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.

COMMIT: Convex Optimization Modeling for Microstructure Informed Tractography.

Tractography is a class of algorithms aiming at in vivo mapping the major neuronal pathways in the white matter from diffusion magnetic resonance imaging (MRI) data. These techniques offer a powerful tool to noninvasively investigate at the macroscopic scale the architecture of the neuronal connections of the brain. However, unfortunately, the reconstructions recovered with existing tractography algorithms are not really quantitative even though diffusion MRI is a quantitative modality by nature. As a matter of fact, several techniques have been proposed in recent years to estimate, at the voxel level, intrinsic microstructural features of the tissue, such as axonal density and diameter, by using multicompartment models. In this paper, we present a novel framework to reestablish the link between tractography and tissue microstructure. Starting from an input set of candidate fiber-tracts, which are estimated from the data using standard fiber-tracking techniques, we model the diffusion MRI signal in each voxel of the image as a linear combination of the restricted and hindered contributions generated in every location of the brain by these candidate tracts. Then, we seek for the global weight of each of them, i.e., the effective contribution or volume, such that they globally fit the measured signal at best. We demonstrate that these weights can be easily recovered by solving a global convex optimization problem and using efficient algorithms. The effectiveness of our approach has been evaluated both on a realistic phantom with known ground-truth and in vivo brain data. Results clearly demonstrate the benefits of the proposed formulation, opening new perspectives for a more quantitative and biologically plausible assessment of the structural connectivity of the brain.

Annealing effects on microstructure and coercive field of ferritic-martensitic ODS Eurofer steel

Oxide dispersion strengthened reduced-activation ferritic-martensitic steels are promising candidates for applications in future fusion power plants. Samples of a reduced activation ferritic-martensitic 9 wt.%Cr-oxide dispersion strengthened Eurofer steel were cold rolled to 80% reduction in thickness and annealed in vacuum for 1 h from 200 to 1350 degrees C to evaluate its thermal stability. Vickers microhardness testing and electron backscatter diffraction (EBSD) were used to characterize the microstructure. The microstructural changes were also followed by magnetic measurements, in particular the corresponding variation of the coercive field (H(c)), as a function of the annealing treatment. Results show that magnetic measurements were sensitive to detect the changes, in particular the martensitic transformation, in samples annealed above 850 degrees C (austenitic regime). (C) 2010 Elsevier B.V. All rights reserved.

The influence of microstructure on the maximum load and fracture energy of refractory castables

Refractory castables are composed of fractions of fine to fairly coarse particles. The fine fraction is constituted primarily of raw materials and calcium aluminate cement, which becomes hydrated, forming chemical bonds that stiffen the concrete during the curing process. The present study focused on an evaluation of several characteristics of two refractory castables with similar chemical compositions but containing aggregates of different sizes. The features evaluated were the maximum load, the fracture energy, and the ""relative crack-propagation work"" of the two castables heat-treated at 110, 650, 1100 and 1550 degrees C. The results enabled us to draw the following conclusions: the heat treatment temperature exerts a significant influence on the matrix/aggregate interaction, different microstructures form in the castables with temperature, and a relationship was noted between the maximum load and the fracture energy. (C) 2009 Elsevier Ltd and Techna Group S.r.l. All rights reserved.

Influence of laser surface texturing on surface microstructure and mechanical properties of adhesive joined steel sheets

This work discusses the resultant microstructure of laser surface treated galvanised steel and the mechanical properties of adhesively bonded surfaces therein. The surface microstructure obtained at laser intensities between 170 and 1700 MW cm 22 exhibit zinc melting and cavity formation. The wavy surface morphology of the treated surface exhibits an average roughness Ra between 1.0 and 1.5 mu m, and a mean roughness depth R(z) of 8.6 mu m. Atomic force microscopic analyses revealed that the R(z) inside the laser shot cavities increased from 68 to 243 nm when the incident laser intensity was increased from 170 to 1700 MW cm(-2). X-ray fluorescence analyses were used to measure Zn coating thicknesses as a function of process parameters. Both X-ray fluorescence and X-ray diffraction analyses demonstrated that the protective coating remains at the material surface, and the steel structure beneath was not affected by the laser treatment. Tensile tests under peel strength conditions demonstrated that the laser treated adhesively joined samples had resistance strength up to 88 MPa, compared to a maximum of only 23 MPa for the untreated surfaces. The maximum deformation for rupture was also greatly increased from 0.07%, for the original surface, to 0.90% for the laser treated surfaces.

