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.

Topics in Local Economic Development

This thesis contributes to the current debate in literature about local economic development by considering two different topics: quality of institutions, and the role of clusters in innovation and productivity growth. The research is built upon three papers. The first paper deals with the analysis of the effect of administrative continuity on administrative efficiency. The analysis underlines the importance of different typologies of social capital. Findings reveal a positive impact on administrative efficiency (AE) by administrative continuity (AC) when it is coupled by bridging and linking social capital. On the contrary, bonding social capital influences negatively the effect by AC on AE. The second paper investigates the spatial interaction in levels of quality of government (QoG) among European regions. Notwithstanding the largely recognised role by institutions in the design of regional policies, no study has been conducted about the mechanisms of interaction and diffusion of QoG at regional level. This research wants to overcome this knowledge gap in literature. Findings reveal a heterogeneity in spatial interaction among groups of regions, i.e. ‘leader regions’ (Northern regions) and ‘lagging regions’ (Southern regions), when considering different mechanisms of interaction (learning / imitating competition and pure competition). Moreover, the effect of wealth on the levels of QoG is nonlinear. Finally, the third paper analyses the relation among specialization and productivity within the agricultural sector. In literature, the study of clusters dynamics has long neglected agriculture. The analysis describes the changes in sectorial specialization for eight main crop groups in Italian regions (NUTS 3), assessing the existence of spatial autocorrelations by using an exploratory data analysis. Furthermore, the effect of specialization on productivity is analysed within the main crop groups using a spatial panel data model. Findings reveal a marked tendency to specialization in the Italian agriculture, and a heterogeneous effect by specialization on productivity.

Key issues in diagnosing and treating acute aortic syndromes: results from the metropolitan area of Bologna network

Background: Survival of patients with Acute Aortic Syndrome (AAS) may relate to the speed of diagnosis. Diagnostic delay is exacerbated by non classical presentations such as myocardial ischemia or acute heart failure (AHF). However little is known about clinical implications and pathophysiological mechanisms of Troponin T elevation and AHF in AAS. Methods and Results: Data were collected from a prospective metropolitan AAS registry (398 patients diagnosed between 2000 and 2013). Troponin T values (either standard or high sensitivity assay, HS) were available in 248 patients (60%) of the registry population; the overall frequency of troponin positivity was 28% (ranging from 16% to 54%, using standard or HS assay respectively, p = 0.001). Troponin positivity was associated with a twofold increased risk of long in-hospital diagnostic time (OR 1.92, 95% CI 1.05-3.52, p = 0.03), but not with in-hospital mortality. The combination of positive troponin and ACS-like ECG abnormalities resulted in a significantly increased risk of inappropriate therapy due to a misdiagnosis of ACS (OR 2.48, 95% CI 1.12-5.54, p = 0.02). Patients with AHF were identified by the presence of dyspnea as presentation symptom or radiological signs of pulmonary congestion or cardiogenic shock. The overall frequency of AHF was 28 % (32% type A vs. 20% type B AAS, p = 0.01). AHF was due to a variety of pathophysiological mechanisms including cardiac tamponade (26%), aortic regurgitation (25%), myocardial ischemia (17%), hypertensive crisis (10%). AHF was associated with increased surgical delay and with increased risk of in-hospital death (adjusted OR 1.97 95% CI1.13-3.37,p=0.01). Conclusions: Troponin positivity (particularly HS) was a frequent finding in AAS. Abnormal troponin values were strongly associated with ACS-like ECG findings, in-hospital diagnostic delay, and inappropriate therapy. AHF was associated with increased surgical delay and was an independent predictor of in-hospital mortality.

Modelling and simulating in systems biology: an approach based on multi-agent systems

Systems Biology is an innovative way of doing biology recently raised in bio-informatics contexts, characterised by the study of biological systems as complex systems with a strong focus on the system level and on the interaction dimension. In other words, the objective is to understand biological systems as a whole, putting on the foreground not only the study of the individual parts as standalone parts, but also of their interaction and of the global properties that emerge at the system level by means of the interaction among the parts. This thesis focuses on the adoption of multi-agent systems (MAS) as a suitable paradigm for Systems Biology, for developing models and simulation of complex biological systems. Multi-agent system have been recently introduced in informatics context as a suitabe paradigm for modelling and engineering complex systems. Roughly speaking, a MAS can be conceived as a set of autonomous and interacting entities, called agents, situated in some kind of nvironment, where they fruitfully interact and coordinate so as to obtain a coherent global system behaviour. The claim of this work is that the general properties of MAS make them an effective approach for modelling and building simulations of complex biological systems, following the methodological principles identified by Systems Biology. In particular, the thesis focuses on cell populations as biological systems. In order to support the claim, the thesis introduces and describes (i) a MAS-based model conceived for modelling the dynamics of systems of cells interacting inside cell environment called niches. (ii) a computational tool, developed for implementing the models and executing the simulations. The tool is meant to work as a kind of virtual laboratory, on top of which kinds of virtual experiments can be performed, characterised by the definition and execution of specific models implemented as MASs, so as to support the validation, falsification and improvement of the models through the observation and analysis of the simulations. A hematopoietic stem cell system is taken as reference case study for formulating a specific model and executing virtual experiments.

Identification of key residues in virulent canine distemper virus hemagglutinin that control CD150/SLAM-binding activity

Morbillivirus cell entry is controlled by hemagglutinin (H), an envelope-anchored viral glycoprotein determining interaction with multiple host cell surface receptors. Subsequent to virus-receptor attachment, H is thought to transduce a signal triggering the viral fusion glycoprotein, which in turn drives virus-cell fusion activity. Cell entry through the universal morbillivirus receptor CD150/SLAM was reported to depend on two nearby microdomains located within the hemagglutinin. Here, we provide evidence that three key residues in the virulent canine distemper virus A75/17 H protein (Y525, D526, and R529), clustering at the rim of a large recessed groove created by beta-propeller blades 4 and 5, control SLAM-binding activity without drastically modulating protein surface expression or SLAM-independent F triggering.

Endothelial cell protection in xenotransplantation: looking after a key player in rejection

The endothelium, as an organ at the interface between the intra- and extravascular space, actively participates in maintaining an anti-inflammatory and anti-coagulant environment under physiological conditions. Severe humoral as well as cellular rejection responses, which accompany cross-species transplantation of vascularized organs as well as ischemia/reperfusion injury, primarily target the endothelium and disrupt this delicate balance. Activation of pro-inflammatory and pro-coagulant pathways often lead to irreversible injury not only of the endothelial layer but also of the entire graft, with ensuing rejection. This review focuses on strategies targeted at protecting the endothelium from such damaging effects, ranging from genetic manipulation of the donor organ to soluble, as well as membrane-targeted, protective strategies.

The tragedy of the commons in evolutionary biology

Garrett Hardin's tragedy of the commons is an analogy that shows how individuals driven by self-interest can end up destroying the resource upon which they all depend. The proposed solutions for humans rely on highly advanced skills such as negotiation, which raises the question of how non-human organisms manage to resolve similar tragedies. In recent years, this question has promoted evolutionary biologists to apply the tragedy of the commons to a wide range of biological systems. Here, we provide tools to categorize different types of tragedy and review different mechanisms, including kinship, policing and diminishing returns that can resolve conflicts that could otherwise end in tragedy. A central open question, however, is how often biological systems are able to resolve these scenarios rather than drive themselves extinct through individual-level selection favouring self-interested behaviours.