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See detailEssays on Asset Pricing Models with Jump Processes
Cui, Xuecan UL

Doctoral thesis (2017)

This dissertation contains four autonomous academic papers on asset pricing models with jump processes, including the studies of equilibrium asset pricing model, option pricing model, and empirical test ... [more ▼]

This dissertation contains four autonomous academic papers on asset pricing models with jump processes, including the studies of equilibrium asset pricing model, option pricing model, and empirical test. The common thread between them is the application of jump processes that links them in asset price modeling. The first three papers study Lévy process and its inhomogeneous extensions, while the last one studies contagious Hawkes processes. The first essay proposes a novel equilibrium asset pricing model under the semiparametric jump diffusion framework, including drift, volatility and jump intensity in a general time-varying form. The corresponding pricing kernel provides insights on option pricing, and equity premium puzzle [Mehra & Prescott (1985)]. The analytical solutions of equity premium and European call option are given as well. The second essay introduces a new econometric method/procedure to disentangle the three time-varying components of drift, volatility and jump in asset prices. By combining Hodrick-Prescott filter and particle filters, I decomposed the three timevarying components in the S&P500 index, and observed the clustering of volatility and jumps, though the clustering effects are more pronounced when the time-varying drift is negative. Empirical results support the proposed time-varying jump diffusion asset pricing model in Chapter 2. The third essay studies the (un)importance of small jumps in option pricing models. The option pricing literature argues that the behavior of small jumps in a Geometric Lévy model is of paramount importance [Carr et al. (2002)]. This is evidently true for very short time horizons and very deep in- and out-of-the-money options. In this paper, we took the complementary view and asked what values of time to maturity and option moneyness in a Geometric Lévy model lead to option prices, which are practically indistinguishable from the price of plain vanilla options in the BlackScholes model. In other words, in what situation that the Lévy model in question can be replaced with a Brownian motion with minimal pricing error. We produced explicit tight bounds in the case of a Poisson jump process, and related heuristic bounds for arbitrary Lévy process with exponentially decaying jump intensity. The fourth essay models and tests contagious jumps in bull/bear market regimes, in which I developed the regime switching Hawkes processes to model the contagious asset jumps in the international stock market. This new model allows serial and regional contagion in international asset prices, in which contagious impact can be flexible to accommodate different market conditions. [less ▲]

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See detailAutomating Emendations of the Ontological Argument in Intensional Higher-Order Modal Logic
Benzmüller, Christoph UL; Fuenmayor, David

Report (2017)

A shallow semantic embedding of an intensional higher-order modal logic (IHOML) in Isabelle/HOL is presented. IHOML draws on Montague/Gallin intensional logics and has been introduced by Melvin Fitting in ... [more ▼]

A shallow semantic embedding of an intensional higher-order modal logic (IHOML) in Isabelle/HOL is presented. IHOML draws on Montague/Gallin intensional logics and has been introduced by Melvin Fitting in his textbook Types, Tableaus and Gödel’s God in order to discuss his emendation of Gödel’s ontological argument for the existence of God. Utilizing IHOML, the most interesting parts of Fitting’s textbook are formalized, automated and verified in the Isabelle/HOL proof assistant. A particular focus thereby is on three variants of the ontological argument which avoid the modal collapse, which is a strongly criticized side-effect in Gödel’s resp. Scott’s original work. [less ▲]

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See detailACTIVITY-TRAVEL BEHAVIOUR IN THE CONTEXT OF WORKPLACE RELOCATION
Sprumont, François UL

Doctoral thesis (2017)

Travel behaviour analysis is a complex task because of the myriad of determinants influencing decision makers. The commuting trip constitutes an important travel purpose, but is not the dominant one ... [more ▼]

Travel behaviour analysis is a complex task because of the myriad of determinants influencing decision makers. The commuting trip constitutes an important travel purpose, but is not the dominant one. Because of its spatial and temporal concentration, the commuting flow is an ideal target for mobility management measures aiming at decreasing its negative externalities. Nevertheless, commuting travels are done in the frame of a more complex activity-travel chain, and some choices, whether on the short term (e.g. commuting mode choice) or in the longer term (e.g. where to live, buy a car) are done considering an ensemble of trips. Our research hypothesis is that workplace relocation, or more generally an event that strongly affects travellers’ trip chains, induces different and interrelated responses. Our research aim is to gain insight into this complex decision-making process, in order to better understand its relation with transport policy measures. [less ▲]

