Modeling sequencing errors by combining Hidden Markov models.

Among the largest resources for biological sequence data is the large amount of expressed sequence tags (ESTs) available in public and proprietary databases. ESTs provide information on transcripts but for technical reasons they often contain sequencing errors. Therefore, when analyzing EST sequences computationally, such errors must be taken into account. Earlier attempts to model error prone coding regions have shown good performance in detecting and predicting these while correcting sequencing errors using codon usage frequencies. In the research presented here, we improve the detection of translation start and stop sites by integrating a more complex mRNA model with codon usage bias based error correction into one hidden Markov model (HMM), thus generalizing this error correction approach to more complex HMMs. We show that our method maintains the performance in detecting coding sequences.

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.

Modeling of in-situ crystallization processes in the Permian mafic layered intrusion of Mont Collon (Dent Blanche nappe, western Alps)

The Mont Collon mafic complex is one of the best preserved examples of the Early Permian magmatism in the Central Alps, related to the intra-continental collapse of the Variscan belt. It mostly consists (> 95 vol.%) of ol+hy-nonnative plagioclase-wehrlites, olivine- and cpx-gabbros with cumulitic structures, crosscut by acid dikes. Pegmatitic gabbros, troctolites and anorthosites outcrop locally. A well-preserved cumulative, sequence is exposed in the Dents de Bertol area (center of intrusion). PT-calculations indicate that this layered magma chamber emplaced at mid-crustal levels at about 0.5 GPa and 1100 degrees C. The Mont Collon cumulitic rocks record little magmatic differentiation, as illustrated by the restricted range of clinopyroxene mg-number (Mg#(cpx)=83-89). Whole-rock incompatible trace-element contents (e.g. Nb, Zr, Ba) vary largely and without correlation with major-element composition. These features are characteristic of an in-situ crystallization process with variable amounts of interstitial liquid L trapped between the cumulus mineral phases. LA-ICPMS measurements show that trace-element distribution in the latter is homogeneous, pointing to subsolidus re-equilibration between crystals and interstitial melts. A quantitative modeling based on Langmuir's in-situ crystallization equation successfully duplicated the REE concentrations in cumulitic minerals of all rock facies of the intrusion. The calculated amounts of interstitial liquid L vary between 0 and 35% for degrees of differentiation F of 0 to 20%, relative to the least evolved facies of the intrusion. L values are well correlated with the modal proportions of interstitial amphibole and whole-rock incompatible trace-element concentrations (e.g. Zr, Nb) of the tested samples. However, the in-situ crystallization model reaches its limitations with rock containing high modal content of REE-bearing minerals (i.e. zircon), such as pegmatitic gabbros. Dikes of anorthositic composition, locally crosscutting the layered lithologies, evidence that the Mont Collon rocks evolved in open system with mixing of intercumulus liquids of different origins and possibly contrasting compositions. The proposed model is not able to resolve these complex open systems, but migrating liquids could be partly responsible for the observed dispersion of points in some correlation diagrams. Absence of significant differentiation with recurrent lithologies in the cumulitic pile of Dents de Bertol points to an efficiently convective magma chamber, with possible periodic replenishment, (c) 2005 Elsevier B.V. All rights reserved.

Preferred suppliers in auction markets

In a procurement setting, this paper examines agreements between a buyer and one of the suppliers which would increase their joint surplus. The provisions of such agreements depend on the buyer's ability to design the rules of the final procurement auction. When the buyer has no such ability, their joint surplus can be increased by an agreement which grants to the preferred supplier a right-of-first-refusal on the lowest price offer from the other suppliers. When the buyer does have this ability, one agreement which maximizes their joint surplus includes a revelation game for the cost of the preferred supplier and a reserve price in the procurement auction based on that cost.

Modeling resting-state functional networks when the cortex falls asleep: local and global changes.

The transition from wakefulness to sleep represents the most conspicuous change in behavior and the level of consciousness occurring in the healthy brain. It is accompanied by similarly conspicuous changes in neural dynamics, traditionally exemplified by the change from "desynchronized" electroencephalogram activity in wake to globally synchronized slow wave activity of early sleep. However, unit and local field recordings indicate that the transition is more gradual than it might appear: On one hand, local slow waves already appear during wake; on the other hand, slow sleep waves are only rarely global. Studies with functional magnetic resonance imaging also reveal changes in resting-state functional connectivity (FC) between wake and slow wave sleep. However, it remains unclear how resting-state networks may change during this transition period. Here, we employ large-scale modeling of the human cortico-cortical anatomical connectivity to evaluate changes in resting-state FC when the model "falls asleep" due to the progressive decrease in arousal-promoting neuromodulation. When cholinergic neuromodulation is parametrically decreased, local slow waves appear, while the overall organization of resting-state networks does not change. Furthermore, we show that these local slow waves are structured macroscopically in networks that resemble the resting-state networks. In contrast, when the neuromodulator decrease further to very low levels, slow waves become global and resting-state networks merge into a single undifferentiated, broadly synchronized network.

