A Multilevel Model with Time Series Components for the Analysis of Tribal Art Prices

In the present work we perform an econometric analysis of the Tribal art market. To this aim, we use a unique and original database that includes information on Tribal art market auctions worldwide from 1998 to 2011. In Literature, art prices are modelled through the hedonic regression model, a classic fixed-effect model. The main drawback of the hedonic approach is the large number of parameters, since, in general, art data include many categorical variables. In this work, we propose a multilevel model for the analysis of Tribal art prices that takes into account the influence of time on artwork prices. In fact, it is natural to assume that time exerts an influence over the price dynamics in various ways. Nevertheless, since the set of objects change at every auction date, we do not have repeated measurements of the same items over time. Hence, the dataset does not constitute a proper panel; rather, it has a two-level structure in that items, level-1 units, are grouped in time points, level-2 units. The main theoretical contribution is the extension of classical multilevel models to cope with the case described above. In particular, we introduce a model with time dependent random effects at the second level. We propose a novel specification of the model, derive the maximum likelihood estimators and implement them through the E-M algorithm. We test the finite sample properties of the estimators and the validity of the own-written R-code by means of a simulation study. Finally, we show that the new model improves considerably the fit of the Tribal art data with respect to both the hedonic regression model and the classic multilevel model.

A new global wheat marketmodel (GLOWMM) for the analysis of wheat export prices

Food commodity prices fluctuations have important impacts on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, while there is an urgent need for appropriate policy responses. Perhaps new approaches are needed in order to better understand international spill-overs, the feedback between the real and the financial sectors and also the link between food and energy prices. In this paper, we present results from a new worldwide dynamic model that provides short and long-run impulse responses of wheat international prices to various real shocks.

Bank Governance and the Bail-in in the EU. A Law & Finance analysis on the role of bail-inable creditors

This dissertation assesses the impact of the EU Directive on Bank Recovery and Resolution (BRRD) on bank corporate governance and investigates a fundamental question. Can the resolution framework for distressed banks enhance the quality of banks’ decision making? According to the Directive, the Resolution Authority can impose losses on bank’s creditors in case of distress through a bail-in. Bail-inable creditors become residual claimants of the bank, contingent on its distress. The first part of the dissertation establishes an analytical framework for bank governance, starting from the problem of what can be defined as “good governance” in banking. The dissertation hypothesizes that governance regulation represents a necessary link between the incentives of corporate constituencies and the goals of substantive regulation. The second part builds upon this analytical framework and carries out a positive analysis encompassing three channels of debt governance; namely, price internalisation of risk; contractual arrangements and the discrete impact of different type of creditors. The existence of a resolution framework should incentivise bail-inable creditors to better discipline the borrowing bank; yet, the design of both the capital and resolution regulation largely foreclose such possibility to creditors. Against this backdrop, the third part of the dissertation moves to normative considerations. The approach to this normative part combines and complements the study of cash flow rights of the management with the study of the voting rights to bail-inable creditors. On the cash flow side, the dissertation proposes to include bail-inable debt as part of the variable remuneration for bank risk-takers. On the voting right, the proposal is to grant a limited basket of ex-ante governance rights to bail-inable creditors. Such a unified approach is rather uncommon in the literature, where cash flow rights and voting rights are often approached separately whereas those complement each other in the dissertation.

Price manipulation: theoretical models and empirical investigation

Understanding why market manipulation is conducted, under which conditions it is the most profitable and investigating the magnitude of these practices are crucial questions for financial regulators. Closing price manipulation induced by derivatives’ expiration is the primary subject of this thesis. The first chapter provides a mathematical framework in continuous time to study the incentive to manipulate a set of securities induced by a derivative position. An agent holding a European-type contingent claim, depending on the price of a basket of underlying securities, is considered. The agent can affect the price of the underlying securities by trading on each of them before expiration. The elements of novelty are at least twofold: (1) a multi-asset market is considered; (2) the problem is solved by means of both classic optimisation and stochastic control techniques. Both linear and option payoffs are considered. In the second chapter an empirical investigation is conducted on the existence of expiration day effects on the UK equity market. Intraday data on FTSE 350 stocks over a six-year period from 2015-2020 are used. The results show that the expiration of index derivatives is associated with a rise in both trading activity and volatility, together with significant price distortions. The expiration of single stock options appears to have little to no impact on the underlying securities. The last chapter examines the existence of patterns in line with closing price manipulation of UK stocks on option expiration days. The main contributions are threefold: (1) this is one of the few empirical studies on manipulation induced by the options market; (2) proprietary equity orderbook and transaction data sets are used to define manipulation proxies, providing a more detailed analysis; (3) the behaviour of proprietary trading firms is studied. Despite the industry concerns, no evidence is found of this type of manipulative behaviour.

What do rendering options tell us about the translating mind? Testing the choice network analysis hypothesis

Frame. Assessing the difficulty of source texts and parts thereof is important in CTIS, whether for research comparability, for didactic purposes or setting price differences in the market. In order to empirically measure it, Campbell & Hale (1999) and Campbell (2000) developed the Choice Network Analysis (CNA) framework. Basically, the CNA’s main hypothesis is that the more translation options (a group of) translators have to render a given source text stretch, the higher the difficulty of that text stretch will be. We will call this the CNA hypothesis. In a nutshell, this research project puts the CNA hypothesis to the test and studies whether it does actually measure difficulty. Data collection. Two groups of participants (n=29) of different profiles and from two universities in different countries had three translation tasks keylogged with Inputlog, and filled pre- and post-translation questionnaires. Participants translated from English (L2) into their L1s (Spanish or Italian), and worked—first in class and then at home—using their own computers, on texts ca. 800–1000 words long. Each text was translated in approximately equal halves in two 1-hour sessions, in three consecutive weeks. Only the parts translated at home were considered in the study. Results. A very different picture emerged from data than that which the CNA hypothesis might predict: there was no prevalence of disfluent task segments when there were many translation options, nor was a prevalence of fluent task segments associated to fewer translation options. Indeed, there was no correlation between the number of translation options (many and few) and behavioral fluency. Additionally, there was no correlation between pauses and both behavioral fluency and typing speed. The discussed theoretical flaws and the empirical evidence lead to the conclusion that the CNA framework does not and cannot measure text and translation difficulty.