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.

Econometrics of default risk

This thesis is the result of a project aimed at the study of a crucial topic in finance: default risk, whose measurement and modelling have achieved increasing relevance in recent years. We investigate the main issues related to the default phenomenon, under both a methodological and empirical perspective. The topics of default predictability and correlation are treated with a constant attention to the modelling solutions and reviewing critically the literature. From the methodological point of view, our analysis results in the proposal of a new class of models, called Poisson Autoregression with Exogenous Covariates (PARX). The PARX models, including both autoregressive end exogenous components, are able to capture the dynamics of default count time series, characterized by persistence of shocks and slowly decaying autocorrelation. Application of different PARX models to the monthly default counts of US industrial firms in the period 1982-2011 allows an empirical insight of the defaults dynamics and supports the identification of the main default predictors at an aggregate level.

How teachers think about the role of digital technologies in student assessment in mathematics

This study concerns teachers’ use of digital technologies in student assessment, and how the learning that is developed through the use of technology in mathematics can be evaluated. Nowadays math teachers use digital technologies in their teaching, but not in student assessment. The activities carried out with technology are seen as ‘extra-curricular’ (by both teachers and students), thus students do not learn what they can do in mathematics with digital technologies. I was interested in knowing the reasons teachers do not use digital technology to assess students’ competencies, and what they would need to be able to design innovative and appropriate tasks to assess students’ learning through digital technology. This dissertation is built on two main components: teachers and task design. I analyze teachers’ practices involving digital technologies with Ruthven’s Structuring Features of Classroom Practice, and what relation these practices have to the types of assessment they use. I study the kinds of assessment tasks teachers design with a DGE (Dynamic Geometry Environment), using Laborde’s categorization of DGE tasks. I consider the competencies teachers aim to assess with these tasks, and how their goals relate to the learning outcomes of the curriculum. This study also develops new directions in finding how to design suitable tasks for student mathematical assessment in a DGE, and it is driven by the desire to know what kinds of questions teachers might be more interested in using. I investigate the kinds of technology-based assessment tasks teachers value, and the type of feedback they give to students. Finally, I point out that the curriculum should include a range of mathematical and technological competencies that involve the use of digital technologies in mathematics, and I evaluate the possibility to take advantage of technology feedback to allow students to continue learning while they are taking a test.