Уточнение ключевых параметров плазмы солнечного ветра и ММП, ответственных за формирования геомагнитных бурь и эффектов Форбуша в космических лучах

საუბარია გეომაგნიტური ქარიშხლებისა (გქ) და კოსმიურ სხივებში ფორბუშ დაცემის (ფდ) ჯგუფების და საპლანეტათშორისო სივრცის მონაცემების ანალიზის შედეგად დადგენილ სხავა და სხვა კვლევების შედეგებზე.

Security prices and market transparency: the role of prior information

This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information

On the asymptotic expansion of the colored Jones polynomial for torus knots

In the asymptotic expansion of the hyperbolic specification of the colored Jones polynomial of torus knots, we identify different geometric contributions, in particular Chern-Simons invariant and Reidemeister torsion.

Agglomeration and location: a nonparametric approach

The aim of this article is to assess the effects of several territorial characteristics, specifically agglomeration economies, on industrial location processes in the Spanish region of Catalonia. Theoretically, the level of agglomeration causes economies which favour the location of new establishments, but an excessive level of agglomeration might cause diseconomies, since congestion effects arise. The empirical evidence on this matter is inconclusive, probably because the models used so far are not suitable enough. We use a more flexible semiparametric specification, which allows us to study the nonlinear relationship between the different types of agglomeration levels and location processes. Our main statistical source is the REIC (Catalan Manufacturing Establishments Register), which has plant-level microdata on location of new industrial establishments. Keywords: agglomeration economies, industrial location, Generalized Additive Models, nonparametric estimation, count data models.

Business Cycle Regimes in CEECs Production: A Threshold SURE Approach

We use a threshold seemingly unrelated regressions specification to assess whether the Central and East European countries (CEECs) are synchronized in their business cycles to the Euro-area. This specification is useful in two ways: First, it takes into account the common institutional factors and the similarities across CEECs in their process of economic transition. Second, it captures business cycle asymmetries by allowing for the presence of two distinct regimes for the CEECs. As the CEECs are strongly affected by the Euro-area these regimes may be associated with Euro-area expansions and contractions. We discuss representation, estimation by maximum likelihood and inference. The methodology is illustrated by using monthly industrial production in 8 CEECs. The results show that apart from Lithuania the rest of the CEECs experience “normal” growth when the Euro-area contracts and “high” growth when the Euro-area expands. Given that the CEECs are “catching up” with the Euro-area this result shows that most CEECs seem synchronized to the Euro-area cycle. Keywords: Threshold SURE; asymmetry; business cycles; CEECs. JEL classification: C33; C50; E32.

Binge eating in binge eating disorder: a break-down of emotion regulatory process?

Current explanatory models for binge eating in binge eating disorder (BED) mostly rely onmodels for bulimianervosa (BN), although research indicates different antecedents for binge eating in BED. This studyinvestigates antecedents and maintaining factors in terms of positive mood, negative mood and tension in asample of 22 women with BED using ecological momentary assessment over a 1-week. Values for negativemood were higher and those for positive mood lower during binge days compared with non-binge days.During binge days, negative mood and tension both strongly and significantly increased and positive moodstrongly and significantly decreased at the first binge episode, followed by a slight though significant, andlonger lasting decrease (negative mood, tension) or increase (positive mood) during a 4-h observation periodfollowing binge eating. Binge eating in BED seems to be triggered by an immediate breakdown of emotionregulation. There are no indications of an accumulation of negative mood triggering binge eating followed byimmediate reinforcing mechanisms in terms of substantial and stable improvement of mood as observed inBN. These differences implicate a further specification of etiological models and could serve as a basis fordeveloping new treatment approaches for BED.

In Search of a theory of debt management

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market approach to debt management is valid even when the government only issues non-contingent bonds. A number of authors conclude from this approach that governments should issue long term debt and invest in short term assets. We argue that the conclusions of this approach are too fragile to serve as a basis for policy recommendations. This is because bonds at different maturities have highly correlated returns, causing the determination of the optimal portfolio to be ill-conditioned. To make this point concrete we examine the implications of this approach to debt management in various models, both analytically and using numerical methods calibrated to the US economy. We find the complete market approach recommends asset positions which are huge multiples of GDP. Introducing persistent shocks or capital accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these simulations we find no presumption that governments should issue long term debt ? policy recommendations can be easily reversed through small perturbations in the specification of shocks or small variations in the maturity of bonds issued. We further extend the literature by removing the assumption that governments every period costlessly repurchase all outstanding debt. This exacerbates the size of the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that it is very difficult to insulate fiscal policy from shocks by using the complete markets approach to debt management. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The result is the positions recommended by this approach conflict with a number of features that we believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until these features are all fully incorporated we remain in search of a theory of debt management capable of providing robust policy insights.

