzheimer's disease, neurogenesis is impaired and the granule neurons that are generated fail to integrate existing networks. Thus, enhancing neurogenesis should improve functional plasticity in the hippocampus and restore cognitive deficits in these mice. Here, we performed a screen of transcription factors that could potentially enhance adult hippocampal neurogenesis. We identified Neurod1 as a robust neuronal determinant with the capability to direct hippocampal progenitors towards an exclusive granule neuron fate. Importantly, Neurod1 also accelerated neuronal maturation and functional integration of new neurons during the period of their maturation when they contribute to memory processes. When tested in an APPxPS1 mouse model of Alzheimer's disease, directed expression of Neurod1 in cycling hippocampal progenitors conspicuously reduced dendritic spine density deficits on new hippocampal neurons, to the same level as that observed in healthy age-matched control animals. Remarkably, this population of highly connected new neurons was sufficient to restore spatial memory in these diseased mice. Collectively our findings demonstrate that endogenous neural stem cells of the diseased brain can be manipulated to become new neurons that could allow cognitive improvement.

Model-based Segmentation and Fusion of 3D Computed Tomography and 3D Ultrasound of the Eye for Radiotherapy Planning

Computed Tomography (CT) represents the standard imaging modality for tumor volume delineation for radiotherapy treatment planning of retinoblastoma despite some inherent limitations. CT scan is very useful in providing information on physical density for dose calculation and morphological volumetric information but presents a low sensitivity in assessing the tumor viability. On the other hand, 3D ultrasound (US) allows a highly accurate definition of the tumor volume thanks to its high spatial resolution but it is not currently integrated in the treatment planning but used only for diagnosis and follow-up. Our ultimate goal is an automatic segmentation of gross tumor volume (GTV) in the 3D US, the segmentation of the organs at risk (OAR) in the CT and the registration of both modalities. In this paper, we present some preliminary results in this direction. We present 3D active contour-based segmentation of the eye ball and the lens in CT images; the presented approach incorporates the prior knowledge of the anatomy by using a 3D geometrical eye model. The automated segmentation results are validated by comparing with manual segmentations. Then, we present two approaches for the fusion of 3D CT and US images: (i) landmark-based transformation, and (ii) object-based transformation that makes use of eye ball contour information on CT and US images.

Spatial analysis of corresponding fingerprint features from match and close non-match populations

The development of statistical models for forensic fingerprint identification purposes has been the subject of increasing research attention in recent years. This can be partly seen as a response to a number of commentators who claim that the scientific basis for fingerprint identification has not been adequately demonstrated. In addition, key forensic identification bodies such as ENFSI [1] and IAI [2] have recently endorsed and acknowledged the potential benefits of using statistical models as an important tool in support of the fingerprint identification process within the ACE-V framework. In this paper, we introduce a new Likelihood Ratio (LR) model based on Support Vector Machines (SVMs) trained with features discovered via morphometric and spatial analyses of corresponding minutiae configurations for both match and close non-match populations often found in AFIS candidate lists. Computed LR values are derived from a probabilistic framework based on SVMs that discover the intrinsic spatial differences of match and close non-match populations. Lastly, experimentation performed on a set of over 120,000 publicly available fingerprint images (mostly sourced from the National Institute of Standards and Technology (NIST) datasets) and a distortion set of approximately 40,000 images, is presented, illustrating that the proposed LR model is reliably guiding towards the right proposition in the identification assessment of match and close non-match populations. Results further indicate that the proposed model is a promising tool for fingerprint practitioners to use for analysing the spatial consistency of corresponding minutiae configurations.

A limited area model intercomparison on the "Montserrat-2000" flash-flood event using statistical and deterministic methods

In the scope of the European project Hydroptimet, INTERREG IIIB-MEDOCC programme, limited area model (LAM) intercomparison of intense events that produced many damages to people and territory is performed. As the comparison is limited to single case studies, the work is not meant to provide a measure of the different models' skill, but to identify the key model factors useful to give a good forecast on such a kind of meteorological phenomena. This work focuses on the Spanish flash-flood event, also known as "Montserrat-2000" event. The study is performed using forecast data from seven operational LAMs, placed at partners' disposal via the Hydroptimet ftp site, and observed data from Catalonia rain gauge network. To improve the event analysis, satellite rainfall estimates have been also considered. For statistical evaluation of quantitative precipitation forecasts (QPFs), several non-parametric skill scores based on contingency tables have been used. Furthermore, for each model run it has been possible to identify Catalonia regions affected by misses and false alarms using contingency table elements. Moreover, the standard "eyeball" analysis of forecast and observed precipitation fields has been supported by the use of a state-of-the-art diagnostic method, the contiguous rain area (CRA) analysis. This method allows to quantify the spatial shift forecast error and to identify the error sources that affected each model forecasts. High-resolution modelling and domain size seem to have a key role for providing a skillful forecast. Further work is needed to support this statement, including verification using a wider observational data set.

