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See detailThe Date of Plutarch's De Tranquillitate Animi
Demulder, Bram ULiege

E-print/Working paper (in press)

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See detailIndustry 4.0: An empirical analysis of its adoption in Wallonia
Paseyro Mayol, Joaquin ULiege; Gautier, Axel ULiege; Neysen, Nicolas ULiege

E-print/Working paper (2020)

This paper studies the factors influencing the adoption of digital technologies in the manufacturing sector; the so called Industry 4.0 phenomenon. We focus on the adoption of three particular ... [more ▼]

This paper studies the factors influencing the adoption of digital technologies in the manufacturing sector; the so called Industry 4.0 phenomenon. We focus on the adoption of three particular technologies (Predictive Maintenance, Smart Production and Advanced Planning) in the Belgian region of Wallonia. In line with the claims of related qualitative studies, our findings suggest that smaller firms, which have a more restricted access to financial resources, are less prone to adopt these technologies. Our results are compatible with the notion that more digitally mature firms are more prone to be adopters. Moreover, we do not find evidence supporting the claim that more profitable firms are more likely to be adopters. Finally, we present indicative evidence regarding the efficacy of the regional governmental program which aimed to increase the diffusion of Industry 4.0. [less ▲]

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See detailModelling and Assessing the Impact of the DSO Remuneration Strategy on its Interaction with Electricity Users
Manuel de Villena Millan, Miguel ULiege; Gautier, Axel ULiege; Ernst, Damien ULiege et al

E-print/Working paper (2020)

This paper presents a simulation-based methodology for assessing the impact of employing different distribution system operator’s remuneration strategies on the economic sustainability of electrical ... [more ▼]

This paper presents a simulation-based methodology for assessing the impact of employing different distribution system operator’s remuneration strategies on the economic sustainability of electrical distribution systems. The proposed methodology accounts for the uncertainties posed by the integration of distributed electricity generation resources, and the roll out of smart-meters. The different remuneration strategies analysed in this paper include notably new distribution tariffs based on individual peak power consumption and time-dependent rates that are contingent on the time of energy consumption, both requiring smart-meters to work. The distributed electricity generation resources are modelled through an optimisation framework and an investment decision process that gradually deploys household photovoltaic installations depending on their profitability and the electricity charges, including the distribution rates. The impact of the distribution system operator’s remuneration strategy is measured by an accurate modelling of the remuneration mechanism of this entity, which can adapt to various distribution tariff designs. We analyse this impact over a discrete time horizon. Our methodology is illustrated with several examples of distribution tariffs including old –based on energy consumption or on per-connection fees– as well as new –based on power consumption or time-of use fees– designs. Finally, we provide a comprehensive sensitivity analysis of the proposed simulation environment to the main parameters of the methodology. [less ▲]

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See detailThe Firm Size Distribution in Belgium
Artige, Lionel ULiege; Bignandi, Sousso ULiege

E-print/Working paper (2020)

The shape of the firm size distribution (FSD) looks similar in all market economies but its approximation by a parametric distribution, a necessary information to build a general model of firm dynamics ... [more ▼]

The shape of the firm size distribution (FSD) looks similar in all market economies but its approximation by a parametric distribution, a necessary information to build a general model of firm dynamics, remains much debated. In this paper, we use an exclusive comprehensive database on Belgian firms. We show that the lognormal distribution is a better approximation of the empirical FSD than the power law distribution. This result holds true at the aggregate, sectoral and regional levels. [less ▲]

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See detailNutritional status of inmates in the Central Prison of Mbuji-Mayi, Democratic Republic of Congo
De Coninck, Gérard; Okenge Ngongo, Leon; Ilunga Ilunga, Félicien et al

E-print/Working paper (2020)

Background: The nutritional situation in prisons of developing countries and the health status of inmates remain a major human rights concern. The objective of the study was to assess the nutritional ... [more ▼]

Background: The nutritional situation in prisons of developing countries and the health status of inmates remain a major human rights concern. The objective of the study was to assess the nutritional status of inmates jailed in a prison of the Democratic Republic of Congo (DRC). Methods: This cross-sectional study was conducted over a 4-month period in the Central Prison of Mbuji-Mayi, DRC. Three hundred inmates were selected according to the Malnutrition Universal Screening Tool (MUST). Severe malnutrition was defined according to Buzby index and Nutritional Risk Index (NRI). Data were analyzed by logistic regression. Results: The inmates were aged between 18 and 70 years and primarily males (88.7%). Of them, 24% were suffering from severe malnutrition and 62% of moderate malnutrition as based on the NRI. At the time of study, 88% of inmates were incarcerated for more than 6 months. Multivariate logistic regression analysis showed that factors independently associated with severe malnutrition were incarceration of more than 6 months (OR=5.1; 95% CI [1.5-17.4]), origin of food (prison vs. family or NGO) (OR=4.7; 95% CI [1.6-13.8]) but also presence of tuberculosis, human immunodeficiency virus and/or intestinal infections (OR=2.6; 95% CI [1.4-4.7]). Conclusions: The nutritional situation in the Central Prison of Mbuji-Mayi is precarious. There is urgent need to supply enough nutrient-rich food to improve health of inmates. [less ▲]

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See detailThe norito-granitic zone of Puntervoll-Lia (Rogaland anorthosite province, S. Norway): evolution of a genetic model
Duchesne, Jean-Clair ULiege

E-print/Working paper (2020)

The norito-granitic zone is a thin septum of highly deformed banded rocks squeezed between two anorthosite massifs, the Egersund-Ogna (EGOG) and the Håland massifs. The dominant lithologies are a norito ... [more ▼]

The norito-granitic zone is a thin septum of highly deformed banded rocks squeezed between two anorthosite massifs, the Egersund-Ogna (EGOG) and the Håland massifs. The dominant lithologies are a norito-anorthosite association gradationally passing into a norito-granitic association. A first genetic model was proposed in which a norite intruded in the foliated margin of the EGOG anorthosite was migmatitized and metasomatically transformed into an anorthosite. This model was not confirmed by later studies and finally the norito-anorthosite association was considered as a particular facies of the anorthosite margin. New studies of the Glypstad septum between EGOG and the Bjerkreim-Sokndal layered intrusion reveal that the norito-granitic association results from the deformation of a magma in which anatectic melts were mingled with a high-alumina basalt, parental to the EGOG anorthosite. [less ▲]

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See detailInfluence of model formulation on the critical morphological acceleration factor: an analytical study
Dewals, Benjamin ULiege; Archambeau, Pierre ULiege; Pirotton, Michel ULiege et al

E-print/Working paper (2020)

The morphological acceleration factor (Morfac) has been used for over two decades to speed-up long term morphodynamic simulations. However, the Morfac values are usually set heuristically and hardly any ... [more ▼]

The morphological acceleration factor (Morfac) has been used for over two decades to speed-up long term morphodynamic simulations. However, the Morfac values are usually set heuristically and hardly any study investigated theoretically the critical Morfac value leading to a predefined level of accuracy. In this research, we evaluated theoretically the critical Morfac value from the analysis of the amplitude and phase errors induced by the use of Morfac. While the few existing studies focused only on relatively low Froude numbers and a single mathematical formulation of the morphodynamic model, we consider here a significantly wider range of Froude numbers, including supercritical flow, and we compare four different model formulations. We show that the model formulation leading to the highest critical Morfac values for subcritical flow is not the same as for supercritical flow. [less ▲]

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See detailAnalogies entre deux querelles relatives à l'enseignement des mathématiques en Belgique
Bair, Jacques ULiege

E-print/Working paper (2020)

Depuis la création du royaume de Belgique, l’enseignement de base des mathématiques a connu dans ce pays deux importantes querelles : la guerre entre infinicoles et infinifuges au début du 19e siècle et ... [more ▼]

Depuis la création du royaume de Belgique, l’enseignement de base des mathématiques a connu dans ce pays deux importantes querelles : la guerre entre infinicoles et infinifuges au début du 19e siècle et la guerre des mathématiques modernes durant la seconde moitié du 20e siècle. Ces deux épisodes historiques présentent des analogies qui vont être analysées dans cet article. Sont en présence deux clans avec des visions différentes sur la nécessité ou non de renouveler le savoir à enseigner, de modifier l’approche didactique, d’accorder de l’importance à l’aspect utilitaire de la discipline. Au surplus, dans les deux cas, le camp des conservateurs et des adeptes d’un enseignement simple et axé sur les applications était emmené avec ardeur par un liégeois, professeur à l’Université de Liège ; on pourrait y voir une manifestation de l’« esprit liégeois ». [less ▲]

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See detailEre « après COVID-19 » : les publicités promeuvent des voitures toujours plus polluantes.
Ozer, Pierre ULiege

E-print/Working paper (2020)

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See detailBank risk-taking and Competition: Does efficiency matter? Evidence from African Banking Industry
Matabaro, Borauzima Luc ULiege; Muller, Aline ULiege

E-print/Working paper (2020)

We contribute to the existing literature on the nexus between competition and risk taking in the banking industry by emphasizing the role of efficiency. We test a modified Martinez-Miera and Repullo (2010 ... [more ▼]

