Il risk management tecnico nel trading di portafoglio

Il problema che si cerca di risolvere attraverso la gestione quantitativa del portafoglio è la riduzione del rischio tramite strategie che non dipendano dalla diversificazione dei titoli che compongono il portafoglio. Nel momento in cui si decide di applicare un trading system su un determinato gruppo di asset, il capitale non viene allocato automaticamente su tutti i titoli e si deve affrontare invece un continuo investimento tramite l’apertura dinamica di posizioni sul mercato.Questo significa che la diversificazione non è più una misura adeguata del rischio sostenuto poiché i rendimenti attesi dell’investimento non dipendono più dalle proprietà stesse degli strumenti scelti, ma dalla profittabilità dei segnali generati dalla logica del trading system su questi. Bisogna testare in questo caso le performance del sistema a livello statistico e prevedere anche, per esempio, che l’algoritmo possa generare dei segnali errati che portano a delle posizioni in perdita. Il portafoglio a livello quantitativo deve essere gestito tramite dei trading system che abbiano la possibilità di valutare aspetti globali, come il profitto totale di tutte le posizioni attualmente aperte, o l’intero rischio sostenuto dal capitale gestito. Le decisioni non vengono prese dall’analisi delle prestazioni individuali che la strategia ottiene operando sui singoli titoli. Per affrontare una possibile soluzione a questa problematica si sono quindi selezionati due trading system le cui prestazioni fossero robuste su un intero portafoglio e non solo su determinati titoli. In un successivo momento vengono analizzate le prestazioni del portafoglio aggiungendo ai test due ulteriori strategie di uscita: lo stoploss di portafoglio e il target di portafoglio. Nonostante esse ricalchino idee ampiamente utilizzate per la gestione delle singole posizioni su un titolo, per i test si è deciso di modificarle implementando la gestione globale del capitale all’interno del trading system di portafoglio.

Dynamic power management: from portable devices to high performance computing

Electronic applications are nowadays converging under the umbrella of the cloud computing vision. The future ecosystem of information and communication technology is going to integrate clouds of portable clients and embedded devices exchanging information, through the internet layer, with processing clusters of servers, data-centers and high performance computing systems. Even thus the whole society is waiting to embrace this revolution, there is a backside of the story. Portable devices require battery to work far from the power plugs and their storage capacity does not scale as the increasing power requirement does. At the other end processing clusters, such as data-centers and server farms, are build upon the integration of thousands multiprocessors. For each of them during the last decade the technology scaling has produced a dramatic increase in power density with significant spatial and temporal variability. This leads to power and temperature hot-spots, which may cause non-uniform ageing and accelerated chip failure. Nonetheless all the heat removed from the silicon translates in high cooling costs. Moreover trend in ICT carbon footprint shows that run-time power consumption of the all spectrum of devices accounts for a significant slice of entire world carbon emissions. This thesis work embrace the full ICT ecosystem and dynamic power consumption concerns by describing a set of new and promising system levels resource management techniques to reduce the power consumption and related issues for two corner cases: Mobile Devices and High Performance Computing.

Events Management: il caso FPA Worlds 2012

Un problema comune agli Ingegneri Gestionali è quello legato alla necessità di dover sempre spiegare in cosa consista veramente il proprio campo di studi. Amici, conoscenti e parenti non dimostrano mai, infatti, familiarità con il termine. Chi scrive è costretto addirittura ad ammettere di avere una madre che, a pochi giorni dalla discussione dalla Tesi Magistrale, continui ad affermare di non aver ancora capito quale lavoro andrà poi a fare il figlio. Medicina, Giurisprudenza ed Economia sono concetti facili da comprendere; “studiare con approccio quantitativo l'organizzazione e i processi produttivi delle imprese costruendo e applicando modelli per la soluzione dei loro problemi” in effetti lo è un po’ meno. Accade così che si debbano quindi aggiungere altri termini, spiegando l’ingegneria gestionale come insieme di altre discipline: produzione, logistica, marketing, economia aziendale, risorse umane, gestione, progetti... Si dà il caso che questo insieme di altre discipline coincida in larga parte con una branca ancora più oscura ai più: l’event management. Questo lavoro di Tesi è incentrato proprio sulla gestione di un evento: gli FPA Worlds 2012, i Mondiali di Frisbee Freestyle 2012 tenutisi a Riccione dal 2 al 5 agosto. L’autore, nell’ambito del suo percorso di Tirocinio, ne è stato l’event manager, ovvero il massimo responsabile e organizzatore, andando a far confluire esperienze, conoscenze e passioni personali con la coronazione degli studi universitari. L’intero progetto lo ha coinvolto dal luglio 2010 al settembre 2012, all’interno di un’azienda riminese con cui già collaborava dal 2009. La Tesi, di carattere prettamente sperimentale, va quindi ad esporre i processi gestionali “nascosti” dietro ad un evento che ha riscosso successo di pubblico e mediatico, affiancando in ognuno dei capitoli tematici modelli teorici e risultati pratici. La vastità di conoscenze, competenze e strumenti utilizzati ha reso quest’esperienza altamente stimolante, così come le numerose sfide che si sono succedute nel difficile percorso per organizzare il miglior Mondiale di Frisbee Freestyle di sempre.