A fully adaptive numerical approximation for a two-dimensional epidemic model with nonlinear cross-diffusion

An epidemic model is formulated by a reactionâeuro"diffusion system where the spatial pattern formation is driven by cross-diffusion. The reaction terms describe the local dynamics of susceptible and infected species, whereas the diffusion terms account for the spatial distribution dynamics. For both self-diffusion and cross-diffusion, nonlinear constitutive assumptions are suggested. To simulate the pattern formation two finite volume formulations are proposed, which employ a conservative and a non-conservative discretization, respectively. An efficient simulation is obtained by a fully adaptive multiresolution strategy. Numerical examples illustrate the impact of the cross-diffusion on the pattern formation.

A dynamic model for stem cell homeostasis and patterning in Arabidopsis meristems.

Plants maintain stem cells in their meristems as a source for new undifferentiated cells throughout their life. Meristems are small groups of cells that provide the microenvironment that allows stem cells to prosper. Homeostasis of a stem cell domain within a growing meristem is achieved by signalling between stem cells and surrounding cells. We have here simulated the origin and maintenance of a defined stem cell domain at the tip of Arabidopsis shoot meristems, based on the assumption that meristems are self-organizing systems. The model comprises two coupled feedback regulated genetic systems that control stem cell behaviour. Using a minimal set of spatial parameters, the mathematical model allows to predict the generation, shape and size of the stem cell domain, and the underlying organizing centre. We use the model to explore the parameter space that allows stem cell maintenance, and to simulate the consequences of mutations, gene misexpression and cell ablations.

Growth and externalities across economies : an empirical analysis using spatial econometrics

Recent theoretical models of economic growth have emphasised the role of external effects on the accumulation of factors of production. Although most of the literature has considered the externalities across firms within a region, in this paper we go a step further and consider the possibility that these externalities cross the barriers of regional economies. We assess the role of these external effects in explaining growth and economic convergence. We present a simple growth model, which includes externalities across economies, developing a methodology for testing their existence and estimating their strength. In our view, spatial econometrics is naturally suited to an empirical consideration of these externalities. We obtain evidence on the presence of significant externalities both across Spanish and European regions.

The empirics of spatial competition: evidence from European regions

The New Economic Geography literature allows detailed analysis of the factors that determine the location decisions of firms in integrated markets. However, the competitive process is modelled in a rather rudimentary way, and the empirical evidence has usually been obtained from reduced-form econometric specifications. This study describes a structural model that takes into account strategic interactions between firms. We investigate the relationship between the degree of perceived competition ¿ not only from local firms but from firms in other regions ¿ and geographic concentration. The preliminary results indicate that, in aggregate terms, local firms present stronger competition than firms in other regions. Moreover, it is confirmed that greater geographical concentration of production reduces market power, due to the intensification of local competition; however, its impact on production costs is unclear.

Spatial variability of the chemical, physical and biological properties in lowland cultivated with irrigated rice

In the areas where irrigated rice is grown in the south of Brazil, few studies have been carried out to investigate the spatial variability structure of soil properties and to establish new forms of soil management as well as determine soil corrective and fertilizer applications. In this sense, this study had the objective of evaluating the spatial variability of chemical, physical and biological soil properties in a lowland area under irrigated rice cultivation in the conventional till system. For this purpose, a 10 x 10 m grid of 100 points was established, in an experimental field of the Embrapa Clima Temperado, in the County of Capão do Leão, State of Rio Grande do Sul. The spatial variability structure was evaluated by geostatistical tools and the number of subsamples required to represent each soil property in future studies was calculated using classical statistics. Results showed that the spatial variability structure of sand, silt, SMP index, cation exchange capacity (pH 7.0), Al3+ and total N properties could be detected by geostatistical analysis. A pure nugget effect was observed for the nutrients K, S and B, as well as macroporosity, mean weighted diameter of aggregates, and soil water storage. The cross validation procedure, based on linear regression and the determination coefficient, was more efficient to evaluate the quality of the adjusted mathematical model than the degree of spatial dependence. It was also concluded that the combination of classical with geostatistics can in many cases simplify the soil sampling process without losing information quality.

