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.

Minimal data requirements for a continuous monitoring of the quality of care using the DRG classification.

The DRG classification provides a useful tool for the evaluation of hospital care. Indicators such as readmissions and mortality rates adjusted for the hospital Casemix could be adopted in Switzerland at the price of minor additions to the hospital discharge record. The additional information required to build patients histories and to identify the deaths occurring after hospital discharge is detailed.

Differentiation of trophoblast giant cells and their metabolic functions are dependent on peroxisome proliferator-activated receptor beta/delta.

Mutation of the nuclear receptor peroxisome proliferator-activated receptor beta/delta (PPARbeta/delta) severely affects placenta development, leading to embryonic death at embryonic day 9.5 (E9.5) to E10.5 of most, but not all, PPARbeta/delta-null mutant embryos. While very little is known at present about the pathway governed by PPARbeta/delta in the developing placenta, this paper demonstrates that the main alteration of the placenta of PPARbeta/delta-null embryos is found in the giant cell layer. PPARbeta/delta activity is in fact essential for the differentiation of the Rcho-1 cells in giant cells, as shown by the severe inhibition of differentiation once PPARbeta/delta is silenced. Conversely, exposure of Rcho-1 cells to a PPARbeta/delta agonist triggers a massive differentiation via increased expression of 3-phosphoinositide-dependent kinase 1 and integrin-linked kinase and subsequent phosphorylation of Akt. The links between PPARbeta/delta activity in giant cells and its role on Akt activity are further strengthened by the remarkable pattern of phospho-Akt expression in vivo at E9.5, specifically in the nucleus of the giant cells. In addition to this phosphatidylinositol 3-kinase/Akt main pathway, PPARbeta/delta also induced giant cell differentiation via increased expression of I-mfa, an inhibitor of Mash-2 activity. Finally, giant cell differentiation at E9.5 is accompanied by a PPARbeta/delta-dependent accumulation of lipid droplets and an increased expression of the adipose differentiation-related protein (also called adipophilin), which may participate to lipid metabolism and/or steroidogenesis. Altogether, this important role of PPARbeta/delta in placenta development and giant cell differentiation should be considered when contemplating the potency of PPARbeta/delta agonist as therapeutic agents of broad application.

Predicting stroke through genetic risk functions: the CHARGE Risk Score Project.

BACKGROUND AND PURPOSE: Beyond the Framingham Stroke Risk Score, prediction of future stroke may improve with a genetic risk score (GRS) based on single-nucleotide polymorphisms associated with stroke and its risk factors. METHODS: The study includes 4 population-based cohorts with 2047 first incident strokes from 22,720 initially stroke-free European origin participants aged ≥55 years, who were followed for up to 20 years. GRSs were constructed with 324 single-nucleotide polymorphisms implicated in stroke and 9 risk factors. The association of the GRS to first incident stroke was tested using Cox regression; the GRS predictive properties were assessed with area under the curve statistics comparing the GRS with age and sex, Framingham Stroke Risk Score models, and reclassification statistics. These analyses were performed per cohort and in a meta-analysis of pooled data. Replication was sought in a case-control study of ischemic stroke. RESULTS: In the meta-analysis, adding the GRS to the Framingham Stroke Risk Score, age and sex model resulted in a significant improvement in discrimination (all stroke: Δjoint area under the curve=0.016, P=2.3×10(-6); ischemic stroke: Δjoint area under the curve=0.021, P=3.7×10(-7)), although the overall area under the curve remained low. In all the studies, there was a highly significantly improved net reclassification index (P<10(-4)). CONCLUSIONS: The single-nucleotide polymorphisms associated with stroke and its risk factors result only in a small improvement in prediction of future stroke compared with the classical epidemiological risk factors for stroke.

Theileria parva-transformed T cells show enhanced resistance to Fas/Fas ligand-induced apoptosis.