We contribute to the existing literature on the nexus between competition and risk taking in the banking industry by emphasizing the role of efficiency. We test a modified Martinez-Miera and Repullo (2010)’s model which uses a single factor Vasiceck specification to analyze default’s probability for a set of loans. Our results confirm that efficiency plays a non-monotonic role in the competition-risk relationship. On top of confirming the U-shape relationship between competition and risk-taking, our reveal that banks with high and low efficiency take more risk than those with average efficiency ones. We also find that size, diversification index, macroeconomic, institutional play a key role in competition-risking-taking process in African banking industry. Besides, African Cross-border banks display less riskiness and may accordingly enhance financial stability. These results are stable across different robustness checks including alternative measures of competition and specifications and consequently serve for regulatory policies especially for providing very stringent regulatory frameworks to mitigate the implications of competition in terms of financial stability. [less ▲]

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See detailDes infinicoles liégeois
Bair, Jacques ULiege

E-print/Working paper (2020)

L’histoire de l’analyse mathématique est à la fois longue et riche, puisque cette théorie n’a cessé de se développer depuis l’Antiquité en empruntant essentiellement deux voies différentes selon que le ... [more ▼]

L’histoire de l’analyse mathématique est à la fois longue et riche, puisque cette théorie n’a cessé de se développer depuis l’Antiquité en empruntant essentiellement deux voies différentes selon que le concept d’infiniment petit est utilisé ou au contraire proscrit. Les mathématiciens qui exploitent des infiniment petits sont appelés « infinicoles » ; cet adjectif est formé du mot « infini » suivi du suffixe « cole » venant du verbe latin « colere » dont une traduction en français peut être « cultiver ». Ceux qui rejettent les infinitésimaux sont nommés des « infinifuges », car le suffixe « fuge » provient du substantif latin « fuga » signifiant « fuite », de sorte que les infinifuges évitent ou fuient les infiniment. Notre travail est consacré à certains infinicoles qui ne rejettent pas une conception actuelle de l’infini. Plus précisément, nous nous intéressons aux infinicoles qui ont fait appel, dans certains de leurs écrits, à des infiniment petits au sens des pionniers de l’analyse classique, c’est-à-dire aux infinicoles qui n’utilisent pas la théorie weierstrassienne des limites, mais qui recourent plutôt à ce que l’on appelle aujourd’hui l’analyse non standard. Parmi ceux-ci, nous retenons uniquement des liégeois, c’est-à-dire des mathématiciens qui ont habité dans la province de Liège pendant au moins une partie de leur carrière professionnelle. Ils ont tous travaillé, à un moment de leur carrière, à l’Université de Liège (sauf le plus ancien d’entre eux parce que l’Université n’existait pas encore de son temps). Ainsi, neuf mathématiciens sont succinctement présentés. Une liste exhaustive de leur production dans ce domaine figure dans une bibliographie détaillée. [less ▲]

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See detailLa sagesse des marchés
Choffray, Jean-Marie ULiege

E-print/Working paper (2020)

Soyons précis ! Ne pas croire dans le SARS-CoV-2 – comme seul facteur explicatif de la réalité à laquelle nous sommes confrontés –, n’implique pas d’en nier l’existence ; de ne pas respecter la douleur de ... [more ▼]

Soyons précis ! Ne pas croire dans le SARS-CoV-2 – comme seul facteur explicatif de la réalité à laquelle nous sommes confrontés –, n’implique pas d’en nier l’existence ; de ne pas respecter la douleur de celles et ceux qu’il touche ; de manquer de respect pour le courage et la générosité exemplaires des personnels impliqués ; ou d’en contester les inévitables et sévères conséquences sur le fonctionnement de la société. Tout au contraire, cette posture intellectuelle entraîne la nécessité d’en analyser, scrupuleusement et scientifiquement, toutes les dimensions et implications. La diversité, la complexité et la réflexivité de ces dernières invitent à la patience et à la plus grande circonspection. C’est à ce niveau que les marchés financiers offrent une plateforme technologique et un laboratoire expérimental exceptionnels d’observation, d’analyse et de prévision. Leur sagesse actuelle est un appel à la raison, au comportement responsable, à la vigilance civique, et au retour progressif, mais résolu, à la vie sociale ! [less ▲]

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Peer Reviewed
See detailVers ma réussite en Bac 1 : Positionnement, pistes d'évaluation et de régulation d'un dispositif propédeutique transversal en blended learning
Dupont, Bruno ULiege; Cocinas Garcia, Amélie ULiege

E-print/Working paper (2020)

Ce travail en cours détaille le passage d'un dispositif du présentiel au blended learning d'un dispositif propédeutique de soutien à la réussite en Bac 1 à la Haute École de la Ville de Liège. Sont ... [more ▼]

Ce travail en cours détaille le passage d'un dispositif du présentiel au blended learning d'un dispositif propédeutique de soutien à la réussite en Bac 1 à la Haute École de la Ville de Liège. Sont détaillées le développement du projet, son état actuel, ainsi que ses perspectives de régulation et d'évaluation. [less ▲]

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See detailOral Chloroquine treatment for COVID-19 infection. Available data from literature & field practices on April 20, 2020 (ver 1.8)
Jamoulle, Marc ULiege

E-print/Working paper (2020)

Publications addressing the treatment of COVID-19 by Hydroxychloroquine available on April 20, 2020. gathered sinc March 13, 2020. This compilation does not constitute a recommendation to use the HCQ in ... [more ▼]

Publications addressing the treatment of COVID-19 by Hydroxychloroquine available on April 20, 2020. gathered sinc March 13, 2020. This compilation does not constitute a recommendation to use the HCQ in the treatment of Covid-19 [less ▲]

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See detailModèles mathématiques et confinement
Rigo, Michel ULiege

E-print/Working paper (2020)

En cette période de confinement dû à la crise sanitaire provoquée par le SARS-CoV-2 mieux connu comme Coronavirus, le virus responsable du COVID-19, je voulais comprendre les modèles utilisés par les ... [more ▼]

En cette période de confinement dû à la crise sanitaire provoquée par le SARS-CoV-2 mieux connu comme Coronavirus, le virus responsable du COVID-19, je voulais comprendre les modèles utilisés par les virologues et épidémiologistes du monde entier. Par la même occasion, je m'en vais vous expliquer ces courbes que l'on trouve à longueur de journée dans les média et que l'on souhaite "aplatir". Habitué à la vulgarisation mathématique, je ne suis pourtant pas un spécialiste des mathématiques appliquées et de la modélisation. Il ne nécessite a priori que très peu de connaissances mathématiques : un peu de bon sens et la manipulation des proportions. Il devrait être accessible dès la 4e année de l'enseignement secondaire. [less ▲]

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Peer Reviewed
See detailA Deep Reinforcement Learning Framework for Continuous Intraday Market Bidding
Boukas, Ioannis ULiege; Ernst, Damien ULiege; Théate, Thibaut ULiege et al

E-print/Working paper (2020)

The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short ... [more ▼]

The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in particular the intraday market are considered a suitable trading floor for these exchanges to occur. A key component for the successful renewable energy sources integration is the usage of energy storage. In this paper, we propose a novel modelling framework for the strategic participation of energy storage in the European continuous intraday market where exchanges occur through a centralized order book. The goal of the storage device operator is the maximization of the profits received over the entire trading horizon, while taking into account the operational constraints of the unit. The sequential decision-making problem of trading in the intraday market is modelled as a Markov Decision Process. An asynchronous version of the fitted Q iteration algorithm is chosen for solving this problem due to its sample efficiency. The large and variable number of the existing orders in the order book motivates the use of high-level actions and an alternative state representation. Historical data are used for the generation of a large number of artificial trajectories in order to address exploration issues during the learning process. The resulting policy is back-tested and compared against a benchmark strategy that is the current industrial standard. Results indicate that the agent converges to a policy that achieves in average higher total revenues than the benchmark strategy. [less ▲]

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See detailA Real-Time Receding-Horizon Transmission Voltages Control using Sensitivity Matrix and Bias
Glavic, Mevludin ULiege

E-print/Working paper (2020)

In this paper, a simplified multi-step recedinghorizon controller is introduced to control the violations in transmission voltages and stop developing long-term voltage instabilities. The system model is ... [more ▼]

In this paper, a simplified multi-step recedinghorizon controller is introduced to control the violations in transmission voltages and stop developing long-term voltage instabilities. The system model is derived from the context of quadratic dynamic matrix control and is represented as a set of linear constraints derived from sensitivity analysis and bias terms acting as modelling error corrector. Resulting multi-step optimization is highly structured convex quadratic programming problem for which reliable standard codes are available. The goal of proposed controller is to achieve high performances with simplified system model relying on reliable optimization solver. The Nordic32 test system is used for evaluating the performance of proposed controller and its comparison with existing closely related approaches focusing on minimization of expensive controls (load shedding). [less ▲]

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See detailSalon de l’auto 2020 : des voitures « toujours plus durables et plus propres ». Vraiment ?
Ozer, Pierre ULiege

E-print/Working paper (2020)

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Peer Reviewed
See detailAn Application of Deep Reinforcement Learning to Algorithmic Trading
Théate, Thibaut ULiege; Ernst, Damien ULiege

E-print/Working paper (2020)

This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point ... [more ▼]

This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in the stock market. It proposes a novel DRL trading policy so as to maximise the resulting Sharpe ratio performance indicator on a broad range of stock markets. Denominated the Trading Deep Q-Network algorithm (TDQN), this new DRL approach is inspired from the popular DQN algorithm and significantly adapted to the specific algorithmic trading problem at hand. The training of the resulting reinforcement learning (RL) agent is entirely based on the generation of artificial trajectories from a limited set of stock market historical data. In order to objectively assess the performance of trading strategies, the research paper also proposes a novel, more rigorous performance assessment methodology. Following this new performance assessment approach, promising results are reported for the TDQN algorithm. [less ▲]

