Stochastic models and dynamic measures for the characterization of bistable circuits

During the last few years, a great deal of interest has risen concerning the applications of stochastic methods to several biochemical and biological phenomena. Phenomena like gene expression, cellular memory, bet-hedging strategy in bacterial growth and many others, cannot be described by continuous stochastic models due to their intrinsic discreteness and randomness. In this thesis I have used the Chemical Master Equation (CME) technique to modelize some feedback cycles and analyzing their properties, including experimental data. In the first part of this work, the effect of stochastic stability is discussed on a toy model of the genetic switch that triggers the cellular division, which malfunctioning is known to be one of the hallmarks of cancer. The second system I have worked on is the so-called futile cycle, a closed cycle of two enzymatic reactions that adds and removes a chemical compound, called phosphate group, to a specific substrate. I have thus investigated how adding noise to the enzyme (that is usually in the order of few hundred molecules) modifies the probability of observing a specific number of phosphorylated substrate molecules, and confirmed theoretical predictions with numerical simulations. In the third part the results of the study of a chain of multiple phosphorylation-dephosphorylation cycles will be presented. We will discuss an approximation method for the exact solution in the bidimensional case and the relationship that this method has with the thermodynamic properties of the system, which is an open system far from equilibrium.In the last section the agreement between the theoretical prediction of the total protein quantity in a mouse cells population and the observed quantity will be shown, measured via fluorescence microscopy.

Caratterizzazione avanzata in laboratorio di materie prime secondarie rigenerate o stabilizzate con emulsione di bitume e leganti cementizi

Il recupero dei materiali di scarto è un aspetto di grande attualità in campo stradale, così come negli altri ambiti dell’ingegneria civile. L’attenzione della ricerca e degli esperti del settore è rivolta all’affinamento di tecniche di riciclaggio che riducano l’impatto ambientale senza compromettere le prestazioni meccaniche finali. Tali indagini cercano di far corrispondere le necessità di smaltimento dei rifiuti con quelle dell’industria infrastrutturale, legate al reperimento di materiali da costruzione tecnicamente idonei ed economicamente vantaggiosi. Attualmente sono già diversi i tipi di prodotti rigenerati e riutilizzati nella realizzazione delle pavimentazioni stradali e numerosi sono anche quelli di nuova introduzione in fase di sperimentazione. In particolare, accanto ai materiali derivanti dalle operazioni di recupero della rete viaria, è opportuno considerare anche quelli provenienti dall’esercizio delle attività di trasporto, il quale comporta ogni anno il raggiungimento della fine della vita utile per centinaia di migliaia di tonnellate di pneumatici di gomma. L’obiettivo della presente analisi sperimentale è quello di fornire indicazioni e informazioni in merito alla tecnica di riciclaggio a freddo con emulsione bituminosa e cemento, valutando la possibilità di applicazione di tale metodologia in combinazione con il polverino di gomma, ottenuto dal recupero degli pneumatici fuori uso (PFU). La ricerca si distingue per una duplice valenza: la prima è quella di promuovere ulteriormente la tecnica di riciclaggio a freddo, che si sta imponendo per i suoi numerosi vantaggi economici ed ambientali, legati soprattutto alla temperatura d’esercizio; la seconda è quella di sperimentare l’utilizzo del polverino di gomma, nelle due forme di granulazione tradizionale e criogenica, additivato a miscele costituite interamente da materiale proveniente da scarifica di pavimentazioni esistenti e stabilizzate con diverse percentuali di emulsione di bitume e di legante cementizio.

Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

Development and chemo-mechanical characterization of eco-compatible extenders containing REOB and recycled tyres’ rubber for the production of greener bituminous binders

The concepts of circular economy and sustainability are the basis of the present experimental research that seeks to reduce the environmental impact of traditional road construction materials. This study mainly focuses on the development and the chemo-mechanical characterization of bitumen extenders containing rubber (R) from end-of-life tyres (ELTs) and re-refined engine oil bottoms (REOBs) for the production of innovative and eco-friendly extended bitumens (i.e. bituminous binders containing 25%wt. of recycled products) and asphalt mixtures. In order to create more sustainable asphalt mixes, also recycled aggregates are used for partial replacement of virgin natural aggregates in the aggregate skeleton. The experimental program encompassed five successive steps: (i) the evaluation of physicochemical properties of R and REOB, (ii) the definition of the optimal extenders by the development of a new protocol and their characterizations, (iii) the realization and investigation of the chemo-rheological responses of the extended bitumens at different boundary conditions, (iv) the assessment of the effectiveness of analytical method to predict the rheological parameters of extended bitumens and, finally, (v) the analysis of the mechanical performances of the corresponding asphalt mixtures. A standard 50/70 penetration grade bitumen was chosen as a reference material and the main constituent of the innovative bituminous products. The results of this study underlined the importance of material characterization. The incorporation of R-REOB extenders strongly affects the chemo-rheological responses of the resulting extended bitumens and asphalt mixtures overall the boundary conditions. While the presence of R and the consequent formation of a polymer network improves the elasticity of the final products, especially at high test temperatures; the addition of REOB, softens the bituminous binders and asphalt mixes increasing their response at low test temperatures. Nonetheless, the use of recycled products increased the susceptibility of bituminous material under damaging conditions, which would need further investigations.

Essays on risk-taking in corporate finance

This thesis consists of three independent essays on risk-taking in corporate finance. The first essay explores how community-level social capital (CSC), framed as a cultural characteristic of individuals born in different provinces of Italy, affects investment behavior in equity crowdfunding. Results show that investors born in high-CSC provinces invest more money in ventures characterized by an enhanced risk profile. Observed risk-taking is theoretically linked to higher generalized trust endowed to people born in high-CSC areas. The second essay focuses on how convexity of Chief Financial Officers’ stock options affects their hedging decisions in the oil and gas industry. Highly convex CFOs hedge less commodity price risk, even if the Chief Executive Officer’s incentives are consistent with a more conservative hedging strategy. Finally, the third essay is a systematic literature review on how different sources of compensation-based risk-taking incentives of Chief Executive Officers affect decision-making in corporate finance.

Essays on asset pricing

The first chapter provides evidence that aggregate Research and Development (R&D) investment drives a persistent component in productivity growth and that this embodies a risk priced in financial markets. In a semi-endogenous growth model, this component is identified by the R&D in excess of equilibrium levels and can be approximated by the Error Correction Term in the cointegration between R&D and Total Factor Productivity. Empirically, the component results being well defined and it satisfies all key theoretical predictions: it exhibits appropriate persistency, it forecasts productivity growth, and it is associated with a cross-sectional risk premium. CAPM is the most foundational model in financial economics, but is known to empirically underestimate expected returns of low-risk assets and overestimate those with high risk. The second chapter studies how risks omission and funding tightness jointly contribute to explaining this anomaly, with the former affecting the definition of assets’ riskiness and the latter affecting how risk is remunerated. Theoretically, the two effects are shown to counteract each other. Empirically, the spread related to binding leverage constraints is found to be significant at 2% yearly. Nonetheless, average returns of portfolios that exploit this anomaly are found to mostly reflect omitted risks, in contrast to their employment in previous literature. The third chapter studies how ‘sustainability’ of assets affect discount rates, which is intrinsically mediated by the risk profile of the assets themselves. This has implications for the assessment of the sustainability-related spread and for hedging changes in the sustainability concern. This mechanism is tested on the ESG-score dimension for US data, with inconclusive evidence regarding the existence of an ESG-related premium in the first place. Also, the risk profile of the long-short ESG portfolio is not likely to impact the sign of its average returns with respect to the sustainability-spread, for the time being.