Influence of the microstructure in the collapse of a residual clayey tropical soil

A typical residual clayey soil originating from basalt in southern Brazil has been analyzed in order to assess the influence of wetting-induced deformation and microstructural features on the collapse behavior. Single and double oedometer tests were undertaken on a soil profile to 9 m depth. The results indicated collapsible behaviour at all profile depths. The influence of pre-consolidation stress and pedogenetic factors in the variability of the physical characteristics of the soil and in the magnitude of the collapse was noted. The collapse coefficient has been shown to be related to the both the microaggregate plasma and the varying nature of the pores and their interconnectivity.

Microstructure and mechanical properties of laser-welded joints of TWIP and TRIP steels

With the aim of investigating a laser-welded dissimilar joint of TWIP and TRIP steel sheets, the microstructure was characterized by means of OM, SEM, and EBSD to differentiate the fusion zone, heat-affected zone, and the base material. OIM was used to differentiate between ferritic, bainitic, and martensitic structures. Compositions were measured by means of optical emission spectrometry and EDX to evaluate the effect of manganese segregation. Microhardness measurements and tensile tests were performed to evaluate the mechanical properties of the joint. Residual stresses and XRD phase quantification were used to characterize the weld. Grain coarsening and martensitic areas were found in the fusion zone, and they had significant effects on the mechanical properties of the weld. The heat-affected zone of the TRIP steel and the corresponding base material showed considerable differences in the microstructure and properties. (C) 2009 Elsevier B.V. All rights reserved.

Wear mechanisms and microstructure of pulsed plasma nitrided AISI H13 tool steel

AISI H13 tool steel discs were pulsed plasma minded during different times at a constant temperature of 400 degrees C Wear tests were performed in order to study the acting wear mechanisms The samples were characterized by X-ray diffraction, scanning electron microscopy and hardness measurements The results showed that longer nitriding times reduce the wear volumes. The friction coefficient was 0.20 +/- 0 05 for all tested conditions and depends strongly on the presence of debris After wear tests, the wear tracks were characterized by optical and scanning electron microscopy and the wear mechanisms were observed to change from low cycle fatigue or plastic shakedown to long cycle fatigue These mechanisms were correlated to the microstructure and hardness of the nitrided layer (C) 2010 Elsevier B V All rights reserved

Dependence of Barkhausen jump shape on microstructure in carbon steel

The present work presents measurements of the Magnetic Barkhausen Noise (MBN) in commercial AISI/SAE 1005 steel samples for different grain sizes. The correlation between the shape of the MBN jump and the grain size is established. The results show the existence of types of MBN jumps. Also, the outcome shows that one of these types of MBN jumps become ""squarer"" with the decrease of grain size.

Microstructure and texture of duplex stainless steel after melt-spinning processing

The microstructure and texture of melt-spun UNS S31803 (DIN W. Nr. 1. 4462) duplex stainless steel were analyzed after casting and solution treatment. The cast ribbons contained austenite (gamma) and ferrite (alpha or delta) with roughly equal compositions. The alpha and gamma had < 100 > and < 110 > partial fiber textures, respectively. After solution treatment, the texture was maintained, the amount of gamma phase increased, and the alloying elements were partitioned as expected, according to whether they were ferrite or austenite stabilizers. (c) 2006 Elsevier Inc. All rights reserved.

Microstructure and texture assessment of Al-Mn-Fe-Si (3003) aluminum alloy produced by continuous and semicontinuous casting processes

Aluminum sheets are currently produced by the direct-chill process (DC). The need for low-cost aluminum sheets is a challenge for the development of new materials produced by the twin roll caster (TRC) process. It is expected that sheets produced from these different casting procedures will differ in their microstructure. These differences in microstructure and in the crystallographic texture have great impact on sheet mechanical properties and formability. The present study investigated microstructure and evaluated texture of two strips of Al-Mn-Fe-Si (3003) aluminum alloy produced by TRC and by hot-rolling processes. It was possible to notice that the microstructure, morphology, and grain size of the TRC sample were more homogenous than those found in hot-rolled samples. Both strips, obtained by the two processes, showed strong texture gradient across the thickness.