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See detailSiting Renewable Power Generation Assets with Combinatorial Optimization
Berger, Mathias ULiege; Radu, David-Constantin ULiege; Dubois, Antoine ULiege et al

E-print/Working paper (2020)

This paper studies the problem of siting renewable power generation assets using large amounts of climatological data. The problem is cast as a combinatorial optimisation problem seeking to maximise ... [more ▼]

This paper studies the problem of siting renewable power generation assets using large amounts of climatological data. The problem is cast as a combinatorial optimisation problem seeking to maximise spatiotemporal complementarity between sites while accounting for electrical load level and chronology. Model properties are closely analysed and a formal connection with the problem of maximising a submodular set function subject to a cardinality constraint is established. A custom solution method combining relaxation-based and local search algorithms is also proposed and benchmarked against state-of-the art methods using a realistic instance comprising tens of thousands of variables inspired by the problem of siting onshore wind power plants in Europe. Results show that for the present application, the proposed solution method is competitive with state-of-the-art methods both in terms of computing time and solution quality, as it reaches objective values at least as good as the proposed benchmarks on most instances studied and clearly outperforms them on a number of occasions. In addition, results highlight the importance of combining a relaxation-based method with a local search algorithm to produce high-quality solutions for this application. [less ▲]

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See detailCombining optimization and simulation for microgrid sizing
Dakir, Selmane ULiege; Cornélusse, Bertrand ULiege

E-print/Working paper (2020)

The sizing of a microgrid is a crucial process to ensure safe, efficient and economical operations. It must consider a variety of technologies and the whole life of the project. Hence degradation and ... [more ▼]

The sizing of a microgrid is a crucial process to ensure safe, efficient and economical operations. It must consider a variety of technologies and the whole life of the project. Hence degradation and reinvestment must be accounted for. However, the control algorithm also influences the sizing result, especially if the microgrid is grid-tied, which offers several revenue streams and presents additional constraints such as time-varying connection limits. All this leads to a sizing problem that is large and non-convex. This paper presents a flexible approach to approximate the solution of this problem. The latter is decomposed in three nested sub-problems: the control and simulation of a microgrid for a given configuration and initial state; the evaluation of a configuration and control policy on a sample of representative days; the optimization of the configuration. Case studies highlight the importance of accounting for the control policy and device evolution along their lifetime. [less ▲]

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See detailYAAI: Yet another age inequality
Beckers, Jean-Marie ULiege

E-print/Working paper (2020)

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See detailMotivation in schizophrenia: a theory-driven approach using time-series network analysis
Thonon, Bénédicte ULiege; Contreras, Alba; Laroi, Frank ULiege

E-print/Working paper (2020)

Motivational negative symptoms are an important obstacle to the daily functioning of individuals with schizophrenia. A better understanding of associated processes would help to identify targets for ... [more ▼]

Motivational negative symptoms are an important obstacle to the daily functioning of individuals with schizophrenia. A better understanding of associated processes would help to identify targets for interventions. We redefined a theoretical model of motivation in schizophrenia combining cognitive, behavioural and emotional/hedonic processes. Further, we used Experience Sampling Method (ESM) and network analyses to provide a clearer understanding of potential causal factors that may influence the daily course of motivation. Using a 14-day paradigm ESM in 7 participants with schizophrenia spectrum disorders, we examined the interplay between the processes derived from the proposed model. We estimated both contemporaneous and temporal networks using multilevel vector autoregressive analyses for time-series. The contemporaneous network showed that motivation was central and strongly related to levels of energy and (self-)confidence. The temporal network showed that savouring processes (i.e. reminiscence and projection into the future) were the most influential and had an impact on later motivation, mood, effort, energy, (self-)confidence, and dysfunctional beliefs. These findings provide evidence in favour of the motivational model presented in this study, shedding new light on the understanding of motivation in schizophrenia and specifically identifying energy levels, confidence, and savouring skills as likely beneficial targets for interventions. [less ▲]

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See detailOptimal grid regulation with heterogeneous prosumers
Gautier, Axel ULiege; Jacqmin, Julien; Poudou, Jean-Christophe

E-print/Working paper (2020)

We study how metering technologies and tariffs influence heterogeneous energy consumers' decisions to become prosumers by investing in photovoltaic (PV) panels, and the effect of those choices on the cost ... [more ▼]

We study how metering technologies and tariffs influence heterogeneous energy consumers' decisions to become prosumers by investing in photovoltaic (PV) panels, and the effect of those choices on the cost recovery of grid operations. We show that net metering (where prosumers face the same price whether they buy or sell energy) leads to too much PV investment compared to the first-best outcome. We also find that consumers are attracted into prosumption independent of their self-consumption profile, i.e. the extent to which their energy consumption correlates with their production. When a net purchasing system is in place (where prosumers are charged a different price for the energy they buy from the grid than for the energy they export to the grid), consumers with relatively high levels of self-consumption are more likely to invest in PV installations, which is desirable from an efficiency standpoint as these prosumers exchange less with the grid. Even when the regulator lacks information about the self-consumption rate of prosumers, net purchasing can achieve the first-best outcome. [less ▲]

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See detailExpansions in Cantor real bases
Charlier, Emilie ULiege; Cisternino, Célia ULiege

E-print/Working paper (2020)

We introduce and study series expansions of real numbers with an arbitrary Cantor real base. In doing so, we generalize both representations of real numbers in real bases and through Cantor series. We ... [more ▼]

We introduce and study series expansions of real numbers with an arbitrary Cantor real base. In doing so, we generalize both representations of real numbers in real bases and through Cantor series. We show fundamental properties of these new representations, each of which extends existing results on representations in a real base. In particular, we prove a generalization of Parry's theorem characterizing sequences of nonnegative integers that are the greedy representations of some real number in the interval [0,1). We pay special attention to periodic Cantor real bases, which we call alternate bases. In this case, we show that the associated shift is sofic if and only if all quasi-greedy shifted expansions of 1 are ultimately periodic. [less ▲]

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See detailAssessing the Economic Value of Renewable Resource Complementarity for Power Systems: an ENTSO-E Study
Radu, David-Constantin ULiege; Berger, Mathias ULiege; Dubois, Antoine ULiege et al

E-print/Working paper (2020)

Complementarity of variable renewable energy sources (RES) in both space and time has received a great deal of attention recently however, its value for power systems is still not properly understood ... [more ▼]

Complementarity of variable renewable energy sources (RES) in both space and time has received a great deal of attention recently however, its value for power systems is still not properly understood. This research gap is tackled in the current work by evaluating the benefits of siting RES assets according to resource complementarity criteria. For this purpose, a two-stage method is employed. First, the complementarity between RES is assessed and the locations sets that maximize it are selected using an integer programming model. Subsequently, the outcome of the first stage is used within an expansion planning framework which identifies the optimal system design and serves as basis for assessing the economic value of RES complementarity for power systems. The analysis is conducted on a realistic case study targeting the deployment of 450GW of offshore wind in Europe by 2050. Results show that siting based on RES complementarity is particularly attractive when the power density of wind developments is relatively high and when the inter-annual variability of the underlying resource is considered. More specifically, such a siting strategy leads to yearly savings between 0.3 and 1.2 billion EUR compared with conventional schemes seeking to deploy generation capacity at the most productive locations. [less ▲]

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See detailIdiographic analyses of motivation and related processes in participants with schizophrenia following a therapeutic intervention for negative symptoms
Thonon, Bénédicte ULiege; Van Aubel, Evelyne; Lafit, Ginette et al

E-print/Working paper (2020)

Background: Motivational negative symptoms hinder quality of life and daily functioning of individuals with schizophrenia spectrum disorders. A recently developed intervention, Switch, has shown promising ... [more ▼]

Background: Motivational negative symptoms hinder quality of life and daily functioning of individuals with schizophrenia spectrum disorders. A recently developed intervention, Switch, has shown promising effects on negative symptoms and functional outcomes. Switch targets multiple cognitive, emotional and behavioural processes associated with motivation and goal directed behaviours. We aimed to investigate its effects on motivation and associated processes and explore the dynamics between the processes. Methods: We used a single case approach (n = 3), with a pre-post and follow-up assessment design, which also included ambulatory assessments (experience sampling method, ESM; and step count). We computed autoregressive lag 1 models to evaluate the effects of the intervention on daily motivation levels and related processes, descriptive pie-charts, and vector autoregressive modelling to reveal the dynamics of the processes over time. Results: The intervention was beneficial for each participant according to traditional evaluations of motivational negative symptoms, apathy, daily functioning and quality of life. The effects on the ESM variables revealed distinct outcomes for each individual. The dynamics between the various processes differed between participants, and fluctuated within participants (when comparing baseline, intervention phase, and follow-up). Conclusions: This study used an innovative approach to look at the efficacy of an intervention. The intervention seems to lead to significant improvements. The mechanisms of change need to be further investigated. [less ▲]

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See detailCompletion/Drop out and Time to Degree in the PhD track: A Conceptual Literature Review
Aerts, Stéphanie ULiege; Haesbroeck, Gentiane ULiege; Klenkenberg, Sophie ULiege

E-print/Working paper (2020)

Understanding the attrition among PhD candidates and modelling the mean or median time to degree according to certain factors have been at the center of the research interest in higher education for a ... [more ▼]

