Essays in financial economics

In this thesis, I study the effects of market power and financial constraints on arbitrage, liquidity provision, financial stability and welfare. In Chapter 1, I consider a dynamic model of imperfectly competitive arbitrage with time-varying supply. The model can explain the well-documented empirical features that (quasi)-identical assets can trade at significantly different prices; these price differences vanish slowly over time, resulting in apparently slow- moving capital; the price differences can invert over time; market depth is time-varying. I also show that entry does not necessarily correct these effects, although the mere threat of entry may improve liquidity. In Chapter 2, I introduce in the model the realistic feature that trading requires cap- ital and assume that arbitrageurs' positions must be fully collateralized, which rules out default. I compare liquidity provision, asset prices and welfare in the monopoly case to the perfect competition case studied by Gromb and Vayanos (2002). I show that relative to the competitive case, the monopoly is less efficient but also less capital-intensive, as rents captured over time allow her to build up capital. Consequently, when capital is scarce, financially-constrained competitive arbitrageurs may provide less liquidity at later stages than an unconstrained monopoly. In some cases, this increases aggregate welfare but with- out being Pareto-improving. I discuss implications for market-making via a specialist. In Chapter 3, I assume that some arbitrageurs have deeper pockets than others and allow for default. The capital-rich arbitrageurs (predators) either provide liquidity to other mar- ket participants (competitive hedgers) or engage in predatory trading against a financially- constrained peer (prey). In this strategy, predators depress the price of the asset to trigger a margin call on the prey's position and gain from her subsequent firesales. I show that the hedgers' reactions to the possibility of predation can make predatory trading cheaper, reducing the prey's staying power. In anticipation of the prey's firesales, hedgers may run on the asset, strengthening and to some extent substituting to the predators' price pressure. Further, their reaction leads to a reduction in the prey's price impact, which decreases her already limited ability to support the price and avoid a margin call. Predatory trading is likely to occur when hedgers are sufficiently risk-averse or the asset sufficiently risky

Soil isotopically exchangeable phosphorus : a comparison between E and L values

This study was designed to explain the apparent discrepancies often reported in the literature between E and L values, two parameters obtained from isotopic exchange experiments and commonly used to quantify available soil phosphate. The E and L values of the surface horizons of 10 soils from tropical, mediterranean, and temperate regions were determined. The L value was measured from a 13-wk pot experiment with common bentgrass (#Agrostis capillaris$ L.) where the available soil P was labeled with 32PO4 ions in the presence of a carrier (25-50 mg 31P/kg soil). To determine the E value, the isotopic exchange kinetic experiment was carried out on each soil. Carrier-free 32PO4 was added to the soil-solution system at a steady state and the quantity of isotopically exchangeable soil phosphate at time t, E(t), was calculated from the kinetic equation describing the decrease of radioactivity in solution with time. Results showed that L values determined after 13 wk were not significantly different from E(t) values extrapolated to the same period (t = 131 040 min). It was concluded that the L value is a particular point of the kinetic equation and isotopically exchangeable phosphate is the available P for common bentgrass. A strict equality between E(13 wk) and L values was not, however, reached for all samples. Possible causes for the differences were : an overestimation of the water-soluble phosphate due to the presence of silica and disturbance of the steady state following a too large uptake of phosphate by the crop or the application of too large quantities of carrier compared with the initial quantity of exchangeable soil phosphate. (Résumé d'auteur

Caractérisation -par spectrométrie RMN du 31P- de constituants phosphatés extraits de sols de rizières malgaches

Les composés phosphatés de six sols de rizières, riches en matière organique, originaires de Madagascar ont été extraits par une solution sodique. Ces composés ont été déterminés soit par une analyse chimique globale, soit par une spectrométrie RMN du 31P du phosphore qu'ils contenaien

Аргументация как лингвистический элемент в полемике. Виды аргументов

Thermoanaerobacter brockiifermented serine to acetate and ethanol. It oxidized leucine to isovalerate, isoleucine to 2-methylbutyrate, and valine to isobutyrate only in the presence of thiosulfate, or when co-cultured withMethanobacteriumsp. This oxidative deamination was rendered thermodynamically possible by the ability ofT. brockiito reduce thiosulfate to sulfide or the transfer of reducing equivalents to the hydrogenotrophic methanogen. The results suggest thatT. brockiimay be of ecological significance in thermal environments in the turnover of amino acids, especially with thiosulfate or H2-utilizing methanogens are present

Nonperturbative collapse models for collisionless self-gravitating flows

Structure formation in the Universe has been well-studied within the Eulerian and Lagrangian perturbation theories, where the latter performs substantially better in comparison with N-body simulations. Standing out is the celebrated Zel'dovich approximation for dust matter. In this work, we recall the description of gravitational noncollisional systems and extend both the Eulerian and Lagrangian approaches by including, possibly anisotropic, velocity dispersion. A simple case with plane symmetry is then studied with an exact, nonperturbative approach, and various approximations of the derived model are then compared numerically. A striking result is that linearized Lagrangian solutions outperform models based on Burgers' equation in the multi-stream regime in comparison with the exact solution. These results are finally extended to a 3D case without symmetries, and master equations are derived for the evolution of all parts of the perturbations.Comment: 20 pages, 5 figures, submitted to PR

Tungsten-enhanced growth of Methanosphaera stadtmanae

Background: The methanogenic Archaea Methanosphaera stadtmanae has been detected in the human gut microbiota by both culture and culture-independent methods. Its growth reaches an exponential phase after 5 to 7-day culture in medium 322 (10% vol). Our recent successful isolation of Methanomassiliicoccus luminyensis, a tungstate-selenite-requiring Archaea sharing similar metabolism characteristics with M. stadtmanae prompted us to study the effects of tungsten and selenium on M. stadtmanae growth.Findings: Addition of 0.2 mg/L sodium tungstate to medium 322 yielded, 48 hours after inoculation, a growth rate equivalent to that obtained after 6 days with control culture as measured by methane monitoring and optical density measurement. Addition of 50 μg/mL sodium selenate had no effect on M. stadtmanae growth. Quantitative real-time PCRs targeting the M. stadtmanae 16S rRNA confirmed these data.Conclusions: These data provide new information regarding the poorly known nutritional requirements of the human gut colonizing organisms M. stadtmanae. Adding sodium tungstate to basal medium may facilitate phenotypic characterization of this organism and additionally aid the isolation of new Archaeafrom complex host microbiota