Lymphocyte homeostasis is regulated by mechanisms that control lymphocyte proliferation and apoptosis. Activation-induced cell death is mediated by the expression of death ligands and receptors, which, when triggered, activate an apoptotic cascade. Bovine T cells transformed by the intracellular parasite Theileria parva proliferate in an uncontrolled manner and undergo clonal expansion. They constitutively express the death receptor Fas and its ligand, FasL but do not undergo apoptosis. Upon elimination of the parasite from the host cell by treatment with a theilericidal drug, cells become increasingly sensitive to Fas/FasL-induced apoptosis. In normal T cells, the sensitivity to death receptor killing is regulated by specific inhibitor proteins. We found that anti-apoptotic proteins such as cellular (c)-FLIP, which functions as a catalytically inactive form of caspase-8, and X-chromosome-linked inhibitor of apoptosis protein (IAP) as well as c-IAP, which can block downstream executioner caspases, are constitutively expressed in T. parva-transformed T cells. Expression of these proteins is rapidly down-regulated upon parasite elimination. Antiapoptotic proteins of the Bcl-2 family such as Bcl-2 and Bcl-x(L) are also expressed but, in contrast to c-FLIP, c-IAP, and X-chromosome-linked IAP, do not appear to be tightly regulated by the presence of the parasite. Finally, we show that, in contrast to the situation in tumor cells, the phosphoinositide 3-kinase/Akt pathway is not essential for c-FLIP expression. Our findings indicate that by inducing the expression of antiapoptotic proteins, T. parva allows the host cell to escape destruction by homeostatic mechanisms that would normally be activated to limit the continuous expansion of a T cell population.

Generating functions for the numbers of Abelian extensions of a local field

The aim of this paper is to give an explicit formula for the num- bers of abelian extensions of a p-adic number field and to study the generating function of these numbers. More precisely, we give the number of abelian ex- tensions with given degree and ramification index, and the number of abelian extensions with given degree of any local field of characteristic zero. Moreover, we give a concrete expression of a generating function for these last numbers

Saturable metabolism of continuous high-dose ifosfamide with mesna and GM-CSF: a pharmacokinetic study in advanced sarcoma patients. Swiss Group for Clinical Cancer Research (SAKK).

BACKGROUND: The aim of this study was to assess the pharmacology, toxicity and activity of high-dose ifosfamide mesna +/- GM-CSF administered by a five-day continuous infusion at a total ifosfamide dose of 12-18 g/m2 in adult patients with advanced sarcomas. PATIENTS AND METHODS: Between January 1991 and October 1992 32 patients with advanced or metastatic sarcoma were entered the study. Twenty-seven patients were pretreated including twenty-three with prior ifosfamide at less than 8 g/m2 total dose/cycle. In 25 patients (27 cycles) extensive pharmacokinetic analyses were performed. RESULTS: The area under the plasma concentration-time curve (AUC) for ifosfamide increased linearly with dose while the AUC's of the metabolites measured in plasma by thin-layer chromatography did not increase with dose, particularly that of the active metabolite isophosphoramide mustard. Furthermore the AUC of the inactive carboxymetabolite did not increase with dose. Interpatient variability of pharmacokinetic parameters was high. Dose-limiting toxicity was myelosuppression at 18 g/m2 total dose with grade 4 neutropenia in five of six patients and grade 4 thrombocytopenia in four of six patients. Therefore the maximum tolerated dose was considered to be 18 g/m2 total dose. There was one CR and eleven PR in twenty-nine evaluable patients (overall response rate 41%). CONCLUSION: Both the activation and inactivation pathways of ifosfamide are non-linear and saturable at high-doses although the pharmacokinetics of the parent drug itself are dose linear. Ifosfamide doses greater than 14-16 g/m2 per cycle appear to result in a relative decrease of the active metabolite isophosphoramide mustard. These data suggest a dose-dependent saturation or even inhibition of ifosfamide metabolism by increasing high dose ifosfamide and suggest the need for further metabolic studies.

Phytochrome interacting factors 4 and 5 redundantly limit seedling de-etiolation in continuous far-red light.

