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.

The Impact Of Inward Licensing On New Venture’s Performance. Is inward licensing a winning strategy?

The original idea of the thesis draws on interrelated assumptions: 1) among the tools used, in the markets for technology, for the acquisition of external knowledge, the licensing agreements are acknowledged as one of the most important contractual mechanisms; 2) the liabilities of newness and the liabilities of smallness force new venture to strongly rely on external knowledge sources. Albeit the relevance of this topic, little attention has been paid so far to its investigation, especially in the licensing context; 3) nowadays there is an increasing trend in licensing practices, but the literature on markets for technology focuses almost exclusively on the incentives and rationales that foster firms’ decisions to trade their technologies, under-investigating the role of the acquiring firm, the licensee, overlooking the demand side of the market. Therefore, the thesis investigates the inward licensing phenomenon within the context of new ventures. The main questions that new venture licensee has to address if it decides to undertake an inward licensing strategy, can be summarized as follows: 1) Is convenient for a new venture to choose, as initial technology strategy, the implementation of an inward licensing ? 2) Does this decision affect its survival probabilities? 3) Does the age, at which a new venture becomes a licensee, affect its innovative capabilities? Is it better to undertake a licensing-in strategy soon after founding or to postpone this strategy until the new venture has accumulated significant resources? The findings suggest that new ventures licensees survive less than their non-licensee counterparts; the survival rates are directly connected to the time taken by firms to reach the market;being engaged in licensing-in deals some years after its inception allows a new venture licensee to increase its subsequent capacity to produce innovations.

Expression of the repressor element-1 silencing transcription factor (REST) is regulated by IGF-I and PKC in human neuroblastoma cells

The repressor element 1-silencing transcription factor (REST) was first identified as a protein that binds to a 21-bp DNA sequence element (known as repressor element 1 (RE1)) resulting in transcriptional repression of the neural-specific genes [Chong et al., 1995; Schoenherr and Anderson, 1995]. The original proposed role for REST was that of a factor responsible for restricting neuronal gene expression to the nervous system by silencing expression of these genes in non-neuronal cells. Although it was initially thought to repress neuronal genes in non-neuronal cells, the role of REST is complex and tissue dependent. In this study I investigated any role played by REST in the induction and patterning of differentiation of SH-SY5Y human neuroblastoma cells exposed to IGF-I. and phorbol 12- myristate 13-acetate (PMA) To down-regulate REST expression we developed an antisense (AS) strategy based on the use of phosphorothioate oligonucleotides (ODNs). In order to evaluate REST mRNA levels, we developed a real-time PCR technique and REST protein levels were evaluated by western blotting. Results showed that nuclear REST is increased in SH-SY5Y neuroblastoma cells cultured in SFM and exposed to IGF-I for 2-days and it then declines in 5-day-treated cells concomitant with a progressive neurite extension. Also the phorbol ester PMA was able to increase nuclear REST levels after 3-days treatment concomitant to neuronal differentiation of neuroblastoma cells, whereas, at later stages, it is down-regulated. Supporting these data, the exposure to PKC inhibitors (GF10923X and Gö6976) and PMA (16nM) reverted the effects observed with PMA alone. REST levels were related to morphological differentiation, expression of growth coneassociated protein 43 (GAP-43; a gene not regulated by REST) and of synapsin I and βIII tubulin (genes regulated by REST), proteins involved in the early stage of neuronal development. We observed that differentiation of SH-SY5Y cells by IGF-I and PMA was accompanied by a significant increase of these neuronal markers, an effect that was concomitant with REST decrease. In order to relate the decreased REST expression with a progressive neurite extension, I investigated any possible involvement of the ubiquitin–proteasome system (UPS), a multienzymatic pathway which degrades polyubiquinated soluble cytoplasmic proteins [Pickart and Cohen, 2004]. For this purpose, SH-SY5Y cells are concomitantly exposed to PMA and the proteasome inhibitor MG132. In SH-SY5Y exposed to PMA and MG 132, we observed an inverse pattern of expression of synapsin I and β- tubulin III, two neuronal differentiation markers regulated by REST. Their cytoplasmic levels are reduced when compared to cells exposed to PMA alone, as a consequence of the increase of REST expression by proteasome inhibitor. The majority of proteasome substrates identified to date are marked for degradation by polyubiquitinylation; however, exceptions to this principle, are well documented [Hoyt and Coffino, 2004]. Interestingly, REST degradation seems to be completely ubiquitin-independent. The expression pattern of REST could be consistent with the theory that, during early neuronal differentiation induced by IGF-I and PKC, it may help to repress the expression of several genes not yet required by the differentiation program and then it declines later. Interestingly, the observation that REST expression is progressively reduced in parallel with cell proliferation seems to indicate that the role of this transcription factor could also be related to cell survival or to counteract apotosis events [Lawinger et al., 2000] although, as shown by AS-ODN experiments, it does not seem to be directly involved in cell proliferation. Therefore, the decline of REST expression is a comparatively later event during maturation of neuroroblasts in vitro. Thus, we propose that REST is regulated by growth factors, like IGF-I, and PKC activators in a time-dependent manner: it is elevated during early steps of neural induction and could contribute to down-regulate genes not yet required by the differentiation program while it declines later for the acquisition of neural phenotypes, concomitantly with a progressive neurite extension. This later decline is regulated by the proteasome system activation in an ubiquitin-indipendent way and adds more evidences to the hypothesis that REST down-regulation contributes to differentiation and arrest of proliferation of neuroblastoma cells. Finally, the glycosylation pattern of the REST protein was analysed, moving from the observation that the molecular weight calculated on REST sequence is about 116 kDa but using western blotting this transcription factor appears to have distinct apparent molecular weight (see Table 1.1): this difference could be explained by post-translational modifications of the proteins, like glycosylation. In fact recently, several studies underlined the importance of O-glycosylation in modulating transcriptional silencing, protein phosphorylation, protein degradation by proteasome and protein–protein interactions [Julenius et al., 2005; Zachara and Hart, 2006]. Deglycosilating analysis showed that REST protein in SH-SY5Y and HEK293 cells is Oglycosylated and not N-glycosylated. Moreover, using several combination of deglycosilating enzymes it is possible to hypothesize the presence of Gal-β(1-3)-GalNAc residues on the endogenous REST, while β(1-4)-linked galactose residues may be present on recombinant REST protein expressed in HEK293 cells. However, the O-glycosylation process produces an immense multiplicity of chemical structures and monosaccharides must be sequentially hydrolyzed by a series of exoglycosidase. Further experiments are needed to characterize all the post-translational modification of the transcription factor REST.

