Topics in financial econometrics

In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

Flash floods and their effects on the development in El-Qaá plain area in South Sinai, Egypt

The arid regions are dominated to a much larger degree than humid regions by major catastrophic events. Although most of Egypt lies within the great hot desert belt; it experiences especially in the north some torrential rainfall, which causes flash floods all over Sinai Peninsula. Flash floods in hot deserts are characterized by high velocity and low duration with a sharp discharge peak. Large sediment loads may be carried by floods threatening fields and settlements in the wadis and even people who are living there. The extreme spottiness of rare heavy rainfall, well known to desert people everywhere, precludes any efficient forecasting. Thus, although the limitation of data still reflects pre-satellite methods, chances of developing a warning system for floods in the desert seem remote. The relatively short flood-to-peak interval, a characteristic of desert floods, presents an additional impediment to the efficient use of warning systems. The present thesis contains introduction and five chapters, chapter one points out the physical settings of the study area. There are the geological settings such as outcrop lithology of the study area and the deposits. The alluvial deposits of Wadi Moreikh had been analyzed using OSL dating to know deposits and palaeoclimatic conditions. The chapter points out as well the stratigraphy and the structure geology containing main faults and folds. In addition, it manifests the pesent climate conditions such as temperature, humidity, wind and evaporation. Besides, it presents type of soils and natural vegetation cover of the study area using unsupervised classification for ETM+ images. Chapter two points out the morphometric analysis of the main basins and their drainage network in the study area. It is divided into three parts: The first part manifests the morphometric analysis of the drainage networks which had been extracted from two main sources, topographic maps and DEM images. Basins and drainage networks are considered as major influencing factors on the flash floods; Most of elements were studied which affect the network such as stream order, bifurcation ratio, stream lengths, stream frequency, drainage density, and drainage patterns. The second part of this chapter shows the morphometric analysis of basins such as area, dimensions, shape and surface. Whereas, the third part points the morphometric analysis of alluvial fans which form most of El-Qaá plain. Chapter three manifests the surface runoff through rainfall and losses analysis. The main subject in this chapter is rainfall which has been studied in detail; it is the main reason for runoff. Therefore, all rainfall characteristics are regarded here such as rainfall types, distribution, rainfall intensity, duration, frequency, and the relationship between rainfall and runoff. While the second part of this chapter concerns with water losses estimation by evaporation and infiltration which are together the main losses with direct effect on the high of runoff. Finally, chapter three points out the factors influencing desert runoff and runoff generation mechanism. Chapter four is concerned with assessment of flood hazard, it is important to estimate runoff and tocreate a map of affected areas. Therefore, the chapter consists of four main parts; first part manifests the runoff estimation, the different methods to estimate runoff and its variables such as runoff coefficient lag time, time of concentration, runoff volume, and frequency analysis of flash flood. While the second part points out the extreme event analysis. The third part shows the map of affected areas for every basin and the flash floods degrees. In this point, it has been depending on the DEM to extract the drainage networks and to determine the main streams which are normally more dangerous than others. Finally, part four presets the risk zone map of total study area which is of high inerest for planning activities. Chapter five as the last chapter concerns with flash flood Hazard mitigation. It consists of three main parts. First flood prediction and the method which can be used to predict and forecast the flood. The second part aims to determine the best methods which can be helpful to mitigate flood hazard in the arid zone and especially the study area. Whereas, the third part points out the development perspective for the study area indicating the suitable places in El-Qaá plain for using in economic activities.

Chirale Störungsrechnung im Sektor ungerader innerer Parität bis zur chiralen Ordnung O(q 6)

Die vorliegende Dissertation behandelt den anomalen Sektor bzw. den Sektor ungerader innerer Parität in mesonischer chiraler Störungsrechnung (mesonische ChPT) bis zur chiralen Ordnung O(q^6). Auf eine Einführung in die Quantenchromodynamik (QCD) und ihrer Verknüpfung mit der chiralen Symmetrie folgt die Betrachtung der mesonischen ChPT im Sektor gerader sowie ungerader innerer Parität bis zur Ordnung O(q^4). Der sogenannte Wess-Zumino-Witten Term, welcher den Einfluss der axialen Anomalie bezogen auf die ChPT widerspiegelt, wird studiert. Anschließend wird die allgemeinste Lagrangedichte der Ordnung O(q^6) im Sektor ungerader innerer Parität detailiert analysiert. Sie enthält in ihrer SU(3)-Formulierung 23 Niederenergiekonstanten(low-energy constant=LEC). Aus Sicht der ChPT sind diese LECs freie Parameter, die auf irgendeine Art und Weise fixiert werden müssen. Es wird herausgearbeitet, bei welchen Prozessen und in welchen Kombinationen die jeweiligen LECs auftreten. Daraufhin wird versucht so viele dieser LECs wie möglich mittels Vektormesondominanz (VMD) sowie experimenteller Daten abzuschätzen und anzupassen. Hierfür wird zuerst die Vorgehensweise einer konsistenten Rechnung im Sektor ungerader innerer Parität bis zur Ordnung O(q^6) studiert, gefolgt von der Berechnung von insgesamt vierzehn geeigneten Prozessen im Rahmen der ChPT bis zur Ordnung O(q^6). Unter Verwendung experimenteller Daten werden dreizehn der LECs angepasst, wobei gegenwärtig nicht bei allen betrachteten Prozessen experimentelle Daten zur Verfügung stehen. Die Ergebnisse werden diskutiert und Unterschiede bzw. Übereinstimmungen mit anderen Rechnungen herausgearbeitet. Zusammenfassend erhält man einen umfassenden Einblick in den Sektor ungerader innerer Parität in mesonischer ChPT bis zur Ordnung O(q^6).

