Extension and calibration of a Hawkes-based optimal execution model

We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a few seconds that the market needs to adjust after a large trade. Motivated by our estimation results, we derive the optimal execution strategy for a multi-exponential Hawkes kernel and backtest it on the data for round trips. We find that the strategy is profitable on average when trading at the midprice, which is in accordance with violated martingale conditions. However, in most cases, these profits vanish when we take bid-ask costs into account

The fine structure of volatility feedback II: overnight and intra-day effects

We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share of overnight volatility comes from feedback effects. The residual kurtosis of returns is small for intra-day returns but infinite for overnight returns. We provide a plausible interpretation for these findings, and show that our Intra-Day/Overnight model significantly outperforms the standard ARCH framework based on daily returns for Out-of-Sample predictions

JAPANESE DEMAND FOR WHEAT PROTEIN QUANTITY AND QUALITY

Ladd and Martin's hedonic pricing model is extended to include the interactive effect of noncontracted characteristics on the value of contracted characteristics. Marginal values of wheat protein in the Japanese import market are estimated using the interactive effects of noncontracted dough/flour characteristics typically proxied by protein. Protein value is linked positively to farinograph stability, a prime factor in blending different flours. Three high protein wheats maintained about the same marginal value of protein. The marginal value for the two low protein wheats appear more end-use dependant. They varied in a $2.00/ton range depending on protein absorption, stability, and extensibility.Demand and Price Analysis,

Les environnements numériques d’apprentissage (ENA) : État des lieux et prospective

Rapport d’analyse et de synthès

Enhanced Structure Path Analysis: A New Method to Create Spatiotemporally Defined Life Cycle Inventory

Available on: http://milano.setac.eu/milano/scientific_programme/downloads/?contentid=429International audienceRefinements to the Life Cycle Assessment (LCA) methodology are required to obtain realistic and scientifically sound LCA results. We propose to contribute to this goal with the creation of spatiotemporally defined Life Cycle Inventory (LCI)

A method to better account for modulation transfer functions in ARSIS-based pansharpening methods

International audienceMultispectral (MS) images provided by Earth observation satellites have generally a poor spatial resolution while panchromatic images (PAN) exhibit a spatial resolution two or four times better. Data fusion is a means to synthesize MS images at higher spatial resolution than original by exploiting the high spatial resolution of the PAN. This process is often called pansharpening. The synthesis property states that the synthesized MS images should be as close as possible to those that would have been acquired by the corresponding sensors if they had this high resolution. The methods based on the concept Amélioration de la Résolution Spatiale par Injection de Structures (ARSIS) are able to deliver synthesized images with good spectral quality but whose geometrical quality can still be improved. We propose a more precise definition of the synthesis property in terms of geometry. Then, we present a method that takes explicitly into account the difference in modulation transfer function (MTF) between PAN and MS in the fusion process. This method is applied to an existing ARSIS-based fusion method, i.e., A trou wavelet transform-model 3. Simulated images of the sensors Pleiades and SPOT-5 are used to illustrate the performances of the approach. Although this paper is limited in methods and data, we observe a better restitution of the geometry and an improvement in all indices classically used in quality budget in pansharpening. We present also a means to assess the respect of the synthesis property from an MTF point of view

Challenges of Electricity Production Scenarios Modelling for Life Cycle Assessment of Environmental Impacts

International audienceThis communication presents a first attempt at making a life cycle assessment of prospective electricity production scenarios which were designed in the EnerGEO project. We start by a basic review of system (in this case, scenario) modelling expectations in today's LCA study. We then review some of the challenges of implementation due to the lack of detailed description of present and future electricity production systems. The importance of a detailed description is then shown with an evaluation of uncertainty of life cycle impact assessment results for three scenarios of German electricity production in 2030. The significant uncertainties we found, prevent us from detecting a relevant trend or making any comparison between the three chosen scenarios. We finally come to the conclusion that the LCA methodology will become relevant for the environmental assessment of electricity production scenarios when many more detailed information are accounted to describe future technologies, structures and sources of energy

De la politique de l'offre à la gestion de la demande : une révolution hydraulique en Méditerranée

L'aire méditerranéenne, particulièrement les rives orientale et méridionale, est exposée à un déficit des ressources en eau doublé d'une grande variabilité des précipitations. Afin de pallier ces difficultés, des politiques de l'offre sont menées depuis longtemps, mais celles-ci se heurtent à des limites de tous ordres : technique, économique, géopolitique, politique et environnemental. Ainsi, après la mobilisation massive de la ressource, une deuxième révolution hydraulique, basée sur la gestion de la demande, est à l'œuvre.eau – gestion des ressources – pays de la Méditerranée – stress hydrique – politique hydraulique