Business cycles, unemployment insurance and the calibration of matching models

This paper theoretically and empirically documents a puzzle that arises when an RBC economy with a job matching function is used to model unemployment. The standard model can generate sufficiently large cyclical fluctuations in unemployment, or a sufficiently small response of unemployment to labor market policies, but it cannot do both. Variable search and separation, finite UI benefit duration, efficiency wages, and capital all fail to resolve this puzzle. However, either sticky wages or match-specific productivity shocks can improve the model's performance by making the firm's flow of surplus more procyclical, which makes hiring more procyclical too.

Neglected risks, financial innovation and financial fragility

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive.

Resolving the ortholog conjecture: orthologs tend to be weakly, but significantly, more similar in function than paralogs.

The function of most proteins is not determined experimentally, but is extrapolated from homologs. According to the "ortholog conjecture", or standard model of phylogenomics, protein function changes rapidly after duplication, leading to paralogs with different functions, while orthologs retain the ancestral function. We report here that a comparison of experimentally supported functional annotations among homologs from 13 genomes mostly supports this model. We show that to analyze GO annotation effectively, several confounding factors need to be controlled: authorship bias, variation of GO term frequency among species, variation of background similarity among species pairs, and propagated annotation bias. After controlling for these biases, we observe that orthologs have generally more similar functional annotations than paralogs. This is especially strong for sub-cellular localization. We observe only a weak decrease in functional similarity with increasing sequence divergence. These findings hold over a large diversity of species; notably orthologs from model organisms such as E. coli, yeast or mouse have conserved function with human proteins.

Atomic parity nonconservation, neutron radii, and effective field theories of nuclei

Accurately calibrated effective field theories are used to compute atomic parity nonconserving (APNC) observables. Although accurately calibrated, these effective field theories predict a large spread in the neutron skin of heavy nuclei. Whereas the neutron skin is strongly correlated to numerous physical observables, in this contribution we focus on its impact on new physics through APNC observables. The addition of an isoscalar-isovector coupling constant to the effective Lagrangian generates a wide range of values for the neutron skin of heavy nuclei without compromising the success of the model in reproducing well-constrained nuclear observables. Earlier studies have suggested that the use of isotopic ratios of APNC observables may eliminate their sensitivity to atomic structure. This leaves nuclear structure uncertainties as the main impediment for identifying physics beyond the standard model. We establish that uncertainties in the neutron skin of heavy nuclei are at present too large to measure isotopic ratios to better than the 0.1% accuracy required to test the standard model. However, we argue that such uncertainties will be significantly reduced by the upcoming measurement of the neutron radius in 208^Pb at the Jefferson Laboratory.

Search for nonstandard Higgs boson in diphoton events at p anti-p collisions

We estimate the attainable limits on the coupling of a nonstandard Higgs boson to two photons taking into account the data collected by the Fermilab collaborations on diphoton events. We based our analysis on a general set of dimension-6 effective operators that give rise to anomalous couplings in the bosonic sector of the standard model. If the coefficients of all blind operators have the same magnitude, indirect bounds on the anomalous triple vector-boson couplings can also be inferred, provided there is no large cancellation in the Higgs-gamma-gamma coupling.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Cosmic rays as probes of large extra dimensions and TeV gravity

If there are large extra dimensions and the fundamental Planck scale is at the TeV scale, then the question arises of whether ultrahigh energy cosmic rays might probe them. We study the neutrino-nucleon cross section in these models. The elastic forward scattering is analyzed in some detail, hoping to clarify earlier discussions. We also estimate the black hole production rate. We study energy loss from graviton mediated interactions and conclude that they cannot explain the cosmic ray events above the GZK energy limit. However, these interactions could start horizontal air showers with characteristic profile and at a rate higher than in the standard model.

Bending modes of DNA directly addressed by cryo-electron microscopy of DNA minicircles.

