Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Spectroscopic constants and term values for the X2πi state of OH (v = 0-10)

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The dispersed laser-induced fluorescence spectrum of gas-phase C60 at 308 nm

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Influence of the perception of discrimination on women's work motivation

Nowadays, despite anti-discrimination policies, women suffer frequently from a lack of consideration from their male colleagues, altering their well-being and motivation to work. More precisely, perceived personal or groupal discrimination, could have a distinct influence on work motivation. Previous studies showed that the impact on women varies in function of the type of perceived discrimination (Bourguignon et al. 2006). Based on the self-categorization and the social identity theory, work motivation is differently structured as if employees categorized themselves as individuals or as part of a group. As a result, a different impact from personal and group discrimination on work motivation is expected. Moreover, it has been proved that typical men behavior is heavily associated with competence compared to women behavior (Marchand, Saint-Charles & Corbeil, 2007). Therefore, it is hypothesized that women with more masculine traits will suffer from less perceived discrimination, and work motivation. An online survey was created in order to collect data over work motivation, perceived personal and group discrimination. The respondents were also questioned on typical men and women behavior to determine their gender-conformity. To test our hypotheses, data were collected from 57 women stemming from the labour force, aged from 21 to 63 years old. Results indicate that perceived personal discrimination was negatively related to work motivation and that perceived group discrimination was negatively correlated with masculine behavior. Thereby, our study enhances the importance of work environment, and especially discrimination, on work motivation. This research also corroborates the self-categorization and the social identity theory framework to study these issues.

Frei Otto et René Sarger: entre idéaux d’architecte et vérité d’ingénieur

À travers leurs premiers écrits des années 50 et 60, Frei Otto, architecte et ingénieur allemand (1925-2015), et René Sarger (1917-1988), architecte français, n’expriment pas seulement une passion partagée des toitures suspendues. Partant du même souci d’une forme structurale « juste », leurs convictions radicales révèlent aussi les premiers questionnements des nouveaux rôles de l’ingénieur et de l’architecte de l’époque, mais aussi des idéaux opposés concernant leur position comme concepteurs et auteurs du monde bâti, ainsi que l’importance sociétale de leurs disciplines.

Shear, shear stress and shearing

New simpler formulae are derived for the shear of a pair of material elements within the context of infinitesimal strain and finite strain. Also, new formulae are derived for shear stress based on the (symmetric) Cauchy stress and for the rate of shear of a pair of material elements within the rate of strain theory. These formulae are exploited to obtain results and to derive new simpler proofs of familiar classical results. In particular, a very simple short derivation is presented of the classical result of Coulomb and Hopkins on the maximum orthogonal shear stress. © 1992.

Paraneoplastic syndromes

Abstract: There are two types of clinical and biochemical syndromes not directly associated with the invasiveness and metastatic ability of the tumour; the first type is represented by the hormonal paraneoplastic syndromes. The second type consists of certain neurological diseases or abnormalities observed in patients with malignant tumours not directly affecting the nervous system. While the hormonal type is well established and rests on solid ground, the neurological type is less well defined and more controversial. © 1981 Pergamon Press Ltd.

410 - Phase transitions induced by coloured voltage noise in nerve membranes

Quantitative conditions are derived under which electrically excitable membranes can undergo a phase transition induced by an externally applied voltage noise. The results obtained for a non-cooperative and a cooperative form of the two-state model are compared. © 1981.

Contribution to the functional assessment of adult asthma patients

Le contrôle de l'asthme est défini comme la mesure dans laquelle les différentes manifestations de l'asthme ont été réduites ou éliminées par le traitement. Ce paramètre est un élément central dans l'évaluation des patients asthmatiques. Selon les recommandations actuelles, il doit aider le clinicien à déterminer le type et le dosage des médicaments à prescrire.Le travail réalisé au cours de cette thèse avait pour but de contribuer à l'évaluation fonctionnelle des patients asthmatiques. Ceci en particulier à propos de l'utilisation des questionnaires destinés à évaluer le niveau de contrôle de l'asthme.Dans une première étude, nous avons cherché à déterminer les degrés d'accord qu'il y avait entre cinq questionnaires de contrôle de l'asthme couramment utilisés en pratique clinique. Les résultats ont montré un degré d’accord modéré, signifiant que ces outils ne sont pas interchangeables. Par conséquent, nous conseillons d’être attentif lors de la lecture des publications qui n’utilisent pas les mêmes questionnaires.Du fait que la limitation d'activité était le seul thème commun aux cinq questionnaires étudiés, notre travail a été orienté vers l'étude de ce thème. Nous avons donc réalisé une revue de littérature approfondie destinée à décrire l'état actuel des connaissances sur la limitation des activités chez les patients souffrant d'asthme. Celle-ci à mis en évidence que le niveau de connaissance est assez faible. Ceci particulièrement à propos des liens entre ce que le patient ressent au sujet de sa limitation d’activité et la réalité de ses capacités physiques.L'objectif de la troisième partie fut donc d’étudier plus en détails ce sujet. Nous avons demandé à des patients asthmatiques exacerbés d’évaluer leurs sensations au sujet de leur limitation d'activité. Pendant ce temps, ils ont réalisés plusieurs tests fonctionnels et une actimétrie. L'analyse des corrélations entre ces différentes données a montré qu’en réponse à la question sur la limitation de l'activité, les patients ne répondent pas au sujet de leur limitation physique, mais plutôt au sujet de leur charge psychologique associé à cette contrainte.L’ensemble de ces résultats nous ont permis de conclure au sujet de l’évaluation du contrôle de l’asthme que, comme dans d’autres domaines, le choix de l’outils de mesure est tout aussi important que la compréhension de son contenu. L’étude des différentes modalités d’évaluation de la limitation d’activité des patients asthmatiques devrait donc être poursuivie afin d’optimaliser l’évaluation fonctionnelle de ce groupe de patients.

