Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Design and implementation of motorbike lean angle observers

This thesis focuses on the investigation and the implementation of different observers for the estimation of the roll angle of a motorbike. The central core of the activity is applying a Model-Based design in order to outline, simulate and implement the filters with the aim of a final comparison of the performances. This approach is crucially underlined among the chapters that articulate this document: first the design and tuning of an Extended Kalman Filter and a Complementary Filter in a pure simulation environment emphasize the most accurate choice for the particular problem. After this, several steps were performed in order to move from the aforementioned simulation environment to a real hardware application. In conclusion, several sensor configurations were tested and compared in order to highlight which sensor suite gives the best performances.

Big data analytics for proactive and predictive maintenance in electric car battery packs

The idea behind the project is to develop a methodology for analyzing and developing techniques for the diagnosis and the prediction of the state of charge and health of lithium-ion batteries for automotive applications. For lithium-ion batteries, residual functionality is measured in terms of state of health; however, this value cannot be directly associated with a measurable value, so it must be estimated. The development of the algorithms is based on the identification of the causes of battery degradation, in order to model and predict the trend. Therefore, models have been developed that are able to predict the electrical, thermal and aging behavior. In addition to the model, it was necessary to develop algorithms capable of monitoring the state of the battery, online and offline. This was possible with the use of algorithms based on Kalman filters, which allow the estimation of the system status in real time. Through machine learning algorithms, which allow offline analysis of battery deterioration using a statistical approach, it is possible to analyze information from the entire fleet of vehicles. Both systems work in synergy in order to achieve the best performance. Validation was performed with laboratory tests on different batteries and under different conditions. The development of the model allowed to reduce the time of the experimental tests. Some specific phenomena were tested in the laboratory, and the other cases were artificially generated.

Novel methods of state estimation and parameter identification for high-performance motorcycles

This research activity aims at providing a reliable estimation of particular state variables or parameters concerning the dynamics and performance optimization of a MotoGP-class motorcycle, integrating the classical model-based approach with new methodologies involving artificial intelligence. The first topic of the research focuses on the estimation of the thermal behavior of the MotoGP carbon braking system. Numerical tools are developed to assess the instantaneous surface temperature distribution in the motorcycle's front brake discs. Within this application other important brake parameters are identified using Kalman filters, such as the disc convection coefficient and the power distribution in the disc-pads contact region. Subsequently, a physical model of the brake is built to estimate the instantaneous braking torque. However, the results obtained with this approach are highly limited by the knowledge of the friction coefficient (μ) between the disc rotor and the pads. Since the value of μ is a highly nonlinear function of many variables (namely temperature, pressure and angular velocity of the disc), an analytical model for the friction coefficient estimation appears impractical to establish. To overcome this challenge, an innovative hybrid solution is implemented, combining the benefit of artificial intelligence (AI) with classical model-based approach. Indeed, the disc temperature estimated through the thermal model previously implemented is processed by a machine learning algorithm that outputs the actual value of the friction coefficient thus improving the braking torque computation performed by the physical model of the brake. Finally, the last topic of this research activity regards the development of an AI algorithm to estimate the current sideslip angle of the motorcycle's front tire. While a single-track motorcycle kinematic model and IMU accelerometer signals theoretically enable sideslip calculation, the presence of accelerometer noise leads to a significant drift over time. To address this issue, a long short-term memory (LSTM) network is implemented.

Il problema del filtraggio stocastico

In questa tesi ricaveremo le equazioni del filtraggio per modelli cinetici e per sistemi gaussiani lineari. Vengono presentati alcuni risultati fondamentali di esistenza ed unicità per le SDE; per poi introdurre l'integrale e la formula backward di Ito. Dopo aver richiamato la definizione di soluzione fondamentale, studieremo appunto il problema del filtraggio per il modello in questione adottando un approccio diretto. Di questi ne tratteremo due: il primo, detto di Krylov e Zatezalo ed il secondo di Veretennikov. Viene poi introdotto il filtro di Kalman-Bucy.

Embedding Video Object Detection Capabilities on Low-Power Nano-Drones

Our objective for this thesis work was the deployment of a Neural Network based approach for video object detection on board a nano-drone. Furthermore, we have studied some possible extensions to exploit the temporal nature of videos to improve the detection capabilities of our algorithm. For our project, we have utilized the Mobilenetv2/v3SSDLite due to their limited computational and memory requirements. We have trained our networks on the IMAGENET VID 2015 dataset and to deploy it onto the nano-drone we have used the NNtool and Autotiler tools by GreenWaves. To exploit the temporal nature of video data we have tried different approaches: the introduction of an LSTM based convolutional layer in our architecture, the introduction of a Kalman filter based tracker as a postprocessing step to augment the results of our base architecture. We have obtain a total improvement in our performances of about 2.5 mAP with the Kalman filter based method(BYTE). Our detector run on a microcontroller class processor on board the nano-drone at 1.63 fps.

Methodologies for attitude determination from MEMS sensors in vehicles

The focus of the thesis is the application of different attitude’s determination algorithms on data evaluated with MEMS sensor using a board provided by University of Bologna. MEMS sensors are a very cheap options to obtain acceleration, and angular velocity. The use of magnetometers based on Hall effect can provide further data. The disadvantage is that they have a lot of noise and drift which can affects the results. The different algorithms that have been used are: pitch and roll from accelerometer, yaw from magnetometer, attitude from gyroscope, TRIAD, QUEST, Magdwick, Mahony, Extended Kalman filter, Kalman GPS aided INS. In this work the algorithms have been rewritten to fit perfectly with the data provided from the MEMS sensor. The data collected by the board are acceleration on the three axis, angular velocity on the three axis, magnetic fields on the three axis, and latitude, longitude, and altitude from the GPS. Several tests and comparisons have been carried out installing the electric board on different vehicles operating in the air and on ground. The conclusion that can be drawn from this study is that the Magdwich filter is the best trade-off between computational capabilities required and results obtained. If attitude angles are obtained from accelerometers, gyroscopes, and magnetometer, inconsistent data are obtained for cases where high vibrations levels are noticed. On the other hand, Kalman filter based algorithms requires a high computational burden. TRIAD and QUEST algorithms doesn’t perform as well as filters.