Integració de tècniques per a la comprovació eficient de restriccions d'integritat en la generació de programari per entorns web

Estudi elaborat a partir d’una estada al Politecnico de Milano, Itàlia, entre gener i juny del 2006. Un dels principals objectius de l’Enginyeria del Programari és automatitzar el màxim possible el procés de desenvolupament del programari, reduint costos mitjançant la generació automàtica del programari a partir de la seva especificació. Per assolir-ho, entre altres, cal resoldre el problema de la comprovació eficient de restriccions, que són una part fonamental de l’especificació del programari. Aquest és precisament l’àmbit en què s’està desenvolupant una tesi que presentarà un mètode que poden integrar totes les eines generadores de codi per tal d’assolir una implementació eficient de les restriccions d’integritat. En l’actual fase del projecte s’ha treballat per validar el mètode de la tesi, optimitzant-lo pel cas específic de les aplicacions web i estendre’l per poder tractar també aplicacions basades en workflows. Pel que fa a l’optimització del mètode per aplicacions web, s’han definit una sèrie de paràmetres que permeten configurar la implementació del mètode tenint en compte les necessitats específiques de rendiment de cada aplicació web en particular. Respecte als workflows (cada cop més populars i que s’usen com a definició d’alt nivell per a les aplicacions a desenvolupar) s’ha estudiat quins són els tipus de restriccions que impliquen i com després es pot aplicar el mètode de la tesi sobre aquestes restriccions per tal de generar de forma eficient també les aplicacions basades en workflows.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Navegación, guiado y control de vehículos aeroespaciales

El objetivo del proyecto es diseñar una plataforma de ensayos para la simulación de vuelos de vehículos aeroespaciales. La plataforma permitirá diseñar y evaluar los algoritmos de navegación, guiado y control de los vehículos aeroespaciales modelados en la plataforma de simulación, focalizando el trabajo de los ingenieros en el modelado de vehículos y en el desarrollo de sistemas de control digital. La memoria recoge las fases de un proyecto de ingeniería del software, describiendo el plan de proyecto, el análisis del sistema, la especificación de requisitos y el diseño del mismo.

Bayesian Inference in the Time Varying Cointegration Model

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop time varying parameter models which permit cointegration. Time-varying parameter VARs (TVP-VARs) typically use state space representations to model the evolution of parameters. In this paper, we show that it is not sensible to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving a permanent/transitory variance decomposition for inflation.

Climbing to the top? Foreign Direct Investment and Property Rights.

This paper operates at the interface of the literature on the impact of foreign direct investment (FDI) on host countries, and the literature on the determinants of institutional quality. We argue that FDI contributes to economic development by improving institutional quality in the host country and we attempt to test this proposition using a large panel data set of 70 developing countries during the period 1981 and 2005, and we show that FDI inflows have a positive and highly significant impact on property rights. The result appears to be very robust and is and not affected by model specification, different control variables, or a particular estimation technique. As far as we are aware this is the first paper to empirically test the FDI – property rights linkage.

Rebound and disinvestment effects in oil consumption and supply resulting from an increase in energy efficiency in the Scottish commercial transport sector

In this paper we use an energy-economy-environment computable general equilibrium (CGE) model of the Scottish economy to examine the impacts of an exogenous increase in energy augmenting technological progress in the domestic commercial Transport sector on the supply and use of energy. We focus our analysis on oil, as the main type of energy input used in commercial transport activity. We find that a 5% increase in energy efficiency in the commercial Transport sector leads to rebound effects in the use of oil-based energy commodities in all time periods, in the target sector and at the economy-wide level. However, our results also suggest that such an efficiency improvement may cause a contraction in capacity in the Scottish oil supply sector. This ‘disinvestment effect’ acts as a constraint on the size of rebound effects. However, the magnitude of rebound effects and presence of the disinvestment effect in the simulations conducted here are sensitive to the specification of key elasticities of substitution in the nested production function for the target sector, particularly the substitutability of energy for non-energy intermediate inputs to production.

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model’s posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland’s (2001, 2004) hybrid estimation approach to allow for a vector autoregressive moving average (VARMA) process to describe the movements and co-movements of the model’s errors not explained by the basic RBC model. The results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model’s fit relative to the VAR and AR alternatives. Moreover, despite setting the RBC model a more difficult task under the VARMA specification, our analysis, based on forecast error and spectral decompositions, suggests that the RBC model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post-war U.S. economy.

Transcriptional response to cardiac injury in the zebrafish: systematic identification of genes with highly concordant activity across in vivo models.

BACKGROUND: Zebrafish is a clinically-relevant model of heart regeneration. Unlike mammals, it has a remarkable heart repair capacity after injury, and promises novel translational applications. Amputation and cryoinjury models are key research tools for understanding injury response and regeneration in vivo. An understanding of the transcriptional responses following injury is needed to identify key players of heart tissue repair, as well as potential targets for boosting this property in humans. RESULTS: We investigated amputation and cryoinjury in vivo models of heart damage in the zebrafish through unbiased, integrative analyses of independent molecular datasets. To detect genes with potential biological roles, we derived computational prediction models with microarray data from heart amputation experiments. We focused on a top-ranked set of genes highly activated in the early post-injury stage, whose activity was further verified in independent microarray datasets. Next, we performed independent validations of expression responses with qPCR in a cryoinjury model. Across in vivo models, the top candidates showed highly concordant responses at 1 and 3 days post-injury, which highlights the predictive power of our analysis strategies and the possible biological relevance of these genes. Top candidates are significantly involved in cell fate specification and differentiation, and include heart failure markers such as periostin, as well as potential new targets for heart regeneration. For example, ptgis and ca2 were overexpressed, while usp2a, a regulator of the p53 pathway, was down-regulated in our in vivo models. Interestingly, a high activity of ptgis and ca2 has been previously observed in failing hearts from rats and humans. CONCLUSIONS: We identified genes with potential critical roles in the response to cardiac damage in the zebrafish. Their transcriptional activities are reproducible in different in vivo models of cardiac injury.