The pricing of different dimensions of liquidity: Evidence from government guaranteed bank bonds

Seminal market microstructure literature identifies at least three important dimensions of liquidity: trading costs, depth, and resiliency. We investigate the relevance of each of these three dimensions of liquidity - separately and in conjunction - for the pricing of corporate bonds. Unlike previous studies, our sample allows us to cleanly separate the default and non-default components of yield spreads. We find that each of the above three dimensions of liquidity impact non-default spreads, with trading costs and resiliency being more important than depth. We also find that both bond-specific and market-wide dimensions of liquidity are priced in non-default spreads. Finally, we find that, even though these three dimensions of liquidity account for virtually the entire non-default spread, there does exist in some periods a small residual non-default yield spread that is consistent with an additional "flight-to-extreme-liquidity" premium reflecting investor preference for assets that enable quickest possible disengagement from the market when necessary

Low-Dissipation Advection Schemes Designed for Large Eddy Simulations of Hypersonic Propulsion Systems

The 2nd-order upwind inviscid flux scheme implemented in the multi-block, structured grid, cell centered, finite volume, high-speed reacting flow code VULCAN has been modified to reduce numerical dissipation. This modification was motivated by the desire to improve the codes ability to perform large eddy simulations. The reduction in dissipation was accomplished through a hybridization of non-dissipative and dissipative discontinuity-capturing advection schemes that reduces numerical dissipation while maintaining the ability to capture shocks. A methodology for constructing hybrid-advection schemes that blends nondissipative fluxes consisting of linear combinations of divergence and product rule forms discretized using 4th-order symmetric operators, with dissipative, 3rd or 4th-order reconstruction based upwind flux schemes was developed and implemented. A series of benchmark problems with increasing spatial and fluid dynamical complexity were utilized to examine the ability of the candidate schemes to resolve and propagate structures typical of turbulent flow, their discontinuity capturing capability and their robustness. A realistic geometry typical of a high-speed propulsion system flowpath was computed using the most promising of the examined schemes and was compared with available experimental data to demonstrate simulation fidelity

Metabolic Changes Precede the Development of Pulmonary Hypertension in the Monocrotaline Exposed Rat Lung.

There is increasing interest in the potential for metabolic profiling to evaluate the progression of pulmonary hypertension (PH). However, a detailed analysis of the metabolic changes in lungs at the early stage of PH, characterized by increased pulmonary artery pressure but prior to the development of right ventricle hypertrophy and failure, is lacking in a preclinical animal model of PH. Thus, we undertook a study using rats 14 days after exposure to monocrotaline (MCT), to determine whether we could identify early stage metabolic changes prior to the manifestation of developed PH. We observed changes in multiple pathways associated with the development of PH, including activated glycolysis, increased markers of proliferation, disruptions in carnitine homeostasis, increased inflammatory and fibrosis biomarkers, and a reduction in glutathione biosynthesis. Further, our global metabolic profile data compare favorably with prior work carried out in humans with PH. We conclude that despite the MCT-model not recapitulating all the structural changes associated with humans with advanced PH, including endothelial cell proliferation and the formation of plexiform lesions, it is very similar at a metabolic level. Thus, we suggest that despite its limitations it can still serve as a useful preclinical model for the study of PH

Severe Sepsis: Variation in Resource and Therapeutic Modality use Among Academic Centers

Background: Treatment of severe sepsis is expensive, often encompassing a number of discretionary modalities. The objective of the present study was to assess intercenter variation in resource and therapeutic modality use in patients with severe sepsis. Methods: We conducted a prospective cohort study of 1028 adult admissions with severe sepsis from a stratified random sample of patients admitted to eight academic tertiary care centers. The main outcome measures were length of stay (LOS; total LOS and LOS after onset of severe sepsis) and total hospital charges. Results: The adjusted mean total hospital charges varied from $69 429 to US$237 898 across centers, whereas the adjusted LOS after onset varied from 15.9 days to 24.2 days per admission. Treatments used frequently after the first onset of sepsis among patients with severe sepsis were pulmonary artery catheters (19.4%), ventilator support (21.8%), pressor support (45.8%) and albumin infusion (14.4%). Pulmonary artery catheter use, ventilator support and albumin infusion had moderate variation profiles, varying 3.2-fold to 4.9-fold, whereas the rate of pressor support varied only 1.92-fold across centers. Even after adjusting for age, sex, Charlson comorbidity score, discharge diagnosis-relative group weight, organ dysfunction and service at onset, the odds for using these therapeutic modalities still varied significantly across centers. Failure to start antibiotics within 24 hours was strongly correlated with a higher probability of 28-day mortality (r2 = 0.72). Conclusion: These data demonstrate moderate but significant variation in resource use and use of technologies in treatment of severe sepsis among academic centers. Delay in antibiotic therapy was associated with worse outcome at the center level