I have faith in my thing, you know what I mean? Mixed method elements on individual investments on religious markets.

In contemporary society, religious signification and secular systems mix and influence each other. Holistic conceptions of a world in which man is integrated harmoniously with nature meet representations of a world run by an immanent God. On the market of the various systems, the individual goes from one system to another, following his immediate needs and expectations without necessarily leaving any marks in a meaningful long term system. This article presents the first results of an ongoing research in Switzerland on contemporary religion focusing on (new) paths of socialization of modern that individuals and the various (non-) belief systems that they simultaneously develop

Recruitment and retention incentives in health labour markets: an analysis of participation in NHS Scotland following Dental Vocational

This paper uses a unique individual level administrative data set to analyse the participation of health professionals in the NHS after training. The data set contains information on over 1,000 dentists who received Dental Vocational Training in Scotland between 1995 and 2006. Using a dynamic nonlinear panel data model, we estimate the determinants of post-training participation. We nd there is signi cant persistence in these data and are able to show that the persistence arises from state dependence and individual heterogeneity. This finding has implications for the structure of policies designed to increase participation rates. We apply this empirical framework to assess the accuracy of predictions for workforce forecasting, and to provide a preliminary estimate of the impact of one of the recruitment and retention policies available to dentists in Scotland.

Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets

Existing empirical evidence suggests that the Uncovered Interest Rate Parity (UIRP) condition may not hold due to an exchange risk premium. For a panel data set of eleven emerging European economies we decompose this exchange risk premium into an idiosyncratic (country-specific) elements and a common factor using a principal components approach. We present evidence of a stationary idiosyncratic component and nonstationary common factor. This result leads to the conclusion of a nonstationary risk premium for these countries and a violation of the UIRP in the long-run, which is in contrast to previous studies often documenting a stationary premium in developed countries. Furthermore, we report that the variation in the premium is largely attributable to a common factor influenced by economic developments in the United States.

3-Regime symmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric e¤ects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold e¤ects by encompassing other existing models, such as TAR models. We apply our methodology to three di¤erent exchange rate data-sets, one for developing countries, and o¢ cial nominal exchange rates, the sec- ond emerging market economies using black market exchange rates and the third for OECD economies.

Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results.

Body mass index, cigarette smoking, and alcohol consumption and cancers of the oral cavity, pharynx, and larynx: modeling odds ratios in pooled case-control data.

Odds ratios for head and neck cancer increase with greater cigarette and alcohol use and lower body mass index (BMI; weight (kg)/height(2) (m(2))). Using data from the International Head and Neck Cancer Epidemiology Consortium, the authors conducted a formal analysis of BMI as a modifier of smoking- and alcohol-related effects. Analysis of never and current smokers included 6,333 cases, while analysis of never drinkers and consumers of < or =10 drinks/day included 8,452 cases. There were 8,000 or more controls, depending on the analysis. Odds ratios for all sites increased with lower BMI, greater smoking, and greater drinking. In polytomous regression, odds ratios for BMI (P = 0.65), smoking (P = 0.52), and drinking (P = 0.73) were homogeneous for oral cavity and pharyngeal cancers. Odds ratios for BMI and drinking were greater for oral cavity/pharyngeal cancer (P < 0.01), while smoking odds ratios were greater for laryngeal cancer (P < 0.01). Lower BMI enhanced smoking- and drinking-related odds ratios for oral cavity/pharyngeal cancer (P < 0.01), while BMI did not modify smoking and drinking odds ratios for laryngeal cancer. The increased odds ratios for all sites with low BMI may suggest related carcinogenic mechanisms; however, BMI modification of smoking and drinking odds ratios for cancer of the oral cavity/pharynx but not larynx cancer suggests additional factors specific to oral cavity/pharynx cancer.

Harmful competition in the insurance markets

There is a general presumption that competition is a good thing. In this paper we show that competition in the insurance markets can be bad and that adverse selection is in general worse under competition than under monopoly. The reason is that monopoly can exploit its market power to relax incentive constraints by cross-subsidization between different risk types. Cream-skimming behavior, on the contrary, prevents competitive firms from using implicit transfers. In effect monopoly is shown to provide better coverage to those buying insurance but at the cost of limiting participation to insurance. Performing simulation for di erent distributions of risk, we find that monopoly in general performs (much) better than competition in terms of the realization of the gains from trade across all traders in equilibrium. However, most of the surplus is retained by the firm and, as a result, most individuals prefer competitive markets notwithstanding their performance is generally poorer than monopoly.

Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables

This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate fficial interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.

Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

This paper uses an infinite hidden Markov model (IIHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to existing methods. We found a clear structural break during the recent financial crisis. Prior to that, inflation persistence was high and fairly constant.