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.

Active learning methods for remote sensing image classification

In this paper, we propose two active learning algorithms for semiautomatic definition of training samples in remote sensing image classification. Based on predefined heuristics, the classifier ranks the unlabeled pixels and automatically chooses those that are considered the most valuable for its improvement. Once the pixels have been selected, the analyst labels them manually and the process is iterated. Starting with a small and nonoptimal training set, the model itself builds the optimal set of samples which minimizes the classification error. We have applied the proposed algorithms to a variety of remote sensing data, including very high resolution and hyperspectral images, using support vector machines. Experimental results confirm the consistency of the methods. The required number of training samples can be reduced to 10% using the methods proposed, reaching the same level of accuracy as larger data sets. A comparison with a state-of-the-art active learning method, margin sampling, is provided, highlighting advantages of the methods proposed. The effect of spatial resolution and separability of the classes on the quality of the selection of pixels is also discussed.

Notch regulation of lymphocyte development and function.

Notch proteins regulate a broad spectrum of cell fate decisions and differentiation processes during fetal and postnatal development. Mammals have four Notch receptors that bind five different ligands. The function of Notch signaling during lymphopoiesis and T cell neoplasia, based on gain-of-function and conditional loss-of-function approaches for the Notch1 receptor, indicates Notch1 is essential in T cell lineage commitment. Recent studies have addressed the involvement of other Notch receptors and ligands as well as their downstream targets, demonstrating additional functions of Notch signaling in embryonic hematopoiesis, intrathymic T cell development, B cell development and peripheral T cell function.

Automated analysis of background EEG and reactivity during therapeutic hypothermia in comatose patients after cardiac arrest.

Visual analysis of electroencephalography (EEG) background and reactivity during therapeutic hypothermia provides important outcome information, but is time-consuming and not always consistent between reviewers. Automated EEG analysis may help quantify the brain damage. Forty-six comatose patients in therapeutic hypothermia, after cardiac arrest, were included in the study. EEG background was quantified with burst-suppression ratio (BSR) and approximate entropy, both used to monitor anesthesia. Reactivity was detected through change in the power spectrum of signal before and after stimulation. Automatic results obtained almost perfect agreement (discontinuity) to substantial agreement (background reactivity) with a visual score from EEG-certified neurologists. Burst-suppression ratio was more suited to distinguish continuous EEG background from burst-suppression than approximate entropy in this specific population. Automatic EEG background and reactivity measures were significantly related to good and poor outcome. We conclude that quantitative EEG measurements can provide promising information regarding current state of the patient and clinical outcome, but further work is needed before routine application in a clinical setting.

In vivo fate mapping with SCL regulatory elements identifies progenitors for primitive and definitive hematopoiesis in mice.

One of the principal issues facing biomedical research is to elucidate developmental pathways and to establish the fate of stem and progenitor cells in vivo. Hematopoiesis, the process of blood cell formation, provides a powerful experimental system for investigating this process. Here, we employ transcriptional regulatory elements from the stem cell leukemia (SCL) gene to selectively label primitive and definitive hematopoiesis. We report that SCL-labelled cells arising in the mid to late streak embryo give rise to primitive red blood cells but fail to contribute to the vascular system of the developing embryo. Restricting SCL-marking to different stages of foetal development, we identify a second population of multilineage progenitors, proficient in contributing to adult erythroid, myeloid and lymphoid cells. The distinct lineage-restricted potential of SCL-labelled early progenitors demonstrates that primitive erythroid cell fate specification is initiated during mid gastrulation. Our data also suggest that the transition from a hemangioblastic precursors with endothelial and blood forming potential to a committed hematopoietic progenitor must have occurred prior to SCL-marking of definitive multilineage blood precursors.

Brownian dynamics simulation of DNA condensation.