Understanding the attrition among PhD candidates and modelling the mean or median time to degree according to certain factors have been at the center of the research interest in higher education for a long time. This paper presents a conceptual literature review divided into two parts. First, the multitude of factors used to explain the doctoral outcome is presented and results concerning their impact are summarized. We also propose explanations for potentially controversial findings and advice on the proper use of these factors. Then, an overview of the most common statistical techniques employed is displayed. The authors argue that some techniques are more adapted than others to deal with such data and the issues of interest and they give recommendations about the most appropriate techniques. They also highlight some of the key points that are essential to consider in order to conduct an adequate statistical analysis when dealing with PhD data. An overall conclusion is that there is much variability in the factors and their definitions, the same comment holding for the techniques. This explains why studies end up with different (sometimes controversial) results. [less ▲]

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See detailTranscending the transcendental: Towards a constructive critical sociology
Frère, Bruno ULiege; Jaster, Dan

E-print/Working paper (2020)

This article calls for a rethinking of critical sociology. The popular Bourdieusian paradigm effectively highlighted how domination persists, but its negative foundation removes the voices of actors by ... [more ▼]

This article calls for a rethinking of critical sociology. The popular Bourdieusian paradigm effectively highlighted how domination persists, but its negative foundation removes the voices of actors by privileging sociological knowledge as capable of identifying transcendental categories of thought. Latourian critical theory arose in opposition to this privileging, but underplayed the roles of domination and power dynamics, and thus critique. We propose a perspective that evades the transcendental perspective which relies on pure negation but allows critique; a more positive critical sociology. This alternative perspective is founded on processualist, phenomenological, pragmatic, and utopian perspectives, which levels the distinction between social scientists and social actors. Focusing on process, not privileged knowledge of transcendental truths, emphasizes actors’ own critical capacities: critical scholars do not dominate, but help actors build better worlds based on their own perspectives and pasts. Thus, critical sociology does not negate actors, reducing them to unconscious reifiers, but recognizes that people utilize their pasts to challenge power structures and create better futures based on their imaginations.   [less ▲]

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See detailThe Sociology of Critique. Towards a Grammatical Approach to Social Action.
Frère, Bruno ULiege; Cervera-Marzal, Manuel ULiege

E-print/Working paper (2020)

This article is concerned with the notion of “grammar” as it has been developed at the core of Luc Boltanski and Laurent Thévenot’s pragmatic sociology. This notion is particularly useful for articulating ... [more ▼]

This article is concerned with the notion of “grammar” as it has been developed at the core of Luc Boltanski and Laurent Thévenot’s pragmatic sociology. This notion is particularly useful for articulating the normative elements that motivate and justify social action. But a specific case – that of civil disobedience – has led us to identify an epistemological difficulty that this paradigm cannot successfully resolve in its current state. To achieve this resolution, and thus to reverse our fieldwork out of the theoretical impasse into which pragmatic sociology risks driving it, we suggest that the paradigm’s concept of grammar should be modified by drawing on Ludwig Wittgenstein’s definition. [less ▲]

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See detailPrivate Equity and Employee Welfare
Lambert, Marie ULiege; Moreno Miranda, Nicolas ULiege; Phalippou, Ludovic

E-print/Working paper (2020)

Employees give lower ratings to their companies following a Private Equity Leveraged Buy-Out (PE/LBO) transaction. The analysis of ten million ratings on di erent well- being aspects and of thousands of ... [more ▼]

Employees give lower ratings to their companies following a Private Equity Leveraged Buy-Out (PE/LBO) transaction. The analysis of ten million ratings on di erent well- being aspects and of thousands of written comments, indicates that the cause is likely to stem from the di erent management style of PE-owned companies. Ratings decrease much less, or at all, for employees i) who are in management positions, ii) whose company was already PE-owned before (only changed owner), iii) whose company was acquired by a non-PE rm or went public, iv) who do not mention PE in their reviews. Ratings of company culture and of management are those decreasing the most. The words culture and management are those most frequently mentioned in negative comments. These results indicate that LBO transactions exacerbate a gap between the welfare of management and that of the rest of the employees, which we show exist across all companies. [less ▲]

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See detailIdentifier des Activités Génératrices de Revenus
Vermeulen, Cédric ULiege

E-print/Working paper (2020)

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See detailMentors’ Motives and Mentoring Functions Associated with Mentoring of Social and Commercial New Ventures
Yusubova, Ayna ULiege; Xhauflair, Virginie ULiege; Pichault, François ULiege

E-print/Working paper (2020)

Although mentoring has been advanced as an important mechanism of incubator and accelerator programs for overcoming the resource constraints of commercial and social new ventures, it has traditionally ... [more ▼]

Although mentoring has been advanced as an important mechanism of incubator and accelerator programs for overcoming the resource constraints of commercial and social new ventures, it has traditionally focused on the entrepreneur's perspective and neglected the mentor's perspective, particularly the examination of mentors' motivations and behavior. In both commercial and social entrepreneurship literature, little or no academic attention has been given as to why a person with resources and knowledge would provide assistance and support for the growth of new ventures. This study examines the motives mentors have for providing developmental support to social and commercial new ventures. Based on qualitative interviews with eighteen mentors from in total ten accelerator and incubator programs located in Belgium, we show a more comprehensive view of the diversity of mentors' motives and functions, by identifying similarities and differences between both types of new ventures mentoring processes. Implications of the findings and suggestions for future research are presented. [less ▲]

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See detailAgency costs of dry powder
Lambert, Marie ULiege; Scivoletto, Alexandre ULiege; Tykvova, Tereza

E-print/Working paper (2020)

About $2tn has been raised but have not yet been invested in private equity funds. This amount of non-invested capital or “dry powder” has raised numerous concerns regarding potential pressure to invest ... [more ▼]

About $2tn has been raised but have not yet been invested in private equity funds. This amount of non-invested capital or “dry powder” has raised numerous concerns regarding potential pressure to invest in low-quality companies for these funds with adverse consequence on fund performance. We model the total fee revenue (management fee and carried interest) collected by a private equity sponsor as a function of committed capital, net invested capital as well as the risk and return of the fund investments. We show that higher deal expected returns and higher management fees as associated with a stronger pressure on dry powder. On the other hand, an increase in the carried interest or the existence of a valuable option to delay investment to benefit from better opportunities reduce this pressure. We run an empirical analysis using 12,779 leveraged buyout deals from the US over the period 1980 – 2019 that supports our predictions from the theoretical model. Moreover, dry powder pressure is associated with investment distortions. It leads to inflated deal prices, lower returns and lower leverage. [less ▲]

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See detailProfiling novel high-conductivity 2D semiconductors
Sohier, Thibault ULiege; Gibertini, Marco; Marzari, Nicola

E-print/Working paper (2020)

When complex mechanisms are involved, pinpointing high-performance materials within large databases is a major challenge in materials discovery. We focus here on phonon-limited conductivities, and study ... [more ▼]

When complex mechanisms are involved, pinpointing high-performance materials within large databases is a major challenge in materials discovery. We focus here on phonon-limited conductivities, and study 2D semiconductors doped by field effects. Using state-of-the-art density-functional perturbation theory and Boltzmann transport equation, we discuss 11 monolayers with outstanding transport properties. These materials are selected from a computational database of exfoliable materials providing monolayers that are dynamically stable and that do not have more than 6 atoms per unit cell. We first analyze electron-phonon scattering in two well-known systems: electron-doped InSe and hole-doped phosphorene. Both are single-valley systems with weak electron-phonon interactions, but they represent two distinct pathways to fast transport: a steep and deep isotropic valley for the former and strongly anisotropic electron-phonon physics for the latter. We identify similar features in the database and compute the conductivities of the relevant monolayers. This process yields several high-conductivity materials, some of them only very recently emerging in the literature (GaSe, Bi$_2$SeTe$_2$, Bi$_2$Se$_3$, Sb$_2$SeTe$_2$), others never discussed in this context (AlLiTe$_2$, BiClTe, ClGaTe, AuI). Comparing these 11 monolayers in detail, we discuss how the strength and angular dependency of the electron-phonon scattering drives key differences in the transport performance of materials despite similar valley structure. We also discuss the high conductivity of hole-doped WSe$_2$, and how this case study shows the limitations of a selection process that would be based on band properties alone. [less ▲]

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See detailRemote Renewable Hubs for Synthetic Fuel Production
Berger, Mathias ULiege; Richel, Aurore ULiege; Ernst, Damien ULiege

E-print/Working paper (2020)

This paper proposes a framework to study the economics of producing carbon neutral synthetic fuels in remote locations with abundant, high-quality renewable energy resources. More precisely, a mixed ... [more ▼]

This paper proposes a framework to study the economics of producing carbon neutral synthetic fuels in remote locations with abundant, high-quality renewable energy resources. More precisely, a mixed integer linear programming model enabling the analysis and end-to-end optimization of the full supply chain is introduced along with a novel energy system representation facilitating the formulation of such models. An open source software implementation is also made available. The model is leveraged to study the production of carbon neutral synthetic methane from wind and solar energy in North Africa. Results show that the cost of synthetic methane delivery to northwestern European consumers would be around 100 EUR/MWh for wind-powered systems and around 190 EUR/MWh for solar-only systems, based on conservative short-term technology cost estimates. This cost difference can be explained by the fact that key energy conversion technologies such as methanation are fairly inflexible, while wind has higher capacity factors and smoother production profiles than solar, resulting in reduced flexibility requirements and eventual cost savings. [less ▲]

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See detailNetwork tariffs and the integration of prosumers: the Case of Wallonia
Manuel de Villena Millan, Miguel ULiege; Jacqmin, Julien; Fonteneau, Raphaël ULiege et al

E-print/Working paper (2020)

In Wallonia, Belgium's southern region, the distribution component of the overall electricity retail tariff is essentially volumetric, i.e. based on the user' energy consumption (in euro/kWh). Residential ... [more ▼]