Phytochromes are red/far-red photosensors that regulate numerous developmental programs in plants. Among them, phytochrome A (phyA) is essential to enable seedling de-etiolation under continuous far-red (FR) light, a condition that mimics the environment under a dense canopy. The ecological relevance of this response is demonstrated by the high mortality rate of phyA mutant plants that germinate in deep vegetational shade. phyA signaling involves direct interaction of the photoreceptor with phytochrome-interacting factors PIF1 and PIF3, members of the bHLH transcription factor family. Here we investigated the involvement of PIF4 and PIF5 in phyA signaling, and found that they redundantly control de-etiolation in FR light. The pif4 pif5 double mutant is hypersensitive to low fluence rates of FR light. This phenotype is dependent on FR light perception by phyA, but does not rely on alterations in the phyA level. Our microarray analysis shows that PIF4 and PIF5 are part of an inhibitory mechanism that represses the expression of some light-responsive genes in the dark, and that they are also needed for full expression of several growth-related genes in the light. Unlike PIF1 and PIF3, PIF4 and PIF5 are not degraded in response to FR light, indicating that they are light-regulated by a different mechanism. Our genetic analysis suggests that this is achieved through sequestration of these PIFs by the closely related bHLH transcription factor HFR1 (long hypocotyl in FR light).

Genetic parameters for growth traits in pigs estimated using third degree polynomial functions

Selostus: Sian kasvuominaisuuksien perinnölliset tunnusluvut arvioituna kolmannen asteen polynomifunktion avulla

Neuronal activity in the hub of extrasynaptic Schwann cell-axon interactions.

The integrity and function of neurons depend on their continuous interactions with glial cells. In the peripheral nervous system glial functions are exerted by Schwann cells (SCs). SCs sense synaptic and extrasynaptic manifestations of action potential propagation and adapt their physiology to support neuronal activity. We review here existing literature data on extrasynaptic bidirectional axon-SC communication, focusing particularly on neuronal activity implications. To shed light on underlying mechanisms, we conduct a thorough analysis of microarray data from SC-rich mouse sciatic nerve at different developmental stages and in neuropathic models. We identify molecules that are potentially involved in SC detection of neuronal activity signals inducing subsequent glial responses. We further suggest that alterations in the activity-dependent axon-SC crosstalk impact on peripheral neuropathies. Together with previously reported data, these observations open new perspectives for deciphering glial mechanisms of neuronal function support.

Disposition of oral valganciclovir during continuous renal replacement therapy in two lung transplant recipients

Background: Oral valganciclovir (VGC) is hydrolysed into active ganciclovir (GCV) which is eliminated in the kidney by filtration and secretion. VGC dosage has to be adapted in renal failure with continuous renal replacement therapy (CRRT), a condition sometimes encountered early after solid organ transplantation. This investigation aimed to determine whether VGC 450 mg every 48 hours provides appropriate GCV exposure for cytomegalovirus (CMV) prophylaxis during CRRT. Methods: GCV pharmacokinetics were extensively studied during CRRT in two lung transplant recipients with acute renal failure receiving VGC 450 mg every 48 hours trough a nasogastric tube. In vitro experiments using blank whole blood spiked with GCV further investigated exchanges between plasma and erythrocytes. Results: GCV disposition was characterised by an area under the curve (AUC) of 98.0 and 55.4 mg h/L, resulting in trough concentrations of 0.7 and 0.2 mg/L, an apparent total body clearance of 3.3 and 5.8 L/h, a terminal half-life of 16.9 and 14.1 h, and an apparent volume of distribution of 60.3 and 104.9 L. The observed sieving coefficient (filtrate/plasma) was 1.05 and 0.96, and the hemofiltration clearance 3.3 and 3.1 L/h, respectively. High sieving values could be explained by an efflux of GCV from erythrocytes. In vitro experiments confirmed that erythrocytes are loaded with significant GCV amount and release it quickly into plasma, thus contributing to the apparent efficacy of hemofiltration. Conclusion: These results indicate that a VGC dosage of 450 mg every 48 hours was adequate for CMV prophylaxis during CRRT, providing GCV levels similar to those reported using 900 mg qd in transplant recipients with normal renal function.

