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See detailNonparametric and bootstrap techniques applied to financial risk modeling
Hambuckers, julien ULg

Doctoral thesis (2015)

For the purpose of quantifying financial risks, risk managers need to model the behavior of financial variables. However, the construction of such mathematical models is a difficult task that requires ... [more ▼]

For the purpose of quantifying financial risks, risk managers need to model the behavior of financial variables. However, the construction of such mathematical models is a difficult task that requires careful statistical approaches. Among the important choices that must be addressed,we can list the error distribution, the structure of the variance process, the relationship between parameters of interest and explanatory variables. In particular, one may avoid procedures that rely either on too rigid parametric assumptions or on inefficient estimation procedures. In this thesis, we develop statistical procedures that tackle some of these issues, in the context of three financial risk modelling applications. In the first application, we are interested in selecting the error distribution in a multiplicative heteroscedastic model without relying on a parametric volatility assumption. To avoid this uncertainty, we develop a set of model estimation and selection tests relying on nonparametric volatility estimators and focusing on the tails of the distribution. We illustrate this technique on UBS, BOVESPA and EUR/USD daily stock returns. In the second application, we are concerned by modeling the tail of the operational losses severity distribution, conditionally to several covariates. We develop a flexible conditional GPD model, where the shape parameter is an unspecified link function (nonparametric part) of a linear combination of covariates (single index part), avoiding the curse of dimensionality. We apply successfully this technique on two original databases, using macroeconomic and firm-specific variables as covariates. In the last application, we provide an efficient way to estimate the predictive ability of trading algorithms. Instead of relying on subjective and noisy sample splitting techniques, we propose an adaptation of the .632 bootstrap technique to the time series context. We apply these techniques on stock prices to compare 12,000 trading rules parametrizations and show that none can beat a simple buy-and-hold strategy. [less ▲]

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See detailFictions du groupe littéraire
Saint-Amand, Denis ULg

Scientific conference (2015, April 17)

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See detailImpact of Aphasia on Consciousness Assessment: A Cross-Sectional Study.
Schnakers, C; Bessou, H; Rubi-Fessen, I et al

in Neurorehabilitation & Neural Repair (2015), 29

BACKGROUND: . Previous findings suggest that language disorders may occur in severely brain-injured patients and could interfere with behavioral assessments of consciousness. However, no study ... [more ▼]

BACKGROUND: . Previous findings suggest that language disorders may occur in severely brain-injured patients and could interfere with behavioral assessments of consciousness. However, no study investigated to what extent language impairment could affect patients' behavioral responses. OBJECTIVE: . To estimate the impact of receptive and/or productive language impairments on consciousness assessment. METHODS: . Twenty-four acute and subacute stroke patients with different types of aphasia (global, n = 11; Broca, n = 4; Wernicke, n = 3; anomic, n = 4; mixed, n = 2) were recruited in neurology and neurosurgery units as well as in rehabilitation centers. The Coma Recovery Scale-Revised (CRS-R) was administered. RESULTS: . We observed that 25% (6 out of 24) of stroke patients with a diagnosis of aphasia and 54% (6 out of 11) of patients with a diagnosis of global aphasia did not reach the maximal CRS-R total score of 23. An underestimation of the consciousness level was observed in 3 patients with global aphasia who could have been misdiagnosed as being in a minimally conscious state, even in the absence of any documented period of coma. More precisely, lower subscores were observed on the communication, motor, oromotor, and arousal subscales. CONCLUSION: . Consciousness assessment may be complicated by the co-occurrence of severe language deficits. This stresses the importance of developing new tools or identifying items in existing scales, which may allow the detection of language impairment in severely brain-injured patients. [less ▲]

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See detailVariogram-based inversion of time-lapse electrical resistivity data: development and application to a thermal tracing experiment
Hermans, Thomas ULg; Nguyen, Frédéric ULg

Poster (2015, April 15)

Electrical resistivity tomography (ERT) has become a popular imaging methodology in a broad range of applications given its large sensitivity to subsurface parameters and its relative simplicity to ... [more ▼]