We use cryo-electron microscopy (cryo-EM) to study the 3D shapes of 94-bp-long DNA minicircles and address the question of whether cyclization of such short DNA molecules necessitates the formation of sharp, localized kinks in DNA or whether the necessary bending can be redistributed and accomplished within the limits of the elastic, standard model of DNA flexibility. By comparing the shapes of covalently closed, nicked and gapped DNA minicircles, we conclude that 94-bp-long covalently closed and nicked DNA minicircles do not show sharp kinks while gapped DNA molecules, containing very flexible single-stranded regions, do show sharp kinks. We corroborate the results of cryo-EM studies by using Bal31 nuclease to probe for the existence of kinks in 94-bp-long minicircles.

Wave-height hazard analysis in Eastern Coast of Spain : Bayesian approach using generalized Pareto distribution

Standard practice of wave-height hazard analysis often pays little attention to the uncertainty of assessed return periods and occurrence probabilities. This fact favors the opinion that, when large events happen, the hazard assessment should change accordingly. However, uncertainty of the hazard estimates is normally able to hide the effect of those large events. This is illustrated using data from the Mediterranean coast of Spain, where the last years have been extremely disastrous. Thus, it is possible to compare the hazard assessment based on data previous to those years with the analysis including them. With our approach, no significant change is detected when the statistical uncertainty is taken into account. The hazard analysis is carried out with a standard model. Time-occurrence of events is assumed Poisson distributed. The wave-height of each event is modelled as a random variable which upper tail follows a Generalized Pareto Distribution (GPD). Moreover, wave-heights are assumed independent from event to event and also independent of their occurrence in time. A threshold for excesses is assessed empirically. The other three parameters (Poisson rate, shape and scale parameters of GPD) are jointly estimated using Bayes' theorem. Prior distribution accounts for physical features of ocean waves in the Mediterranean sea and experience with these phenomena. Posterior distribution of the parameters allows to obtain posterior distributions of other derived parameters like occurrence probabilities and return periods. Predictives are also available. Computations are carried out using the program BGPE v2.0

Contribution to the Development of the LHCb Vertex Locator Readout Electronics

L'expérience LHCb sera installée sur le futur accélérateur LHC du CERN. LHCb est un spectromètre à un bras consacré aux mesures de précision de la violation CP et à l'étude des désintégrations rares des particules qui contiennent un quark b. Actuellement LHCb se trouve dans la phase finale de recherche et développement et de conception. La construction a déjà commencé pour l'aimant et les calorimètres. Dans le Modèle Standard, la violation CP est causée par une phase complexe dans la matrice 3x3 CKM (Cabibbo-Kobayashi-Maskawa) de mélange des quarks. L'expérience LHCb compte utiliser les mesons B pour tester l'unitarité de cette matrice, en mesurant de diverses manières indépendantes tous les angles et côtés du "triangle d'unitarité". Cela permettra de surdéterminer le modèle et, peut-être, de mettre en évidence des incohérences qui seraient le signal de l'existence d'une physique au-delà du Modèle Standard. La reconstruction du vertex de désintégration des particules est une condition fondamentale pour l'expérience LHCb. La présence d'un vertex secondaire déplacé est une signature de la désintégration de particules avec un quark b. Cette signature est utilisée dans le trigger topologique du LHCb. Le Vertex Locator (VeLo) doit fournir des mesures précises de coordonnées de passage des traces près de la région d'interaction. Ces points sont ensuite utilisés pour reconstruire les trajectoires des particules et l'identification des vertices secondaires et la mesure des temps de vie des hadrons avec quark b. L'électronique du VeLo est une partie essentielle du système d'acquisition de données et doit se conformer aux spécifications de l'électronique de LHCb. La conception des circuits doit maximiser le rapport signal/bruit pour obtenir la meilleure performance de reconstruction des traces dans le détecteur. L'électronique, conçue en parallèle avec le développement du détecteur de silicium, a parcouru plusieurs phases de "prototyping" décrites dans cette thèse.<br/><br/>The LHCb experiment is being built at the future LHC accelerator at CERN. It is a forward single-arm spectrometer dedicated to precision measurements of CP violation and rare decays in the b quark sector. Presently it is finishing its R&D and final design stage. The construction already started for the magnet and calorimeters. In the Standard Model, CP violation arises via the complex phase of the 3 x 3 CKM (Cabibbo-Kobayashi-Maskawa) quark mixing matrix. The LHCb experiment will test the unitarity of this matrix by measuring in several theoretically unrelated ways all angles and sides of the so-called "unitary triangle". This will allow to over-constrain the model and - hopefully - to exhibit inconsistencies which will be a signal of physics beyond the Standard Model. The Vertex reconstruction is a fundamental requirement for the LHCb experiment. Displaced secondary vertices are a distinctive feature of b-hadron decays. This signature is used in the LHCb topology trigger. The Vertex Locator (VeLo) has to provide precise measurements of track coordinates close to the interaction region. These are used to reconstruct production and decay vertices of beauty-hadrons and to provide accurate measurements of their decay lifetimes. The Vertex Locator electronics is an essential part of the data acquisition system and must conform to the overall LHCb electronics specification. The design of the electronics must maximise the signal to noise ratio in order to achieve the best tracking reconstruction performance in the detector. The electronics is being designed in parallel with the silicon detector development and went trough several prototyping phases, which are described in this thesis.

