Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Single cell analysis reveals similar functional competence of dominant and nondominant CD8 T-cell clonotypes.

Immune protection from infectious diseases and cancer is mediated by individual T cells of different clonal origin. Their functions are tightly regulated but not yet fully characterized. Understanding the contribution of each T cell will improve the prediction of immune protection based on laboratory assessment of T-cell responses. Here we developed techniques for simultaneous molecular and functional assessment of single CD8 T cells directly ex vivo. We studied two groups of patients with melanoma after vaccination with two closely related tumor antigenic peptides. Vaccination induced T cells with strong memory and effector functions, as found in virtually all T cells of the first patient group, and fractions of T cells in the second group. Interestingly, high functionality was not restricted to dominant clonotypes. Rather, dominant and nondominant clonotypes acquired equal functional competence. In parallel, this was also found for EBV- and CMV-specific T cells. Thus, the nondominant clonotypes may contribute similarly to immunity as their dominant counterparts.

Transcriptome analysis of the mobile genome ICEclc in Pseudomonas knackmussii B13.

Background: Integrative and conjugative elements (ICE) form a diverse group of DNA elements that are integrated in the chromosome of the bacterial host, but can occasionally excise and horizontally transfer to a new host cell. ICE come in different families, typically with a conserved core for functions controlling the element's behavior and a variable region providing auxiliary functions to the host. The ICEclc element of Pseudomonas knackmussii strain B13 is representative for a large family of chromosomal islands detected by genome sequencing approaches. It provides the host with the capacity to degrade chloroaromatics and 2-aminophenol. Results: Here we study the transcriptional organization of the ICEclc core region. By northern hybridizations, reverse-transcriptase polymerase chain reaction (RT-PCR) and Rapid Amplification of cDNA Ends (5'-RACE) fifteen transcripts were mapped in the core region. The occurrence and location of those transcripts were further confirmed by hybridizing labeled cDNA to a semi-tiling micro-array probing both strands of the ICEclc core region. Dot blot and semi-tiling array hybridizations demonstrated most of the core transcripts to be upregulated during stationary phase on 3-chlorobenzoate, but not on succinate or glucose. Conclusions: The transcription analysis of the ICEclc core region provides detailed insights in the mode of regulatory organization and will help to further understand the complex mode of behavior of this class of mobile elements. We conclude that ICEclc core transcription is concerted at a global level, more reminiscent of a phage program than of plasmid conjugation.

Genome-Wide Analysis of Salicylate and Dibenzofuran Metabolism in Sphingomonas Wittichii RW1.

Sphingomonas wittichii RW1 is a bacterium isolated for its ability to degrade the xenobiotic compounds dibenzodioxin and dibenzofuran (DBF). A number of genes involved in DBF degradation have been previously characterized, such as the dxn cluster, dbfB, and the electron transfer components fdx1, fdx3, and redA2. Here we use a combination of whole genome transcriptome analysis and transposon library screening to characterize RW1 catabolic and other genes implicated in the reaction to or degradation of DBF. To detect differentially expressed genes upon exposure to DBF, we applied three different growth exposure experiments, using either short DBF exposures to actively growing cells or growing them with DBF as sole carbon and energy source. Genome-wide gene expression was examined using a custom-made microarray. In addition, proportional abundance determination of transposon insertions in RW1 libraries grown on salicylate or DBF by ultra-high throughput sequencing was used to infer genes whose interruption caused a fitness loss for growth on DBF. Expression patterns showed that batch and chemostat growth conditions, and short or long exposure of cells to DBF produced very different responses. Numerous other uncharacterized catabolic gene clusters putatively involved in aromatic compound metabolism increased expression in response to DBF. In addition, only very few transposon insertions completely abolished growth on DBF. Some of those (e.g., in dxnA1) were expected, whereas others (in a gene cluster for phenylacetate degradation) were not. Both transcriptomic data and transposon screening suggest operation of multiple redundant and parallel aromatic pathways, depending on DBF exposure. In addition, increased expression of other non-catabolic genes suggests that during initial exposure, S. wittichii RW1 perceives DBF as a stressor, whereas after longer exposure, the compound is recognized as a carbon source and metabolized using several pathways in parallel.

Quantitative analysis of postnatal neurogenesis and neuron number in the macaque monkey dentate gyrus

The dentate gyrus is one of only two regions of the mammalian brain where substantial neurogenesis occurs postnatally. However, detailed quantitative information about the postnatal structural maturation of the primate dentate gyrus is meager. We performed design-based, stereological studies of neuron number and size, and volume of the dentate gyrus layers in rhesus macaque monkeys (Macaca mulatta) of different postnatal ages. We found that about 40% of the total number of granule cells observed in mature 5-10-year-old macaque monkeys are added to the granule cell layer postnatally; 25% of these neurons are added within the first three postnatal months. Accordingly, cell proliferation and neurogenesis within the dentate gyrus peak within the first 3 months after birth and remain at an intermediate level between 3 months and at least 1 year of age. Although granule cell bodies undergo their largest increase in size during the first year of life, cell size and the volume of the three layers of the dentate gyrus (i.e. the molecular, granule cell and polymorphic layers) continue to increase beyond 1 year of age. Moreover, the different layers of the dentate gyrus exhibit distinct volumetric changes during postnatal development. Finally, we observe significant levels of cell proliferation, neurogenesis and cell death in the context of an overall stable number of granule cells in mature 5-10-year-old monkeys. These data identify an extended developmental period during which neurogenesis might be modulated to significantly impact the structure and function of the dentate gyrus in adulthood.