DNA condensation observed in vitro with the addition of polyvalent counterions is due to intermolecular attractive forces. We introduce a quantitative model of these forces in a Brownian dynamics simulation in addition to a standard mean-field Poisson-Boltzmann repulsion. The comparison of a theoretical value of the effective diameter calculated from the second virial coefficient in cylindrical geometry with some experimental results allows a quantitative evaluation of the one-parameter attractive potential. We show afterward that with a sufficient concentration of divalent salt (typically approximately 20 mM MgCl(2)), supercoiled DNA adopts a collapsed form where opposing segments of interwound regions present zones of lateral contact. However, under the same conditions the same plasmid without torsional stress does not collapse. The condensed molecules present coexisting open and collapsed plectonemic regions. Furthermore, simulations show that circular DNA in 50% methanol solutions with 20 mM MgCl(2) aggregates without the requirement of torsional energy. This confirms known experimental results. Finally, a simulated DNA molecule confined in a box of variable size also presents some local collapsed zones in 20 mM MgCl(2) above a critical concentration of the DNA. Conformational entropy reduction obtained either by supercoiling or by confinement seems thus to play a crucial role in all forms of condensation of DNA.

Extremal climatic states simulated by a 2-dimensional model Part I: Sensitivity of the model and present state

The criterion, based on the thermodynamics theory, that the climatic system tends to extremizesome function has suggested several studies. In particular, special attention has been devoted to the possibility that the climate reaches an extremal rate of planetary entropy production.Due to both radiative and material effects contribute to total planetary entropy production,climatic simulations obtained at the extremal rates of total, radiative or material entropy production appear to be of interest in order to elucidate which of the three extremal assumptions behaves more similar to current data. In the present paper, these results have been obtainedby applying a 2-dimensional (2-Dim) horizontal energy balance box-model, with a few independent variables (surface temperature, cloud-cover and material heat fluxes). In addition, climatic simulations for current conditions by assuming a fixed cloud-cover have been obtained. Finally,sensitivity analyses for both variable and fixed cloud models have been carried out

Extremal climatic states simulated by a 2-dimensional model Part II: Different climatic scenarios

Different climatic simulations have been obtained by using a 2-Dim horizontal energy balancemodel (EBM), which has been constrained to satisfy several extremal principles on dissipationand convection. Moreover, 2 different versions of the model with fixed and variable cloud-coverhave been used. The assumption of an extremal type of behaviour for the climatic system canacquire additional support depending on the similarities found with measured data for pastconditions as well as with usual projections for possible future scenarios

Human chorionic gonadotropin in pregnancy and maternal risk of breast cancer.

Full-term pregnancies are associated with long-term reductions in maternal risk of breast cancer, but the biological determinants of the protection are unknown. Experimental observations suggest that human chorionic gonadotropin (hCG), a major hormone of pregnancy, could play a role in this association. A case-control study (242 cases and 450 controls) nested within the Northern Sweden Maternity Cohort included women who had donated a blood sample during the first trimester of a first full-term pregnancy. Total hCG was determined on Immulite 2000 analyzer. Odds ratios (OR) and 95% confidence intervals (CI) were estimated through conditional logistic regression. Maternal breast cancer risk decreased with increasing hCG (upper tertile OR, 0.67; CI, 0.46-0.99), especially for pregnancies before age 25 (upper tertile OR, 0.41; CI, 0.21-0.80). The association diverged according to age at diagnosis: risk was reduced after age 40 (upper tertile OR, 0.60; CI, 0.39-0.91) and seemed to increase before age 40 (upper tertile OR, 1.78; CI, 0.72-4.38). Risk was reduced among those diagnosed 10 years or longer after blood draw (upper tertile OR, 0.60; CI, 0.40-0.90), but not so among those diagnosed within 10 years (upper tertile OR, 4.33; CI, 0.86-21.7). These observations suggest that the association between pregnancy hCG and subsequent maternal risk of breast cancer is modified by age at diagnosis. Although the hormone seems to be a determinant of the reduced risk around or after age 50, it might not confer protection against, or it could even increase the risk of, cancers diagnosed in the years immediately following pregnancy.