In Wallonia, Belgium's southern region, the distribution component of the overall electricity retail tariff is essentially volumetric, i.e. based on the user' energy consumption (in euro/kWh). Residential prosumers, moreover, are connected to the grid via a net-metering system. In this paper, we rely on a multi-agent tariff simulator -- developed in Manuel de Villena et al. (2019) — calibrated to this specific regional context to model the integration of prosumers into the distribution grid. This simulator enables us to highlight how the emergence of prosumers impacts the distribution network tariff, and to evaluate several tariff reforms currently under discussion. Without smart meters, short-run reforms can only change the structure of the tariff paid, either to all consumers or to prosumers only. In the long run, with smart meters, we consider both the introduction of a net-purchasing system and of a tariff with a capacity component. Our analysis highlights one key added value of smart meters: they can ensure a fair and sustainable financing of the distribution network. [less ▲]

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See detailOn the origin of jotunite
Duchesne, Jean-Clair ULiege

E-print/Working paper (2019)

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See detailEmissions de CO2 liées à la navigation aérienne à Liège Airport
Ozer, Pierre ULiege

E-print/Working paper (2019)

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See detailPaper Formats of the Mamluk Period: The Contribution of Mamluk Chancery Paper
Bauden, Frédéric ULiege

E-print/Working paper (2019)

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See detailColumn generation algorithms for the wafer-to-wafer integration problem
Dokka, Trivikram; Crama, Yves ULiege; Duvillié, Guillerme et al

E-print/Working paper (2019)

We consider the wafer-to-wafer integration problem that arises in the manufacturing of integrated circuits. We propose an exact, state-of-the-art branch-and-price optimization algorithm for this problem ... [more ▼]

We consider the wafer-to-wafer integration problem that arises in the manufacturing of integrated circuits. We propose an exact, state-of-the-art branch-and-price optimization algorithm for this problem, and we derive a price-and-branch heuristic from this algorithm. We have implemented these two algorithms, as well as a simple sequential heuristic algorithms, and we have conducted extensive experiments to test their performance. The results allow us to establish the range of the size of the instances that can be solved to optimality by our branch-and-price algorithm. We also identify ranges of the different instance parameters for which the two heuristics perform relatively well. [less ▲]

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See detailPaper documents from Iṣṭabl ʿAntar: Assessment of the findings and data analysis
Bauden, Frédéric ULiege

E-print/Working paper (2019)

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See detailPilgrimage Certificates from the Mamluk Period: New Data
Bauden, Frédéric ULiege

E-print/Working paper (2019)

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See detailReconstruction of low-voltage networks with limited observability
Marulli, Daniele ULiege; Mathieu, Sébastien ULiege; Sutera, Antonio ULiege et al

E-print/Working paper (2019)

This work addresses the problem of reconstructing an electrical model for low voltage networks when no information about topology and line parameters is available. Obtaining an accurate electrical model ... [more ▼]

This work addresses the problem of reconstructing an electrical model for low voltage networks when no information about topology and line parameters is available. Obtaining an accurate electrical model for such networks is essential to establish efficient and ad hoc management strategies. The identification process is carried out analysing voltage and current time-series measurements provided by meters installed at various locations, assuming that only a subset of the nodes can be metered. The proposed method involves an iterative algorithm that provides an estimation of the topology and branch impedances while detecting the location of unmetered nodes, one node per iteration. Simulations performed on a test network shows that the algorithm produces accurate estimation of topology and line impedances when unmetered nodes are located reasonably far from each other. [less ▲]

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See detailWhich access to which assets for an effective liberalization of the rail sector
Bougette, Patrice; Gautier, Axel ULiege; Marty, Frederic

E-print/Working paper (2019)

In the European rail industry, the market liberalization limited to the opening of the essential facilities (the train path) to new entrants is not enough to enable competition. For an efficient and ... [more ▼]

In the European rail industry, the market liberalization limited to the opening of the essential facilities (the train path) to new entrants is not enough to enable competition. For an efficient and effective entry, temporary access to quasi-essential complementary assets like rolling stock, mechanical maintenance workshops, data, schedules, etc. is also required. Like in all network industries, the deregulation process faces anticompetitive practices undertaken by the incumbents or may be thwarted by their market power. Several observed anticompetitive practices involve distorted access to these quasi-essential facilities. Therefore, competition agencies must deal with litigation between the incumbent and new entrants. Most cases have been settled, resulting in commitments from the incumbent. We argue that such transitory and case-by-case remedies fail to produce favorable conditions for a secure and efficient entry. Thus, we propose to systematize such remedies through asymmetric and enduring ex-ante regulation. [less ▲]

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See detailTroeltsch et les religions : le luthérianisme, le calvinisme et le catholicisme
Kuty, Olgierd ULiege

E-print/Working paper (2019)

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See detailLes professions et la Révolution organisationnelle (du XVIème au XVIIIème siècle)
Kuty, Olgierd ULiege

E-print/Working paper (2019)

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See detailLe concept de « Manières » dans l’œuvre de Montesquieu
Kuty, Olgierd ULiege

E-print/Working paper (2019)

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See detailMontesquieu et sa théorie de la structure sociale
Kuty, Olgierd ULiege

E-print/Working paper (2019)

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See detailData-driven Parameterized Policies for Microgrid Control
Boukas, Ioannis ULiege; El Mekki, Selim; Cornélusse, Bertrand ULiege

E-print/Working paper (2019)

If we account for data uncertainty, centralized microgrid control can be decomposed in four tasks: estimating the parameters of the microgrid devices, forecasting the consumption and the renewable ... [more ▼]

If we account for data uncertainty, centralized microgrid control can be decomposed in four tasks: estimating the parameters of the microgrid devices, forecasting the consumption and the renewable production, operational planning to anticipate weather effects and human activities, and real-time control to adapt planned decision to the reality of the moment. As the devices of a microgrid deteriorate over their lifetime and microgrids are by definition small systems, it is of paramount importance to automate the meta-parameterization of these stages to maximize the microgrid efficiency and decrease its maintenance costs. This paper studies how reinforcement learning can be used to address this problem. As reinforcement learning makes use of microgrid operation data (or of simulated data before the microgrid is actually operated) to learn an operation policy, it inherently merges the four stages above, and can in theory adapt to some types of changes without having to perform manual tuning. [less ▲]

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See detailDoes training boost the job finding rate of the unemployed ? Timing-of-events based evidence from Belgium
Fonder, Muriel; Lejeune, Bernard ULiege; Tarantchenko, Ekaterina

E-print/Working paper (2019)

This paper evaluates the effectiveness of the training programs offered to the unemployed in Wallonia, the French-speaking part of Belgium. More precisely, we are interested in the two following questions ... [more ▼]

This paper evaluates the effectiveness of the training programs offered to the unemployed in Wallonia, the French-speaking part of Belgium. More precisely, we are interested in the two following questions : (a) does training increase the job finding rate of the unemployed after the completion of their training ? (b) if so, is this increase big enough to compensate the so-called lock-in effect of their training ? To answer these questions, we rely on the Abbring and van den Berg (2003) timing-of-events approach and a very large administrative dataset. We find that training has an overall strong and persistent effect on the job finding rate of the unemployed after the completion of their training, but that this effect is heterogeneous, varying according to the characteristics of training and trainees. Further, we find that this effect on the job finding rate is globally large enough to compensate the lock-in effect of the training, but again with significant heterogeneity. [less ▲]

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See detailRecourse in Kidney Exchange Programs
Smeulders, Bart ULiege; Bartier, Valentin; Crama, Yves ULiege et al

E-print/Working paper (2019)

The problem to decide which patient-donor pairs in a kidney exchange program should undergo a crossmatch test is modelled as a two-stage stochastic optimization problem. We give an integer programming ... [more ▼]

The problem to decide which patient-donor pairs in a kidney exchange program should undergo a crossmatch test is modelled as a two-stage stochastic optimization problem. We give an integer programming formulation of this so-called selection problem, and describe a solution method based on Benders decomposition. We extensively test various solution methods, and observe that the solutions, when compared to solutions found by recourse models, lead to an improvement in the expected number of transplants. We also investigate the computational efficiency of our approach as a function of different parameters, such as maximum cycle length and the presence of altruistic donors. [less ▲]

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See detailInterest rate differentials and the dynamic asymmetry of exchange rates
Hambuckers, Julien ULiege; Ulm, Maren

E-print/Working paper (2019)

In this paper, we revisit the predictive content of interest rates for daily exchange rate returns, taking into account dependencies of higher orders. In particular, we allow for time-varying asymmetries ... [more ▼]

In this paper, we revisit the predictive content of interest rates for daily exchange rate returns, taking into account dependencies of higher orders. In particular, we allow for time-varying asymmetries in the distribution of exchange rates. Then, we study the USD/EUR currency pair over the period 1999-2019. We find a dynamic asymmetry component to be significant and driven by interest rate differentials, but also by general uncertainty and past unexpected shocks. In line with recent currency crash theories, our study suggests that the high yield currency is more likely to appreciate, but is exposed to a higher likelihood of currency crashes. To assess the economic significance of our results, we introduce a directional forecasting approach derived from our model. We show that a trading rule based on these forecasts provides better in-sample and out-of-sample economic performance compared to benchmark models. [less ▲]

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See detailLa longue et fascinante épopée de la vaccination
Geenen, Vincent ULiege

E-print/Working paper (2019)

Vaccination is still today the greatest victory of medicine against most of infectious diseases, and this triumph was acquired only after a long history that started hundred of years ago. Nevertheless ... [more ▼]

