Time Varying Quantile Lasso

In the present paper we study the dynamics of penalization parameter λ of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter λ can be observed when the model is assumed to vary over time and therefore the fitting is performed with the use of moving windows. The proposal of investigating time series of λ and its dependency on model characteristics was brought into focus by Hardle et al. (2016), which was a foundation of FinancialRiskMeter (http://frm.wiwi.hu-berlin.de). Following the ideas behind the two aforementioned projects, we use the derivation of the formula for the penalization parameter λ as a result of the optimization problem. This reveals three possible effects driving λ; variance of the error term, correlation structure of the covariates and number of nonzero coefficients of the model. Our aim is to disentangle these three effect and investigate their relationship with the tuning parameter λ, which is conducted by a simulation study. After dealing with the theoretical impact of the three model characteristics on λ, empirical application is performed and the idea of implementing the parameter λ into a systemic risk measure is presented. The codes used to obtain the results included in this work are available on http://quantlet.de/d3/ia/

Herbivore benefits from vectoring plant virus through reduction of period of vulnerability to predation

Herbivores can profit from vectoring plant pathogens because the induced defence of plants against pathogens sometimes interferes with the induced defence of plants against herbivores. Plants can also defend themselves indirectly by the action of the natural enemies of the herbivores. It is unknown whether the defence against pathogens induced in the plant also interferes with the indirect defence against herbivores mediated via the third trophic level. We previously showed that infection of plants with Tomato spotted wilt virus (TSWV) increased the developmental rate of and juvenile survival of its vector, the thrips Frankliniella occidentalis. Here, we present the results of a study on the effects of TSWV infections of plants on the effectiveness of three species of natural enemies of F. occidentalis: the predatory mites Neoseiulus cucumeris and Iphiseius degenerans, and the predatory bug Orius laevigatus. The growth rate of thrips larvae was positively affected by the presence of virus in the host plant. Because large larvae are invulnerable to predation by the two species of predatory mites, this resulted in a shorter period of vulnerability to predation for thrips that developed on plants with virus than thrips developing on uninfected plants (4.4 vs. 7.9 days, respectively). Because large thrips larvae are not invulnerable to predation by the predatory bug Orius laevigatus, infection of the plant did not affect the predation risk of thrips larvae from this predator. This is the first demonstration of a negative effect of a plant pathogen on the predation risk of its vector

Sin Nombre Virus and Rodent Species Diversity: A Test of the Dilution and Amplification Hypotheses

BACKGROUND:Species diversity is proposed to greatly impact the prevalence of pathogens. Two predominant hypotheses, the "Dilution Effect" and the "Amplification Effect", predict divergent outcomes with respect to the impact of species diversity. The Dilution Effect predicts that pathogen prevalence will be negatively correlated with increased species diversity, while the Amplification Effect predicts that pathogen prevalence will be positively correlated with diversity. For many host-pathogen systems, the relationship between diversity and pathogen prevalence has not be empirically examined. METHODOLOGY/PRINCIPAL FINDINGS:We tested the Dilution and Amplification Effect hypotheses by examining the prevalence of Sin Nombre virus (SNV) with respect to diversity of the nocturnal rodent community. SNV is directly transmitted primarily between deer mice (Peromyscus maniculatus). Using mark-recapture sampling in the Spring and Fall of 2003-2005, we measured SNV prevalence in deer mice at 16 landscape level sites (3.1 hectares each) that varied in rodent species diversity. We explored several mechanisms by which species diversity may affect SNV prevalence, including reduced host density, reduced host persistence, the presence of secondary reservoirs and community composition. We found a negative relationship between species diversity and SNV prevalence in deer mice, thereby supporting the Dilution Effect hypothesis. Deer mouse density and persistence were lower at sites with greater species diversity; however, only deer mouse persistence was positively correlated with SNV prevalence. Pinyon mice (P. truei) may serve as dilution agents, having a negative effect on prevalence, while kangaroo rats (Dipodomys ordii), may have a positive effect on the prevalence of SNV, perhaps through effects on deer mouse behavior. CONCLUSIONS/SIGNIFICANCE:While previous studies on host-pathogen systems have found patterns of diversity consistent with either the Dilution or Amplification Effects, the mechanisms by which species diversity influences prevalence have not been investigated. Our study indicates that changes in host persistence, coupled with interspecific interactions, are important mechanisms through which diversity may influence patterns of pathogens. Our results reveal the complexity of rodent community interactions with respect to SNV dynamics

Writing Genealogies: an exploration of Foucault's strategies for doing research

In following Foucault, I think that I have become passionately interested in a wider shift in the European intellectual landscape: the return of ethics as a primary issue in the philosophical agenda, after so many years of the primary position of politics. I think that far from abandoning politics, this shift has been working towards redefining the subject(s) of politics and the very notion of P/politics itself. Following Foucault's intellectual paths, and especially his suggestion for writing genealogies, turned out to be an exciting adventure. There were a lot of things to be discovered. Foucault had used the term 'genealogy' to describe his work, but he insisted on not following any certain methodology to do that. On the contrary he was against all closed types of methodologies and instead he was continually slipping away from being committed to any of them. His intellectual work has been rather a move to go 'beyond' any existing theories and/or methodologies, yet he kept on referring again and again to his works as genealogies. This paper is therefore focusing on the very ontology of the Foucauldian genealogy, being aware of the vanity of any attempt to frame the Foucauldian genealogy as a closed method for research, but at the same time acknowledging the need to map the Foucauldian genealogy in a cartography of contemporary problematics upon social and historical research

Investment Horizon Effects

Boudry and Gray (2003) have documented that the optimal buy-and-hold demand for Australian stocks is not necessarily increasing in the investment horizon when returns are predictable. Such finding is in contrast with Barberis (2000) who shows that positive monotonic horizon effects predominate for US stocks. Using a closed-form approximation to the asset allocation problem, this paper relates the return dynamics to the investor's portfolio choice for different investment horizons. In the special case of a single risky asset, it is shown that return predictability under stationarity may induce both positive and negative horizon effects in the optimal allocation to the risky asset. The paper extends previous empirical results by solving for the optimal portfolio when two risky assets with predictable returns are available for investment. Copyright Blackwell Publishers Ltd, 2006.