Identificazione dei fenotipi clinici dell’insufficienza renale cronica che predicono la progressione della malattia. Un’applicazione della tecnica degli alberi decisionali

The primary aim of this dissertation to identify subgroups of patients with chronic kidney disease (CKD) who have a differential risk of progression of illness and the secondary aim is compare 2 equations to estimate the glomerular filtration rate (GFR). To this purpose, the PIRP (Prevention of Progressive Kidney Disease) registry was linked with the dialysis and mortality registries. The outcome of interest is the mean annual variation of GFR, estimated using the Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation. A decision tree model was used to subtype CKD patients, based on the non-parametric procedure CHAID (Chi-squared Automatic Interaction Detector). The independent variables of the model include gender, age, diabetes, hypertension, cardiac diseases, body mass index, baseline serum creatinine, haemoglobin, proteinuria, LDL cholesterol, tryglycerides, serum phoshates, glycemia, parathyroid hormone and uricemia. The decision tree model classified patients into 10 terminal nodes using 6 variables (gender, age, proteinuria, diabetes, serum phosphates and ischemic cardiac disease) that predict a differential progression of kidney disease. Specifically, age <=53 year, male gender, proteinuria, diabetes and serum phosphates >3.70 mg/dl predict a faster decrease of GFR, while ischemic cardiac disease predicts a slower decrease. The comparison between GFR estimates obtained using MDRD4 and CKD-EPI equations shows a high percentage agreement (>90%), with modest discrepancies for high and low age and serum creatinine levels. The study results underscore the need for a tight follow-up schedule in patients with age <53, and of patients aged 54 to 67 with diabetes, to try to slow down the progression of the disease. The result also emphasize the effective management of patients aged>67, in whom the estimated decrease in glomerular filtration rate corresponds with the physiological decrease observed in the absence of kidney disease, except for the subgroup of patients with proteinuria, in whom the GFR decline is more pronounced.

Industrial ecology applied to ELV management. Material and energy recovery from ASR

This PhD thesis reports on car fluff management, recycling and recovery. Car fluff is the residual waste produced by car recycling operations, particularly from hulk shredding. Car fluff is known also as Automotive Shredder Residue (ASR) and it is made of plastics, rubbers, textiles, metals and other materials, and it is very heterogeneous both in its composition and in its particle size. In fact, fines may amount to about 50%, making difficult to sort out recyclable materials or exploit ASR heat value by energy recovery. This 3 years long study started with the definition of the Italian End-of-Life Vehicles (ELVs) recycling state of the art. A national recycling trial revealed Italian recycling rate to be around 81% in 2008, while European Community recycling target are set to 85% by 2015. Consequently, according to Industrial Ecology framework, a life cycle assessment (LCA) has been conducted revealing that sorting and recycling polymers and metals contained in car fluff, followed by recovering residual energy, is the route which has the best environmental perspective. This results led the second year investigation that involved pyrolysis trials on pretreated ASR fractions aimed at investigating which processes could be suitable for an industrial scale ASR treatment plant. Sieving followed by floatation reported good result in thermochemical conversion of polymers with polyolefins giving excellent conversion rate. This factor triggered ecodesign considerations. Ecodesign, together with LCA, is one of the Industrial Ecology pillars and it consists of design for recycling and design for disassembly, both aimed at the improvement of car components dismantling speed and the substitution of non recyclable material. Finally, during the last year, innovative plants and technologies for metals recovery from car fluff have been visited and tested worldwide in order to design a new car fluff treatment plant aimed at ASR energy and material recovery.