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See detailCharge and energy fractionalization mechanism in one-dimensional channels
Acciai, Matteo; Calzona, Alessio UL; Dolcetto, Giacomo UL et al

in Physical Review B (2017), 96

We study the problem of injecting single electrons into interacting one-dimensional quantum systems, a fundamental building block for electron quantum optics. It is well known that such injection leads to ... [more ▼]

We study the problem of injecting single electrons into interacting one-dimensional quantum systems, a fundamental building block for electron quantum optics. It is well known that such injection leads to charge and energy fractionalization. We elucidate this concept by calculating the nonequilibrium electron distribution function in the momentum and energy domains after the injection of an energy-resolved electron. Our results shed light on how fractionalization occurs via the creation of particle-hole pairs by the injected electron. In particular, we focus on systems with a pair of counterpropagating channels, and we fully analyze the properties of each chiral fractional excitation which is created by the injection. We suggest possible routes to access their energy and momentum distribution functions in topological quantum Hall or quantum spin-Hall edge states. [less ▲]

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See detailCommon framework and quadratic Bethe equations for rational Gaudin magnets in arbitrarily oriented magnetic fields
Faribault, Alexandre; Tschirhart, Hugo UL

in SciPost Physics (2017)

In this work we demonstrate a simple way to implement the quantum inverse scattering method to find eigenstates of spin-1/2 XXX Gaudin magnets in an arbitrarily oriented magnetic field. The procedure ... [more ▼]

In this work we demonstrate a simple way to implement the quantum inverse scattering method to find eigenstates of spin-1/2 XXX Gaudin magnets in an arbitrarily oriented magnetic field. The procedure differs vastly from the most natural approach which would be to simply orient the spin quantisation axis in the same direction as the magnetic field through an appropriate rotation. Instead, we define a modified realisation of the rational Gaudin algebra and use the quantum inverse scattering method which allows us, within a slightly modified imple- mentation, to build an algebraic Bethe ansatz using the same unrotated reference state (pseudovacuum) for any external field. This common framework allows us to easily write determinant expressions for certain scalar products which would be highly non-trivial in the rotated system approach. [less ▲]

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See detailWhy organically functionalized nanoparticles increase the electrical conductivity of nematic liquid crystal dispersions
Urbanski, Martin; Lagerwall, Jan UL

in Journal of Materials Chemistry C (2017), 5(34), 8802-8809

Doping liquid crystals with gold nanoparticles increases the conductivity by up to three orders of magnitude, an increase even stronger than expected for equimolar amounts of organic electrolytes. Despite ... [more ▼]

Doping liquid crystals with gold nanoparticles increases the conductivity by up to three orders of magnitude, an increase even stronger than expected for equimolar amounts of organic electrolytes. Despite recent high activity in the field of liquid crystalline nanocomposites, the origin of this increase has rarely been addressed and is not well understood. In this dielectric spectroscopy study we discuss the origin of the increased conductivity and identify its source. We demonstrate that the hydrodynamic radius of the mobile charge carrier species in nanoparticle dispersions is significantly smaller than the 3–5 nm gold core, which rules out the particles themselves to be the source of conductivity. Likewise, also the ligand molecules from the organic capping layer do not themselves add to the conductivity of the dispersions, but affect the electrical properties by acting as a trap for ionic impurities. We suggest that the partial release of these impurities upon interactions of the ligand shell with the uniaxial nematic host phase is the most likely source for the increased conductivity. Our study opens a new perspective on synthesis strategies for functionalized nanoparticles and will help to overcome the current issues preventing high-performing liquid crystal nanodispersions. [less ▲]

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See detailImplementation of Carmo and Jones Dyadic Deontic Logic in Isabelle/HOL
Benzmüller, Christoph UL; Farjami, Ali UL; Parent, Xavier UL et al

Scientific Conference (2017, July 06)