Essays in Market Microstructure and Information Networks

This dissertation is a collection of three essays which study the impact of make-take fees on market efficiency, the relevance of three dimensions of liquidity on bond yields, and the value of information flow through the network of corporate directors. In Chapter 1, I investigate the causal link between exchange-subsidized liquidity, in the form of make-take fees, and market efficiency. Using an exogenous experiment performed by NASDAQ in 2015, I employ difference-in-differences analysis on a matched sample and find that a decrease in take fee and make rebate levels leads to greater absolute pricing error and larger variance of mispricing. This stems from widened bid-ask spreads and decreased informed trading by retail investors. These findings demonstrate that make-take fees are beneficial for market efficiency. There are three important dimensions of liquidity: trading costs, depth, and resiliency. Chapter 2 investigate the relevance of each of these three dimensions of liquidity – separately and in conjunction – for the pricing of corporate bonds. Unlike previous studies, this sample allows us to cleanly separate the default and non-default components of yield spreads. We find that each of the above three dimensions of liquidity are priced factors. Overall, in our sample, a one standard deviation change in trading costs, resiliency, and depth measures lead to a change in non-default spreads of 5.00 basis points, 2.27 basis points, and 1.27 basis points, respectively. We also find that both bond-specific and market-wide dimensions of liquidity are priced in non-default spreads. Finally, we find that there does exist in some periods a small residual non-default yield spread that is consistent with an additional “flight-to-extreme-liquidity” premium reflecting investor preference for assets that enable quickest possible disengagement from the market when necessary. Chapter 3 investigates the value of information flow through the network of corporate directors. More connected directors may have better information and more influence, which can increase firm value. However, directors with larger networks may also spread misleading or value-decreasing management practices. To identify the effect of director networks on firm value, we use the sudden deaths of well-connected directors as a shock to the director networks of interlocked directors. By looking at the announcement returns and using a difference-in-differences methodology, we find that this negative shock to director networks reduces firm value. This evidence suggests that director networks are valuable

Wordwide patterns of genetic differentiation imply multiple ‘domestications’of Aedes aegypti, a major vector of human diseases

Understanding the processes by which species colonize and adapt to human habitats is particularly important in the case of disease-vectoring arthropods. The mosquito species Aedes aegypti, a major vector of dengue and yellow fever viruses, probably originated as a wild, zoophilic species in sub-Saharan Africa, where some populations still breed in tree holes in forested habitats. Many populations of the species, however, have evolved to thrive in human habitats and to bite humans. This includes some populations within Africa as well as almost all those outside Africa. It is not clear whether all domestic populations are genetically related and represent a single ‘domestication’ event, or whether association with human habitats has developed multiple times independently within the species. To test the hypotheses above, we screened 24 worldwide population samples of Ae. aegypti at 12 polymorphic microsatellite loci. We identified two distinct genetic clusters: one included all domestic populations outside of Africa and the other included both domestic and forest populations within Africa. This suggests that human association in Africa occurred independently from that in domestic populations across the rest of the world. Additionally, measures of genetic diversity support Ae. aegypti in Africa as the ancestral form of the species. Individuals from domestic populations outside Africa can reliably be assigned back to their population of origin, which will help determine the origins of new introductions of Ae. aegypti

Bimodal Mesoporous Titanium Nitride/Carbon Microfibers as Efficient and Stable Electrocatalysts for Li–O_2 Batteries

The rechargeable Li–O_2 battery has been considered as a sustainable chemical power source for electric vehicles and grid energy storage systems due to the high theoretical specific energy (∼3500 Wh/kg). The practical performance of Li–O_2 batteries is, however, still far below expectations. This is mainly attributed to the (1) intrinsic sluggish reaction kinetics of the oxygen reduction reaction (ORR) and oxygen evolution reaction (OER), (2) passivation of the electrodes by electrical isolation and pore blocking, and (3) chemical instability of the organic cell components, i.e., electrolyte, polymer binder, and carbon electrode, in the presence of O_2•– and Li_2O_2. It is crucial to develop highly porous, three-dimensional, conducting cathode catalyst/gas diffusion layer (GDL) architectures possessing superior catalytic activity and stability with respect to the ORR and the OER in order to address these issues. All of these requirements prompted us to examine the catalytic performance of porous framework metal nitride electrodes for Li–O_2 batteries

Heavy Ion Testing at the Galactic Cosmic Ray Energy Peak

A 1 GeV/u Fe-56 ion beam allows for true 90deg tilt irradiations of various microelectronic components and reveals relevant upset trends for an abundant element at the GCR flux energy peak