Topics in financial econometrics

In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

Educational mismathc in Italian an European labour markets (starting from the UK)

The present doctoral thesis is structured as a collection of three essays. The first essay, “SOC(HE)-Italy: a classification for graduate occupations” presents the conceptual basis, the construction, the validation and the application to the Italian labour force of the occupational classification termed SOC(HE)-Italy. I have developed this classification under the supervision of Kate Purcell during my period as a visiting research student at the Warwick Institute for Emplyment Research. This classification links the constituent tasks and duties of a particular job to the relevant knowledge and skills imparted via Higher Education (HE). It is based onto the SOC(HE)2010, an occupational classification first proposed by Kate Purcell in 2013, but differently constructed. In the second essay “Assessing the incidence and wage effects of overeducation among Italian graduates using a new measure for educational requirements” I utilize this classification to build a valid and reliable measure for job requirements. The lack of an unbiased measure for this dimension constitutes one of the major constraints to achieve a generally accepted measurement of overeducation. Estimations of overeducation incidence and wage effects are run onto AlmaLaurea data from the survey on graduates career paths. I have written this essay and obtained these estimates benefiting of the help and guidance of Giovanni Guidetti and Giulio Pedrini. The third and last essay titled “Overeducation in the Italian labour market: clarifying the concepts and addressing the measurement error problem” addresses a number of theoretical issues concerning the concepts of educational mismatch and overeducation. Using Istat data from RCFL survey I run estimates of the ORU model for the whole Italian labour force. In my knowledge, this is the first time ever such model is estimated on such population. In addition, I adopt the new measure of overeducation based onto the SOC(HE)-Italy classification.

Design and development of new pressure sensors for aerodynamic applications

This artwork reports on two different projects that were carried out during the three years of Doctor of the Philosophy course. In the first years a project regarding Capacitive Pressure Sensors Array for Aerodynamic Applications was developed in the Applied Aerodynamic research team of the Second Faculty of Engineering, University of Bologna, Forlì, Italy, and in collaboration with the ARCES laboratories of the same university. Capacitive pressure sensors were designed and fabricated, investigating theoretically and experimentally the sensor’s mechanical and electrical behaviours by means of finite elements method simulations and by means of wind tunnel tests. During the design phase, the sensor figures of merit are considered and evaluated for specific aerodynamic applications. The aim of this work is the production of low cost MEMS-alternative devices suitable for a sensor network to be implemented in air data system. The last two year was dedicated to a project regarding Wireless Pressure Sensor Network for Nautical Applications. Aim of the developed sensor network is to sense the weak pressure field acting on the sail plan of a full batten sail by means of instrumented battens, providing a real time differential pressure map over the entire sail surface. The wireless sensor network and the sensing unit were designed, fabricated and tested in the faculty laboratories. A static non-linear coupled mechanical-electrostatic simulation, has been developed to predict the pressure versus capacitance static characteristic suitable for the transduction process and to tune the geometry of the transducer to reach the required resolution, sensitivity and time response in the appropriate full scale pressure input A time dependent viscoelastic error model has been inferred and developed by means of experimental data in order to model, predict and reduce the inaccuracy bound due to the viscolelastic phenomena affecting the Mylar® polyester film used for the sensor diaphragm. The development of the two above mentioned subjects are strictly related but presently separately in this artwork.

Classical limit of the Nelson model

Since the development of quantum mechanics it has been natural to analyze the connection between classical and quantum mechanical descriptions of physical systems. In particular one should expect that in some sense when quantum mechanical effects becomes negligible the system will behave like it is dictated by classical mechanics. One famous relation between classical and quantum theory is due to Ehrenfest. This result was later developed and put on firm mathematical foundations by Hepp. He proved that matrix elements of bounded functions of quantum observables between suitable coherents states (that depend on Planck's constant h) converge to classical values evolving according to the expected classical equations when h goes to zero. His results were later generalized by Ginibre and Velo to bosonic systems with infinite degrees of freedom and scattering theory. In this thesis we study the classical limit of Nelson model, that describes non relativistic particles, whose evolution is dictated by Schrödinger equation, interacting with a scalar relativistic field, whose evolution is dictated by Klein-Gordon equation, by means of a Yukawa-type potential. The classical limit is a mean field and weak coupling limit. We proved that the transition amplitude of a creation or annihilation operator, between suitable coherent states, converges in the classical limit to the solution of the system of differential equations that describes the classical evolution of the theory. The quantum evolution operator converges to the evolution operator of fluctuations around the classical solution. Transition amplitudes of normal ordered products of creation and annihilation operators between coherent states converge to suitable products of the classical solutions. Transition amplitudes of normal ordered products of creation and annihilation operators between fixed particle states converge to an average of products of classical solutions, corresponding to different initial conditions.

Assessing the fit of unidimensional IRT models for binary data under model misspecification

Model misspecification affects the classical test statistics used to assess the fit of the Item Response Theory (IRT) models. Robust tests have been derived under model misspecification, as the Generalized Lagrange Multiplier and Hausman tests, but their use has not been largely explored in the IRT framework. In the first part of the thesis, we introduce the Generalized Lagrange Multiplier test to detect differential item response functioning in IRT models for binary data under model misspecification. By means of a simulation study and a real data analysis, we compare its performance with the classical Lagrange Multiplier test, computed using the Hessian and the cross-product matrix, and the Generalized Jackknife Score test. The power of these tests is computed empirically and asymptotically. The misspecifications considered are local dependence among items and non-normal distribution of the latent variable. The results highlight that, under mild model misspecification, all tests have good performance while, under strong model misspecification, the performance of the tests deteriorates. None of the tests considered show an overall superior performance than the others. In the second part of the thesis, we extend the Generalized Hausman test to detect non-normality of the latent variable distribution. To build the test, we consider a seminonparametric-IRT model, that assumes a more flexible latent variable distribution. By means of a simulation study and two real applications, we compare the performance of the Generalized Hausman test with the M2 limited information goodness-of-fit test and the Likelihood-Ratio test. Additionally, the information criteria are computed. The Generalized Hausman test has a better performance than the Likelihood-Ratio test in terms of Type I error rates and the M2 test in terms of power. The performance of the Generalized Hausman test and the information criteria deteriorates when the sample size is small and with a few items.