A shallow semantical embedding of a dyadic deontic logic (by Carmo and Jones) in Isabelle/HOL is presented. First experiments provide evidence that this logic implementation fruitfully enables interactive ... [more ▼]

A shallow semantical embedding of a dyadic deontic logic (by Carmo and Jones) in Isabelle/HOL is presented. First experiments provide evidence that this logic implementation fruitfully enables interactive and automated reasoning at the meta-level the object-level. [less ▲]

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See detailThe effect of workplace relocation on individuals’ activity travel behaviour
Sprumont, François UL; Viti, Francesco UL

Scientific Conference (2017, July 04)

During working days, home and workplace are anchor locations shaping the daily mobility as well as the employee’s activity pattern. While past research has shown that workplace decentralization is often ... [more ▼]

During working days, home and workplace are anchor locations shaping the daily mobility as well as the employee’s activity pattern. While past research has shown that workplace decentralization is often associated with higher car use for the commuting trip, little is known concerning the effect on activity-travel patterns as whole. The objective of this paper is to assess how workplace decentralization is affecting individuals’ daily activity space. A two-weeks travel diary has been filled by 43 employees of the University of Luxembourg, both before and after the relocation of their workplace. Using descriptive statistics, as well as Standard Deviational Ellipses (SDE) combined with a cluster analysis, results of this paper show that workers’ activity spaces, represented by the Standard Deviational Ellipses, have been importantly modified due to a relocation of a single anchor activity location, i.e. their workplace [less ▲]

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See detailSDG Lab: Young Entrepreneurs to Advance Local Economies and Community Health in Africa
Leist, Anja UL

Scientific Conference (2017, July)

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See detailLocal History: Luxembourg City, Belair. DIE VILLA, IN DER TITAN ENTSTAND
Ganschow, Inna UL

Article for general public (2017)

The story of the villa which was used by Titanium inventor William Kroll (1889-1973) as his residence and lab before WWII.

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See detailGender and Food
Reckinger, Rachel UL

Presentation (2017, June 27)

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See detailDo Public Health Campaigns Have an Impact on Diet? Institutional Set-Up and Everyday Appropriations of Nutritional Recommendations in France and Luxembourg
Reckinger, Rachel UL; Régnier, Faustine

Scientific Conference (2017, June 22)

Since the early 2000s nutrition has increasingly established itself in various European countries as a major element of public health policies. The launching at governmental level of the Programme ... [more ▼]

Since the early 2000s nutrition has increasingly established itself in various European countries as a major element of public health policies. The launching at governmental level of the Programme National Nutrition Santé in France in 2001, and of the National Action Plan “Gesond iessen, méi bewegen” in Luxembourg in 2006 has generated a number of public health campaigns and the dissemination of a series of nutritional recommendations. However, while these policies were developed concomitantly in numerous European countries, the work on their institutional implementation, but also the appropriation of nutritional recommendations by individuals, has rarely been put in European comparison, even less so in the field of social sciences and sociology. Based on a mixed-methodology combining an institutional analysis of how national models and on two field surveys with in-depth interviews, this contribution will examine the political implementation and societal appropriation of nutritional recommendations in two European countries, France and Luxembourg. Based on this comparison, the paper explores the following research question: in which way – and by which social categories – are the recommendations taken in and put into practice, and if so, which appropriation processes and interpretations occur? Do the social, societal and cultural differences between Luxembourg and France (as well as within them), in terms of standard of living, cultural values and dissemination of norms, account for differentiated appropriations of dietary incentives? Which socio-cultural factors and everyday constraints favour a frontal internalisation of dietary recommendations, as opposed to a more creative appropriation or even a critical avoidance? By means of the recommendations issued in the framework of public health, we pose the more general question of how and why dietary norms are perceived and integrated by individuals. This contribution will highlight that, in France as in Luxembourg, these two nutritional policies show striking similarities in term of contents, but marked differences in their structuring and their implementation. The dissemination of recommendations is based on policies, which are received, understood and appropriated in different ways. The comparison France / Luxembourg shows that socio-cultural logics override national ones: the way in which the individuals perceive the recommendations and appropriate them reflect more the social affiliation than the national one; gender and the events of the life cycle, particularly parentality, are also relevant. The recommendations disseminated by France's PNNS and Luxembourg's GIMB primarily reach people whose dietary habits are already orientated in the ‘desired’ direction. But even those persons sort out between the information that strikes them as being more or less pertinent – they only ever appropriate a selection of the recommendations. Ultimately, it is on the basis of their priorities and personal constraints, on the one hand, as well as of the agreement between the political recommendations with the previous societal practices and values on the other, that credit is given to this or that message. In the same way, the recommendations are only appropriated (albeit, again, in a selective and pragmatic way) if they match people’s daily priorities and constraints, as well as the general cultural values of their social milieu. No matter how much cognitive effort is put into nutritional composition in everyday experience, interviewees compensate it by a personal focus on the hedonistic communicative value and community formation through eating – which always comes first in their mind. Finally, the comparison of two European countries’ political institutionalisation on the one hand, and the appropriation and the putting into practice of nutritional recommendations on the other, allows us to comprehend more general societal evolutions: namely, a globalisation of national policies and of food cultures and a differentiation of social contrasts, cutting across national frontiers – but which take on specific forms depending on the standard of living and the social structure of the societies under review. The findings revealed by this comparison between France and Luxembourg can without doubt be further extended and point to the challenges that all European societies face in the future in a context of mounting health inequalities. [less ▲]