Technology acquisition through licensing. Implications for firm strategy

Nowadays licensing practices have increased in importance and relevance driving the widespread diffusion of markets for technologies. Firms are shifting from a tactical to a strategic attitude towards licensing, addressing both business and corporate level objectives. The Open Innovation Paradigm has been embraced. Firms rely more and more on collaboration and external sourcing of knowledge. This new model of innovation requires firms to leverage on external technologies to unlock the potential of firms’ internal innovative efforts. In this context, firms’ competitive advantage depends both on their ability to recognize available opportunities inside and outside their boundaries and on their readiness to exploit them in order to fuel their innovation process dynamically. Licensing is one of the ways available to firm to ripe the advantages associated to an open attitude in technology strategy. From the licensee’s point view this implies challenging the so-called not-invented-here syndrome, affecting the more traditional firms that emphasize the myth of internal research and development supremacy. This also entails understanding the so-called cognitive constraints affecting the perfect functioning of markets for technologies that are associated to the costs for the assimilation, integration and exploitation of external knowledge by recipient firms. My thesis aimed at shedding light on new interesting issues associated to in-licensing activities that have been neglected by the literature on licensing and markets for technologies. The reason for this gap is associated to the “perspective bias” affecting the works within this stream of research. With very few notable exceptions, they have been generally concerned with the investigation of the so-called licensing dilemma of the licensor – whether to license out or to internally exploit the in-house developed technologies, while neglecting the licensee’s perspective. In my opinion, this has left rooms for improving the understanding of the determinants and conditions affecting licensing-in practices. From the licensee’s viewpoint, the licensing strategy deals with the search, integration, assimilation, exploitation of external technologies. As such it lies at the very hearth of firm’s technology strategy. Improving our understanding of this strategy is thus required to assess the full implications of in-licensing decisions as they shape firms’ innovation patterns and technological capabilities evolution. It also allow for understanding the so-called cognitive constraints associated to the not-invented-here syndrome. In recognition of that, the aim of my work is to contribute to the theoretical and empirical literature explaining the determinants of the licensee’s behavior, by providing a comprehensive theoretical framework as well as ad-hoc conceptual tools to understand and overcome frictions and to ease the achievement of satisfactory technology transfer agreements in the marketplace. Aiming at this, I investigate licensing-in in three different fashions developed in three research papers. In the first work, I investigate the links between licensing and the patterns of firms’ technological search diversification according to the framework of references of the Search literature, Resource-based Theory and the theory of general purpose technologies. In the second paper - that continues where the first one left off – I analyze the new concept of learning-bylicensing, in terms of development of new knowledge inside the licensee firms (e.g. new patents) some years after the acquisition of the license, according to the Dynamic Capabilities perspective. Finally, in the third study, Ideal with the determinants of the remuneration structure of patent licenses (form and amount), and in particular on the role of the upfront fee from the licensee’s perspective. Aiming at this, I combine the insights of two theoretical approaches: agency and real options theory.