BoBo mixing meseasurement at Belle using dilepton events tagged with a soft pion

L'expérience Belle, située dans le centre de recherche du KEK, au Japon, est consacrée principalement à l'étude de la violation de CP dans le système des mésons B. Elle est placée sur le collisionneur KEKB, qui produit des paires Banti-B. KEKB, l'une des deux « usines à B » actuellement en fonction, détient le record du nombre d'événements produits avec plus de 150 millions de paires. Cet échantillon permet des mesures d'une grande précision dans le domaine de la physique du méson B. C'est dans le cadre de ces mesures de précision que s'inscrit cette analyse. L'un des phénomènes remarquables de la physique des hautes énergies est la faculté qu'a l'interaction faible de coupler un méson neutre avec son anti-méson. Dans le présent travail, nous nous intéressons au méson B neutre couplé à l'anti-méson B neutre, avec une fréquence d'oscillation _md mesurable précisément. Outre la beauté de ce phénomène lui-même, une telle mesure trouve sa place dans la quête de l'origine de la violation de CP. Cette dernière n'est incluse que d'une façon peu satisfaisante dans le modèle standard des interactions électro-faibles. C'est donc la recherche de phénomènes physiques encore inexpliqués qui motive en premier lieu la collaboration Belle. Il existe déjà de nombreuses mesures de _md antérieures. Celle que nous présentons ici est cependant d'une précision encore jamais atteinte grâce, d'une part, à l'excellente performance de KEKB et, d'autre part, à une approche originale qui permet de réduire considérablement la contamination de la mesure par des événements indésirés. Cette approche fut déjà mise à profit par d'autres expériences, dans des conditions quelque peu différentes de celles de Belle. La méthode utilisée consiste à reconstruire partiellement l'un des mésons dans le canal ___D*(D0_)l_l, en n'utilisant que les informations relatives au lepton l et au pion _. L'information concernant l'autre méson de la paire Banti-B initiale n'est tirée que d'un seul lepton de haute énergie. Ainsi, l'échantillon à disposition ne souffre pas de grandes réductions dues à une reconstruction complète, tandis que la contamination due aux mésons B chargés, produits par KEKB en quantité égale aux B0, est fortement diminuée en comparaison d'une analyse inclusive. Nous obtenons finalement le résultat suivant : _md = 0.513±0.006±0.008 ps^-1, la première erreur étant l'erreur statistique et la deuxième, l'erreur systématique.<br/><br/>The Belle experiment is located in the KEK research centre (Japan) and is primarily devoted to the study of CP violation in the B meson sector. Belle is placed on the KEKB collider, one of the two currently running "B-meson factories", which produce Banti-B pairs. KEKB has created more than 150 million pairs in total, a world record for this kind of colliders. This large sample allows very precise measurements in the physics of beauty mesons. The present analysis falls within the framework of these precise measurements. One of the most remarkable phenomena in high-energy physics is the ability of weak interactions to couple a neutral meson to its anti-meson. In this work, we study the coupling of neutral B with neutral anti-B meson, which induces an oscillation of frequency _md we can measure accurately. Besides the interest of this phenomenon itself, this measurement plays an important role in the quest for the origin of CP violation. The standard model of electro-weak interactions does not include CP violation in a fully satisfactory way. The search for yet unexplained physical phenomena