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.

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.

Empirical studies of cloud effects on UV radiation: A review

The interest in solar ultraviolet (UV) radiation from the scientific community and the general population has risen significantly in recent years because of the link between increased UV levels at the Earth's surface and depletion of ozone in the stratosphere. As a consequence of recent research, UV radiation climatologies have been developed, and effects of some atmospheric constituents (such as ozone or aerosols) have been studied broadly. Correspondingly, there are well-established relationships between, for example, total ozone column and UV radiation levels at the Earth's surface. Effects of clouds, however, are not so well described, given the intrinsic difficulties in properly describing cloud characteristics. Nevertheless, the effect of clouds cannot be neglected, and the variability that clouds induce on UV radiation is particularly significant when short timescales are involved. In this review we show, summarize, and compare several works that deal with the effect of clouds on UV radiation. Specifically, works reviewed here approach the issue from the empirical point of view: Some relationship between measured UV radiation in cloudy conditions and cloud-related information is given in each work. Basically, there are two groups of methods: techniques that are based on observations of cloudiness (either from human observers or by using devices such as sky cameras) and techniques that use measurements of broadband solar radiation as a surrogate for cloud observations. Some techniques combine both types of information. Comparison of results from different works is addressed through using the cloud modification factor (CMF) defined as the ratio between measured UV radiation in a cloudy sky and calculated radiation for a cloudless sky. Typical CMF values for overcast skies range from 0.3 to 0.7, depending both on cloud type and characteristics. Despite this large dispersion of values corresponding to the same cloud cover, it is clear that the cloud effect on UV radiation is 15–45% lower than the cloud effect on total solar radiation. The cloud effect is usually a reducing effect, but a significant number of works report an enhancement effect (that is increased UV radiation levels at the surface) due to the presence of clouds. The review concludes with some recommendations for future studies aimed to further analyze the cloud effects on UV radiation

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.

Does Direct Democracy Matters for Political Parties : An Empirical Test in the Swiss Cantons

According to most political scientists and commentators, direct democracy seems to weaken political parties. Our empirical analysis in the 26 Swiss cantons shows that this thesis in its general form cannot be maintained. Political parties in cantons with extensive use of referendums and initiatives are not in all respects weaker than parties in cantons with little use of direct democratic means of participation. On the contrary, direct democracy goes together with more professional and formalized party organizations. Use of direct democracy is associated with more fragmented and volatile party systems, and with greater support for small parties, but causal interpretations of these relationships are difficult.

Eliminació d'artefactes en EGG mitjançant l'ús de la Multivariate Empirical Mode Decomposition

La tècnica de l’electroencefalograma (EEG) és una de les tècniques més utilitzades per estudiar el cervell. En aquesta tècnica s’enregistren els senyals elèctrics que es produeixen en el còrtex humà a través d’elèctrodes col•locats al cap. Aquesta tècnica, però, presenta algunes limitacions a l’hora de realitzar els enregistraments, la principal limitació es coneix com a artefactes, que són senyals indesitjats que es mesclen amb els senyals EEG. L’objectiu d’aquest treball de final de màster és presentar tres nous mètodes de neteja d’artefactes que poden ser aplicats en EEG. Aquests estan basats en l’aplicació de la Multivariate Empirical Mode Decomposition, que és una nova tècnica utilitzada per al processament de senyal. Els mètodes de neteja proposats s’apliquen a dades EEG simulades que contenen artefactes (pestanyeigs), i un cop s’han aplicat els procediments de neteja es comparen amb dades EEG que no tenen pestanyeigs, per comprovar quina millora presenten. Posteriorment, dos dels tres mètodes de neteja proposats s’apliquen sobre dades EEG reals. Les conclusions que s’han extret del treball són que dos dels nous procediments de neteja proposats es poden utilitzar per realitzar el preprocessament de dades reals per eliminar pestanyeigs.

Efectos de la presencia social de las lenguas escolares en el desarrollo lingüístico del alumnado extranjero. Un estudio empírico en Cataluña = The Social Presence of School Languages and Their Effects on the Development of Immigrant Students’ Linguistic Proficiency. An Empirical Study in Catalonia

El estudio de las variables relacionadas con la adquisición de las lenguas escolares en contextos bilingües y multilingües ha resurgido a raíz de la incorporación de alumnado extranjero al sistema educativo español. En este sentido, y gracias a su peculiar situación sociolingüística, Cataluña se ha convertido en un observatorio perfecto para estudiar el proceso de adquisición de lenguas del alumnado extranjero. En este artículo presentamos una parte de los datos obtenidos en la evaluación del conocimiento de catalán y del castellano de 668 alumnos extranjeros de sexto de Primaria escolarizados en 57 centros de Cataluña. Con ello pretendemos estudiar los efectos de la presencia y del uso social de las lenguas escolares en el conocimiento lingüístico de este alumnado. La hipótesis principal es que el desarrollo de buenos niveles de conocimiento escrito de las lenguas escolares por parte de los alumnos extranjeros depende, en buena medida, de las oportunidades que haya en el entorno social para que ellos puedan utilizar estas lenguas en los intercambios comunicativos informales con sus compañeros o con otros adultos. Las conclusiones del trabajo señalan las relaciones existentes entre el desarrollo de habilidades lingüísticas conversacionales y el de habilidades lingüísticas cognitivo-académicas (Cummins, 1979b), en el sentido de que tanto el conocimiento escrito de catalán como el de castellano que tiene el alumnado extranjero están condicionados por el nivel de desarrollo conversacional previo en ambas lenguas. Además, apuntan a que la transferencia de habilidades lingüísticas cognitivo-académicas no se produce directamente entre el catalán y el castellano, sino que depende fundamentalmente de la presencia social que tengan estas lenguas y de sus usos informales. Así, en la medida en que un buen número de estudiantes extranjeros no desarrolla suficiente competencia lingüística conversacional ni en catalán ni en castellano, el proceso de adquisición de las lenguas escolares se alarga más allá de los seis años

