Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Valoració de la capacitat de salt i sincronització temporal intergrupal en la Gimnàstica Estètica de Grup

La Gimnàstica Estètica de Grup (GEG) és un esport emergent del qual no existeix gairebé cap treball de camp i/o publicació. En relació al codi de puntuació d’aquesta modalitat, tant les capacitats de salt com la unitat de moviment del cos i la sincronització entre els membres del conjunt, tenen un pes molt important en la puntuació del valor tècnic i de l’execució. En aquest estudi s’ha realitzat la mesura, avaluació i comparació de les manifestacions de la força explosiva, elàstica i reactiva d’un grup de gimnàstica d’estètica d’alt nivell al principi i al final del període competitiu, mitjançant la bateria de tests de salts verticals de Bosco, concretament SJ, CMJ, CMJas i RJ (15” CMJas). També s’ha analitzat la sincronització i/o coordinació temporal intergrupal d’execució de les dificultats tècniques de salt de les coreografies competitives, al llarg del període competitiu d’un conjunt de gimnàstica estètica d’alt nivell, tenint en compte la sincronització en començar la dificultat i en acabar-la. Els resultats obtinguts demostren que la manifestació de força elàsticoexplosiva en CMJ ha disminuït un 0,46 % i la força explosiva SJ (sense reutilització d'energia elàstica ni aprofitament del reflex miotàtic) ha augmentat un 4,63 %. Durant el període competitiu del conjunt sènior de gimnàstica estètica del Club Muntanyenc Sant Cugat, la influència dels braços en la capacitat de salt ha augmentat un 1,32% i la potència anaeròbica alàctica un 4,76%. Tot i que en la majoria de tests, els resultats han estat positius, no es considera que la mostra hagi assolit una millora significativa, atès que no ha superat el 10% proposat en començar l’estudi, i els valors obtinguts són totalment inestables. S’ha vist que en un mateix test el % de pèrdues i de guanys ha estat molt variat, de manera que no es pot establir una relació de millora de la capacitat de salt en funció de l’entrenament. Pel que fa a la sincronització temporal intergrupal, ha millorat entre un 37,50% (sincronització temps inicial) i un 50,00% (sincronització temps final) en relació a les dificultats tècniques. Fet que és relaciona directament amb l’automatització de mecanismes d’execució al llarg de la temporada competitiva. Tot i així no s’ha igualat o superat la millora d’un 70% proposada per les hipòtesis inicials de l’estudi.

Differences of Functional Connectivity Brain Network in Emotional Judgment

Using combined emotional stimuli, combining photos of faces and recording of voices, we investigated the neural dynamics of emotional judgment using scalp EEG recordings. Stimuli could be either combioned in a congruent, or a non-congruent way.. As many evidences show the major role of alpha in emotional processing, the alpha band was subjected to be analyzed. Analysis was performed by computing the synchronization of the EEGs and the conditions congruent vs. non-congruent were compared using statistical tools. The obtained results demonstrate that scalp EEG ccould be used as a tool to investigate the neural dynamics of emotional valence and discriminate various emotions (angry, happy and neutral stimuli).

Integrability and non-integrability of periodic non-autonomous Lyness recurrences

This paper studies non-autonomous Lyness type recurrences of the form x_{n+2}=(a_n+x_n)/x_{n+1}, where a_n is a k-periodic sequence of positive numbers with prime period k. We show that for the cases k in {1,2,3,6} the behavior of the sequence x_n is simple(integrable) while for the remaining cases satisfying k not a multiple of 5 this behavior can be much more complicated(chaotic). The cases k multiple of 5 are studied separately.

Integrability and non-integrability of periodic non-autonomous Lyness recurrences (revised and enlarged version)

This paper studies non-autonomous Lyness type recurrences of the form xn+2 = (an+xn+1)=xn, where fang is a k-periodic sequence of positive numbers with primitive period k. We show that for the cases k 2 f1; 2; 3; 6g the behavior of the sequence fxng is simple (integrable) while for the remaining cases satisfying this behavior can be much more complicated (chaotic). We also show that the cases where k is a multiple of 5 present some di erent features.

Face Short-Term Memory-Related Electroencephalographic Patterns can Differentiate Multi- versus Single-Domain Amnestic Mild Cognitive Impairment.