The empirics of spatial competition: evidence from European regions

The New Economic Geography literature allows detailed analysis of the factors that determine the location decisions of firms in integrated markets. However, the competitive process is modelled in a rather rudimentary way, and the empirical evidence has usually been obtained from reduced-form econometric specifications. This study describes a structural model that takes into account strategic interactions between firms. We investigate the relationship between the degree of perceived competition ¿ not only from local firms but from firms in other regions ¿ and geographic concentration. The preliminary results indicate that, in aggregate terms, local firms present stronger competition than firms in other regions. Moreover, it is confirmed that greater geographical concentration of production reduces market power, due to the intensification of local competition; however, its impact on production costs is unclear.

Spatial variability of soil chemical properties after coffee tree removal

Assessing the spatial variability of soil chemical properties has become an important aspect of soil management strategies with a view to higher crop yields with minimal environmental degradation. This study was carried out at the Centro Experimental of the Instituto Agronomico, in Campinas, São Paulo, Brazil. The aim was to characterize the spatial variability of chemical properties of a Rhodic Hapludox on a recently bulldozer-cleaned area after over 30 years of coffee cultivation. Soil samples were collected in a 20 x 20 m grid with 36 sampling points across a 1 ha area in the layers 0.0-0.2 and 0.2-0.4 m to measure the following chemical properties: pH, organic matter, K+, P, Ca2+, Mg2+, potential acidity, NH4-N, and NO3-N. Descriptive statistics were applied to assess the central tendency and dispersion moments. Geostatistical methods were applied to evaluate and to model the spatial variability of variables by calculating semivariograms and kriging interpolation. Spatial dependence patterns defined by spherical model adjusted semivariograms were made for all cited soil properties. Moderate to strong degrees of spatial dependence were found between 31 and 60 m. It was still possible to map soil spatial variability properties in the layers 0-20 cm and 20-40 cm after plant removal with bulldozers.

Growth and externalities across economies : an empirical analysis using spatial econometrics

Recent theoretical models of economic growth have emphasised the role of external effects on the accumulation of factors of production. Although most of the literature has considered the externalities across firms within a region, in this paper we go a step further and consider the possibility that these externalities cross the barriers of regional economies. We assess the role of these external effects in explaining growth and economic convergence. We present a simple growth model, which includes externalities across economies, developing a methodology for testing their existence and estimating their strength. In our view, spatial econometrics is naturally suited to an empirical consideration of these externalities. We obtain evidence on the presence of significant externalities both across Spanish and European regions.

Characterization of gravitational rock slope deformations at different spatial scales based on field, remote sensing and numerical approaches