Determinationofgroundwatermercury(II)contentusingadisposable goldmodified screenprintedcarbonelectrode

Mercury (II)measurementswereperformedthankstoanewlydevelopedelectrochemicalmethodusinga disposablegoldmodified screenprintedcarbonelectrode.Themethodhasawidedynamicrange(1–100 mg/L), agoodaccuracyandalimitofdetectionincompliancewithWHOstandards.Theapplicationofthe methodtoseveralgroundwatersamplesmadeitpossibletoidentify,forthe first time,mercurycontent higherthantherecommendedWHOstandardvalueinagoldminingactivityareainthenorthern partofBurkinaFaso.TheaccuracyoftheassaywascheckedbyICP/MS.

What if TTIP Changed the Regulation of Public Services ?Lessons for Europe from Developing Countries

This paper argues that the TTIP negotiators may be underestimating some of the risks associated with the treatment of public services. De facto opening the door to supranational regulation of key public services may be well intended to protect investors. But when the bargaining power of these investors operating in non-competitive markets (which is the case for most public services) becomes excessive as a result, the experience of developing countries in interactions with many of the same large players points to risks. It is likely that outcomes in terms of the usual policy criteria (efficiency, equity and fiscal viability) will not be as positive as promised in an environment in which regulation ends up weaker (because it is captured or less specialized). Ignoring these lessons and failing to internalize them in the design of negotiation is likely to cost Europe.

Nonparametric tests of collectively rational consumption behavior: an integer programming procedure

We present an IP-based nonparametric (revealed preference) testing procedure for rational consumption behavior in terms of general collective models, which include consumption externalities and public consumption. An empirical application to data drawn from the Russia Longitudinal Monitoring Survey (RLMS) demonstrates the practical usefulness of the procedure. Finally, we present extensions of the testing procedure to evaluate the goodness-of-…t of the collective model subject to testing, and to quantify and improve the power of the corresponding collective rationality tests.

A Monthly Volatility Index for the US Economy

We estimate the monthly volatility of the US economy from 1968 to 2006 by extending the coincidentindex model of Stock and Watson (1991). Our volatility index, which we call VOLINX, hasfour applications. First, it sheds light on the Great Moderation. VOLINX captures the decrease in thevolatility in the mid-80s as well as the different episodes of stress over the sample period. In the 70sand early 80s the stagflation and the two oil crises marked the pace of the volatility whereas 09/11 is themost relevant shock after the moderation. Second, it helps to understand the economic indicators thatcause volatility. While the main determinant of the coincident index is industrial production, VOLINXis mainly affected by employment and income. Third, it adapts the confidence bands of the forecasts.In and out-of-sample evaluations show that the confidence bands may differ up to 50% with respect to amodel with constant variance. Last, the methodology we use permits us to estimate monthly GDP, whichhas conditional volatility that is partly explained by VOLINX. These applications can be used by policymakers for monitoring and surveillance of the stress of the economy.

Classic Nintendo games are (computationally) hard

We prove NP-hardness results for five of Nintendo's largest video game franchises: Mario, Donkey Kong, Legend of Zelda, Metroid, and Pokémon. Our results apply to generalized versions of Super Mario Bros.1-3, The Lost Levels, and Super Mario World; Donkey Kong Country 1-3; all Legend of Zelda games; all Metroid games; and all Pokémon role-playing games. In addition, we prove PSPACE-completeness of the Donkey Kong Country games and several Legend of Zelda games.

Là où l'extrême droite ne perce pas

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