Electrical resistivity tomography (ERT) has become a popular imaging methodology in a broad range of applications given its large sensitivity to subsurface parameters and its relative simplicity to implement. More particularly, time-lapse ERT is now increasingly used for monitoring purposes in many contexts such as water content, permafrost, landslide, seawater intrusion, solute transport or heat transport experiments. Specific inversion schemes have been developed for time-lapse data sets. However, in contrast with static inversions for which many techniques including geostatistical, minimum support or structural inversion are commonly applied, most of the methodologies for time-lapse inversion still rely on non-physically based spatial and/or temporal smoothing of the parameters or parameter changes. In this work, we propose a time-lapse ERT inversion scheme based on the difference inversion scheme. We replace the standard smoothness-constraint regularization operator by the parameter change covariance matrix. This operator takes into account the correlation between changes in resistivity at different locations through a variogram computed using independent data (e.g., electromagnetic logs). It may vary for subsequent time-steps if the correlation length is time-dependent. The methodology is first validated and compared to the standard smoothness-constraint inversion using a synthetic benchmark simulating the injection of a conductive tracer into a homogeneous aquifer inducing changes in resistivity values of known correlation length. We analyze the influence of the assumed correlation length on inversion results. Globally, the method yields better results than the traditional smoothness constraint inversion. Even if a wrong correlation length is assumed, the method performs as well as the smoothness constraint since the regularization operator balances the weight given to the model constraint functional in the objective function. Then the methodology is successfully applied to a heat injection and pumping experiment in an alluvial aquifer. The comparison with direct measurements in boreholes (temperature loggers and distributed temperature sensing optic fibres) shows that ERT-derived temperatures and breakthrough curves image reliably the heat plume through time (increasing part of the curve, maximum and tail are correctly retrieved) and space (lateral variations of temperature are observed) with less spatial smoothing than standard methods. The development of new regularization operators for time-lapse inversion of ERT data is necessary given the broad range of applications where ERT monitoring is used. In many studies, independent data are available to derive geostatistical parameters that can be subsequently used to regularize geophysical inversions. In the future, the integration of spatio-temporal variograms into existing 4D inversion schemes should further improve ERT time-lapse imaging. [less ▲]

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See detailRegularized focusing inversion of time-lapse electrical resistivity data: an approach to parametrize the minimum gradient support functional
Nguyen, Frédéric ULg; Hermans, Thomas ULg

Poster (2015, April 15)

Inversion of time-lapse resistivity data allows obtaining ‘snapshots’ of changes occurring in monitored systems for applications such as aquifer storage, geothermal heat exchange, site remediation or ... [more ▼]

Inversion of time-lapse resistivity data allows obtaining ‘snapshots’ of changes occurring in monitored systems for applications such as aquifer storage, geothermal heat exchange, site remediation or tracer tests. Based on these snapshots, one can infer qualitative information on the location and morphology of changes occurring in the subsurface but also quantitative estimates on the degree of changes in certain property such as temperature or total dissolved solid content. Analysis of these changes can provide direct insight into flow and transport and associated processes and controlling parameters. However, the reliability of the analysis is dependent on survey geometry, measurement schemes, data error, and regularization. Survey design parameters may be optimized prior to the monitoring survey. Regularization, on the other hand, may be chosen depending on available information collected during the monitoring. Common approaches consider smoothing model changes both in space and time but it is often needed to obtain a sharp temporal anomaly, for example in fractured aquifers. We here propose to use the alternative regularization approach based on minimum gradient support (MGS) (Zhdanov, 2002) for time-lapse surveys which will focus the changes in tomograms snapshots. MGS will limit the occurrences of changes in electrical resistivity but will also restrict the variations of these changes inside the different zones. A common difficulty encountered by practitioners in this type of regularization is the choice of an additional parameter, the so-called , required to define the MGS functional. To the best of our knowledge, there is no commonly accepted or standard methodology to optimize the MGS parameter . The inversion algorithm used in this study is CRTomo (Kemna 2000). It uses a Gauss-Newton scheme to iteratively minimize an objective function which consists of a data misfit functional and a model constraint functional. A univariate line search is performed at each Gauss-Newton iteration step to find the optimum value of the regularization parameter  which minimizes the data misfit as a function of  while the data misfit is above the desired value and yields the desired target misfit (root-mean square value of error-weighted data misfit equal to 1) at the last iteration for a maximum value of . We propose here to optimize the  of the MGS functional by considering a univariate line search at the first iteration to find the  that minimizes the data misfit. The parameter is then kept constant during the Gauss-Newton iterative scheme. In this contribution, we validate our approach on a numerical benchmark and apply it successfully on a case study in the context of salt tracers in fractured aquifers. Zhdanov M.S. 2002. Geophysical Inverse Theory and Regularization Problems. Elsevier, Amsterdam, 628 p. Kemna A. 2000. Tomographic Inversion of Complex Resistivity - Theory and Application. PhD Thesis, Ruhr University Bochum. [less ▲]

