A penalized two-pass regression to predict stock returns with time-varying risk premia

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no-arbitrage restrictions by regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns. Our Monte Carlo results and our empirical results on a large cross-sectional data set of US individual stocks show that penalization without grouping can yield to nearly all estimated time-varying models violating the no-arbitrage restrictions. Moreover, our results demonstrate that the proposed method reduces the prediction errors compared to a penalized approach without appropriate grouping or a time-invariant factor model

Les Œuvres morales de Plutarque

L’édition actuelle distingue nettement les deux parties de l’œuvre de Plutarque. Elle fait la part belle aux Vies parallèles, qu’on publie dans leur intégralité et dans des collections courantes, que ce soit dans la traduction d’Amyot de 1567 ou dans des traductions modernes . Et elle cantonne les Moralia à des éditions fragmentaires, par traités ou groupes de traités, dans des formats de Poche ou des collections savantes . Cela trouve sans doute à s’expliquer par la vogue récente pour la bio..

La littérature à l'essai

Contribution au débat sur William Marx, La Haine de la littérature (Paris: Minuit, 2015)

A Precise Gravity Tide Model for Port-au-Prince in Haiti

In this report, we present the results of earth tides analyses of long gravity time series at two different locations in the city of Port-au-Prince in Haiti. Measurements from two different generations of relative spring gravimeters are used: the 20-year-old Scintrex CG5-008 of the University of Luxembourg and the new Scintrex CG6-270 from the “Unité de Recherche en Géosciences” (URGEO) of the Faculty of Sciences of the State University of Haiti. The earth tidal parameters are determined for both time series from the Scintrex CG5-008 and the Scintrex CG6-270. These parameters are extremely valuable either to assess the precision of the ocean tide models of the seas surrounding the Haitian Island or to make predictions of the gravity tides. Observed tidal parameters are indeed more precise than using a theoretical model of the Earth body tides combined with the attraction and loading gravity effects calculated with ocean tide models. These predictions provide the best tidal corrections for absolute gravity measurements as well as for relative gravity surveys on the Haitian Island. They will increase the accuracy of past and future geodetic observations. After correcting the tidal parameters for the ocean loading and attraction effects calculated with a global ocean tides models, we found a close agreement with the state-of-the-art body earth model. On the other hand, the tidal parameters are sensitive to the structure and elastic properties of the upper crust (You and Yuan, 2021). The results presented in this report might be useful to investigate them

Ovine serum biomarkers of early and late phase scrapie

<p>Abstract</p> <p>Background</p> <p>Transmissible spongiform encephalopathies are fatal neurodegenerative disease occurring in animals and humans for which no <it>ante-mortem </it>diagnostic test in biological fluids is available. In such pathologies, detection of the pathological form of the prion protein (i.e., the causative factor) in blood is difficult and therefore identification of new biomarkers implicated in the pathway of prion infection is relevant.</p> <p>Methods</p> <p>In this study we used the SELDI-TOF MS technology to analyze a large number of serum samples from control sheep and animals with early phase or late phase scrapie. A few potential low molecular weight biomarkers were selected by statistical methods and, after a training analysis, a protein signature pattern, which discriminates between early phase scrapie samples and control sera was identified.</p> <p>Results</p> <p>The combination of early phase biomarkers showed a sensitivity of 87% and specificity of 90% for all studied sheep in the early stage of the disease. One of these potential biomarkers was identified and validated in a SELDI-TOF MS kinetic study of sera from Syrian hamsters infected by scrapie, by western blot analysis and ELISA quantitation.</p> <p>Conclusions</p> <p>Differential protein expression profiling allows establishing a TSE diagnostic in scrapie sheep, in the early phase of the disease. Some proteic differences observed in scrapie sheep exist in infected hamsters. Further studies are being performed to identify all the discriminant biomarkers of interest and to test our potential markers in a new cohort of animals.</p

Prevalence, risk factors, and impact on outcome of cytomegalovirus replication in serum of Cambodian HIV-infected patients (2004-2007)

BACKGROUND: In developing countries, the study of cytomegalovirus (CMV) coinfection in HIV-infected patients remains neglected. Quantitative CMV polymerase chain reaction (PCR) is the gold standard diagnostic tool for analyzing serum CMV replication and for predicting CMV disease. We estimated the prevalence of replicating CMV in sera of newly diagnosed HIV-infected Cambodian patients and examined its impact on mortality. METHODS: This cohort study was based on 2 highly active antiretroviral therapy treatment programs in Cambodia between 2004 and 2007. Quantitative CMV PCR was performed on baseline serum samples of 377 HIV-infected patients. RESULTS: The prevalence of serum CMV DNA was 55.2% (150 of 272) in patients with CD4 count <100/mm. In multivariate analysis, hemoglobin <9 g/dL, CD4 count <100/mm, and Karnofsky index <50 were independently associated with positive serum CMV DNA at baseline. During a 3-year follow-up period, CMV viral load >or=3.1 log10 copies per milliliter was significantly associated with death independently of CD4 count, other opportunistic infections, and highly active antiretroviral therapy. CONCLUSIONS: As in industrialized countries, serum CMV replication is highly prevalent among HIV-infected Cambodian patients and is associated with increased mortality. This underscores the importance of diagnostic CMV infection by PCR in sera of HIV-infected patients with CD4 count <100/mm and treating this opportunistic infection to reduce its associated mortality

Les fictions juridiques et leurs avatars humanistes

A partir d’une remarque de Montaigne sur les « fictions légitimes », cet article envisage l’histoire de fictiones legis, dans les différents traits que leur donne la jurisprudence romaine d’abord, dans les mutations que leur font subir les glossateurs médiévaux ensuite, enfin dans leur réception à l’intérieur du droit humaniste. En se centrant notamment sur Alciat, puis Dadin de Hauteserres, il distingue la « fiction » de la « simulation », pour aboutir à un parallèle avec le plasma de la Seconde sophistique, sorte d’équivalent philosophique de l’espace entre le vrai et le faux dans lequel se situent les fictiones legis.Starting from a remark by Montaigne on “legitimate fictions”, this article considers the history of fictiones legis under the various features initially conferred to them by the Roman jurisprudence, in the transformations later inflicted on them by medieval commentators, lastly in the reception within the humanistic law. Centering notably on Alciat, then Dadin and Hauteserres, the article discriminates between “fiction” and “simulation”, and ultimately ends on a parallel with the plasma of the Second sophistics, a kind of philosophical equivalent of the space between truth and falsehood in which the fictiones legis are situated

Béatrice Périgot, Dialectique et littérature : les avatars de la dispute entre Moyen Âge et la Renaissance, Paris, Honoré Champion, 2005, Bibliothèque littéraire de la Renaissance n° LVIII

Guerrier Olivier. Béatrice Périgot, Dialectique et littérature : les avatars de la dispute entre Moyen Âge et la Renaissance, Paris, Honoré Champion, 2005, Bibliothèque littéraire de la Renaissance n° LVIII. In: Littératures 55,2006. Pascal a-t-il écrit les Pensées ? pp. 226-227