VictorJuiz/thesis huggingface dataset:
THREE ESSAYS ON OBSERVABLE COVARIATES IN OPTION PRICING

This dissertation contains three essays on observable covariates in option pricing. In the first essay, I propose firm-specific public news arrival from Factiva database as an observable covariate in equity options market and study how the public news arrival is priced. I first establish the empirical relationship between the firm-specific public news arrival and jumps in individual equity returns. Subsequently, I build a continuous-time stochastic volatility jump diffusion model where news arrivals driving the jump dynamics. When estimated on equity options data for 20 individual firms, the premia placed on jump frequency and size turn out to be consistent with the theories highlighting both positive and negative effects of public news arrival. The second essay, based on a joint work with Peter Christoffersen, Bruno Feunou and Chayawat Ornthanalai, studies how the stock market illiquidity affects the market crash risk. Our empirical approach is to estimate a continuous-time model with stochastic volatility and dynamic crash probability where stock market illiquidity is used as an observable covariate driving the crash probability. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. This finding suggests that the relationship between variance and jump risk found in the literature is largely due to their common exposure to market illiquidity. Our study highlights the importance of equity market frictions in index return dynamics and explains why prior studies find that crash risk increases with market uncertainty level. The third essay, based on a joint work with Peter Christoffersen and Bruno Feunou, proposes the realized jump variation measure constructed from the intraday S returns data as an observable covariate that helps pricing of index options. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing for straightforward filtering and estimation of the model. When estimated on S index options and returns the new model performs well compared with standard benchmarks.

Advisor: Christoffersen, Peter
Infant care, nutritional development and lactation in chimpanzees at Ngogo, Kibale National Park, Uganda

Understanding the factors affecting the time from complete dependence on maternal milk to nutritional independence (i.e. infant nutritional development), and obtaining accurate data on the timing of infant feeding transitions are needed to ultimately understand species-specific life history components. I quantitatively documented infant nutritional development, assessed the patterning of maternal investment through lactation over the course of infancy, and investigated the effects of alloparenting on the speed with which infants were weaned, in approximately 50 infant chimpanzees (Pan troglodytes schweinfurthii) and their mothers of one wild community at Ngogo, Uganda. Measuring nutritional development in wild primates is difficult through observations alone because confirming dietary intake of infants is challenging. I therefore used behavioural data in combination with novel physiological measures of fecal stable isotopes (Î´13C:Î´15N, %N) to assess age-specific infant nursing and foraging, determine the relative contributions of maternal milk and other foods in infant diets, and assess the timing and process of weaning. First, I showed that fecal stable isotopes can be successfully used to track infant nutritional development, and found that the weaning process begins and ends by around 1 and 4 years of age, respectively, but that offspring could continue to comfort nurse for years afterwards. Second, I found that chimpanzees showed a multi-year and plateauing lactation pattern. Like humans, chimpanzee mothers provided a steady supply of milk while infants increasingly supplemented their growing energy needs with solid foods until the contribution of milk relative to other food in the diet was sufficiently low that milk no longer constituted a dietary need for offspring. Third, infants who were held and carried more by alloparents showed accelerated weaning rates, and their mothers experienced a reduced lactation effort, suggesting that alloparenting in chimpanzees may have a positive effect on female reproductive rates. This dissertation contributes to models of chimpanzee infant care, nutritional development, and patterning of lactation required to understand the evolution of life history patterns in hominins, including relatively earlier weaning and increased female reproductive rates.

Keywords: Chimpanzee
Infant care
Lactation
Primate
Stable isotopes
Weaning
Advisor: Sellen, Daniel
Activist Short-Selling

Activist short-selling – short-sellers publicly talking down securities to benefit their short positions – attracts attentions from a broad range of market participants, but is largely ignored by the prior literature. Combining information from Seeking Alpha and Activist Shorts Research, I collect more than 6,000 activist short-selling cases against listed companies from 2006 to 2015 and conduct two large-sample studies on this controversial phenomenon. Chapter 1 examines the determinants and consequences of activist short-selling, highlighting the critical roles of ex-ante available firm characteristics. I find that (1) activist short-selling leads to much larger market reactions than comparable level of short-selling without public talking-down, (2) activist short-sellers are more likely to target firms with severe overvaluation and uncertainty features, (3) targets’ overvaluation (uncertainty) features are increasingly (decreasingly) important in predicting returns from the short term to the long term, (4) their overvaluation features predict short-selling allegations that focus on valuation issues such as “bubble,” while their uncertainty features predict allegations that sound severe such as “fraud,” and (5) uncertainty features also predict targets’ likelihood of responding to allegations. Chapter 2 focuses on the consequences of activist short-selling on a specific group of market players: sell-side analysts who cover target firms. Since the sell-side business model discourages analysts from publishing negative opinions, the demand for negative information is met by other sources, such as activist short-sellers who frequently accuse analysts’ talking-up as the main driver of overvaluation. I find that analysts react to activist short-selling by revising their target-price forecasts. The variation in the timeliness and direction of the reactions can be explained by the ability and incentives of analysts as well as the initial impact of activist short-selling. More importantly, analysts’ reputation can be severely damaged by activist short-sellers, particularly when analysts talk-up too much previously, when short-sellers seem to be right, and when analysts take too long to respond. However, the direction of analysts’ reactions (i.e., revising up or down) seems unrelated to the reputation loss. Finally, analysts are more likely to move to smaller brokerage houses if their covered firms are targeted by activist short-sellers.