Le Coliti Microscopiche nei soggetti con diarrea non ematica: uno studio prospettico

Introduzione: le Coliti Microscopiche, altrimenti note come Colite Collagena e Colite Linfocitica, sono disordini infiammatori cronici del colon che causano diarrea e colpiscono più frequentemente donne in età avanzata e soggetti in terapia farmacologica. Negli ultimi anni la loro incidenza sembra aumentata in diversi paesi occidentali ma la prevalenza in Italia è ancora incerta. Scopo: il presente studio prospettico e multicentrico è stato disegnato per valutare la prevalenza delle CM in pazienti sottoposti a colonscopia per diarrea cronica non ematica. Pazienti e metodi: dal Maggio 2010 al Settembre 2010 sono stati arruolati consecutivamente tutti i soggetti adulti afferenti in due strutture dell’area metropolitana milanese per eseguire una pancolonscopia. Nei soggetti con diarrea cronica non ematica sono state eseguite biopsie multiple nel colon ascendente, sigma e retto nonché in presenza di lesioni macroscopiche. Risultati: delle 8008 colonscopie esaminate 265 sono state eseguite per diarrea cronica; tra queste, 8 presentavano informazioni incomplete, 52 riscontri endoscopici consistenti con altri disordini intestinali (i.e. IBD, tumori, diverticoliti). 205 colonscopie sono risultate sostanzialmente negative, 175 dotate di adeguato campionamento microscopico (M:F=70:105; età mediana 61 anni). L’analisi istologica ha permesso di documentare 38 nuovi casi di CM (M:F=14:24; età mediana 67.5 anni): 27 CC (M:F=10:17; età mediana 69 anni) e 11 CL (M:F=4:7; età mediana 66 anni). In altri 25 casi sono state osservate alterazioni microscopiche prive dei sufficienti requisiti per la diagnosi di CM. Conclusioni: nel presente studio l’analisi microscopica del colon ha identificato la presenza di CM nel 21,7% dei soggetti con diarrea cronica non ematica ed indagine pancolonscopica negativa. Lo studio microscopico del colon è pertanto un passo diagnostico fondamentale per il corretto inquadramento diagnostico delle diarree croniche, specialmente dopo i 60 anni di età. Ampi studi prospettici e multicentrici dovranno chiarire ruolo e peso dei fattori di rischio associati a questi disordini.

Modeling systems and vis/NIR device to improve peach and nectarine pre and post-harvest fruit maturity management

During the last decade peach and nectarine fruit have lost considerable market share, due to increased consumer dissatisfaction with quality at retail markets. This is mainly due to harvesting of too immature fruit and high ripening heterogeneity. The main problem is that the traditional used maturity indexes are not able to objectively detect fruit maturity stage, neither the variability present in the field, leading to a difficult post-harvest management of the product and to high fruit losses. To assess more precisely the fruit ripening other techniques and devices can be used. Recently, a new non-destructive maturity index, based on the vis-NIR technology, the Index of Absorbance Difference (IAD), that correlates with fruit degreening and ethylene production, was introduced and the IAD was used to study peach and nectarine fruit ripening from the “field to the fork”. In order to choose the best techniques to improve fruit quality, a detailed description of the tree structure, of fruit distribution and ripening evolution on the tree was faced. More in details, an architectural model (PlantToon®) was used to design the tree structure and the IAD was applied to characterize the maturity stage of each fruit. Their combined use provided an objective and precise evaluation of the fruit ripening variability, related to different training systems, crop load, fruit exposure and internal temperature. Based on simple field assessment of fruit maturity (as IAD) and growth, a model for an early prediction of harvest date and yield, was developed and validated. The relationship between the non-destructive maturity IAD, and the fruit shelf-life, was also confirmed. Finally the obtained results were validated by consumer test: the fruit sorted in different maturity classes obtained a different consumer acceptance. The improved knowledge, leaded to an innovative management of peach and nectarine fruit, from “field to market”.