Amnestic mild cognitive impairment (aMCI) is characterized by memory deficits alone (single-domain, sd-aMCI) or associated with other cognitive disabilities (multi-domain, md-aMCI). The present study assessed the patterns of electroencephalographic (EEG) activity during the encoding and retrieval phases of short-term memory in these two aMCI subtypes, to identify potential functional differences according to the neuropsychological profile. Continuous EEG was recorded in 43 aMCI patients, whose 16 sd-aMCI and 27 md-aMCI, and 36 age-matched controls (EC) during delayed match-to-sample tasks for face and letter stimuli. At encoding, attended stimuli elicited parietal alpha (8-12 Hz) power decrease (desynchronization), whereas distracting stimuli were associated with alpha power increase (synchronization) over right central sites. No difference was observed in parietal alpha desynchronization among the three groups. For attended faces, the alpha synchronization underlying suppression of distracting letters was reduced in both aMCI subgroups, but more severely in md-aMCI cases that differed significantly from EC. At retrieval, the early N250r recognition effect was significantly reduced for faces in md-aMCI as compared to both sd-aMCI and EC. The results suggest a differential alteration of working memory cerebral processes for faces in the two aMCI subtypes, face covert recognition processes being specifically altered in md-aMCI.

The use of insulin to improve fertility of timed-inseminated postpartum suckled beef cows

The objective of this work was to evaluate the effect of insulin alone or in association with equine chorionic gonadotropin (eCG) on the fertility of postpartum beef cows subjected to synchronization. A total of 340 cows was subjected to fixed time artificial insemination. In the trial 1, the cows were subjected to temporary weaning (TW), while in the trial 2 the same protocol was tested without TW. The addition of an insulin injection to a progesterone/eCG-based protocol without TW increased the pregnancy rate of beef cows with body condition score (BCS) equal to or lower than 2.5. Insulin had no effect on cows submitted to TW or with BCS equal to or higher than 3.0.

Observation of a continuous interior crisis in the Hindmarsh-Rose neuron model.

Interior crises are understood as discontinuous changes of the size of a chaotic attractor that occur when an unstable periodic orbit collides with the chaotic attractor. We present here numerical evidence and theoretical reasoning which prove the existence of a chaos-chaos transition in which the change of the attractor size is sudden but continuous. This occurs in the Hindmarsh¿Rose model of a neuron, at the transition point between the bursting and spiking dynamics, which are two different dynamic behaviors that this system is able to present. Moreover, besides the change in attractor size, other significant properties of the system undergoing the transitions do change in a relevant qualitative way. The mechanism for such transition is understood in terms of a simple one-dimensional map whose dynamics undergoes a crossover between two different universal behaviors

Gestión de confianza en redes ad hoc

El despliegue de un esquema de confianza es fundamental para poder desarrollar servicios de seguridad que permitan administrar y operar una red. Sin embargo, las soluciones empleadas en las redes tradicionales no se adaptan a un entorno ad hoc debido a la naturaleza dinámica y sin infraestructura de estas redes. En el presente trabajo se propone un esquema de confianza práctico y eficiente basado en una infraestructura de clave pública distribuida, umbral y jerárquica, que no requiere sincronización temporal entre todos los nodos de la red. La autorización de usuarios en el sistema se hace a través de certificados de corta duración que eliminan la necesidad de mantener la publicación y diseminación de unas listas de revocación. Por otro lado, una entidad externa de confianza permite alargar la reputación de un usuario de la red más allá de la existencia de la propia red.

A performance lower bound for quadratic timing recovery accounting for the symbol transition density

The symbol transition density in a digitally modulated signal affects the performance of practical synchronization schemes designed for timing recovery. This paper focuses on the derivation of simple performance limits for the estimation of the time delay of a noisy linearly modulated signal in the presence of various degrees of symbol correlation produced by the varioustransition densities in the symbol streams. The paper develops high- and low-signal-to-noise ratio (SNR) approximations of the so-called (Gaussian) unconditional Cramér–Rao bound (UCRB),as well as general expressions that are applicable in all ranges of SNR. The derived bounds are valid only for the class of quadratic, non-data-aided (NDA) timing recovery schemes. To illustrate the validity of the derived bounds, they are compared with the actual performance achieved by some well-known quadratic NDA timing recovery schemes. The impact of the symbol transitiondensity on the classical threshold effect present in NDA timing recovery schemes is also analyzed. Previous work on performancebounds for timing recovery from various authors is generalized and unified in this contribution.

Waveform-independent frame-timing acquisition for UWB signals

In this paper, the problem of frame-level symboltiming acquisition for UWB signals is addressed. The main goalis the derivation of a frame-level timing estimator which does notrequire any prior knowledge of neither the transmitted symbolsnor the received template waveform. The independence withrespect to the received waveform is of special interest in UWBcommunication systems, where a fast and accurate estimation ofthe end-to-end channel response is a challenging and computationallydemanding task. The proposed estimator is derived under theunconditional maximum likelihood criterion, and because of thelow power of UWB signals, the low-SNR assumption is adopted. Asa result, an optimal frame-level timing estimator is derived whichoutperforms existing acquisition methods in low-SNR scenarios.