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See detailFirst evidence of Neandertal cannibalism in Northern Europe: the case of the “Troisieme Caverne” of Goyet (Belgium)
Rougier, H.; Crevecoeur, I.; Beauval, C. et al

Conference (2015, April 15)

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See detailRetrievals of formaldehyde from ground-based FTIR and MAX-DOAS observations at the Jungfraujoch station and comparisons with GEOS-Chem and IMAGES model simulations
Franco, Bruno ULg; Hendrick, François; Van Roozendael, Michel et al

in Atmospheric Measurement Techniques (2015), 8

As an ubiquitous product of the oxidation of many volatile organic compounds (VOCs), formaldehyde (HCHO) plays a key role as a short-lived and reactive intermediate in the atmospheric photo-oxidation ... [more ▼]

As an ubiquitous product of the oxidation of many volatile organic compounds (VOCs), formaldehyde (HCHO) plays a key role as a short-lived and reactive intermediate in the atmospheric photo-oxidation pathways leading to the formation of tropospheric ozone and secondary organic aerosols. In this study, HCHO profiles have been successfully retrieved from ground-based Fourier transform infrared (FTIR) solar spectra and UV-visible Multi-AXis Differential Optical Absorption Spectroscopy (MAX-DOAS) scans recorded during the July 2010–December 2012 time period at the Jungfraujoch station (Swiss Alps, 46.5° N, 8.0° E, 3580m a.s.l.). Analysis of the retrieved products has revealed different vertical sensitivity between both remote sensing techniques. Furthermore, HCHO amounts simulated by two state-of-the-art chemical transport models (CTMs), GEOSChem and IMAGES v2, have been compared to FTIR total columns and MAX-DOAS 3.6–8 km partial columns, accounting for the respective vertical resolution of each ground-based instrument. Using the CTM outputs as the intermediate, FTIR and MAX-DOAS retrievals have shown consistent seasonal modulations of HCHO throughout the investigated period, characterized by summertime maximum and wintertime minimum. Such comparisons have also highlighted that FTIR and MAX-DOAS provide complementary products for the HCHO retrieval above the Jungfraujoch station. Finally, tests have revealed that the updated IR parameters from the HITRAN 2012 database have a cumulative effect and significantly decrease the retrieved HCHO columns with respect to the use of the HITRAN 2008 compilation. [less ▲]

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See detailCombining δ13C measurements and ERT imaging: improving our understanding of competition at the crop-soil-hedge interface
Hussain, Khalid; Wongleecharoen, Chalemchart; Hilger, Thomas et al

in Plant and Soil (2015)

See detailLight, alertness, cognition, and much more
Vandewalle, Gilles ULg

Scientific conference (2015, April 13)

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See detailRetrieval of ammonia from ground-based FTIR measurements and its use for validation of satellite observations by IASI
Dammers, E; Palm, M; Warneke, T et al

in Geophysical Research Abstracts (2015, April 13), 17

Atmospheric Ammonia (NH3) has a major impact on human health and ecosystem services and plays a major role in the formation of aerosols [Erisman et al.,2013; Paulot and Jacob 2014]. NH3 concentrations are ... [more ▼]