Strategie di personalizzazione della terapia di resincronizzazione cardiaca

Solo il 60% dei candidati alla resincronizzazione cardiaca risponde in termini di rimodellamento ventricolare inverso che è il più forte predittore di riduzione della mortalità e delle ospedalizzazioni. Due cause possibili della mancata risposta sono la programmazione del dispositivo e i limiti dell’ approccio transvenoso. Nel corso degli anni di dottorato ho effettuato tre studi per ridurre il numero di non responder. Il primo studio valuta il ritardo interventricolare. Al fine di ottimizzare le risorse e fornire un reale beneficio per il paziente ho ricercato la presenza di predittori di ritardo interventricolare diverso dal simultaneo, impostato nella programmazione di base. L'unico predittore è risultato essere l’ intervallo QRS> 160 ms, quindi ho proposto una flow chart per ottimizzare solo i pazienti che avranno nella programmazione ottimale un intervallo interventricolare non simultaneo. Il secondo lavoro valuta la fissazione attiva del ventricolo sinistro con stent. I dislocamenti, la soglia alta di stimolazione del miocardio e la stimolazione del nervo frenico sono tre problematiche che limitano la stimolazione biventricolare. Abbiamo analizzato più di 200 angiografie per vedere le condizioni anatomiche predisponenti la dislocazione del catetere. Prospetticamente abbiamo deciso di utilizzare uno stent per fissare attivamente il catetere ventricolare sinistro in tutti i pazienti che presentavano le caratteristiche anatomiche favorenti la dislocazione. Non ci sono più state dislocazioni, c’è stata una migliore risposta in termini di rimodellamento ventricolare inverso e non ci sono state modifiche dei parametri elettrici del catetere. Il terzo lavoro ha valutato sicurezza ed efficacia della stimolazione endoventricolare sinistra. Abbiamo impiantato 26 pazienti giudicati non responder alla terapia di resincronizzazione cardiaca. La procedura è risultata sicura, il rischio di complicanze è simile alla stimolazione biventricolare classica, ed efficace nell’arrestare la disfunzione ventricolare sinistra e / o migliorare gli effetti clinici in un follow-up medio.

Solutions to common issues in widefield microscopy: vignetting, mosaicing and depth of focus

In this thesis we have developed solutions to common issues regarding widefield microscopes, facing the problem of the intensity inhomogeneity of an image and dealing with two strong limitations: the impossibility of acquiring either high detailed images representative of whole samples or deep 3D objects. First, we cope with the problem of the non-uniform distribution of the light signal inside a single image, named vignetting. In particular we proposed, for both light and fluorescent microscopy, non-parametric multi-image based methods, where the vignetting function is estimated directly from the sample without requiring any prior information. After getting flat-field corrected images, we studied how to fix the problem related to the limitation of the field of view of the camera, so to be able to acquire large areas at high magnification. To this purpose, we developed mosaicing techniques capable to work on-line. Starting from a set of overlapping images manually acquired, we validated a fast registration approach to accurately stitch together the images. Finally, we worked to virtually extend the field of view of the camera in the third dimension, with the purpose of reconstructing a single image completely in focus, stemming from objects having a relevant depth or being displaced in different focus planes. After studying the existing approaches for extending the depth of focus of the microscope, we proposed a general method that does not require any prior information. In order to compare the outcome of existing methods, different standard metrics are commonly used in literature. However, no metric is available to compare different methods in real cases. First, we validated a metric able to rank the methods as the Universal Quality Index does, but without needing any reference ground truth. Second, we proved that the approach we developed performs better in both synthetic and real cases.