Maximum likelihood estimation of position in GNSS

In this letter, we obtain the Maximum LikelihoodEstimator of position in the framework of Global NavigationSatellite Systems. This theoretical result is the basis of a completelydifferent approach to the positioning problem, in contrastto the conventional two-steps position estimation, consistingof estimating the synchronization parameters of the in-viewsatellites and then performing a position estimation with thatinformation. To the authors’ knowledge, this is a novel approachwhich copes with signal fading and it mitigates multipath andjamming interferences. Besides, the concept of Position–basedSynchronization is introduced, which states that synchronizationparameters can be recovered from a user position estimation. Weprovide computer simulation results showing the robustness ofthe proposed approach in fading multipath channels. The RootMean Square Error performance of the proposed algorithm iscompared to those achieved with state-of-the-art synchronizationtechniques. A Sequential Monte–Carlo based method is used todeal with the multivariate optimization problem resulting fromthe ML solution in an iterative way.

Synchronous Digital Hierarchy implementation to a Radio Transmission Node

Kiristyville markkinoille on aina tuotava jotain uutta tarjottavaa ja SDH-kortti on yksi sellainen tuote jonka Nokia Networks julkistaa osaksi uutta Nokia Flexihub Nodea. Tavoitteena on suunnitella VC-12kanavoitu STM-1 kortti yhdistämään ylemmän tason tietoliikenneverkko suuren kapasiteetin radioon. Ennen kuin markkinoilla on valmis tuote, on sen takana valtaisa määrä työtä. Erilaisia dokumentteja on pitänyt tuottaa ja sopimuksia tehdä. Esimerkiksi vaatimusmäärittelyt on oltava selvät, jotta tiedetään mitä tuotteelta halutaan. Tätä ennen on kuitenkin pitänyt ymmärtää miten SDHtoimii ja miten otsikkotavuja käsitellään. Myös erilaiset piirivalinnat aiheuttavat miettimistä, sillä markkinoilla on runsaasti valmiita piirejä SDH signaalinkäsittelyyn. Varma tiedonsiirto on tärkeää puhelinoperaattorille ja siksi joudutaan miettimään varmennuksia ja niiden toteuttamista. Myös synkronointi on tärkeä osa SDH järjestelmää ja sen toteuttaminen hyvin on tärkeää. Hälytykset on otettava huomioon ja mietittävä, miten niiden käsittely saadaan hoidettua järkevästi, ilman että mikään järjestelmän osa ruuhkautuu kohtuuttomasti. Tässä Diplomityössä on tutustuttu SDH-järjestelmään, otsikkotavujen käsittelyyn ja vaatimusmäärittelyihin.

Hormonal protocols for in vitro production of Zebu and taurine embryos

The objective of this work was to evaluate the effects of hormonal synchronization protocols, associated or not with follicular development stimulation, on the recovery of oocytes and on in vitro production of Bos indicus and B. taurus embryos, in different seasons. Ultrasound-guided follicular aspirations (n=237) were performed without pre-treatment (G1, control group) and after follicular wave synchronization (G2), or after follicular wave synchronization and follicle growth induction (G3). Bos indicus produced more oocytes and embryos than B. taurus (18.7±0.9 vs. 11.9±0.6 oocytes and 4.8±0.3 vs. 2.1±0.2 embryos). On average, oocyte and embryo yields were higher in G3 than in G2, and both were greater than in G1, which lead to a higher conversion of oocytes to embryos in these treatments. The hot or the cold season did not affect the B. indicus outcomes, whereas, in B. taurus, both oocyte recovery and embryo production were higher in the cold season. Follicular wave synchronization improves ovum pick-up and in vitro production of embryos in both cattle subspecies evaluated.

Study of the incorporation and the anti-tumour efficacy of radio-iododeoxyuridine according to the cellular cycle and in presence of synthesis inhibitor of thymidine