Vaccination is still today the greatest victory of medicine against most of infectious diseases, and this triumph was acquired only after a long history that started hundred of years ago. Nevertheless, irrational anti-vaccination movements emerged worldwide during recent years and are now one of the ten major threats against public healthcare according to a recent report of the World Health Organization (WHO). More than ever, it is essential to inform with honesty and integrity our citizens about the safety and efficiency of current available vaccines. [less ▲]

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See detailData requirements for computational modelling at the network level
Dewals, Benjamin ULiege; Erpicum, Sébastien ULiege; Pirotton, Michel ULiege et al

E-print/Working paper (2019)

Detailed reference viewed: 32 (8 ULiège)
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See detailAuthentic ecology as an advanced stage of technological civilization
de Salle, Corentin; Ernst, Damien ULiege

E-print/Working paper (2019)

Detailed reference viewed: 25 (4 ULiège)
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See detailTemplates for the k-binomial complexity of the Tribonacci word
Lejeune, Marie ULiege; Rigo, Michel ULiege; Rosenfeld, Matthieu ULiege

E-print/Working paper (2019)

Consider the k-binomial equivalence: two finite words are equivalent if they share the same subwords of length at most k with the same multiplicities. With this relation, the k-binomial complexity of an ... [more ▼]

Consider the k-binomial equivalence: two finite words are equivalent if they share the same subwords of length at most k with the same multiplicities. With this relation, the k-binomial complexity of an infinite word x maps the integer n to the number of pairwise non-equivalent factors of length n occurring in x. In this paper based on the notion of template introduced by Currie et al., we show that, for all k > 1, the k-binomial complexity of the Tribonacci word coincides with its usual factor complexity p(n)=2n+1. A similar result was already known for Sturmian words but the proof relies on completely different techniques that seemingly could not be applied for Tribonacci. [less ▲]

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See detailVoiture électrique : 697.612 km pour devenir verte ! Vrai ou faux ?
Ernst, Damien ULiege

E-print/Working paper (2019)

Detailed reference viewed: 164 (7 ULiège)
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See detailElectric car: 697,612 km to become green! True or false?
Ernst, Damien ULiege

E-print/Working paper (2019)

Detailed reference viewed: 152 (4 ULiège)
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See detailInvest Smarter... All my Tweets on the Art & Science of Internet-Based Investing
Choffray, Jean-Marie ULiege

E-print/Working paper (2019)

“Invest smarter…” I started this project three years ago. After several hundred hours of reading, thinking and writing, here they are: “All my Tweets on The Art & Science of Internet-Based Investing.” ... [more ▼]

“Invest smarter…” I started this project three years ago. After several hundred hours of reading, thinking and writing, here they are: “All my Tweets on The Art & Science of Internet-Based Investing.” While producing them, my goal was to “show you the way”; to share my observations on the evolution of the world and the behavior of the financial markets; and, to illustrate the key heuristics that I learned over the years, including the most recent, and turbulent, period. As, without any doubt, I am no Warren Buffett, feel free to disagree and develop your own theory of investing. Painful and solitary work... Success is at that price! And, based on what I did - and did not! - achieve, it shouldn’t be hard to do much better... That’s my wish for you! [less ▲]

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See detailDebating the Measure: Steve Reich’s Sociological Imagination.
Orianne, Jean-François ULiege

E-print/Working paper (2019)

This article intends to identify the contributions of Steve Reich's music to sociology. His music presents three main characteristics: it is made out of empirical material collected on the field; it is a ... [more ▼]

This article intends to identify the contributions of Steve Reich's music to sociology. His music presents three main characteristics: it is made out of empirical material collected on the field; it is a theory of processes; it is a political and cultural act. Steve Reich's music affects sociology on these three points: it reminds the social scientist of the nature of his craft and his commitment to the social world, questions his methods and practices; it even sheds light on some of his familiar concepts (in particular that of ‘process’). The author proposes to extract from Steve Reich’s compositional work some elements that could prove useful for sociology as a profession. [less ▲]

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See detailLevallois et Gravettien
Otte, Marcel ULiege; Noiret, Pierre ULiege

E-print/Working paper (2019)

Par opposition à ceux de l’Aurignacien, les ensembles lithiques gravettiens procèdent selon une méthode rappelant le Levallois quant à la préparation des supports. Mais les variations observables au sein ... [more ▼]

Par opposition à ceux de l’Aurignacien, les ensembles lithiques gravettiens procèdent selon une méthode rappelant le Levallois quant à la préparation des supports. Mais les variations observables au sein du Gravettien touchent autant les processus de symbolisation dans l’art et les sépultures. Elles affectent différents substrats eurasiatiques, plutôt septentrionaux, comme mis en réserve dès les Néandertaliens. [less ▲]

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See detailLandscape-like Architecture Hiroshi Senju Museum as An Alternative to Placelessness
Van Rooyen, Xavier ULiege

E-print/Working paper (2019)

Detailed reference viewed: 39 (4 ULiège)
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See detailCo-Housing: The Challenge of Shared Spaces within a Shared Society
Van Rooyen, Xavier ULiege

E-print/Working paper (2019)

Detailed reference viewed: 28 (4 ULiège)
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See detailRecourse in Kidney Exchange Programs
Bartier, Valentin; Smeulders, Bart ULiege; Crama, Yves ULiege et al

E-print/Working paper (2019)

The problem to decide which patient-donor pairs in a kidney exchange program should undergo a cross-match test is modelled as a two-stage stochastic optimization problem. We give an integer programming ... [more ▼]

The problem to decide which patient-donor pairs in a kidney exchange program should undergo a cross-match test is modelled as a two-stage stochastic optimization problem. We give an integer programming formulation of this so-called selection problem, and describe a solution method based on Benders decomposition. We extensively test various solution methods, and observe that the solutions, when compared to solutions found by recourse models, lead to an improvement in the expected number of transplants. We also investigate the computational efficiency of our approach as a function of different parameters, such as maximum cycle length and the presence of altruists. [less ▲]

Detailed reference viewed: 58 (13 ULiège)
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See detailGuide d'utilisation de Zotero: Fonctionnalités de base de l'outil de gestion bibliographique
Dony, Christophe ULiege

E-print/Working paper (2019)

Detailed reference viewed: 1388 (454 ULiège)
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See detailMinimal automaton for multiplying and translating the Thue-Morse set
Charlier, Emilie ULiege; Cisternino, Célia ULiege; Massuir, Adeline ULiege

E-print/Working paper (2019)

The Thue-Morse set T is the set of those non-negative integers whose binary expansions have an even number of 1. The name of this set comes from the fact that its characteristic sequence is given by the ... [more ▼]

The Thue-Morse set T is the set of those non-negative integers whose binary expansions have an even number of 1. The name of this set comes from the fact that its characteristic sequence is given by the famous Thue-Morse word abbabaabbaababba..., which is the fixed point starting with a of the word morphism a -> ab; b -> ba. The numbers in T are commonly called the evil numbers. We obtain an exact formula for the state complexity of the set mT + r (i.e. the number of states of its minimal automaton) with respect to any base b which is a power of 2. Our proof is constructive and we are able to explicitly provide the minimal automaton of the language of all 2^p-expansions of the set of integers mT +r for any positive integers p and m and any remainder r between 0 and m-1. The proposed method is general for any b-recognizable set of integers. As an application, we obtain a decision procedure running in quadratic time for the problem of deciding whether a given 2^p-recognizable set is equal to a set of the form mT + r. [less ▲]

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See detailOperational risk, uncertainty, and the economy: a smooth transition extreme value approach
Hambuckers, Julien ULiege; Kneib, Thomas

E-print/Working paper (2019)

We study the link between the distribution of extreme operational losses and the economic context, a fundamental task to compute adequate risk measures over time. In particular, we allow for time-varying ... [more ▼]

We study the link between the distribution of extreme operational losses and the economic context, a fundamental task to compute adequate risk measures over time. In particular, we allow for time-varying dependencies due to structural changes, thanks to a newly-introduced smooth transition Generalized Pareto (GP) regression model. In this model, the parameters of the GP distribution are related to explanatory variables through regression functions, which depend themselves on a predictor of structural changes. Relying on this model, we study the dependence of the monthly loss severity distribution at UniCredit, over the period 2005-2014. As indicator of structural changes, we use the VIX, accounting for the general uncertainty on financial markets. We show that both the goodness-of- fit far in the tail and Value-at-Risk estimates of the total loss distribution obtained from such models are superior to a set of alternatives. We also show that in periods of high uncertainty, conditions favorable to a lax monetary policy are synonym of an increased likelihood of extreme losses. Finally, we discover evidence of a self-inhibition mechanism, where a high number of losses in a recent past are indicative of less extreme losses in the future, probably due to improved monitoring. [less ▲]

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See detailTowards an extended indexical externalism. Looking for empirical data
De Brabanter, Philippe; Leclercq, Bruno ULiege

E-print/Working paper (2019)

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See detailSemantic externalism(s) and semantic deference
De Brabanter, Philippe; Leclercq, Bruno ULiege

E-print/Working paper (2019)

We sketch several variants of so-called “semantic externalism”, which we take to be prototypically embodied by Wittgenstein, Kripke and Burge respectively. Then, drawing inspiration from Putnam, we show ... [more ▼]