Design and implementation of a testbed for data distribution management

Data Distribution Management (DDM) is a core part of High Level Architecture standard, as its goal is to optimize the resources used by simulation environments to exchange data. It has to filter and match the set of information generated during a simulation, so that each federate, that is a simulation entity, only receives the information it needs. It is important that this is done quickly and to the best in order to get better performances and avoiding the transmission of irrelevant data, otherwise network resources may saturate quickly. The main topic of this thesis is the implementation of a super partes DDM testbed. It evaluates the goodness of DDM approaches, of all kinds. In fact it supports both region and grid based approaches, and it may support other different methods still unknown too. It uses three factors to rank them: execution time, memory and distance from the optimal solution. A prearranged set of instances is already available, but we also allow the creation of instances with user-provided parameters. This is how this thesis is structured. We start introducing what DDM and HLA are and what do they do in details. Then in the first chapter we describe the state of the art, providing an overview of the most well known resolution approaches and the pseudocode of the most interesting ones. The third chapter describes how the testbed we implemented is structured. In the fourth chapter we expose and compare the results we got from the execution of four approaches we have implemented. The result of the work described in this thesis can be downloaded on sourceforge using the following link: https://sourceforge.net/projects/ddmtestbed/. It is licensed under the GNU General Public License version 3.0 (GPLv3).

Dynamik diabatischer Rossby-Wellen

Diabatische Rossby-Wellen (DRWs) sind zyklonale Wirbel in der unteren Troposphäre, welche sich durch einen thermodynamisch-dynamischen Mechanismus kontinuierlich regenerieren und dabei schnell propagieren können. Vorangehende Untersuchungen schreiben derartigen zyklonalen Wirbeln das Potential zu, unter Wechselwirkung mit einer Anomalie an der Tropopause eine rapide Zyklonenintensivierung und folglich extreme Wetterereignisse hervorrufen zu können. DRWs wurden bisher meist in idealisierten Studien untersucht, woraus sich noch einige offene Fragen zu diesem Phänomen, besonders in realen Modelldaten, ergeben.rnrnIm Mittelpunkt dieser Arbeit steht die Fallstudie einer DRW, die im Dezember 2005 über dem Nordatlantik auftrat. Der Lebenszyklus des Systems ist über mehrere Tage und durch verschiedene Phasen verfolgbar und resultiert in einer explosiven Druckvertiefung. Zur Untersuchung der Fallstudie wurde mit operationellen Daten eines Globalmodelles sowie mit den Resultaten eines feinskaligeren Regionalmodelles gearbeitet, auf welche unterschiedliche Analysewerkzeuge angewendet wurden. rnrnDie eingehende Untersuchung der Propagationsphase der DRW bekräftigte das Vorhandensein von genügend Feuchte und Baroklinität als essentiell für den Propagationsmechanismus und die Intensität der DRW. Während der Propagationsphase arbeitet der selbsterhaltende DRW-Mechanismus unabhängig von einer von den Wellen an der Tropopause ausgehenden Anregung. Sensitivitätsstudien mit dem Regionalmodell, in denen die Umgebungsbedingungen der DRW lokal modifiziert wurden, ergaben, dass die Propagation einen relativ robusten Ablauf darstellt. Dementsprechend war in den vier untersuchten operationellen Vorhersagen die Propagationsphase gut wiedergegeben, während die rapide Intensivierung, wie sie gemäß den Analysen aufgetreten ist, von zwei der Vorhersagen verfehlt wurde.rnrnBei der Untersuchung der Intensivierungsphase stellten sich die Position und die zeitliche Abstimmung der Bewegung der Anomalie an der Tropopause relativ zur DRW in der unteren Troposphäre sowie die Stärke der Systeme als entscheidende Einflussfaktoren heraus. In den Entwicklungen der Sensitivitätssimulationen deutete sich an, dass ein unabhängig von der DRW an geeigneter Position entstandener zyklonaler Wirbel konstruktiver zu einer starken Zyklonenintensivierung beitragen kann als die DRW.rnrnIm zweiten Teil der Arbeit wurde ein Datensatz über die Nordhemisphäre für die Jahre 2004-2008 hinsichtlich des geographischen Vorkommens und der Intensivierung von DRWs untersucht. DRWs ereigneten sich in diesem Zeitraum über dem Atlantik (255 DRWs) halb so oft wie über dem Pazifik (515 DRWs). Ihre Entstehungsgebiete befanden sich über den Ostteilen der Kontinente und den Westhälften der Ozeane. Die Zugbahnen folgten größtenteils der baroklinen Zone der mittleren Breiten. Von den erfassten DRWs intensivierten sich im Atlanik 16% zu explosiven Tiefdruckgebieten, über dem Pazifik liegt der Anteil mit 11% etwas niedriger. Damit tragen DRWs zu etwa 20% der sich explosiv intensivierenden außertropischen Zyklonen bei.