ANNEALING EFFECTS ON THE MICROSTRUCTURE OF FERRITIC-MARTENSITIC ODS-EUROFER STEEL

Oxide dispersion strengthened (ODS) ferritic/martensitic (FM) steels are promising candidates for structural applications in future fusion power reactors. In order to evaluate the thermal stability of 80% cold-rolled ODS-EUROFER, samples were annealed for 1 h at temperatures up to about 0.9 T(m), where T(m) is the absolute melting point. The characterization of the annealed samples was performed using transmission electron microscopy and electron backscatter diffraction. Results show that static recovery is the main softening mechanism of this steel when annealed below 800 degrees C. The volume fraction of recrystallized grains is quite small (below 0.10). Above 900 degrees C, martensitic transformation takes place causing pronounced hardening. Large M(23)C(6) particles are found at the grain boundaries after tempering at 750 degrees C for 2 h.

Influence of chemical interesterification on thermal behavior, microstructure, polymorphism and crystallization properties of canola oil and fully hydrogenated cottonseed oil blends

This work evaluated chemical interesterification of canola oil (CaO) and fully hydrogenated cottonseed oil (FHCSO) blends, with 20%, 25%, 30%, 35% and 40%(w/w) FHCSO content. Interesterification produced reduction of trisaturated and increase in monounsaturated and diunsaturated triacylglycerols contents, which caused important changes in temperatures and enthalpies associated with the crystallization and melting thermograms. It was verified reduction in medium crystal diameter in all blends, in addition crystal morphology modification. Crystallization kinetics revealed that crystal formation induction period and maximum solid fat content were altered according to FHCSO content in original blends and as a result of random rearrangement. Changes in Avrami constant (k) and exponent (n) indicated, respectively, that interesterification decreased crystallization rates and altered crystalline morphology. However, X-ray diffraction analyses showed randomization did not change the original crystalline polymorphism. The original and interesterified blends had significant predominance of beta` polymorph, which is interesting for several food applications. (C) 2009 Elsevier Ltd. All rights reserved.

Thermal Behavior, Microstructure, Polymorphism, and Crystallization Properties of Zero Trans Fats from Soybean Oil and Fully Hydrogenated Soybean Oil

Blends of soybean oil (SO) and fully hydrogenated soybean oil (FHSBO), with 10, 20, 30, 40, and 50% (w/w) FHSBO content were interesterified under the following conditions: 20 min reaction time, 0.4% sodium methoxide catalyst, and 500 rpm stirring speed, at 100 A degrees C. The original and interesterified blends were examined for triacylglycerol composition, thermal behavior, microstructure, crystallization kinetics, and polymorphism. Interesterification produced substantial rearrangement of the triacylglycerol species in all the blends, reduction of trisaturated triacylglycerol content and increase in monounsaturated-disaturated and diunsaturated-monosaturated triacylglycerols. Evaluation of thermal behavior parameters showed linear relations with FHSBO content in the original blends. Blend melting and crystallization thermograms were significantly modified by the randomization. Interesterification caused significant reductions in maximum crystal diameter in all blends, in addition to modifying crystal morphology. Characterization of crystallization kinetics revealed that crystal formation induction period (tau (SFC)) and maximum solid fat content (SFC(max)) were altered according to FHSBO content in the original blends and as a result of the random rearrangement. Changes in Avrami constant (k) and exponent (n) indicated, respectively, that-as compared with the original blends-interesterification decreased crystallization velocities and modified crystallization processes, altering crystalline morphology and nucleation mechanism. X-ray diffraction analyses revealed that interesterification altered crystalline polymorphism. The interesterified blends showed a predominance of the beta` polymorph, which is of more interest for food applications.

Towards realistic simulations of lava dome growth using the level set method

The level set method has been implemented in a computational volcanology context. New techniques are presented to solve the advection equation and the reinitialisation equation. These techniques are based upon an algorithm developed in the finite difference context, but are modified to take advantage of the robustness of the finite element method. The resulting algorithm is tested on a well documented Rayleigh–Taylor instability benchmark [19], and on an axisymmetric problem where the analytical solution is known. Finally, the algorithm is applied to a basic study of lava dome growth.