Mathematical modeling and analysis of the interaction of populations of bacteria and bacteriophages within chicken intestine

Vegeu el resum a l'inici del document de l'arxiu adjunt

Clustering algorithms for anti-money laundering using graph theory and social network analysis

HEMOLIA (a project under European community’s 7th framework programme) is a new generation Anti-Money Laundering (AML) intelligent multi-agent alert and investigation system which in addition to the traditional financial data makes extensive use of modern society’s huge telecom data source, thereby opening up a new dimension of capabilities to all Money Laundering fighters (FIUs, LEAs) and Financial Institutes (Banks, Insurance Companies, etc.). This Master-Thesis project is done at AIA, one of the partners for the HEMOLIA project in Barcelona. The objective of this thesis is to find the clusters in a network drawn by using the financial data. An extensive literature survey has been carried out and several standard algorithms related to networks have been studied and implemented. The clustering problem is a NP-hard problem and several algorithms like K-Means and Hierarchical clustering are being implemented for studying several problems relating to sociology, evolution, anthropology etc. However, these algorithms have certain drawbacks which make them very difficult to implement. The thesis suggests (a) a possible improvement to the K-Means algorithm, (b) a novel approach to the clustering problem using the Genetic Algorithms and (c) a new algorithm for finding the cluster of a node using the Genetic Algorithm.

New stakeholders, spaces and instruments of analysis in the context of energy relationships: Case studies from Kazakhstan and Turkmenistan

The disintegration of the USSR brought the emergence of a new geo-energy space in Central Asia. This space arose in the context of a global energy transition, which began in the late 1970s. Therefore, this new space in a changing energy world requires both new conceptual frameworks of analysis and the creation of new analytical tools. Taking into account this fact, our paper attempts to apply the theoretical framework of the Global Commodity Chain (GCC) to the case of natural resources in Central Asia. The aim of the paper is to check if there could be any Central Asia’s geo-energy space, assuming that this space would exist if natural resources were managed with regional criteria. The paper is divided into four sections. First an introduction that describes the new global energy context within natural resources of Central Asia would be integrated. Secondly, the paper justifies why the GCC methodology is suitable for the study of the value chains of energy products. Thirdly, we build up three cases studies (oil and uranium from Kazakhstan and gas from Turkmenistan) which reveal a high degree of uncertainty over the direction these chains will take. Finally, we present the conclusions of this study that state that the most plausible scenario would be the integration of energy resources of these countries in GCC where the core of the decision-making process will be far away from the region of Central Asia. Key words: Energy transition, geo-energy space, Global Commodity Chains, Central Asia

Do Fiscal and Political Decentralization Raise Students’ Performance? A Cross-Country Analysis

The low quality of education is a persistent problem in many developed countries. Parallel to in the last decades exists a tendency towards decentralization in many developed and developing countries. Using micro data from the Programme for International Student Assessment (PISA) referred to 22 countries, we test whether there exists an impact of fiscal and political decentralization on student performance in the areas of mathematics, reading skills and science. We observe that fiscal decentralization exerts an unequivocal positive effect on students’ outcomes in all areas, while the effect of political decentralization is more ambiguous. On the one hand, the capacity of the subnational governments to rule on its region has a positive effect on students’ performance in mathematics. On the other hand, the capacity to influence the country as a whole has a negative impact on mathematics achievement. As a general result, we observe that students’ performance in Mathematics is more sensible to these exogenous variations than in Sciences and reading skills. Keywords: School outcomes, PISA, fiscal decentralization, political decentralization JEL codes: H11, H77, I21

Economic and environmental effects of the CO2 taxation: an input-output analysis for Spain

CO2 emissions induced by human activities are the major cause of climate change; hence, strong environmental policy that limits the growing dependence on fossil fuel is indispensable. Tradable permits and environmental taxes are the usual tools used in CO2 reduction strategies. Such economic tools provide incentives to polluting industries to reduce their emissions through market signals. The aim of this work is to investigate the direct and indirect effects of an environmental tax on Spanish products and services. We apply an environmentally extended input-output (EIO) model to identify CO2 emission intensities of products and services and, accordingly, we estimate the tax proportional to these intensities. The short-term price effects are analyzed using an input-output price model. The effect of tax introduction on consumption prices and its influence on consumers’ welfare are determined. We also quantify the environmental impacts of such taxation in terms of the reduction in CO2 emissions. The results, based on the Spanish economy for the year 2007, show that sectors with relatively poor environmental profile are subjected to high environmental tax rates. And consequently, applying a CO2 tax on these sectors, increases production prices and induces a slight increase in consumer price index and a decrease in private welfare. The revenue from the tax could be used to counter balance the negative effects on social welfare and also to stimulate the increase of renewable energy shares in the most impacting sectors. Finally, our analysis highlights that the environmental and economic goals cannot be met at the same time with the environmental taxation and this shows the necessity of finding other (complementary or alternative) measures to ensure both the economic and ecological efficiencies. Keywords: CO2 emissions; environmental tax; input-output model, effects of environmental taxation.