We sketch several variants of so-called “semantic externalism”, which we take to be prototypically embodied by Wittgenstein, Kripke and Burge respectively. Then, drawing inspiration from Putnam, we show how aspects of these different kinds of semantic externalism can be articulated with each other in the case of natural kind terms, and we suggest that this analysis could be extended to a larger set of words. When that is done, we turn to the core part of the paper, which consists in a thorough discussion of the forms of “semantic deference” that can plausibly be associated with each brand of externalism. We suggest that the debates over the kinds of semantic externalism characteristic of different kinds of words can be clarified by investigating the kind of semantic deference they call for. [less ▲]

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See detailThe golden mountain, the man and the great big elvish warrior. Kripkean and Meinongian readings of definite descriptions in fiction
Leclercq, Bruno ULiege

E-print/Working paper (2019)

The neat distinction between objects and concepts which prevails in standard extensional logic seems to be challenged by inexistent objects. Yet modal logics and Meinongian logics offer two very different ... [more ▼]

The neat distinction between objects and concepts which prevails in standard extensional logic seems to be challenged by inexistent objects. Yet modal logics and Meinongian logics offer two very different non-extensional ways of dealing with such objects. While the former somehow stick to the object-concept distinction, the latter overcome it in such a way that objects come to get most of the main features which standardly characterise concepts. Now, just like non-fictional discourse requires distinguishing between a de re and a de dicto reading of some linguistic expressions, (naïve reading of) fiction requires distinguishing between a de altero mundo and a de dicto reading of expressions. And this pleads for the preservation of the object-concept distinction even for fiction. This is why modal logics provide a better tool for a general theory of reference that accounts both for fictional and non-fictional discourse even if Meinongian logics give a good account of the logic of intension [less ▲]

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See detailSolar Rebound The unintended consequences of subsidies
Boccard, Nicolas; Gautier, Axel ULiege

E-print/Working paper (2019)

Many jurisdictions use net metering to record the power exchange between solar photovoltaic panels and the grid, thus valuing home production at the electricity retail rate. However, if over the billing ... [more ▼]

Many jurisdictions use net metering to record the power exchange between solar photovoltaic panels and the grid, thus valuing home production at the electricity retail rate. However, if over the billing period, production exceeds consumption, the surplus remains freely available for consumption. In Wallonia (Belgium), this system was combined with generous subsidies for solar panels that encouraged households to set-up large installations, possibly exceeding their consumption needs. In this context, we test for a possible rebound effect. Based on a large sample of residential PV installations, we observe that a large proportion of households oversized their installation to benefit from the subsidies and, later ended-up consuming most of their excess production. The effect is econometrically highly significant. There are thus evidence of a strong increase in energy consumption by residential PV owners, that runs counter the original policy design. [less ▲]

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See detailResource Complementarity as Criterion for Siting Renewable Energy Generation Assets
Radu, David-Constantin ULiege

E-print/Working paper (2019)

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Peer Reviewed
See detail“Mapping and Testing Social Enterprise Models Across the World: Evidence from the “International Comparative Social Enterprise Models (ICSEM) Project”,
Defourny, Jacques ULiege; Nyssens, Marthe; Brolis, Olivier ULiege

E-print/Working paper (2018)

The relevance of an international typology of SE models, as proposed by Defourny and Nyssens (2017) is tested through an Hierarchical Cluster Analysis of a database covering 740 social enterprises in 43 ... [more ▼]

The relevance of an international typology of SE models, as proposed by Defourny and Nyssens (2017) is tested through an Hierarchical Cluster Analysis of a database covering 740 social enterprises in 43 countries from all world regions. Three of the four proposed SE models find a strong empirical support: the "Entrepreneurial Nonprofit", the "Social Cooperative" and the "Social Business" models [less ▲]

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See detailHenry Clews: Twenty-Eight Years in Wall Street
Choffray, Jean-Marie ULiege

E-print/Working paper (2018)

Word of caution: I am happy to share my summary of one of the best books ever written on how financial markets function and professional investors/speculators behave. Some of the observations and ... [more ▼]

Word of caution: I am happy to share my summary of one of the best books ever written on how financial markets function and professional investors/speculators behave. Some of the observations and inferences made by Henry Clews, more than one hundred years ago, may sometimes appear a bit crude, if not biased – specially to those of us who live on this side of the Atlantic! – but they don’t overshadow his honest desire to observe, understand and share financial markets history as it unfolds. I think that most of his comments and advices are perfectly relevant today in our digitalized investment environment. That’s why, under the influence of some of my past students, I finally decided to share my “personal” summary of this exceptional piece of work. If it leads you to read the 724 pages of the original, I will have done useful work. [less ▲]

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See detailProjet JOS. Compte-rendu de l'enquête menée dans les jardins partagés luxembourgeois
Gérard, Marie ULiege

E-print/Working paper (2018)

Les commentateurs concernés par la question des jardins s’accordent aujourd’hui sur un point : après une éclipse qui trouve son point de départ dans les bouleversements que provoque la révolution ... [more ▼]

Les commentateurs concernés par la question des jardins s’accordent aujourd’hui sur un point : après une éclipse qui trouve son point de départ dans les bouleversements que provoque la révolution industrielle, et qui s’aggravent avec l’entreprise de « modernisation » de l’après-guerre (la période dite des « Trente Glorieuses »), un « retour au jardin » s’est amorcé au début des années 1980. Depuis lors, pas un jour sans que la restauration d’un « jardin historique » ne soit programmée, sans qu’un nouveau manuel de jardinage ne soit publié, sans qu’une « fête des plantes » ne soit organisée. On s’en doute : les « jardins partagés », ces jardins « communautaires » qui ont vu le jour dans les villes du vieux continent à la fin des années 1990, participent de ce renouveau. Mais que se joue-t-il à travers ce retour au jardin ? Et en quoi cela concerne-t-il les jardins partagés ? Ce travail, qui rend compte d’une enquête menée au mois de juin 2018 dans les jardins partagés luxembourgeois engagés dans le projet JOS, se confrontera à ces deux questions. [less ▲]

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See detailNotes on security of electricity supply, some practical problems in MV/LV networks and legal aspects of building global grid
Glavic, Mevludin ULiege

E-print/Working paper (2018)

This documents presents a note on security of electricity supply and several short notes on some technical problems in MV/LV networks and legal aspects related to building global grid. The only aim of the ... [more ▼]

This documents presents a note on security of electricity supply and several short notes on some technical problems in MV/LV networks and legal aspects related to building global grid. The only aim of the document is to provide potentially useful material for those interested in the problems (particularly those at initial stage of their research). Considered problems include: 1. Security of electricity supply, 2. Approaches for optimal placement of DGs and EV’s charging stations, 3. Approaches for corrective measures (load flexibility and generation curtailment) in LV networks, 4. Approaches to infer LV network model from smart meter data, 5. Approaches for phases balancing in LV networks, 6. Approaches for voltage and thermal overload control in active distribution networks, and 7. Legal aspects related to building Global Grid. [less ▲]

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See detailTerminologia multilingue in medicina di famiglia Versione 2.5 italiana
Jamoulle, Marc ULiege; Demurtas, Jacopo; Pesolillo, Gabriella et al

E-print/Working paper (2018)

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See detailDoes Coriolis force influence the flow in shallow reservoirs?
Dewals, Benjamin ULiege

E-print/Working paper (2018)

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See detailGuidelines related to the use of an existing cavity (mine/quarry) as reservoir of a pumped storage hydroelectric facility
Cerfontaine, Benjamin ULiege; Ronchi, Benedicta; Archambeau, Pierre ULiege et al

E-print/Working paper (2018)

Underground mines/quarries or open pits are manmade earthworks resulting from previous extraction of natural resources. They were mostly abandoned after resources depletion but underground or surface ... [more ▼]

Underground mines/quarries or open pits are manmade earthworks resulting from previous extraction of natural resources. They were mostly abandoned after resources depletion but underground or surface excavations remain. Pumped Storage Hydroelectricity (PSH) is one of the only efficient solutions for large scale energy storage. During peaks of energy production, water is pumped from a lower reservoir to an upper reservoir. On the other hand when demand peaks, energy is generated when water is transferred to the lower reservoir. The objective of this work is to study the recovering of abandoned excavation volumes as lower reservoirs for pumped storage hydroelectricity. Underground Pumped Storage Hydroelectricity (UPSH) is a particular case where at least one of the reservoir lies below the surface. Compare to classical PSH plants, using an existing cavity as a reservoir raises three main additional problems: 1) What are the water movements and thus discharge availability at the pump/turbine location depending on the reservoir (complex) geometry? 2) What are the exchanges between the reservoir (usually not watertight) and the surrounding medium? 3) How can the reservoir sides resist to cyclic loading imposed by the plant operation? In the following, some simplified criteria and issues are provided to carry out feasibility assessments of such rehabilitation projects, from the existing reservoir point of view. These criteria do no replace a detailed and complete study but draws the attention on problems specific to PSH using existing cavities as reservoir. They do not concern problems existing for every PSH project, such as location of electricity transport lines, availability of water… [less ▲]

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See detailUn mathématicien contemporain emblématique: Sir William Timothy Gowers
Bair, Jacques ULiege

E-print/Working paper (2018)

William Timothy (ou simplement Tim) Gowers est un des meilleurs mathématiciens de cette époque. Au-delà des résultats mathématiques originaux et profonds qu’il a trouvés, il présente (au moins) quatre ... [more ▼]

