Bidding Behavior in the SNB's Repo Auctions

The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the banks' bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. Therefore, we estimate bidding functions for banks which participate regularly in the SNB's auctions. We find that a bank's bids from the previous day and the amount of maturing repo operations with the SNB have for most banks a significant effect. The autonomous factors (government balances at the SNB and currency in circulation) are of only minor importance. A further determinant of the bidding behavior is the attractiveness of the SNB's auction rate compared to the prevailing interbank market repo rate. The spread of unsecured and repo rates as well as the attractiveness of funding Euros indirectly via a Swiss franc repo transaction with the SNB are only for few banks significant. Further, the question is addressed whether the bidding behavior changed in the financial market crisis of 2007/2008. There is little evidence of a systematic change in bidding behavior in the crisis. This results from the fact that the SNB has addressed the volatile demand for reserves in the crisis with overnight fine-tuning operations.Open Market Operations, Bidding Behavior, FixedRate Tender Auction, Repo, Switzerland

Atlas-Based Prostate Segmentation Using an Hybrid Registration

Purpose: This paper presents the preliminary results of a semi-automatic method for prostate segmentation of Magnetic Resonance Images (MRI) which aims to be incorporated in a navigation system for prostate brachytherapy. Methods: The method is based on the registration of an anatomical atlas computed from a population of 18 MRI exams onto a patient image. An hybrid registration framework which couples an intensity-based registration with a robust point-matching algorithm is used for both atlas building and atlas registration. Results: The method has been validated on the same dataset that the one used to construct the atlas using the "leave-one-out method". Results gives a mean error of 3.39 mm and a standard deviation of 1.95 mm with respect to expert segmentations. Conclusions: We think that this segmentation tool may be a very valuable help to the clinician for routine quantitative image exploitation.Comment: International Journal of Computer Assisted Radiology and Surgery (2008) 000-99

Reiterated homogenization of a cavitation problem in thin films mechanics

This paper deals with the coupling of two major problems in lubrication theory: cavitation phenomena and roughness of the surfaces in relative motion: cavitation is defined as the rupture of the continuous film due to the formation of air bubbles, leading to the presence of a liquid-gas mixture. For this, the Elrod-Adams model (which is a pressure-saturation model) is classically used to describe the behavior of a viscous cavitated flow in the lubrication framework. However, in practical situations, the surfaces of the devices are rough, due to manufacturing processes which induce defaults. Thus, we study the behavior of the solution, when highly oscillating roughness effects on the rigid surfaces occur. In particular, we deal with the reiterated homogenization of this elliptic-hyperbolic problem, using periodic unfolding methods. We define a homogenized problem in the most general case, pointing out the fact that it leads to a unusual form (when compared to the initial one). We also state that, under some assumptions on the roughness patterns, the difficulties vanish, leading to a well-posed homogenized problem. A numerical simulation evidences the behavior of the solution: although the pressure tends to a smooth one, the saturation oscillations are not damped. This does not prevent from defining an equivalent homogenized saturation but only points out the anisotropic effects on the saturation function in cavitated areas

School System Evaluation By Value-Added Analysis under Endogeneity

Value-added analysis is a common tool in analysing school performances. In this paper, we analyse the SIMCE panel data which provides individual scores of about 200,000 students in Chile, and whose aim is to rank schools according to their educational achievement. Based on the data collection procedure and on empirical evidences, we argue that the exogeneity of some covariates is questionable. This means that a nonvanishing correlation appears between the school-specific effect and some covariates. We show the impact of this phenomenon on the calculation of the value-added and on the ranking, and provide an estimation method that is based on instrumental variables in order to correct the bias of endogeneity. Revisiting the definition of the value-added, we propose a new calculation robust to endogeneity that we illustrate on the SIMCE data.

School system evaluation by value-added analysis under endogeneity

Value-added analysis is a common tool in analysing school performances. In this paper, we analyse the SIMCE panel data which provides individual scores of about 200,000 students in Chile, and whose aim is to rank schools according to their educational achievement. Based on the data collection procedure and on empirical evidences, we argue that the exogeneity of some covariates is questionable. This means that a nonvanishing correlation appears between the school-specific effect and some covariates. We show the impact of this phenomenon on the calculation of the value-added and on the ranking, and provide an estimation method that is based on instrumental variables in order to correct the bias of endogeneity. Revisiting the definition of the value-added, we propose a new calculation robust to endogeneity that we illustrate on the SIMCE data.value-added, school effectiveness, multilevel model, endogeneity, instrumental variables

Rigorous derivation of the thin film approximation with roughness-induced correctors

50 pagesWe derive the thin film approximation including roughness-induced correctors. This corresponds to the description of a confined Stokes flow whose thickness is of order~\eps (designed to be small)~; but we also take into account the roughness patterns of the boundary that are described at order~\eps^2, leading to a perturbation of the classical Reynolds approximation. The asymptotic expansion leading to the description of the scale effects is rigorously derived, through a sequence of Reynolds-type problems and Stokes-type (boundary layer) problems. Well-posedness of the related problems and estimates in suitable functional spaces are proved, at any order of the expansion. In particular, we show that the micro-/macro-scale coupling effects may be analysed as the consequence of two features: the interaction between the macroscopic scale (order~1) of the flow and the microscopic scale (order~\eps of the thin film) is perturbed by the interaction with a microscopic scale of order~\eps^2 related to the roughness patterns (as expected through the classical Reynolds approximation)~; moreover, the converging-diverging profile of the confined flow, which is typical in lubrication theory (note that the case of a constant cross-section channel has no interest) provides additional micro-macro-scales coupling effects