Atmospheric Ammonia (NH3) has a major impact on human health and ecosystem services and plays a major role in the formation of aerosols [Erisman et al.,2013; Paulot and Jacob 2014]. NH3 concentrations are highly variable in space and time with overall short lifetime due to deposition and aerosol formation. The global atmospheric budget of nitrogen and in turn NH3 is still uncertain which asks for more ground-based and satellite observations around the world. Recent papers have described the possibility to measure NH3 with satellite infrared sounders which open up the way for calculations of global and regional nitrogen budgets [Clarisse et al 2009,Van Damme et al 2014a]. Validation of the satellite observations is essential to determine the uncertainty in the signal and its potential use. So far available surface layer observations of atmospheric NH3 concentrations have been used for comparisons with total columns retrieved from satellite observations [Van Damme 2014b]. We developed a retrieval for NH3 column density concentrations (molecules NH3/cm2) by fitting a set of spectral windows to ground-based solar absorption Fourier transform infrared (FTIR) measurements with the spectral fitting program SFIT4 [Hase et al., 2004]. The retrieval is then applied to FTIR measurements from a set of spectrometer sites from the Network for detection of Atmospheric Composition Change (NDACC) to retrieve NH3 columns for the sites located in Bremen, Germany; Lauder, New Zealand; Jungfraujoch, Switzerland; and the island of Reunion, France. Using eight years (2005-2013) of retrieved NH3 columns clear seasonal cycles are observed for each of the stations. Maximum concentrations can be related to NH3 emission sources, specific for the regions. A comparison between the retrieved NH3 columns and observations from the recent IASI- NH3 product [Van Damme et al, 2014a] using strict spatial and temporal criteria for the selection of observations showed a good correlation (R=0.82; slope=0.63). The IASI- NH3 columns for the Bremen and Lauder area show similar temporal cycles when compared to the FTIR observations. [less ▲]

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See detailRecent increase of ethane detected in the remote atmosphere of the Northern Hemisphere
Franco, Bruno ULg; Bader, Whitney ULg; Bovy, Benoît ULg et al

Conference (2015, April 13)

Ethane (C2H6) has a large impact on tropospheric composition and air quality because of its involvement in the global VOC (volatile organic compound) – HOx – NOx chemistry responsible for generating and ... [more ▼]

Ethane (C2H6) has a large impact on tropospheric composition and air quality because of its involvement in the global VOC (volatile organic compound) – HOx – NOx chemistry responsible for generating and destroying tropospheric ozone. By acting as a major sink for tropospheric OH radicals, the abundance of C2H6 influences the atmospheric content of carbon monoxide and impacts the lifetime of methane. Moreover, it is an important source of PAN, a thermally unstable reservoir for NOx radicals. On a global scale, the main sources of C2H6 are leakage from the production, transport of natural gas loss, biofuel consumption and biomass burning, mainly located in the Northern Hemisphere. Due to its relatively long lifetime of approximately two months, C2H6 is a sensitive indicator of tropospheric pollution and transport. Using an optimized retrieval strategy (see Franco et al., 2014), we present here a 20-year long-term time series of C2H6 column abundance retrieved from ground-based Fourier Transform InfraRed (FTIR) solar spectra recorded from 1994 onwards at the high-altitude station of Jungfraujoch (Swiss Alps, 46.5° N, 3580 m a.s.l.), part of the Network for the Detection of Atmospheric Composition Change (NDACC, see http://www.ndacc.org). After a regular 1994 – 2008 decrease of the C2H6 amounts, which is very consistent with prior major studies (e.g., Aydin et al., 2011; Simpson et al., 2012) and our understanding of global C2H6 emissions, trend analysis using a bootstrap resampling tool reveals a C2H6 upturn and a statistically-significant sharp burden increase from 2009 onwards (Franco et al., 2014). We hypothesize that this observed recent increase in C2H6 could affect the whole Northern Hemisphere and may be related to the recent massive growth in the exploitation of shale gas and tight oil reservoirs. This hypothesis is supported by measurements derived from solar occultation observations performed since 2004 by the Atmospheric Chemistry Experiment – Fourier Transform Spectrometer (ACE-FTS) instrument and at other NDACC sites, namely Toronto (44° N) and Thule (77° N). Indeed, the recent rates of changes characterizing these data sets are consistent in magnitude and sign with the one derived from the FTIR measurements at Jungfraujoch. In contrast, the ethane time series form Lauder (45° S) shows a monotonic decrease over the last two decades. Investigating both the cause and impact on air quality of the C2H6 upturn should be a high priority for the atmospheric chemistry community. [less ▲]