Cell-free cryopreserved arterial allografts from multiorgan donors: a new strategy to fabricate artificial blood vessels suited for peripheral vascular surgery

Critical lower limb ischemia is a severe disease. A common approach is infrainguinal bypass. Synthetic vascular prosthesis, are good conduits in high-flow low-resistance conditions but have difficulty in their performance as small diameter vessel grafts. A new approach is the use of native decellularized vascular tissues. Cell-free vessels are expected to have improved biocompatibility when compared to synthetic and are optimal natural 3D matrix templates for driving stem cell growth and tissue assembly in vivo. Decellularization of tissues represent a promising field for regenerative medicine, with the aim to develop a methodology to obtain small-diameter allografts to be used as a natural scaffold suited for in vivo cell growth and pseudo-tissue assembly, eliminating failure caused from immune response activation. Material and methods. Umbilical cord-derived mesenchymal cells isolated from human umbilical cord tissue were expanded in advanced DMEM. Immunofluorescence and molecular characterization revealed a stem cell profile. A non-enzymatic protocol, that associate hypotonic shock and low-concentration ionic detergent, was used to decellularize vessel segments. Cells were seeded cell-free scaffolds using a compound of fibrin and thrombin and incubated in DMEM, after 4 days of static culture they were placed for 2 weeks in a flow-bioreactor, mimicking the cardiovascular pulsatile flow. After dynamic culture, samples were processed for histological, biochemical and ultrastructural analysis. Discussion. Histology showed that the dynamic culture cells initiate to penetrate the extracellular matrix scaffold and to produce components of the ECM, as collagen fibres. Sirius Red staining showed layers of immature collagen type III and ultrastructural analysis revealed 30 nm thick collagen fibres, presumably corresponding to the immature collagen. These data confirm the ability of cord-derived cells to adhere and penetrate a natural decellularized tissue and to start to assembly into new tissue. This achievement makes natural 3D matrix templates prospectively valuable candidates for clinical bypass procedures

The application of a new psychotherapeutic strategy for enhancing eudaimonic well-being in children with mood and anxiety disorders

The aim of the dissertation was to test the feasibility of a new psychotherapeutic protocol for treating children and adolescents with mood and anxiety disorders: Child-Well-Being Therapy (CWBT). It originates from adult Well-Being Therapy protocol (WBT) and represents a conceptual innovation for treating affective disorders. WBT is based on the multidimensional model of well-being postulated by Ryff (eudaimonic perspective), in sequential combination with cognitive-behavioral therapy (CBT). Results showed that eudaimonic well-being was impaired in children with affective disorders in comparison with matched healthy students. A first open investigation aimed at exploring the feasibility of a 8-session CWBT protocol in a group of children with emotional and behavioural disorders has been implemented. Data showed how CWBT resulted associated to symptoms reduction, together with the decrease of externalizing problems, maintained at 1-year follow-up. CWBT triggered also an improvement in psychological well-being as well as an increasing flourishing trajectory over time. Subsequently, a modified and extended version of CWBT (12-sessions) has been developed and then tested in a controlled study with 34 patients (8 to 16 years) affected by mood and anxiety disorders. They were consecutively randomized into 3 different groups: CWBT, CBT, 6-month waiting list (WL). Both treatments resulted effective in decreasing distress and in improving well-being. Moreover, CWBT was associated with higher improvement in anxiety and showed a greater recovery rate (83%) than CBT (54%). Both groups maintained beneficial effects and CWBT group displayed a lower level of distress as well as a higher positive trend in well-being scores over time. Findings need to be interpret with caution, because of study limitations, however important clinical implications emerged. Further investigations should determine whether the sequential integration of well-being and symptom-oriented strategies could play an important role in children and adolescents’ psychotherapeutic options, fostering a successful adaptation to adversities during the growth process.

The constitutive activation of the DNA damage response pathway is a novel therapeutic target in aggressive B-cell lymphoma