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See detailCapability Discovery for Automated Reasoning Systems
Steen, Alexander; Wisniewski, Max; Schurr, Hans-Jörg et al

in IWIL Workshop and LPAR Short Presentations (2017, June 04)

Automated reasoning systems such as theorem provers often employ interaction or cooperation with further reasoning software. Whereas in most cases the concrete choice of cooperating software is, to some ... [more ▼]

Automated reasoning systems such as theorem provers often employ interaction or cooperation with further reasoning software. Whereas in most cases the concrete choice of cooperating software is, to some extent, irrelevant, these systems are nevertheless often rigid in practice due to compatibility issues. In order to support more flexible cooperation schemes, a machine-readable description format for automated reasoning systems' capabilities is proposed. Additionally, a simple HTTP-based protocol for system and capability discovery is outlined. Both the format and the protocol are designed to be simple, extensible and easy to use with none to minor modifications for existing reasoning systems. [less ▲]

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See detailGoing Polymorphic - TH1 Reasoning for Leo-III
Steen, Alexander; Wisniewski, Max; Benzmüller, Christoph UL

in IWIL Workshop and LPAR Short Presentations (2017, June 04)

While interactive proof assistants for higher-order logic (HOL) commonly admit reasoning within rich type systems, current theorem provers for HOL are mainly based on simply typed lambda-calculi and ... [more ▼]

While interactive proof assistants for higher-order logic (HOL) commonly admit reasoning within rich type systems, current theorem provers for HOL are mainly based on simply typed lambda-calculi and therefore do not allow such flexibility. In this paper, we present modifications to the higher-order automated theorem prover Leo-III for turning it into a reasoning system for rank-1 polymorphic HOL. To that end, a polymorphic version of HOL and a suitable paramodulation-based calculus are sketched. The implementation is evaluated using a set of polymorphic TPTP THF problems. [less ▲]

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See detailLeo-III Version 1.1 (System description)
Benzmüller, Christoph UL; Steen, Alexander; Wisniewski, Max

in IWIL Workshop and LPAR Short Presentations (2017, June 04)

Leo-III is an automated theorem prover for (polymorphic) higher-order logic which supports all common TPTP dialects, including THF, TFF and FOF as well as their rank-1 polymorphic derivatives. It is based ... [more ▼]

Leo-III is an automated theorem prover for (polymorphic) higher-order logic which supports all common TPTP dialects, including THF, TFF and FOF as well as their rank-1 polymorphic derivatives. It is based on a paramodulation calculus with ordering constraints and, in tradition of its predecessor LEO-II, heavily relies on cooperation with external first-order theorem provers. Unlike LEO-II, asynchronous cooperation with typed first-order provers and an agent-based internal cooperation scheme is supported. In this paper, we sketch Leo-III's underlying calculus, survey implementation details and give examples of use. [less ▲]