Rock slope instabilities such as rock slides, rock avalanche or deep-seated gravitational slope deformations are widespread in Alpine valleys. These phenomena represent at the same time a main factor that control the mountain belts erosion and also a significant natural hazard that creates important losses to the mountain communities. However, the potential geometrical and dynamic connections linking outcrop and slope-scale instabilities are often unknown. A more detailed definition of the potential links will be essential to improve the comprehension of the destabilization processes and to dispose of a more complete hazard characterization of the rock instabilities at different spatial scales. In order to propose an integrated approach in the study of the rock slope instabilities, three main themes were analysed in this PhD thesis: (1) the inventory and the spatial distribution of rock slope deformations at regional scale and their influence on the landscape evolution, (2) the influence of brittle and ductile tectonic structures on rock slope instabilities development and (3) the characterization of hazard posed by potential rock slope instabilities through the development of conceptual instability models. To prose and integrated approach for the analyses of these topics, several techniques were adopted. In particular, high resolution digital elevation models revealed to be fundamental tools that were employed during the different stages of the rock slope instability assessment. A special attention was spent in the application of digital elevation model for detailed geometrical modelling of past and potential instabilities and for the rock slope monitoring at different spatial scales. Detailed field analyses and numerical models were performed to complete and verify the remote sensing approach. In the first part of this thesis, large slope instabilities in Rhone valley (Switzerland) were mapped in order to dispose of a first overview of tectonic and climatic factors influencing their distribution and their characteristics. Our analyses demonstrate the key influence of neotectonic activity and the glacial conditioning on the spatial distribution of the rock slope deformations. Besides, the volumes of rock instabilities identified along the main Rhone valley, were then used to propose the first estimate of the postglacial denudation and filling of the Rhone valley associated to large gravitational movements. In the second part of the thesis, detailed structural analyses of the Frank slide and the Sierre rock avalanche were performed to characterize the influence of brittle and ductile tectonic structures on the geometry and on the failure mechanism of large instabilities. Our observations indicated that the geometric characteristics and the variation of the rock mass quality associated to ductile tectonic structures, that are often ignored landslide study, represent important factors that can drastically influence the extension and the failure mechanism of rock slope instabilities. In the last part of the thesis, the failure mechanisms and the hazard associated to five potential instabilities were analysed in detail. These case studies clearly highlighted the importance to incorporate different analyses and monitoring techniques to dispose of reliable and hazard scenarios. This information associated to the development of a conceptual instability model represents the primary data for an integrated risk management of rock slope instabilities. - Les mouvements de versant tels que les chutes de blocs, les éboulements ou encore les phénomènes plus lents comme les déformations gravitaires profondes de versant représentent des manifestations courantes en régions montagneuses. Les mouvements de versant sont à la fois un des facteurs principaux contrôlant la destruction progressive des chaines orogéniques mais aussi un danger naturel concret qui peut provoquer des dommages importants. Pourtant, les phénomènes gravitaires sont rarement analysés dans leur globalité et les rapports géométriques et mécaniques qui lient les instabilités à l'échelle du versant aux instabilités locales restent encore mal définis. Une meilleure caractérisation de ces liens pourrait pourtant représenter un apport substantiel dans la compréhension des processus de déstabilisation des versants et améliorer la caractérisation des dangers gravitaires à toutes les échelles spatiales. Dans le but de proposer un approche plus globale à la problématique des mouvements gravitaires, ce travail de thèse propose trois axes de recherche principaux: (1) l'inventaire et l'analyse de la distribution spatiale des grandes instabilités rocheuses à l'échelle régionale, (2) l'analyse des structures tectoniques cassantes et ductiles en relation avec les mécanismes de rupture des grandes instabilités rocheuses et (3) la caractérisation des aléas rocheux par une approche multidisciplinaire visant à développer un modèle conceptuel de l'instabilité et une meilleure appréciation du danger . Pour analyser les différentes problématiques traitées dans cette thèse, différentes techniques ont été utilisées. En particulier, le modèle numérique de terrain s'est révélé être un outil indispensable pour la majorité des analyses effectuées, en partant de l'identification de l'instabilité jusqu'au suivi des mouvements. Les analyses de terrain et des modélisations numériques ont ensuite permis de compléter les informations issues du modèle numérique de terrain. Dans la première partie de cette thèse, les mouvements gravitaires rocheux dans la vallée du Rhône (Suisse) ont été cartographiés pour étudier leur répartition en fonction des variables géologiques et morphologiques régionales. En particulier, les analyses ont mis en évidence l'influence de l'activité néotectonique et des phases glaciaires sur la distribution des zones à forte densité d'instabilités rocheuses. Les volumes des instabilités rocheuses identifiées le long de la vallée principale ont été ensuite utilisés pour estimer le taux de dénudations postglaciaire et le remplissage de la vallée du Rhône lié aux grands mouvements gravitaires. Dans la deuxième partie, l'étude de l'agencement structural des avalanches rocheuses de Sierre (Suisse) et de Frank (Canada) a permis de mieux caractériser l'influence passive des structures tectoniques sur la géométrie des instabilités. En particulier, les structures issues d'une tectonique ductile, souvent ignorées dans l'étude des instabilités gravitaires, ont été identifiées comme des structures très importantes qui contrôlent les mécanismes de rupture des instabilités à différentes échelles. Dans la dernière partie de la thèse, cinq instabilités rocheuses différentes ont été étudiées par une approche multidisciplinaire visant à mieux caractériser l'aléa et à développer un modèle conceptuel trois dimensionnel de ces instabilités. A l'aide de ces analyses on a pu mettre en évidence la nécessité d'incorporer différentes techniques d'analyses et de surveillance pour une gestion plus objective du risque associée aux grandes instabilités rocheuses.

Selecting statistical models to study the relationship between soybean yield and soil physical properties

Statistical models allow the representation of data sets and the estimation and/or prediction of the behavior of a given variable through its interaction with the other variables involved in a phenomenon. Among other different statistical models, are the autoregressive state-space models (ARSS) and the linear regression models (LR), which allow the quantification of the relationships among soil-plant-atmosphere system variables. To compare the quality of the ARSS and LR models for the modeling of the relationships between soybean yield and soil physical properties, Akaike's Information Criterion, which provides a coefficient for the selection of the best model, was used in this study. The data sets were sampled in a Rhodic Acrudox soil, along a spatial transect with 84 points spaced 3 m apart. At each sampling point, soybean samples were collected for yield quantification. At the same site, soil penetration resistance was also measured and soil samples were collected to measure soil bulk density in the 0-0.10 m and 0.10-0.20 m layers. Results showed autocorrelation and a cross correlation structure of soybean yield and soil penetration resistance data. Soil bulk density data, however, were only autocorrelated in the 0-0.10 m layer and not cross correlated with soybean yield. The results showed the higher efficiency of the autoregressive space-state models in relation to the equivalent simple and multiple linear regression models using Akaike's Information Criterion. The resulting values were comparatively lower than the values obtained by the regression models, for all combinations of explanatory variables.