Keywords: Analysts
Market Reaction
Overvaluation
Reputation
Short-Selling
Uncertainty
Advisor: Hope, Ole-Kristian
Synthesizing Structure: Patterned Control of Distributed Systems

Nature provides fabulous proofs-of-concept for distributed systems, such as flocks of starlings that perform stunning aerial displays without the direction of a single leader. Autonomous engineering systems (such as groups of robots) are often architected in the same fashion, with a control action split among several independent parts rather than being centralized. In these instances, a system's parts interact with a distinct interconnection structure - a pattern - that must be adhered to by the system's controller. This thesis explores a method for preserving patterns in control design: for several common control problems, we show how to check whether a pattern-preserving controller exists, and we provide a method by which to find one. To do so, we encode patterns through algebraic commuting relationships, and we carry those commuting relationships through the standard controller design steps of system decomposition and feedback synthesis (among others). We also discover how these patterns alter a systemâ s basic properties such as controllability and observability. Our results apply in a variety of fields, ranging from formation flying to distributed power generation and from coupled chemical tanks to self-driving cars. Though we take our initial cues from nature, we hope that our work is not just "for the birds".

Keywords: Control theory
Decentralized control
Distributed control
Geometric control
Linear systems
Multiagent systems
Advisor: D'Eleuterio, Gabriele M T
Broucke, Mireille E
An Investigation into Employee Engagement and Professional Development Policy Creation and Implementation on Full-time Faculty Employees in the Ontario College Sector: A Case Study

Abstract Concern for the importance of employee engagement amongst organizational leadership has been recognizable, albeit unevenly, wherever work processes require the enthusiasm, skill and judgement of employees in order to be successful. It is increasingly clear that engagement is linked to positive outcomes, both for individuals and for organizations. An increased interest in the engagement level of employees has highlighted the positive effects of employee engagement on organizational performance (Harter, Schmidt Hayes, 2002; Kahn, 1992; Shuck, Rocco Albornoz, 2011); however, I found in my literature review that relatively little is known about the impact of organizational policy creation and implementation on employee engagement. This research study was undertaken to extend and clarify an understanding of employee engagement rooted in an elaboration of concepts offered originally in Kahn’s influential ‘Engagement Model’ (1990). This approach argued by Kahn and his colleagues represents a key point of departure within the field of Human Resource Development (HRD) (Shuck Reio, 2011; Shuck, Reio Rocco, 2011; Shuck Rose, 2013; Shuck Wollard, 2010) by focusing on the employee experience. With this study, I aimed to fill an important void in the HRD literature (McGoldrick, Stewart Watson, 2002). Specifically, the objective of this study was to generate an exploratory and descriptive account of how professional development policy-making influences the engagement of full-time faculty at Durham College (Ontario, Canada). This research examines the effect that the implementation of a professional development policy had on the employee engagement of full-time faculty employees. This research presents a new framework for assisting college leaders to increase employee engagement and contributes to the HRD literature by illuminating theory-based strategies for faculty employee involvement in the creation and implementation of professional development policies.

Keywords: Employee Engagement
Human Resource Development
Organizational Policies
Professional Development
Advisor: Sawchuk, Peter
Writing Villages: Language, Objects, and Spirituality in the Discovery of Rural China, 1911-1949