On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Analisi e riprogettazione del processo di ict risk management: un caso applicativo in Telecom Italia

Questo lavoro di tesi muove da tematiche relative alla sicurezza IT e risulta dagli otto mesi di lavoro all’interno della funzione Technical Security di Telecom Italia Information Technology. Il compito primario di questa unità di business è ridurre il rischio informatico dei sistemi di Telecom Italia per mezzo dell’attuazione del processo di ICT Risk Management, che coinvolge l’intera organizzazione ed è stato oggetto di una riprogettazione nel corso del 2012. Per estendere tale processo a tutti i sistemi informatici, nello specifico a quelli caratterizzati da non conformità, all’inizio del 2013 è stato avviato il Programma Strutturato di Sicurezza, un aggregato di quattro progetti dalla durata triennale particolarmente articolato e complesso. La pianificazione di tale Programma ha visto coinvolto, tra gli altri, il team di cui ho fatto parte, che ha collaborato con Telecom Italia assolvendo alcune delle funzioni di supporto tipiche dei Project Management Office (PMO).

Data management and data analysis in the large European projects GEHA (GEnetics of Healthy Aging) and NU-AGE (NUtrition and AGEing): a bioinformatic approach

The aging process is characterized by the progressive fitness decline experienced at all the levels of physiological organization, from single molecules up to the whole organism. Studies confirmed inflammaging, a chronic low-level inflammation, as a deeply intertwined partner of the aging process, which may provide the “common soil” upon which age-related diseases develop and flourish. Thus, albeit inflammation per se represents a physiological process, it can rapidly become detrimental if it goes out of control causing an excess of local and systemic inflammatory response, a striking risk factor for the elderly population. Developing interventions to counteract the establishment of this state is thus a top priority. Diet, among other factors, represents a good candidate to regulate inflammation. Building on top of this consideration, the EU project NU-AGE is now trying to assess if a Mediterranean diet, fortified for the elderly population needs, may help in modulating inflammaging. To do so, NU-AGE enrolled a total of 1250 subjects, half of which followed a 1-year long diet, and characterized them by mean of the most advanced –omics and non –omics analyses. The aim of this thesis was the development of a solid data management pipeline able to efficiently cope with the results of these assays, which are now flowing inside a centralized database, ready to be used to test the most disparate scientific hypotheses. At the same time, the work hereby described encompasses the data analysis of the GEHA project, which was focused on identifying the genetic determinants of longevity, with a particular focus on developing and applying a method for detecting epistatic interactions in human mtDNA. Eventually, in an effort to propel the adoption of NGS technologies in everyday pipeline, we developed a NGS variant calling pipeline devoted to solve all the sequencing-related issues of the mtDNA.

Ultra-Low Power and Non-intrusive Wireless Monitoring for Smart Buildings

Wireless Sensor Networks (WSNs) offer a new solution for distributed monitoring, processing and communication. First of all, the stringent energy constraints to which sensing nodes are typically subjected. WSNs are often battery powered and placed where it is not possible to recharge or replace batteries. Energy can be harvested from the external environment but it is a limited resource that must be used efficiently. Energy efficiency is a key requirement for a credible WSNs design. From the power source's perspective, aggressive energy management techniques remain the most effective way to prolong the lifetime of a WSN. A new adaptive algorithm will be presented, which minimizes the consumption of wireless sensor nodes in sleep mode, when the power source has to be regulated using DC-DC converters. Another important aspect addressed is the time synchronisation in WSNs. WSNs are used for real-world applications where physical time plays an important role. An innovative low-overhead synchronisation approach will be presented, based on a Temperature Compensation Algorithm (TCA). The last aspect addressed is related to self-powered WSNs with Energy Harvesting (EH) solutions. Wireless sensor nodes with EH require some form of energy storage, which enables systems to continue operating during periods of insufficient environmental energy. However, the size of the energy storage strongly restricts the use of WSNs with EH in real-world applications. A new approach will be presented, which enables computation to be sustained during intermittent power supply. The discussed approaches will be used for real-world WSN applications. The first presented scenario is related to the experience gathered during an European Project (3ENCULT Project), regarding the design and implementation of an innovative network for monitoring heritage buildings. The second scenario is related to the experience with Telecom Italia, regarding the design of smart energy meters for monitoring the usage of household's appliances.