The recent finding that MYC-driven cancers are sensitive to inhibition of the DNA damage response (DDR) pathway, prompted us to investigate the role of DDR pathway as therapeutic target in diffuse large B-cell lymphoma (DLBCL), which frequently overexpresses the MYC oncogene. In a preliminary immunohistochemical study conducted on 99 consecutive DLBCL patients, we found that about half of DLBCLs showed constitutive expression of the phosphorylated forms of checkpoint kinases (CHK) and CDC25c, markers of DDR activation, and of phosphorylated histone H2AX (γH2AX), marker of DNA damage and genomic instability. Constitutive γH2AX expression correlated with c-MYC levels and DDR activation, and defined a subset of tumors characterised by poor outcome. Next, we used the CHK inhibitor PF-0477736 as a tool to investigate whether the inhibition of the DDR pathway might represent a novel therapeutic approach in DLBCL. Submicromolar concentrations of PF-0477736 hindered proliferation in DLBCL cell lines with activated DDR pathway. These results were fully recapitulated with a different CHK inhibitor (AZD-7762). Inhibition of checkpoint kinases induced rapid DNA damage accumulation and apoptosis in DLBCL cell lines and primary cells. These data suggest that pharmacologic inhibition of DDR through targeting of CHK kinases may represent a novel therapeutic strategy in DLBCL. The second part of this work is the clinical, molecular and functional description of a paradigmatic case of primary refractory Burkitt lymphoma characterized by spatial intratumor heterogeneity for the TP53 mutational status, high expression levels of genomic instability and DDR activation markers, primary resistance to chemotherapy and exquisite sensitivity to DDR inhibitors.

Next-Generation Sequencing-Based Mutations Scanning Strategy of the BCR-ABL Kinase Domain in Patients with PhiladelPhia-Chromosome Positive Leukemias Treated with Tyrosine Kinase Inhibitors

In chronic myeloid leukemia and Philadelphia-positive acute lymphoblastic leukemia patients resistant to tyrosine kinase inhibitors (TKIs), BCR-ABL kinase domain mutation status is an essential component of the therapeutic decision algorithm. The recent development of Ultra-Deep Sequencing approach (UDS) has opened the way to a more accurate characterization of the mutant clones surviving TKIs conjugating assay sensitivity and throughput. We decided to set-up and validated an UDS-based for BCR-ABL KD mutation screening in order to i) resolve qualitatively and quantitatively the complexity and the clonal structure of mutated populations surviving TKIs, ii) study the dynamic of expansion of mutated clones in relation to TKIs therapy, iii) assess whether UDS may allow more sensitive detection of emerging clones, harboring critical 2GTKIs-resistant mutations predicting for an impending relapse, earlier than SS. UDS was performed on a Roche GS Junior instrument, according to an amplicon sequencing design and protocol set up and validated in the framework of the IRON-II (Interlaboratory Robustness of Next-Generation Sequencing) International consortium.Samples from CML and Ph+ ALL patients who had developed resistance to one or multiple TKIs and collected at regular time-points during treatment were selected for this study. Our results indicate the technical feasibility, accuracy and robustness of our UDS-based BCR-ABL KD mutation screening approach. UDS was found to provide a more accurate picture of BCR-ABL KD mutation status, both in terms of presence/absence of mutations and in terms of clonal complexity and showed that BCR-ABL KD mutations detected by SS are only the “tip of iceberg”. In addition UDS may reliably pick 2GTKIs-resistant mutations earlier than SS in a significantly greater proportion of patients.The enhanced sensitivity as well as the possibility to identify low level mutations point the UDS-based approach as an ideal alternative to conventional sequencing for BCR-ABL KD mutation screening in TKIs-resistant Ph+ leukemia patients

Cannabinoid system combined to classic targets for a new MTDL strategy: design and synthesis of natural inspired molecules for Alzheimer's disease

In this thesis is described the design and synthesis of potential agents for the treatment of the multifactorial Alzheimer’s disease (AD). Our multi-target approach was to consider cannabinoid system involved in AD, together with classic targets. In the first project, designed modifications were performed on lead molecule in order to increase potency and obtain balanced activities on fatty acid amide hydrolase and cholinesterases. A small library of compounds was synthesized and biological results showed increased inhibitory activity (nanomolar range) related to selected target. The second project was focused on the benzofuran framework, a privileged structure being a common moiety found in many biologically active natural products and therapeutics. Hybrid molecules were designed and synthesized, focusing on the inhibition of cholinesterases, Aβ aggregation, FAAH and on the interaction with CB receptors. Preliminary results showed that several compounds are potent CB ligands, in particular the high affinity for CB2 receptors, could open new opportunities to modulate neuroinflammation. The third and the fourth project were carried out at the IMS, Aberdeen, under the supervision of Prof. Matteo Zanda. The role of the cannabinoid system in the brain is still largely unexplored and the relationship between the CB1 receptors functional modification, density and distribution and the onset of a pathological state is not well understood. For this reasons, Rimonabant analogues suitable as radioligands were synthesized. The latter, through PET, could provide reliable measurements of density and distribution of CB1 receptors in the brain. In the fifth project, in collaboration with CHyM of York, the goal was to develop arginine analogues that are target specific due to their exclusively location into NOS enzymes and could work as MRI contrasting agents. Synthesized analogues could be suitable substrate for the transfer of polarization by p-H2 molecules through SABRE technique transforming MRI a more sensitive and faster technique.