Résumé La iododeoxyuridine (IdUrd), une fois marqué au 123I ou au 125I, est un agent potentiel pour des thérapies par rayonnements Auger. Cependant, des limitations restreignent son incorporation dans l'ADN. Afin d'augmenter celle-ci, différents groupes ont étudié la fluorodeoxyuridine (FdUrd), qui favorise l'incorporation d'analogue de la thymidine, sans toutefois parvenir à une toxicité associé plus importante. Dans notre approche, 3 lignées cellulaires de glioblastomes humains et une lignée de cancer ovarien ont été utilisées. Nous avons observé, 16 à 24 h après un court pré-traitement à la FdUrd, un fort pourcentage de cellules s'accumulant en phase S. Plus qu'une accumulation, c'était une synchronisation des cellules, celles-ci restant capables d'incorporer la radio-IdIrd et repartant dans le cycle cellulaire. De plus, ces cellules accumulées après un pré-traitement à la FdUrd étaient plus radio-sensibles. Après le même intervalle de 16 à 24 h suivant la FdUrd, les 4 lignées cellulaires ont incorporé des taux plus élevés de radio-IdUrd que sans ce prétraitement. Une corrélation temporelle entre l'accumulation des cellules en phase S et la forte incorporation de radio-IdUrd a ainsi été révélée 16 à 24 h après pré-traitement à la FdUrd. Les expériences de traitement par rayonnements Auger sur les cellules accumulées en phase S ont montré une augmentation significative de l'efficacité thérapeutique de 125I-IdUrd comparé aux cellules non prétraitées à la FdUrd. Une première estimation a permis de déterminer que 100 désintégrations de 125I par cellules étant nécessaires afin d'atteindre l'efficacité thérapeutique. De plus, p53 semble jouer un rôle dans l'induction directe de mort cellulaire après des traitements par rayonnements Auger, comme indiqué par les mesures par FACS d'apoptose et de nécrose 24 et 48 h après le traitement. Concernant les expériences in vivo, nous avons observé une incorporation marquée de la radio-IdUrd dans l'ADN après un pré-traitement à la FdUrd dans un model de carcinomatose ovarienne péritonéale. Une augmentation encore plus importante a été observée après injection intra-tumorale dans des transplants sous-cutanés de glioblastomes sur des souris nues. Ces modèles pourraient être utilisés pour de plus amples études de diffusion de radio-IdUrd et de thérapie par rayonnement Auger. En conclusion, ce travail montre une première application réussie de la FdUrd afin d'accroître l'efficacité de la radio-IdUrd par traitements aux rayonnements Auger. La synchronisation des cellules en phase S combinée avec la forte incorporation de radio-IdUrd dans l'ADN différées après un pré-traitement à la FdUrd ont montré le gain thérapeutique attendu in vitro. De plus, des études in vivo sont tout indiquées après les observations encourageantes d'incorporation de radio-IdUrd dans les models de transplants sous-cutanés de glioblastomes et de tumeurs péritonéales ovariennes. Summary Iododeoxyuridine (IdUrd), labelled with 123I or 125I, could be a potential Auger radiation therapy agent. However, limitations restrict its DNA incorporation in proliferating cells. Therefore, fluorodeoxyuridine (FdUrd), which favours incorporation of thymidine analogues, has been studied by different groups in order to increase radio-IdUrd DNA incorporation, however therapeutic efficacy increase could not be reached. In our approach, 3 human glioblastoma cell lines with different p53 expression and one ovarian cancer line were pre-treated with various FdUrd conditions. We observed a high percentage of cells accumulating in early S phase 16 to 24 h after a short and non-toxic FdUrd pre-treatment. More than an accumulation, this was a synchronization, cells remaining able to incorporate radio-IdUrd and re-entering the cell cycle. Furthermore, the S phase accumulated cells post FdUrd pre-treatment were more radiosensitive. After the same delay of 16 to 24 h post FdUrd pre-treatment, the 4 cell lines were incorporating higher rates of radio-IdUrd compared with untreated cells. A time correlation between S phase accumulation and high radio-IdUrd incorporation was therefore revealed 16 to 24 h post FdUrd pre-treatment. Auger radiation treatment experiments performed on S phase enriched cells showed a significant increase of killing efficacy of 125I-IdUrd compared with cells not pre-treated with FdUrd. A first estimation indicates further that about 100 125I decays were required to reach killing in the targeted cells. Moreover, p53 might play a role on the direct induction of cell death pathways after Auger radiation treatments, as indicated by differential apoptosis and necrosis induction measured by FACS 24 and 48 h after treatment initiation. Concerning in vivo results, we observed a marked DNA incorporation increase of radio-IdUrd after FdUrd pre-treatment in peritoneal carcinomatosis in SCID mice. Even higher incorporation increase was observed after intra-tumoural injection of radio-IdUrd in subcutaneous glioblastoma transplants in nude mice. These tumour models might be further useful for diffusion of radio-IdUrd and Auger radiation therapy studies. In conclusion, these data show a first successful application of thymidine synthesis inhibition able to increase the efficacy of radio-IdUrd Auger radiation treatment. The S phase synchronization combined with a high percentage DNA incorporation of radio-IdUrd delayed post FdUrd pre-treatment provided the expected therapeutic gain in vitro. Further in vivo studies are indicated after the observations of encouraging radio-IdUrd uptake experiments in glioblastoma subcutaneous xenografts and in an ovarian peritoneal carcinomatosis model.