Apple latent infection caused by Neofabraea alba: host-pathogen interaction and disease management

Apple latent infection caused by Neofabraea alba: host-pathogen interaction and disease management Bull’s eye rot (BER) caused by Neofabraea alba is one of the most frequent and damaging latent infection occurring in stored pome fruits worldwide. Fruit infection occurs in the orchard, but disease symptoms appear only 3 months after harvest, during refrigerated storage. In Italy BER is particularly serious for late harvest apple cultivar as ‘Pink Lady™’. The purposes of this thesis were: i) Evaluate the influence of ‘Pink Lady™’ apple primary metabolites in N. alba quiescence ii) Evaluate the influence of pH in five different apple cultivars on BER susceptibility iii) To find out not chemical method to control N. alba infection iv) Identify some fungal volatile compounds in order to use them as N. alba infections markers. Results regarding the role of primary metabolites showed that chlorogenic, quinic and malic acid inhibit N. alba development. The study based on the evaluation of cultivar susceptibility, showed that Granny Smith was the most resistant apple cultivar among the varieties analyzed. Moreover, Granny Smith showed the lowest pH value from harvest until the end of storage, supporting the thesis that ambient pH could be involved in the interaction between N. alba and apple. In order to find out new technologies able to improve lenticel rot management, the application of a non-destructive device for the determination of chlorophyll content was applied. Results showed that fruit with higher chlorophyll content are less susceptible to BER, and molecular analyses comforted this result. Fruits with higher chlorophyll content showed up-regulation of PGIP and HCT, genes involved in plant defence. Through the application of PTR-MS and SPME GC-MS, 25 volatile organic compounds emitted by N. alba were identified. Among them, 16 molecules were identified as potential biomarkers.

Analysis of cumulative effects of multiple stressors on saltmarshes and consideration of management options

Natural systems face pressures exerted by natural physical-chemical forcings and a myriad of co-occurring human stressors that may interact to cause larger than expected effects, thereby presenting a challenge to ecosystem management. This thesis aimed to develop new information that can contribute to reduce the existing knowledge gaps hampering the holistic management of multiple stressors. I undertook a review of the state-of-the-art methods to detect, quantify and predict stressor interactions, identifying techniques that could be applied in this thesis research. Then, I conducted a systematic review of saltmarsh multiple stressor studies in conjunction with a multiple stressor mapping exercise for the study system in order to infer potential important synergistic stressor interactions. This analysis identified key stressors that are affecting the study system, but also pointed to data gaps in terms of driver and pressure data and raised issues for potentially overlooked stressors. Using field mesocosms, I explored how a local stressor (nutrient availability) affects the responses of saltmarsh vegetation to a global stressor (increased inundation) in different soil types. Results indicate that saltmarsh vegetation would be more drastically affected by increased inundation in low than in medium organic matter soils, and especially in estuaries already under high nutrient availability. In another field experiment, I examined the challenges of managing co-occurring and potentially interacting local stressors on saltmarsh vegetation: recreational trampling and smothering by deposition of excess macroalgal wrack due to high nutrient loads. Trampling and wrack prevention had interacting effects, causing non-linear responses of the vegetation to simulated management of these stressors, such that vegetation recovered only in those treatments simulating the combined prevention of both stressors. During this research I detected, using molecular genetic methods, a widespread presence of S. anglica (and to a lesser extent S. townsendii), two previously unrecorded non-native Spartinas in the study areas.

Progettazione di uno strumento di analisi dati per sistemi SCADA-ENERGY Management System

L’obiettivo di questa tesi è approfondire le competenze sulle funzionalità sviluppate nei sistemi SCADA/EMS presenti sul mercato, così da conoscerne le potenzialità offerte: tutte le conoscenze acquisite servono a progettare uno strumento di analisi dati flessibile e interattivo, con il quale è possibile svolgere analisi non proponibili con le altre soluzioni analizzate. La progettazione dello strumento di analisi dei dati è orientata a definire un modello multidimensionale per la rappresentazione delle informazioni: il percorso di progettazione richiede di individuare le informazioni d’interesse per l’utente, così da poterle reintrodurre in fase di progettazione della nuova base dati. L’infrastruttura finale di questa nuova funzionalità si concretizza in un data warehouse: tutte le informazioni di analisi sono memorizzare su una base dati diversa da quella di On.Energy, evitando di correlare le prestazione dei due diversi sottosistemi. L’utilizzo di un data warehouse pone le basi per realizzare analisi su lunghi periodi temporali: tutte le tipologie di interrogazione dati comprendono un enorme quantità d’informazioni, esattamente in linea con le caratteristiche delle interrogazioni OLAP