is, therefore, the main motivation of the Belle collaboration. Many measurements of _md have previously been performed. The present work, however, leads to a precision on _md that was never reached before. This is the result of the excellent performance of KEKB, and of an original approach that allows to considerably reduce background contamination of pertinent events. This approach was already successfully used by other collaborations, in slightly different conditions as here. The method we employed consists in the partial reconstruction of one of the B mesons through the decay channel ___D*(D0_)l_l, where only the information on the lepton l and the pion _ are used. The information on the other B meson of the initial Banti-B pair is extracted from a single high-energy lepton. The available sample of Banti-B pairs thus does not suffer from large reductions due to complete reconstruction, nor does it suffer of high charged B meson background, as in inclusive analyses. We finally obtain the following result: _md = 0.513±0.006±0.008 ps^-1, where the first error is statistical, and the second, systematical.<br/><br/>De quoi la matière est-elle constituée ? Comment tient-elle ensemble ? Ce sont là les questions auxquelles la recherche en physique des hautes énergies tente de répondre. Cette recherche est conduite à deux niveaux en constante interaction. D?une part, des modèles théoriques sont élaborés pour tenter de comprendre et de décrire les observations. Ces dernières, d?autre part, sont réalisées au moyen de collisions à haute énergie de particules élémentaires. C?est ainsi que l?on a pu mettre en évidence l?existence de quatre forces fondamentales et de 24 constituants élémentaires, classés en « quarks » et « leptons ». Il s?agit là de l?une des plus belles réussites du modèle en usage aujourd?hui, appelé « Modèle Standard ». Il est une observation fondamentale que le Modèle Standard peine cependant à expliquer, c?est la disparition quasi complète de l?anti-matière (le « négatif » de la matière). Au niveau fondamental, cela doit correspondre à une asymétrie entre particules (constituants de la matière) et antiparticules (constituants de l?anti-matière). On l?appelle l?asymétrie (ou violation) CP. Bien qu?incluse dans le Modèle Standard, cette asymétrie n?est que partiellement prise en compte, semble-t-il. En outre, son origine est inconnue. D?intenses recherches sont donc aujourd?hui entreprises pour mettre en lumière cette asymétrie. L?expérience Belle, au Japon, en est une des pionnières. Belle étudie en effet les phénomènes physiques liés à une famille de particules appelées les « mésons B », dont on sait qu?elles sont liées de près à l?asymétrie CP. C?est dans le cadre de cette recherche que se place cette thèse. Nous avons étudié une propriété remarquable du méson B neutre : l?oscillation de ce méson avec son anti-méson. Cette particule est de se désintégrer pour donner l?antiparticule associée. Il est clair que cette oscillation est rattachée à l?asymétrie CP. Nous avons ici déterminé avec une précision encore inégalée la fréquence de cette oscillation. La méthode utilisée consiste à caractériser une paire de mésons B à l?aide de leur désintégration comprenant un lepton chacun. Une plus grande précision est obtenue en recherchant également une particule appelée le pion, et qui provient de la désintégration d?un des mésons. Outre l?intérêt de ce phénomène oscillatoire en lui-même, cette mesure permet d?affiner, directement ou indirectement, le Modèle Standard. Elle pourra aussi, à terme, aider à élucider le mystère de l?asymétrie entre matière et anti-matière.