This dissertation examines the explosion of writings about rural life that emerged during the Republican period (1911-1949) in China, found in the essays, short stories, long-form novels, folklore journals, and ethnographic surveys that dotted the mediascape of the time period. Situating its arguments at the cross-section of Republican era village studies, intellectual history, and literary criticism, this dissertation argues that such writings did not merely reflect an already existing social reality beyond the text, but were themselves productive of the very concepts by which such a reality was to be imagined and acted upon. As such, they produced an imaginative binary that had not, hitherto, been dominant in Chinese cultural life: the urban vs. the rural. While such writings evidenced a persistent fascination with the languages, objects, and spiritual ideas that defined village cultures, they were not produced from within the geographic boundaries of village life. They were created by cosmopolitan intellectuals imbedded in translingual print networks of global reach. Such writings must thus be situated within the properly global context in which they were produced: a world roiled by the unevenness of capitalism in its imperialist form. The world system produced by capitalism sought to fix peoples into monolingual national units arranged hierarchically across historical time. When seen from this developmental lens, the rural emerged in 20th century China as a site of “backwardness,” in need of social and linguistic “reconstruction.” I track how folklorists, writers, and language reformers responded to, but also complicated, this ethnographic drive to study, classify, and transform village life. Challenging a long standing axiom in the field of modern Chinese history that Republican era intellectuals “invented” the cultural figure of the peasant as a depressed allegory of the national condition, I argue that the songs, objects, and votive practices of village life remained key points of inquiry and negotiation for intellectuals throughout the era. As such, I tell a more nuanced story regarding the urban/rural binary, one that emphasizes that the incorporation of the village into the cultural life of the new republic was not an epistemologically enclosed process.

Keywords: Dialect
Folksongs
Modern China
Republican Period
Rural Studies
Xiangtu Wenxue
Advisor: Yue, Meng
Quality of Experience Assessment of Over-The-Top Video Streaming

The new technology of mobile communication has provided nutritious soil for the growth of mobile services, but also invoked the user's expectation for higher quality service. To survive and prosper in the ever-changing service landscape, service providers seriously consider Quality of Experience (QoE). QoE concerns service quality from the user's perspective. This dissertation reports our research to analyze and assess QoE of the Over-The-Top (OTT) video service. It has proposed to study QoE based on the life cycle of a video session. Based on the concept of a life cycle, it classifies interruptions during a video playback as impairments (temporary interruptions) and failures (permanent interruptions). This dissertation introduces a detailed subjective methodology for assessing session-based QoE in a laboratory controllable approach. The methodology includes selection of video content, design and implement of test conditions, delivery of questionnaire, to data collection. It is eminently useful for service providers and researchers who are interested in assessing video QoE. Three laboratory controllable experiments have been conducted following this methodology. This dissertation also provides QoE objective assessment based on data collected from these subjective experiments. First, the dissertation presents the impact of failures on the QoE evaluation by statistical tests, which explains why we need to study session-based QoE. Second, it discusses the interplay among selecting QoE factors, CQ (Content Quality), TQ (Technical Quality), OX (Overall eXperiment), and acceptability. It demonstrates that TQ is the determinant factor of OX with the presence of failures in these laboratory controllable experiments, which is valuable for future session-based QoE studies. And then, the dissertation investigates the relationship between QoE factors and Application Performance Metrics (APMs). Proposing novel APMs to predict QoE factors, the feasibility of APMs is examined and a primary QoE model is proposed. Lastly, this dissertation identifies that the user's rating behaviors have different levels of sensitivity to impairments and failures. Principle Component Analysis (PCA) is proposed to discern abnormal behaviors and classify user personality in QoE assessment.

Advisor: Leon-Garcia, Alberto
Chignell, Mark
Signaling Regulation of iNKT Cell Development and Function

Beyond their potential as immunotherapeutic targets, invariant Natural Killer T (iNKT) cells have long interested immunologists because they defy the rules of T cell development through their differential requirement for signalling molecules, such as those downstream of the TCR. In this work, we aimed to define some of the signalling requirements that govern iNKT cells development, homeostasis and function. We first investigate the biophysical properties of TCR-ligand-CD1d interaction using a panel of iNKT TCRs. Using the retrogenic mouse approach, we assessed how TCR properties impacted iNKT cell selection, differentiation, homeostasis and cytokine secretion. We showed that selection and effector differentiation are regulated by different biophysical parameters of TCR-ligand interaction, but that survival, homing and cytokine bias are largely independent of TCR strength. Second, we investigate how deletion of the Src homology domain-containing phosphatase 1 (Shp-1) changed the signal integration and phenotype of iNKT cells. Using mice conditionally lacking Shp-1 on ÎąÎ˛ T cells we showed that iNKT cells are biased towards a TH2 phenotype, and hyper-proliferated when cultured in vitro with IL-2, IL-7 or IL-15, suggesting a link between these observations. Taken together, this work highlights how the regulation of the complex signalling resulting from environmental cues, such as T cell receptor engagement and cytokine sensing, impacts the development and effector functions of iNKT cells.