Ly49D engagement on T lymphocytes induces TCR-independent activation and CD8 effector functions that control tumor growth.

Recent data showing expression of activating NK receptors (NKR) by conventional T lymphocytes raise the question of their role in the triggering of TCR-independent responses that could be damaging for the host. Transgenic mice expressing the activating receptor Ly49D/DAP12 offer the opportunity to better understand the relevance of ITAM signaling in the biology of T cells. In vitro experiments showed that Ly49D engagement on T lymphocytes by a cognate MHC class I ligand expressed by Chinese hamster ovary (CHO) cells or by specific Ab triggered cellular activation of both CD4 and CD8 populations with modulation of activation markers and cytokine production. The forced expression of the ITAM signaling chain DAP12 is mandatory for Ly49D-transgenic T cell activation. In addition, Ly49D stimulation induced T lymphocyte proliferation, which was much stronger for CD8 T cells. Phenotypic analysis of anti-Ly49D-stimulated CD8 T cells and their ability to produce high levels of IFN-gamma and to kill target cells indicate that Ly49D ligation generates effector cytotoxic CD8 T cells. Ly49D engagement by itself also triggered cytotoxic activity of activated CD8 T cells. Adoptive transfer experiments confirmed that Ly49D-transgenic CD8 T cells are able to control growth of CHO tumor cells or RMA cells transfected with Hm1-C4, the Ly49D ligand normally expressed by CHO. In conclusion, Ly49D engagement on T cells leads to T cell activation and to a full range of TCR-independent effector functions of CD8 T cells.

A cnidarian homologue of an insect gustatory receptor functions in developmental body patterning.

Insect gustatory and odorant receptors (GRs and ORs) form a superfamily of novel transmembrane proteins, which are expressed in chemosensory neurons that detect environmental stimuli. Here we identify homologues of GRs (Gustatory receptor-like (Grl) genes) in genomes across Protostomia, Deuterostomia and non-Bilateria. Surprisingly, two Grls in the cnidarian Nematostella vectensis, NvecGrl1 and NvecGrl2, are expressed early in development, in the blastula and gastrula, but not at later stages when a putative chemosensory organ forms. NvecGrl1 transcripts are detected around the aboral pole, considered the equivalent to the head-forming region of Bilateria. Morpholino-mediated knockdown of NvecGrl1 causes developmental patterning defects of this region, leading to animals lacking the apical sensory organ. A deuterostome Grl from the sea urchin Strongylocentrotus purpuratus displays similar patterns of developmental expression. These results reveal an early evolutionary origin of the insect chemosensory receptor family and raise the possibility that their ancestral role was in embryonic development.

Accurate calculations of intermolecular interaction energies using explicitly correlated coupled cluster wave functions and a dispersion-weighted MP2 method.

Explicitly correlated coupled-cluster calculations of intermolecular interaction energies for the S22 benchmark set of Jurecka, Sponer, Cerny, and Hobza (Chem. Phys. Phys. Chem. 2006, 8, 1985) are presented. Results obtained with the recently proposed CCSD(T)-F12a method and augmented double-zeta basis sets are found to be in very close agreement with basis set extrapolated conventional CCSD(T) results. Furthermore, we propose a dispersion-weighted MP2 (DW-MP2) approximation that combines the good accuracy of MP2 for complexes with predominately electrostatic bonding and SCS-MP2 for dispersion-dominated ones. The MP2-F12 and SCS-MP2-F12 correlation energies are weighted by a switching function that depends on the relative HF and correlation contributions to the interaction energy. For the S22 set, this yields a mean absolute deviation of 0.2 kcal/mol from the CCSD(T)-F12a results. The method, which allows obtaining accurate results at low cost, is also tested for a number of dimers that are not in the training set.