Examining the virulence of Candida albicans transcription factor mutants using Galleria mellonella and mouse infection models.

The aim of the present study was to identify Candida albicans transcription factors (TFs) involved in virulence. Although mice are considered the gold-standard model to study fungal virulence, mini-host infection models have been increasingly used. Here, barcoded TF mutants were first screened in mice by pools of strains and fungal burdens (FBs) quantified in kidneys. Mutants of unannotated genes which generated a kidney FB significantly different from that of wild-type were selected and individually examined in Galleria mellonella. In addition, mutants that could not be detected in mice were also tested in G. mellonella. Only 25% of these mutants displayed matching phenotypes in both hosts, highlighting a significant discrepancy between the two models. To address the basis of this difference (pool or host effects), a set of 19 mutants tested in G. mellonella were also injected individually into mice. Matching FB phenotypes were observed in 50% of the cases, highlighting the bias due to host effects. In contrast, 33.4% concordance was observed between pool and single strain infections in mice, thereby highlighting the bias introduced by the "pool effect." After filtering the results obtained from the two infection models, mutants for MBF1 and ZCF6 were selected. Independent marker-free mutants were subsequently tested in both hosts to validate previous results. The MBF1 mutant showed impaired infection in both models, while the ZCF6 mutant was only significant in mice infections. The two mutants showed no obvious in vitro phenotypes compared with the wild-type, indicating that these genes might be specifically involved in in vivo adapt.

Optimized dark matter searches in deep observations of Segue 1 with MAGIC

We present the results of stereoscopic observations of the satellite galaxy Segue 1 with the MAGIC Telescopes, carried out between 2011 and 2013. With almost 160 hours of good-quality data, this is the deepest observational campaign on any dwarf galaxy performed so far in the very high energy range of the electromagnetic spectrum. We search this large data sample for signals of dark matter particles in the mass range between 100 GeV and 20 TeV. For this we use the full likelihood analysis method, which provides optimal sensitivity to characteristic gamma-ray spectral features, like those expected from dark matter annihilation or decay. In particular, we focus our search on gamma-rays produced from different final state Standard Model particles, annihilation with internal bremsstrahlung, monochromatic lines and box-shaped signals. Our results represent the most stringent constraints to the annihilation cross-section or decay lifetime obtained from observations of satellite galaxies, for masses above few hundred GeV. In particular, our strongest limit (95% confidence level) corresponds to a ~ 500 GeV dark matter particle annihilating into τ+τ−, and is of order langleσannvrangle simeq 1.2 × 10−24 cm3 s−1 a factor ~ 40 above the langleσannvrangle simeq thermal value.

Tuotannon ja ostotoiminnan tarkastelu SCOR-mallilla

Diplomityössä perehdyttiin toimitusketjun hallinnan ja johtamisen apuvälineenä käytettävään SCOR-malliin (Supply Chain Operations Refence-model). SCOR on standardimalli, josta jokaisen tulee poimia oman toiminnan kehittämisen ja tehostamisen kannalta tärkeät asiat. SCOR on hyvä instrumentti kasvun hallinnassa.Työn teoriaosa käsittelee logistiikkaa, toimitusketjun hallintaa, ostotoimintaa ja SCOR-mallia. Soveltavassa osassa käsitellään SCOR-mallin avulla sisäilma alalla toimivan yrityksen prosesseja. Työssä keskityttiin tarkastelemaan yrityksen ostotoiminta ja valmistusprosesseja SCOR-mallin avulla.SCOR-mallin käyttö oston ja tuotannon analysoinnissa toi esiin useita toiminnan kehitysajatuksia. Näitä olivat uusien menetelmien käyttöönotto varaston ja tuotannon hallittavuuden parantamiseksi, osto-organisaation selkiyttäminen ja toiminnanohjausjärjestelmän kehittäminen.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.