El papel de la lengua en la construcción de la identidad: un estudio cualitativo con una muestra multicultural

En las últimas décadas ha incrementado considerablemente el contacto y la heterogeneidad de lenguas, culturas e identidades. La movilidad humana se ha convertido en una de las características estructurales de nuestras sociedades (Bauman, 1998) y la pluralización de las formas de vida (Berger y Luckman, 1997) en una de sus más destacadas consecuencias. El estudio que presentamos tiene el objetivo de explorar la función de la lengua en relación a la construcción narrativa de la identidad. Para ello se presentan diez historias de vida según la adaptación de la entrevista elaborada por Dan P. McAdams (2006). El análisis de los datos empíricos se ha realizado mediante el programa informático Atlas.ti (Muñoz, 2005). Se concluye que básicamente la lengua ejerce, en los sujetos entrevistados, tres funciones que responden a tres necesidades. Por un lado está la lengua familiar, identitaria o materna. Por otro, la lengua de intercomunicación sociolaboral que permite la comunicación en el trabajo o en los distintos escenarios socioculturales y, finalmente, la lengua de interconexión global, actualmente el inglés, presente en Internet y en los escenarios internacionales

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

Systematic review of the empirical evidence of study publication bias and outcome reporting bias - an updated review.

BACKGROUND: The increased use of meta-analysis in systematic reviews of healthcare interventions has highlighted several types of bias that can arise during the completion of a randomised controlled trial. Study publication bias and outcome reporting bias have been recognised as a potential threat to the validity of meta-analysis and can make the readily available evidence unreliable for decision making. METHODOLOGY/PRINCIPAL FINDINGS: In this update, we review and summarise the evidence from cohort studies that have assessed study publication bias or outcome reporting bias in randomised controlled trials. Twenty studies were eligible of which four were newly identified in this update. Only two followed the cohort all the way through from protocol approval to information regarding publication of outcomes. Fifteen of the studies investigated study publication bias and five investigated outcome reporting bias. Three studies have found that statistically significant outcomes had a higher odds of being fully reported compared to non-significant outcomes (range of odds ratios: 2.2 to 4.7). In comparing trial publications to protocols, we found that 40-62% of studies had at least one primary outcome that was changed, introduced, or omitted. We decided not to undertake meta-analysis due to the differences between studies. CONCLUSIONS: This update does not change the conclusions of the review in which 16 studies were included. Direct empirical evidence for the existence of study publication bias and outcome reporting bias is shown. There is strong evidence of an association between significant results and publication; studies that report positive or significant results are more likely to be published and outcomes that are statistically significant have higher odds of being fully reported. Publications have been found to be inconsistent with their protocols. Researchers need to be aware of the problems of both types of bias and efforts should be concentrated on improving the reporting of trials.

Work motivation and pro-social behavior in the delivery of public services : theoretical and empirical insights

This Ph.D. dissertation seeks to study the work motivation of employees in the delivery of public services. The questioning on work motivation in public services in not new but it becomes central for governments which are now facing unprecedented public debts. The objective of this research is twofold : First, we want to see if the work motivation of employees in public services is a continuum (intrinsic and extrinsic motivations cannot coexist) or a bi-dimensional construct (intrinsic and extrinsic motivations coexist simultaneously). The research in public administration literature has focused on the concept of public service motivation, and considered motivation to be uni-dimensional (Perry and Hondeghem 2008). However, no study has yet tackled both types of motivation, the intrinsic and extrinsic ones, in the same time. This dissertation proposes, in Part I, a theoretical assessment and an empirical test of a global work motivational structure, by using a self-constructed Swiss dataset with employees from three public services, the education sector, the security sector and the public administrative services sector. Our findings suggest that work motivation in public services in not uni-dimensional but bi-dimensional, the intrinsic and extrinsic motivations coexist simultaneously and can be positively correlated (Amabile et al. 1994). Our findings show that intrinsic motivation is as important as extrinsic motivation, thus, the assumption that employees in public services are less attracted by extrinsic rewards is not confirmed for this sample. Other important finding concerns the public service motivation concept, which, as theoretically predicted, represents the major motivational dimension of employees in the delivery of public services. Second, the theory of public service motivation makes the assumption that employees in public services engage in activities that go beyond their self-interest, but never uses this construct as a determinant for their pro-social behavior. In the same time, several studies (Gregg et al. 2011 and Georgellis et al. 2011) bring evidence about the pro-social behavior of employees in public services. However, they do not identify which type of motivation is at the origin of this behavior, they only make the assumption of an intrinsically motivated behavior. We analyze the pro-social behavior of employees in public services and use the public service motivation as determinant of their pro-social behavior. We add other determinants highlighted by the theory of pro-social behavior (Bénabou and Tirole 2006), by Le Grand (2003) and by fit theories (Besley and Ghatak 2005). We test these determinants on Part II and identify for each sector of activity the positive or the negative impact on pro-social behavior of Swiss employees. Contrary to expectations, we find, for this sample, that both intrinsic and extrinsic factors have a positive impact on pro-social behavior, no crowding-out effect is identified in this sample. We confirm the hypothesis of Le Grand (2003) about the positive impact of the opportunity cost on pro-social behavior. Our results suggest a mix of action-oriented altruism and out-put oriented altruism of employees in public services. These results are relevant when designing incentives schemes for employees in the delivery of public services.

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

Selostus: Sian kasvuominaisuuksien perinnölliset tunnusluvut arvioituna kolmannen asteen polynomifunktion avulla

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.