Bayesian image reconstruction with space-variant noise suppression

In this paper we present a Bayesian image reconstruction algorithm with entropy prior (FMAPE) that uses a space-variant hyperparameter. The spatial variation of the hyperparameter allows different degrees of resolution in areas of different statistical characteristics, thus avoiding the large residuals resulting from algorithms that use a constant hyperparameter. In the first implementation of the algorithm, we begin by segmenting a Maximum Likelihood Estimator (MLE) reconstruction. The segmentation method is based on using a wavelet decomposition and a self-organizing neural network. The result is a predetermined number of extended regions plus a small region for each star or bright object. To assign a different value of the hyperparameter to each extended region and star, we use either feasibility tests or cross-validation methods. Once the set of hyperparameters is obtained, we carried out the final Bayesian reconstruction, leading to a reconstruction with decreased bias and excellent visual characteristics. The method has been applied to data from the non-refurbished Hubble Space Telescope. The method can be also applied to ground-based images.

Lung cancer in the Swiss HIV Cohort Study: role of smoking, immunodeficiency and pulmonary infection.

BACKGROUND: Immunodeficiency and AIDS-related pulmonary infections have been suggested as independent causes of lung cancer among HIV-infected persons, in addition to smoking. METHODS: A total of 68 lung cancers were identified in the Swiss HIV Cohort Study (SHCS) or through linkage with Swiss Cancer Registries (1985-2010), and were individually matched to 337 controls by centre, gender, HIV-transmission category, age and calendar period. Odds ratios (ORs) were estimated by conditional logistic regression. RESULTS: Overall, 96.2% of lung cancers and 72.9% of controls were ever smokers, confirming the high prevalence of smoking and its strong association with lung cancer (OR for current vs never=14.4, 95% confidence interval (95% CI): 3.36-62.1). No significant associations were observed between CD4+ cell count and lung cancer, neither when measured within 1 year (OR for <200 vs ≥500=1.21, 95% CI: 0.49-2.96) nor further back in time, before lung cancer diagnosis. Combined antiretroviral therapy was not significantly associated with lung cancer (OR for ever vs never=0.67, 95% CI: 0.29-1.52), and nor was a history of AIDS with (OR=0.49, 95% CI: 0.19-1.28) or without (OR=0.53, 95% CI: 0.24-1.18) pulmonary involvement. CONCLUSION: Lung cancer in the SHCS does not seem to be clearly associated with immunodeficiency or AIDS-related pulmonary disease, but seems to be attributable to heavy smoking.

PPARγ Agonist-Induced Fluid Retention Depends on αENaC Expression in Connecting Tubules.

BACKGROUND/AIMS: Thiazolidinediones (TZDs, like rosiglitazone (RGZ)) are peroxisome proliferator-activated receptor γ (PPARγ) agonists used to treat type 2 diabetes. Clinical limitations include TZD-induced fluid retention and body weight (BW) increase, which are inhibited by amiloride, an epithelial-sodium channel (ENaC) blocker. RGZ-induced fluid retention is maintained in mice with αENaC knockdown in the collecting duct (CD). Since ENaC in the connecting tubule (CNT) rather than in CD appears to be critical for normal NaCl retention, we aimed to further explore the role of ENaC in CNT in RGZ-induced fluid retention. METHODS: Mice with conditional inactivation of αENaC in both CNT and CD were used (αENaC lox/lox AQP2-Cre; 'αENaC-CNT/CD-KO') and compared with littermate controls (αENaC lox/lox mice; 'WT'). BW was monitored and total body water (TBW) and extracellular fluid volume (ECF) were determined by bioelectrical impedance spectroscopy (BIS) before and after RGZ (320 mg/kg diet for 10 days). RESULTS: On regular NaCl diet, αENaC-CNT/CD-KO had normal BW, TBW, ECF, hematocrit, and plasma Na(+), K(+), and creatinine, associated with an increase in plasma aldosterone compared with WT. Challenging αENaC-CNT/CD-KO with a low NaCl diet unmasked impaired NaCl and K homeostasis, consistent with effective knockdown of αENaC. In WT, RGZ increased BW (+6.1%), TBW (+8.4%) and ECF (+10%), consistent with fluid retention. These changes were significantly attenuated in αENaC-CNT/CD-KO (+3.4, 1.3, and 4.3%). CONCLUSION: Together with the previous studies, the current results are consistent with a role of αENaC in CNT in RGZ-induced fluid retention, which dovetails with the physiological relevance of ENaC in this segment. © 2014 S. Karger AG, Basel.