The Relevance of the Principal-Agent Model for the Analysis of Public Policies : Do the Objectives Conflict ?

This paper aims to provide empirical support for the use of the principal-agent framework in the analysis of public sector and public policies. After reviewing the different conditions to be met for a relevant analysis of the relationship between population and government using the principal-agent theory, our paper focuses on the assumption of conflicting goals between the principal and the agent. A principal-agent analysis assumes in effect that inefficiencies may arise because principal and agent pursue different goals. Using data collected during an amalgamation project of two Swiss municipalities, we show the existence of a gap between the goals of the population and those of the government. Consequently, inefficiencies as predicted by the principal-agent model may arise during the implementation of a public policy, i.e. an amalgamation project. In a context of direct democracy where policies are regularly subjected to referendum, the conflict of objectives may even lead to a total failure of the policy at the polls.

University and Network Society : research report (synthesis document)

Document de síntesi d'aquest estudi que analitza -seguint una metodologia quantitativa basada en una mostra representativa de 2.093 professors i 23.864 estudiants i reforçada amb elements qualitatius- la transició que es produeix en el sistema universitari públic català cap a un model més adaptat a les noves necessitats de la societat xarxa. Per a això, es posa especial èmfasi en l'anàlisi dels usos que es fa d'Internet (l'eina clau de la societat xarxa) en el món universitari i en les transformacions que es donen o es donaran com a conseqüència d'aquests usos.

Health literacy [Document électronique] : an economic perspective and data for Switzerland. Part 2, A review of health literacy measures and a cost assessment of limited health literacy

Summary : 1. Measuring health literacy in Switzerland: a review of six surveys: 1.1 Comparison of questionnaires - 1.2 Measures of health literacy in Switzerland - 1.3 Discussion of Swiss data on HL - 1.4 Description of the six surveys: 1.4.1 Current health trends and health literacy in the Swiss population (gfs-UNIVOX), 1.4.2 Nutrition, physical exercise and body weight : opinions and perceptions of the Swiss population (USI), 1.4.3 Health Literacy in Switzerland (ISPMZ), 1.4.4 Swiss Health Survey (SHS), 1.4.5 Survey of Health, Ageing and Retirement in Europe (SHARE), 1.4.6 Adult literacy and life skills survey (ALL). - 2 . Economic costs of low health literacy in Switzerland: a rough calculation. Appendix: Screenshots cost model

A Comparative analysis of oil production setors in Saudi Arabia and the United Arab Emirates

Aquest article s'aplica un enfocament comparatiu de la gestió del sector petrolier en dos països rics en petroli a l'Orient Mitjà: Aràbia Saudita i els Emirats Àrabs Units (EAU). Més explícitament, s'examinen els factors que millor expliquen la variació en les estratègies que han vingut aplicant en el sector des de l'establiment de les seves empreses petrolieres nacionals (NOC). Recorrent a la literatura sobre expropiació / privatització en el camp d'Estudis de l'Energia, en aquest treball es proposa un marc teòric per analitzar la lògica que hi ha al darrera de les diferents formes d'exploració i les estratègies de producció en el sector petrolier. Teòricament, aquesta investigació té com a objectiu avançar en un conjunt d'eines d'anàlisi per abordar millor i entendre els determinants reals del procés de presa de decisions en el upstream. Empíricament, el model es prova en els casos divergents d'Aràbia Saudita i els Emirats Àrabs Units, i una sèrie de lliçons s'han extret. En última instància, aquest treball ha d'augmentar la conscienciació entre els erudits i els polític, tant sobre el poc coneixement que tenim sobre els mecanismes interns que impulsen les estratègies ascendents en el majors estats productor de petroli.

Proposal for the analysis of a video game, a film, and their relationship : Silent Hill as a subject of the horror genre

Aquest treball de recerca fa un estudi comparatiu del videojoc de terror amb el seu homòleg cinematogràfic. L’objectiu és arribar a saber si els dos mitjans de comunicació usen les mateixes tècniques per transmetre les seves històries i per crear suspens. Aquesta investigació és només una part d'un estudi més ampli amb el que es pretén tenir un coneixement més aprofundit de les emocions de la gent i les reaccions que els provoca un videojoc de terror en comparació amb la visualització de l'adaptació cinematogràfica del corresponent videojoc.