Keywords: immune receptor
Intracellular signaling
Natural Killer T cell
T cell development
T cell receptor
Thymus
Advisor: Mallevaey, Thierry R
The Heart and Mind Connection: Biomarkers of Cognitive Response to Exercise in Coronary Artery Disease

Introduction: Subtle deficits in verbal memory indicating early neural risk are common in patients with coronary artery disease (CAD). While exercise can improve cognition, cognitive response to exercise is heterogeneous, strongly warranting the investigation of mechanisms obstructing the cognitive benefits of exercise. This research assessed peripheral measurements of vasculopathy and sphingolipids as predictors of performance in verbal memory and other cognitive domains in CAD subjects undertaking cardiac rehabilitation (CR). Methods and Results: Cognitive performance in verbal memory (primary) and visuospatial memory, processing speed, executive function and global cognition (exploratory) was represented by standardized Z-scores in all studies. Study 1 assessed the relationship between endothelial function measured by reactive hyperemia index (RHI) using peripheral arterial tonometry and cognition at entry into and over the course of CR and explored associations with arterial stiffness measured by augmentation index (AI@75). In 64 CAD patients (mean age=63±7 years, 70% male, years of education=16±3 years), lower RHI was significantly associated with poorer verbal memory (=0.28, p=0.02) at baseline. An increase in RHI over CR was significantly associated with improved processing speed (b[SE]=0.40[0.19], p=0.04) and executive function (b[SE]=0.46[0.21], p=0.03). AI@75 was not associated with cognition at baseline or over CR. Study 2 assessed baseline plasma ceramide C22:0 and C24:0 concentrations as predictors of verbal memory over CR in a pilot study. In 33 CAD patients with CAD (mean age=62 ± 9 years, 85% male, years of education=17 ± 3 years), higher baseline plasma C22:0 (F1, 29 = 5.30, p = 0.03) and C24:0 (F1, 29 = 4.04, p = 0.05) concentrations significantly predicted less improvement in verbal memory over CR. Using a lipidomics approach, Study 3 determined associations between change in circulating sphingolipids and change in cognition over CR. In 120 CAD patients (mean age=64±6 years, 84% male, years of education=16±3 years), lower ceramide C18:0 concentrations were significantly associated with improvement in verbal memory (b[SE]=-0.51 [0.25], p=0.04), visuospatial memory (b[SE]=-0.44 [0.22], p=0.05), processing speed (b[SE]=-0.89 [0.32], p=0.007) and global cognition (b[SE]=-1.47 [0.59], p=0.01) over CR. Conclusions: Vascular health indices and plasma ceramide concentrations may be clinically useful makers of cognitive response to exercise and might provide insight into the etiology of cognitive dysfunction in patients with CAD.

Keywords: ceramides
cognition
coronary artery disease
endothelial function
RHI
sphingolipids
Advisor: Lanctot, Krista L.
Low-Density Parity-Check Decoder Architectures for Integrated Circuits and Quantum Cryptography

Forward error correction enables reliable one-way communication over noisy channels, by transmitting redundant data along with the message in order to detect and resolve errors at the receiver. Low-density parity-check (LDPC) codes achieve superior error-correction performance on Gaussian channels under belief propagation decoding, however, their complex parity-check matrix structure introduces hardware implementation challenges. This thesis explores how the quasi-cyclic structure of LDPC parity-check matrices can be exploited in the design of low-power hardware architectures for multi-Gigabit/second decoders realized in CMOS technology, as well as in the design and construction of multi-edge LDPC codes for long-distance (beyond 100km) quantum cryptography over optical fiber. A frame-interleaved architecture is presented with a path-unrolled message-passing schedule to reduce the complexity of routing interconnect in an integrated circuit decoder implementation. A proof-of-concept silicon test chip was fabricated in the 28nm CMOS technology node. The LDPC decoder chip supports the four codes presented in the IEEE 802.11ad standard, occupies an area of 3.41mm^2, and achieves an energy efficiency of 15pJ/bit while delivering a maximum throughput of 6.78Gb/s, and operating with a 202MHz clock at 0.9V supply. The test chip achieves the highest normalized energy efficiency among published CMOS-based decoders for the IEEE 802.11ad standard. A quasi-cyclic code construction technique is applied to a multi-edge LDPC code with block length of 10^6 bits in order to reduce the latency of LDPC decoding in the key reconciliation step of long-distance quantum key distribution. The GPU-based decoder achieves a maximum information throughput of 7.16Kb/s, and extends the current maximum transmission distance from 100km to 160km with a secret key rate of 4.10 x 10^(-7) bits/pulse under 8-dimensional reconciliation. The GPU-based decoder delivers up to 8.03x higher decoded information throughput over the upper bound on secret key rate for a lossy optical channel, thus demonstrating that key reconciliation with LDPC codes is no longer a post-processing bottleneck in quantum key distribution. The contributions presented in this thesis can be applied to future research in the implementation of silicon-based linear-program decoders for high-reliability channels, and single-chip solutions for quantum key distribution containing integrated photonics and post-processing algorithms.

Keywords: Forward error correction
Integrated circuits
Low-density parity-check
Quantum key distribution
Advisor: Gulak, Patrick G