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See detailGood for Me and Good For My Region. The Ambivalences of Responsible Everyday Food Literacy Between Self-Referentiality and Locavoracity
Reckinger, Rachel UL

Scientific Conference (2017, June 01)

Good for Me and Good For My Region. The Ambivalences of Responsible Everyday Food Literacy Between Self-Referentiality and Locavoracity. This paper is based on two interdisciplinary empirical surveys at ... [more ▼]

Good for Me and Good For My Region. The Ambivalences of Responsible Everyday Food Literacy Between Self-Referentiality and Locavoracity. This paper is based on two interdisciplinary empirical surveys at the University of Luxembourg (quantitative and qualitative), carried out in the transnational context of Luxembourg and the surrounding Greater Region, allowing for comparative results of consumption dynamics between regions in Luxembourg, Germany, France and Belgium. It aims to analyse everyday appropriations of ‘responsible’ eating habits – seen as a set of plural ways of how people put into practice plural ideas of sustainability. To find out by which motivations the motor for ‘responsible’ consumption is driven, the notion of sustainability is characterised by quantitative indicators of possible sustainability in the food domain, relating to consumed foods or to individual criteria of food selection. Subsequently, qualitative interviews provide insights into the meanings of, and values behind, those indicators, uncovering everyday priorities, appropriations and strategies of consumption, as well as its justifications in a perspective of spatial identification. By contrasting arguments about food consumption ideals and practices, the results show a marked dialectic between self-referentiality and a general interest in food’s provenance, understood as regionally produced. This ‘locavorous’ form of regionality favours a (new) consciousness of geolocalized context of food production, which may, in turn, have an impact on the overall food literacy, increasingly seen as a political field of citizen action for lowering carbon transport emissions, fostering community identifications and anchoring local socio-economic valorizations. This shows which aspects of the polysemic idea of sustainability are relevant to consumers’ preoccupations, and to what extent consumers are reflexive in their ‘responsible’ food choices. [less ▲]

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See detailDoes self-knowledge advance political justification? The case of public philosophy and Stout’s “unconstrained discourse”
Burks, Deven UL

Scientific Conference (2017, June)

Can self-knowledge of personal attitudes and belief-formation figure as a requirement on those engaging in political justification? Would this not be asking too much of participants both at the personal ... [more ▼]

Can self-knowledge of personal attitudes and belief-formation figure as a requirement on those engaging in political justification? Would this not be asking too much of participants both at the personal and associational level and at the institutional and governmental level? Yet such a requirement seems to follow on Jeffrey Stout’s pragmatist-expressivist account of political discourse and justification as reason-giving or “unconstrained discourse” (Stout, 2004). This self-knowledge requirement comes out in his emphasis on an individual justificatory standpoint, from which the person articulates reasons and beliefs and engages in (self-)storytelling and narration in order to express openly to the audience that person’s motivations and justification for a given political position (Stout, 2010). If his political epistemology so requires self-knowledge and “public” philosophy serves to guide political justification, the question remains by what means or resources “public” philosophy may advance the kind of self-knowledge required on the behalf of participants. To that end, Leiter (2016) may provide useful contrast as a critique of the notion of “discursive hygiene” in justification (as opposed to “rhetoric”) by elaborating the challenges posed to this notion by the obscurity of belief-formation, emotivism and tribalism. If Stout is seen to advance a view of public philosophy and political justification akin to “discursive hygiene”, Leiter’s critique poses a serious challenge to the former’s political epistemology and pragmatist-expressivist account of political justification. In short, “unconstrained discourse” would provide no meaningful standards for such justification or its participants. Our first question then is to know whether Stout can overcome both the prima facie obstacles which this epistemological requirement sets participants and Leiter’s naturalistic challenge to “public” philosophy and political justification. Provisionally, we may respond that Stout takes important steps to circumscribe the role of “public” philosophy and political justification within other publicly available modes of acculturation and moral inculcation. Our second question lies in whether Stout and Leiter then concur on the need for “rhetoric” as an argumentative standard for political justification. In the end, we will conclude that Leiter’s “rhetoric” and Stout’s “unconstrained discourse” are closer than they might at first appear. [less ▲]

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