Loss of Memo, a novel FGFR regulator, results in reduced lifespan.

Memo is a widely expressed 33-kDa protein required for heregulin (HRG)-, epidermal growth factor (EGF)-, and fibroblast growth factor (FGF)-induced cell motility. Studies in mouse embryonic fibroblasts, wild-type or knockout for Memo, were performed to further investigate the role of Memo downstream of FGFR. We demonstrated that Memo associates with the FGFR signalosome and is necessary for optimal activation of signaling. To uncover Memo's physiological role, Memo conditional-knockout mice were generated. These animals showed a reduced life span, increased insulin sensitivity, small stature, graying hair, alopecia, kyphosis, loss of subcutaneous fat, and loss of spermatozoa in the epididymis. Memo-knockout mice also have elevated serum levels of active vitamin D, 1,25-dihydroxyvitamin D3 (1,25(OH)2D), and calcium compared to control littermates expressing Memo. In summary, the results from in vivo and in vitro models support the hypothesis that Memo is a novel regulator of FGFR signaling with a role in controlling 1,25(OH)2D production and normal calcium homeostasis.

Mobile phone use and brain tumors in children and adolescents: a multicenter case-control study.

Background It has been hypothesized that children and adolescents might be more vulnerable to possible health effects from mobile phone exposure than adults. We investigated whether mobile phone use is associated with brain tumor risk among children and adolescents. Methods CEFALO is a multicenter case-control study conducted in Denmark, Sweden, Norway, and Switzerland that includes all children and adolescents aged 7-19 years who were diagnosed with a brain tumor between 2004 and 2008. We conducted interviews, in person, with 352 case patients (participation rate: 83%) and 646 control subjects (participation rate: 71%) and their parents. Control subjects were randomly selected from population registries and matched by age, sex, and geographical region. We asked about mobile phone use and included mobile phone operator records when available. Odds ratios (ORs) for brain tumor risk and 95% confidence intervals (CIs) were calculated using conditional logistic regression models. Results Regular users of mobile phones were not statistically significantly more likely to have been diagnosed with brain tumors compared with nonusers (OR = 1.36; 95% CI = 0.92 to 2.02). Children who started to use mobile phones at least 5 years ago were not at increased risk compared with those who had never regularly used mobile phones (OR = 1.26, 95% CI = 0.70 to 2.28). In a subset of study participants for whom operator recorded data were available, brain tumor risk was related to the time elapsed since the mobile phone subscription was started but not to amount of use. No increased risk of brain tumors was observed for brain areas receiving the highest amount of exposure. Conclusion The absence of an exposure-response relationship either in terms of the amount of mobile phone use or by localization of the brain tumor argues against a causal association.

Local Renal Circadian Clocks Control Fluid-Electrolyte Homeostasis and BP.

The circadian timing system is critically involved in the maintenance of fluid and electrolyte balance and BP control. However, the role of peripheral circadian clocks in these homeostatic mechanisms remains unknown. We addressed this question in a mouse model carrying a conditional allele of the circadian clock gene Bmal1 and expressing Cre recombinase under the endogenous Renin promoter (Bmal1(lox/lox)/Ren1(d)Cre mice). Analysis of Bmal1(lox/lox)/Ren1(d)Cre mice showed that the floxed Bmal1 allele was excised in the kidney. In the kidney, BMAL1 protein expression was absent in the renin-secreting granular cells of the juxtaglomerular apparatus and the collecting duct. A partial reduction of BMAL1 expression was observed in the medullary thick ascending limb. Functional analyses showed that Bmal1(lox/lox)/Ren1(d)Cre mice exhibited multiple abnormalities, including increased urine volume, changes in the circadian rhythm of urinary sodium excretion, increased GFR, and significantly reduced plasma aldosterone levels. These changes were accompanied by a reduction in BP. These results show that local renal circadian clocks control body fluid and BP homeostasis.