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.

Longitudinal evolution of cognitive functions in patients with multiple system atrophy: a prospective study

Introduction and Background: Multiple system atrophy (MSA) is a sporadic, adult-onset, progressive neurodegenerative disease characterized clinically by parkinsonism, cerebellar ataxia, and autonomic failure. We investigated cognitive functions longitudinally in a group of probable MSA patients, matching data with sleep parameters. Patients and Methods: 10 patients (7m/3f) underwent a detailed interview, a general and neurological examination, laboratory exams, MRI scans, a cardiovascular reflexes study, a battery of neuropsychological tests, and video-polysomnographic recording (VPSG). Patients were revaluated (T1) a mean of 16±5 (range: 12-28) months after the initial evaluation (T0). At T1, the neuropsychological assessment and VPSG were repeated. Results: The mean patient age was 57.8±6.4 years (range: 47-64) with a mean age at disease onset of 53.2±7.1 years (range: 43-61) and symptoms duration at T0 of 60±48 months (range: 12-144). At T0, 7 patients showed no cognitive deficits while 3 patients showed isolated cognitive deficits. At T1, 1 patient worsened developing multiple cognitive deficits from a normal condition. At T0 and T1, sleep efficiency was reduced, REM latency increased, NREM sleep stages 1-2 slightly increased. Comparisons between T1 and T0 showed a significant worsening in two tests of attention and no significant differences of VPSG parameters. No correlation was found between neuropsychological results and VPSG findings or RBD duration. Discussion and Conclusions: The majority of our patients do not show any cognitive deficits at T0 and T1, while isolated cognitive deficits are present in the remaining patients. Attention is the cognitive function which significantly worsened. Our data confirm the previous findings concerning the prevalence, type and the evolution of cognitive deficits in MSA. Regarding the developing of a condition of dementia, our data did not show a clear-cut diagnosis of dementia. We confirm a mild alteration of sleep structure. RBD duration does not correlate with neuropsychological findings.

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.

Sleep motor activity in parkinsonian syndromes at onset: a prospective study to determine potential diagnostic and prognostic markers

Aim of this study is to describe the possible diagnostic value of sleep disturbances in the differential diagnosis of neurodegenerative diseases characterized by parkinsonism at onset. 42 consecutive patients with parkinsonian features and disease duration up to 3 years were included in the BO-ProPark study. Each patient was evaluated twice, at baseline (T0) and 16 months later (T1). Patients were diagnosed as Parkinson disease (PD, 27 patients), PD plus (PD with cognitive impairment/dementia or dysautonomia, 4 patients) and parkinsonian syndrome (PS, 11 patients). All patients underwent a full night video-polysomnography scored by a neurologist blinded to the clinical diagnosis. Sleep efficiency and total sleep time were reduced in all patients; wake after sleep onset was higher in patients with atypical parkinsonisms than in PD patients. No significant differences between groups of patients were detected in other sleep parameters. The mean percentage of epochs with enhanced tonic muscle EMG activity during REM sleep was higher in PD plus and PS than in PD. No difference in phasic muscle EMG activity during REM sleep was seen between the two groups. REM behaviour disorder was more frequent in PD plus and PS than in PD patients. Our data suggest that REM sleep motor control is more frequently impaired at disease onset in patients with PS and PD plus compared to PD patients. The presence of RBD or an enhanced tonic muscle EMG activity in a patient with recent onset parkinsonian features should suggest a diagnosis of atypical parkinsonism, rather than PD. More data are needed to establish the diagnostic value of these features in the differential diagnosis of parkinsonisms. The evaluation of sleep disorders may be a useful tool in the differential diagnosis of parkinsonism at onset.

The "Orthoplastic" combined surgical approach to open tibia fractures: a multicentric prospective outcome study

Introduction: Open fractures of the leg represent a severe trauma. The combined approach, shared between plastic and orthopaedic surgeons, is considered to be important, although this multidisciplinary treatment is not routinely performed. Aim of this study was to verify whether the orthoplastic treatment is of any advantage over the traditional simply orthopedic treatment, through a multicentric inclusion of these unfrequent injuries into a prospective study. Material and methods: The following trauma centres were involved: Rizzoli Orthopaedic Institute/University of Bologna (leading centre) and Maggiore Hospital (Bologna, Italy), Frenchay Hospital (Bristol, United Kingdom), Jinnah Hospital (Lahore, Pakistan). All patients consecutively hospitalized in the mentioned centres between January 2012 and December 2013 due to tibial open fractures were included in the study and prospectively followed up to December 2014. Demographics and other clinical features were recorded, including the type of treatment (orthopaedic or orthoplastic). The considered outcome measures included duration of hospitalization, time for bone union and soft tissue closure, Enneking score at 3, 6 and 12 months, the incidence of osteomyelitis and other complications. Results: A total of 164 patients were included in the study. Out of them 68% were treated with an orthoplastic approach, whereas 32% received a purely orthopedic treatment. All considered outcome measures showed to be improved by the orthoplastic approach, compared to the orthopaedic one: time for soft tissue closure (2 versus 25 weeks), duration of hospital stay (22 versus 55 days), time for bone union (6 versus 8.5 months) , number of additional operations (0.6 versus 1.2) and functional recovery of the limb at 12 months (27 versus 19, Enneking’s score). All results were statistically significant. Conclusion: The combined orthoplastic approach to the treatment of open tibia fractures, in particular for high grade injuries (Gustilo 3B), is proven to improve the outcome of these severe injuries.