Innovative Credit Guarantee Schemes with Equity-for-Guarantee Swaps

Small and medium-sized enterprises (SMEs) faces much severer financial constraints compared to large companies and it is more vulnerable to market imperfection. To alleviate SMEs' financial constraints, Public Credit Guarantee Schemes (CGSs) have been introduced and widely used around the world. We first provide a thorough analysis of the effectiveness of the traditional CGSs and then introduce an innovative financing contract, referred to as equity-for-guarantee swap (EGS), with the aim of reducing SMEs' financial constraints in a more effective way. We show that EGS effectively reduces information asymmetry between lenders and SMEs and alleviates SMEs' severe financial constraints. We further investigate the impact of maturity on asset prices under EGS contract and analyse the value-at-risk (VAR) and expected shortfall (ES) of the insurer's risk exposure when participating in the EGS contract. Consistent with pecking order theory, an extension of our model shows that an SME tends to use equity financing first when it faces much severer financial constraints, then the SME issues more debt when it is less financially constrained

Applied stochastic modelling in financial economics

This Ph.D thesis focuses on two applied frameworks of stochastic con- trolling and optimisation in financial economics. The first focus (Chapter 1) is on the convergence trading with testing cross-listed stock arbitrage. The second (Chapter 2 to Chapter 4) is on the sequential studies of wealth inequality. In Chapter 1, the convergence trading is established by dynamic pro- gramming, by setting objective at maximising trading utility function with constraint characterising the mean-reversion between price spread. Compared to past research that Liu and Timmermann (2013), the cointe- grating vector has been inserted inside, meanwhile the volatility factor has been split into multiple layers attributed by the relevant information sets. A wide range of empirical tests have been conducted for the cross-listed stock trading, including both in-the-sample and out-of-sample tests for Eurozone, UK, US and China stock exchanges based on shares and CFD trading. The testing result is convincing that stochastic optimal control has the potentiality to amplify statistical arbitrages. Chapter 2, initiates the research of wealth inequality. It first replicates the consumption-saving framework proposed by Karatzas (1991) under stochastic general equilibrium, by applying convex duality optimisation. This is to study the influence from a household’s homogenous preference of consumption on the dynamical evolutions of wealth and concentration. Assuming that the household’s income is exogenously given and adopting simulation. The simulation results suggest that consumption preference has no significant impact on wealth inequality but on the volatility of wealth inequality. Chapter 3 simplifies the endogenous price density dependent on an agent’s risk aversion. Meanwhile the standard (Pareto) optimal consumption is re- modified by maximising the utility for both household’s consumption and the expected saving the end of the dynasty, other than maximizing con- sumption only. The simulation illustrates that although the homogenous (heterogenous) risk aversion of a household’s consumption could affect the progression of wealth concentration but it has no obvious association with wealth inequality. Moreover the discreteness of heterogenous risk aversion has no significant impact on wealth inequality throughout the dynastic horizon, when each household’s income exogenously given. Chapter 4 endogenizes the labour income and capital gain into the house- hold revenue. Wage is endogenous from the technology progress (Total Factor Productivity) of the industry. While capital gain is endogenous from a completed competitive financial market with zero-profit condi- tion for financial intermediates. Each household’s income is endogenously driven by technology progress following the neoclassical economic growth framework. At each development stage, the attributions of wage and capi- tal gain follow contingent claim analysis and the consumptions satisfy the Pareto optimal, inherited from the solution in Chapter 3 with convex du- ality optimisation. Our structural model not only endogenously features agent risk aversion but also the productive factor growth, human capital, TFP and labor force, which further makes it possible the analysis of the effects of all these factors on wealth inequality as a whole

A Novel Point Cloud Compression Algorithm for Vehicle Recognition Using Boundary Extraction

Recently, research on the hardware system for generating point cloud data through 3D LiDAR scanning has improved, which has important applications in autonomous driving and 3D reconstruction. However, point cloud data may contain defects such as duplicate points, redundant points, and an unordered mass of points, which put higher demands on the performance of hardware systems for processing data. Simplifying and compressing point cloud data can improve recognition speed in subsequent processes. This paper studies a novel algorithm for identifying vehicles in the environment using 3D LiDAR to obtain point cloud data. The point cloud compression method based on the nearest neighbor point and boundary extraction from octree voxels center points is applied to the point cloud data, followed by the vehicle point cloud identification algorithm based on image mapping for vehicle recognition. The proposed algorithm is tested using the KITTI dataset, and the results show improved accuracy compared to other methods

Local breaking of four-fold rotational symmetry by short-range magnetic order in heavily overdoped Ba(Fe1−x_{1-x}Cux_{x})2_{2}As2_{2}

We investigate Cu-doped Ba(Fe$_{1-x}$Cu$_x$)$_2$As$_2$ with transport, magnetic susceptibility, and elastic neutron scattering measurements. In the heavily Cu-doped regime where long-range stripe-type antiferromagnetic order in BaFe$_2$As$_2$ is suppressed, Ba(Fe$_{1-x}$Cu$_x$)$_2$As$_2$ (0.145 $\leq x \leq$ 0.553) samples exhibit spin-glass-like behavior in magnetic susceptibility and insulating-like temperature dependence in electrical transport. Using elastic neutron scattering, we find stripe-type short-range magnetic order in the spin-glass region identified by susceptibility measurements. The persistence of short-range magnetic order over a large doping range in Ba(Fe$_{1-x}$Cu$_x$)$_2$As$_2$ likely arises from local arrangements of Fe and Cu that favor magnetic order, with Cu acting as vacancies relieving magnetic frustration and degeneracy. These results indicate locally broken four-fold rotational symmetry, suggesting that stripe-type magnetism is ubiquitous in iron pnictides.Comment: accepted by Physical Review B Rapid Communication

Arsenite binds to the RING finger domains of RNF20-RNF40 histone E3 ubiquitin ligase and inhibits DNA double-strand break repair.

Arsenic is a widespread environmental contaminant. However, the exact molecular mechanisms underlying the carcinogenic effects of arsenic remain incompletely understood. Core histones can be ubiquitinated by RING finger E3 ubiquitin ligases, among which the RNF20-RNF40 heterodimer catalyzes the ubiquitination of histone H2B at lysine 120. This ubiquitination event is important for the formation of open and biochemically accessible chromatin fiber that is conducive for DNA repair. Herein, we found that arsenite could bind directly to the RING finger domains of RNF20 and RNF40 in vitro and in cells, and treatment with arsenite resulted in substantially impaired H2B ubiquitination in multiple cell lines. Exposure to arsenite also diminished the recruitment of BRCA1 and RAD51 to laser-induced DNA double-strand break (DSB) sites, compromised DNA DSB repair in human cells, and rendered cells sensitive toward a radiomimetic agent, neocarzinostatin. Together, the results from the present study revealed, for the first time, that arsenite may exert its carcinogenic effect by targeting cysteine residues in the RING finger domains of histone E3 ubiquitin ligase, thereby altering histone epigenetic mark and compromising DNA DSB repair. Our results also suggest arsenite as a general inhibitor for RING finger E3 ubiquitin ligases