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.

Committed to reform? Pragmatic antitrust enforcement in electricity markets

This thesis is a collection of essays about the instrumental use of commitment decisions to facilitate the completion of the European internal electricity market. European policy can shape markets in many ways, two most evident being regulation and competition enforcement. The interplay between these two instruments attracts a lot of scholarly attention. One of the major concerns in the competition vs. regulation debate is the instrumental use of competition rules. It has been observed that competition enforcement is triggered not only as a response to an anticompetitive harm occurring in the market, but that it sometimes becomes a powerful tool in the European Commission’s hands to pursue regulatory goals. This thesis looks for examples of such instrumentalisation in the context of electricity markets and finds that the Commission is very pragmatic in using all the possible instruments it has at hand to push forward its project of creating the internal electricity market. This includes regulation, competition enforcement and all sorts of political pressure. To the extent that commitment decisions accelerate sector-specific regulation and overcome political deadlocks, they contribute to the Commission’s energy policy goals. However, instrumentalisation of competition rules comes at a certain cost to competition policy, energy policy and, most importantly, to electricity markets themselves. Markets might be negatively affected either indirectly, by application of sector-specific regulation or competition policy building on previous commitment decisions, or directly, through the implementation of inadequate commitments in individual cases. Concluding, commitment decisions generally contributed to achieving the policy objectives of the internal electricity market, but their use for that purpose does not come without cost. Given that this cost is ultimately borne by the internal electricity market, the Commission should take a more balanced approach to the instrumental use of commitment decisions so that it does not do more harm than good.

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.

Designing Electricity Auctions in the Presence of Transmission Constraints

This paper analyzes the effect that different designs in the access to fnancial transmission rights has on spot electricity auctions. In particular, I characterize the equilibrium in the spot electricity market when financial transmission rights are assigned to the grid operator and when financial transmission rights are assigned to the firm that submits the lowest bid in the spot electricity auction. When financial transmission rights are assigned to the grid operator, my model, in contrast with the models available in the literature, works out the equilibrium for any transmission capacity. Moreover, I have found that an increase in transmission capacity not only increases competition between markets but also within a single market. When financial transmission rights are assigned to the firm that submits the lowest bid in the spot electricity auction, firms compete not only for electricity demand, but also for transmission rights and the arbitrage profits derived from its hold. I have found that introduce competition for transmission rights reduces competition in spot electricity auctions.

Le virtù elettriche del lucido pennello. Sulla traduzione italiana del Treatise of electricity di Tiberio Cavallo

Questa tesi ha per argomento l'analisi linguistica della traduzione italiana del Treatise of electricity di Tiberio Cavallo (1777) ad opera di Ferdinando Fossi – Trattato completo d'elettricità – (1779). Con questo studio, che prende in esame un particolare episodio letterario, si è inteso esaminare un momento della storia del lessico scientifico italiano al fine di individuarne le peculiarità e sottolinearne le differenze rispetto ai corrispettivi di altre lingue, con speciale attenzione alla lingua inglese. I capitoli introduttivi riportano notizie biografiche e sulla formazione di T. Cavallo e F. Fossi. Nel terzo capitolo viene delineato un quadro della formazione e costituzione del lessico elettrologico italiano, seguendone l'evoluzione nel cinquantennio '40/'90 del XVIII secolo. Una parte della tesi è poi dedicata al fenomeno culturale rappresentato dalle scienze elettriche in cui si inscrive la traduzione del Treatise. Sono qui riportate notizie relative alla fortuna mondana dell'elettricità, per le quali si è attinto a carteggi, documenti d'archivio, testi antichi e studi moderni. L'analisi linguistica vera e propria si è basata sul confronto tra il testo originale di Tiberio Cavallo e la traduzione di Ferdinando Fossi. Partendo dal Treatise abbiamo isolato particolari gruppi di parole: 1) voci corrispondenti a termini propri dei fenomeni elettrici; 2) verbi; 3) strumenti scientifici. Per ognuna della voci abbiamo controllato la ricorsività; poi abbiamo cercato i traducenti corrispondenti, suddividendoli in “corrispondenze assolute” – il traducente è corrispettivo del termine originale –, “corrispondenze mancate” – variazioni nella traduzione di termini ripetuti costantemente –, “tendenza omologatrice” – traduzione univoca di termini semanticamente simili –. Un capitolo sulla lettura critica della traduzione spiega come da parte del Fossi si sia rilevata una sostanziale e sistematica assenza di sensibilità per la precisione terminologica che caratterizza il testo di Cavallo; ove si dimostra che il testo inglese insiste sulla ripetizione dei termini – già stabilizzati e facenti parte di un corpus omogeneo e condiviso –, mentre il testo italiano predilige il ricorso alla "variatio", ricercando una migliore resa stilistica d'insieme piuttosto che la precisione scientifica. Il momento storico-linguistico preso in esame attraverso il particolare caso della traduzione del Treatise vede la lingua italiana sprovvista di una lessico elettrico univoco e condiviso. Complici di questa mancata corrispondenza alle esigenze del linguaggio scientifico moderno sono certamente pregiudizi di ordine retorico, che esaltano l'importanza dello stile e alimentano il disprezzo per i tecnicismi, ma anche e soprattutto la diffusione di traduzioni eterogenee, che danno atto ad una moltiplicazione semantica dei termini realmente in grado di ritardare la formazione di un corpus lessicale condiviso dalla comunità scientifica italiana.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Market Prices and Food Aid Local and Regional Procurement and Distribution: A Multi-Country Analysis

To date, no research has rigorously addressed the concern that local and regional procurement (LRP) of food aid could affect food prices and food price volatility in food aid source and recipient countries. We assemble spatially and temporally disaggregated data and estimate the relationship between food prices and their volatility and local food aid procurement and distribution across seven countries for several commodities. In most cases, LRP activities have no statistically significant relationship with either local price levels or food price volatility. The few exceptions underscore the importance of market monitoring. (C) 2013 Elsevier Ltd. All rights reserved.