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See detailHalogenated source gases measured by FTIR at the Jungfraujoch station: updated trends and new target species
Mahieu, Emmanuel ULg; Bader, Whitney ULg; Bovy, Benoît ULg et al

in Geophysical Research Abstracts (2015, April 13), 17

In this contribution, we present decadal time series of halogenated source gases monitored at the high altitude station of the Jungfraujoch (46.5°N, 8°E, 3580 m asl) with Fourier Transform Infared (FTIR ... [more ▼]

In this contribution, we present decadal time series of halogenated source gases monitored at the high altitude station of the Jungfraujoch (46.5°N, 8°E, 3580 m asl) with Fourier Transform Infared (FTIR) spectrometers, within the framework of the Network for the Detection of Atmospheric Composition Change. Total column trends presented in previous studies for CFC-11, -12 and HCFC-22, CCl4, HCFC-142b, CF4 and SF6 will be updated using the latest available Jungfraujoch solar observations. Investigations dealing with the definition of approaches to retrieve additional halogenated source gases from FTIR spectra will also be evoked. Our trend results will be critically discussed and compared with measurements performed in the northern hemisphere by the in situ networks. [less ▲]

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See detailWhat is the professional profile of patients in phoniatrics?
Remacle, Angélique ULg; Petitfils, Cloé; LEJEUNE, LIONEL ULg et al

Conference (2015, April 10)

Objective. Research has paid increased attention to occupational voice disorders. This study describes the occupational status of patients examined in the Department of Otorhinolaryngology at Liège ... [more ▼]

Objective. Research has paid increased attention to occupational voice disorders. This study describes the occupational status of patients examined in the Department of Otorhinolaryngology at Liège University Hospital (Belgium) from 2009 to 2013. Study design. Retrospective study. Methods. The sex, age, diagnosis and occupational status were identified for 1,079 patients who were examined for a voice problem (754 women and 325 men; ages 4 to 93). The diagnosis was established using videolaryngostroboscopy. For patients who were employed, we identified (1) the numerically most frequent professionals, and (2) the professionals most at risk of consulting for their voice, based on the distribution of these professions among all workers living in French-speaking Belgium. Results. 11% of patients were unemployed, 15% were students, 20% were retired, and 54% were workers. In decreasing order of frequency, the most commonly seen professionals were teachers, office workers, artists (singers, actors, and musicians), storekeepers and marketing representatives, managers, domestic workers, and laborers. Regarding their distribution in the working population, the workers at greatest risk of consulting were artists, music teachers, counselors, sports coaches, psychologists, switchboard operators, journalists, and teachers. Nodules are the most common pathologies, encountered in 16.8% of the workers and 42.8% of the students who consulted the Department of Otorhinolaryngology for dysphonia. Conclusion. Prevention is needed both for the professions that seek medical help in the largest numbers (teachers) and for those that are at highest risk of consulting (artistic professions). In addition, teachers must be informed of the need to seek help as soon as voice problems appear. Level of evidence: 2b [less ▲]

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See detailChallenges of Sustainable and Commercial Aquaponics
Goddek, Simon; Delaide, Boris ULg; Mankasingh, Utra et al

in Sustainability (2015), 7

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See detailMéthode ethnographique et science sociocriminologique. Le cas des groupements de jeunes.
Collin, Jonathan ULg

Conference given outside the academic context (2015)

ARGUMENT : Comment allier objet d'intérêt criminologique et méthodes de recherche ? Comment construire une méthode pertinente pour rendre compte, par exemple, de la réalité des groupes de jeunes, en ce ... [more ▼]

ARGUMENT : Comment allier objet d'intérêt criminologique et méthodes de recherche ? Comment construire une méthode pertinente pour rendre compte, par exemple, de la réalité des groupes de jeunes, en ce compris ce que certains praticiens et chercheurs nomment "les bandes" ? La réponse se trouve peut-être dans la méthode ethnographique, dont nous savons qu'elle fut utilisée par les sociologues dits de l'Ecole de Chicago et qu'elle est encore la base méthodologique des recherches en anthropologie et de certaines études sociologiques. Pourrait-on alors parler "d'ethnocriminologie", dans le sens où l'on étudierait un phénomène d'intérêt criminologique à travers la méthode ethnographique ? Plus largement, quelle place la criminologie fait-elle à l'anthropologie et à l'ethnographie ? [less ▲]

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