William Timothy (ou simplement Tim) Gowers est un des meilleurs mathématiciens de cette époque. Au-delà des résultats mathématiques originaux et profonds qu’il a trouvés, il présente (au moins) quatre particularités épistémologiques qui n’étaient pas encore d’actualité dans le passé et semblaient dès lors peu préoccuper les grands mathématiciens des siècles précédents, mais qui nous paraissent prises en compte par certains savants de la présente époque travaillant dans la direction tracée par T. Gowers. 1) Dans ses recherches mathématiques, il rapproche des théories mathématiques qui a priori semblent éloignées les unes des autres. 2) Il cherche à mieux faire comprendre les mathématiques à tous niveaux et contribue à la publication d’ouvrages de (haute) vulgarisation. 3) Il milite pour une science ouverte, en « open access ». 4) Il promeut une résolution collaborative de problèmes mathématiques ardus. [less ▲]

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See detailAphorismes mathématiques de J. Ellenberg
Bair, Jacques ULiege

E-print/Working paper (2018)

J. S. Ellenberg est un des meilleurs mathématiciens de notre temps. Il a écrit un livre remarquable intitulé en anglais "How not to be wrong", traduit en français sous le titre "L'art de ne pas dire n ... [more ▼]

J. S. Ellenberg est un des meilleurs mathématiciens de notre temps. Il a écrit un livre remarquable intitulé en anglais "How not to be wrong", traduit en français sous le titre "L'art de ne pas dire n'importe quoi". D'après l'auteur, " il voulait expliquer aux gens, en détail, combien les maths sont fantastiques". Nous reprenons dans cette note quelques extraits qui nous semblent contenir des idées profondes et pertinentes à propos des mathématiques, de leur enseignement et de leur heuristique (c'est-à-dire la façon de les trouver); nous les appelons des "aphorismes mathématiques". [less ▲]

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See detailReview of urban flood experimental models and preliminary design of a laboratory setup of urban flooding
Li, Xuefang ULiege; Erpicum, Sébastien ULiege; Archambeau, Pierre ULiege et al

E-print/Working paper (2018)

In this study, we will investigate a study on an urban flood experimental model. Firstly, a literature review of urban flood experimental models is addressed to summarize the studies in this sector ... [more ▼]

In this study, we will investigate a study on an urban flood experimental model. Firstly, a literature review of urban flood experimental models is addressed to summarize the studies in this sector (Section 2). Next, a strategy of experimental model design will be proposed (section 3.1). Particularly, we are interested in analyzing the influence of model distortion to the flow characteristics (Section 3) and the effect of the interaction between surface flow and underground space (Section 4). [less ▲]

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See detailLe phénomène interrégional dans le Global South: quel cadre conceptuel pour une réalité empirique plurielle? Le cas du dialogue afro-sud- américain.
Mvengou Cruzmerino, Martine Colette ULiege

E-print/Working paper (2018)

La mise en place de dynamiques interrégionales dans le Global South a participé à la mutation de la physionomie de la scène internationale dès le début du XXIe siècle, offrant ainsi aux régions du Sud de ... [more ▼]

La mise en place de dynamiques interrégionales dans le Global South a participé à la mutation de la physionomie de la scène internationale dès le début du XXIe siècle, offrant ainsi aux régions du Sud de nouveaux espaces de socialisation et de dialogue. Par ailleurs, ces interactions interrégionales Sud-Sud renvoient à une réalité empirique plurielle dont l’étude reste marginalisée au sein de la littérature sur l’interregionalisme. Dès lors, la présente contribution s’interroge sur l’usage et la pratique qui est fait de l’espace inter régional dans le Global South et questionne la mise en place d’un cadre conceptuel capable de mettre en lumière les différents enjeux et logiques qui structurent lesdits processus ineterregionaux. En soulignant le paradoxe épistémologique qui caractérise l’analyse des processus interrégionaux au Sud, à savoir le fait de rassembler des réalités plurielles et à la fois de manquer de cadre d’analyse susceptible d’aborder les enjeux de cet usage spécifique, cette contribution se penche sur le cas des relations interrégionales afro-sud-américaines. Ainsi, à partir de cette étude de cas, il est présenté une approche éclectique qui vise à intégrer le concept de Coopération Sud-Sud dans l’étude desdits processus notamment à travers la notion d’interrégionalisme Sud-Sud. [less ▲]

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See detailLaw, New Technologies & Artificial Intelligence. Session 2: Regulation of data
Mansvelt, Valérie ULiege

E-print/Working paper (2018)

After a general presentation of the context data and privacy regulation by Christian D’Cunha, the different speakers covering this course discussed the main grounds of the GDPR (Laurent De Muyter ) as ... [more ▼]

After a general presentation of the context data and privacy regulation by Christian D’Cunha, the different speakers covering this course discussed the main grounds of the GDPR (Laurent De Muyter ) as well as other relevant legislation for data regulation followed by some study cases (Inge Graef ). The importance of regulation of data is undeniable, as it is at the core of artificial intelligence (A.I.). Indeed, it requires big amounts of various data and the velocity of data. The most personal the data is, the most valuable it is. This collect of data is made possible by an increasing amount of connected devices. Therefore, there is security issues that arise (risk of hacking and losing data for example). This course aims at giving a better understanding of the scope of the various regulatory instruments. [less ▲]

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See detailSmart Equity Investing: Implementing Risk Optimization Techniques on Strategic Beta Portfolios
Fays, Boris ULiege; Lambert, Marie ULiege; Nicolas, Papageorgiou

E-print/Working paper (2018)

We examine the performance of risk-optimization techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors by practitioners and data providers, we group stocks ... [more ▼]

We examine the performance of risk-optimization techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors by practitioners and data providers, we group stocks based on size, value and momentum characteristics through either independent or dependent sorting. Overall, performing risk-oriented strategies on style portfolios constructed with a dependent sort deliver greater abnormal returns. On average, we observe these strategies to significantly outperform 42% of the risk-oriented ETFs listed on US exchanges, compared to 31% when the risk-oriented strategies are performed on portfolios formed with an independent sort. We attribute the outperformance yielded by dependent sorting to the fact that it provides a better stratification of the set of stocks’ opportunity and diversification properties. [less ▲]

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See detail‘Crossovers’ in the Flemish education system: An exploratory study
Proesmans, Maxim ULiege

E-print/Working paper (2018)

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See detail« Proudhon, le premier pragmatiste? Petite histoire de l’autre sociologie »
Frère, Bruno ULiege

E-print/Working paper (2018)

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See detailSolidarity economy and its anarchist grammar
Frère, Bruno ULiege

E-print/Working paper (2018)

‘Solidarity economy’, a widely used term for which the most common French equivalent is economie solidaire, is generally thought of as comprising five distinct classes of activity : Micro-finance, Local ... [more ▼]

‘Solidarity economy’, a widely used term for which the most common French equivalent is economie solidaire, is generally thought of as comprising five distinct classes of activity : Micro-finance, Local Exange Trading Systems, proximity services, organic community supported agriculture and fairtrade distributions. Because they try to answer to the Aristotelian theoretical question “what can we do to live harmoniously together?”, these solidarity initiatives are deeply political in the philosophical sense of the term. They galvanize civic commitment at the “micro” level. But today, an important question arises regarding the kind of formal political institution that would speak in the name of all these initiatives. In France, some intellectuals who have an interest in these solidarity initiatives see them as new economic models with the potential to solve the current financial crisis, and they are eager for academic specialists and leaders of the movement to achieve some kind of consensus about the kind of concrete political identity such initiatives may be expected to generate. However this paper studies their way of establishing a basis for moving from micro level initiatives to substantial “macro” polity unity. Using the insights of french pragmatic sociology, and particularly the notion of grammar of justification, it aims to understand what the obstacles to this aim being realised are. [less ▲]

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See detailDiagram, the machine abstraite of contemporary architecture
Van Rooyen, Xavier ULiege

E-print/Working paper (2018)

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See detailGamma Trading Skills in Hedge Funds
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

E-print/Working paper (2018)

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option ... [more ▼]

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible tool to create individual benchmarks for the payoff curvature of hedge fund, the model helps assigning hedge fund styles into three categories: directional with market timing skills, non-directional and market timers. Overall, our empirical results show that, on 30% of replicated funds in our sample (10,958 funds), there is no evidence of the presence of selection skills once a fund performance is adjusted with respect to the option-based benchmark and the traditional option-based factors of Agarwal and Naik (2004). This research has an incremental potential to stimulate additional research in the field of hedge funds performance replication through passive strategies. [less ▲]

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See detailFactoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

E-print/Working paper (2018)

This paper thoroughly analyzes competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper diversification of the factor's portfolio constituents ... [more ▼]

This paper thoroughly analyzes competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper diversification of the factor's portfolio constituents for producing relevant and unbiased risk factors or benchmark portfolios. This is an important issue to be solved for asset pricing and performance models defined as a function of characteristics. As a practical case, the paper works on the design of size and value spread portfolios à la Fama-French. This quasi- clinical investigation examines three methodological choices that have an impact on portfolio diversification: the (in)dependence and the (a)symmetry of the stock sorting procedure, and the sorting breakpoints. A sequential and symmetric sort of stocks into long and short portfolios conditioned on control variables produces unbiased factors. Our results are stronger when whole firm samples are used to define breakpoints and are also robust to the inclusion of a third dimension in the multiple sorting. [less ▲]

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See detailNonparametric regression with cross-sectional data: an alternative to conditional product-limit estimators
Heuchenne, Cédric ULiege; Laurent, Géraldine

E-print/Working paper (2018)

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Peer Reviewed
See detailGeneration of Parallel Corpus for Low Resource Language Translation
Trieu, Long Hai; Ittoo, Ashwin ULiege

E-print/Working paper (2018)

Detailed reference viewed: 27 (1 ULiège)