Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

Sorveglianza dell’infezione da virus dell’epatite E (HEV) in Italia: from farm to table

L'epatite E è una malattia umana con caratteristiche di epatite acuta, causata da un ssRNA virus (HEV). Nel 1997, HEV è stato identificato per la prima volta nei suini (SwHEV). In seguito, diverse evidenze, tra cui la vicinanza genetica tra ceppi umani e suini, suggerirono la trasmissione zoonotica del virus. Nella presente tesi, l’identificazione di SwHEV è stata condotta mediante ricerca di porzioni di genoma virale attraverso RT-PCR. Dal 2011 al 2013, sono stati analizzati 343 campioni fecali (da 19 allevamenti) e 70 bili (da 2 macelli) prelevati da altrettanti suini, in diverse Regioni italiane. E’ stato inoltre condotto uno studio retrospettivo su 78 feci (da 3 allevamenti) raccolte nel 2000. Il virus è stato identificato nel 24,5% e 19,2% delle feci raccolte rispettivamente nel 2011-2013 e nel 2000. Nessuna bile è risultata positiva. Mediante sequenziamento del genoma intero di uno dei virus identificati, è stata condotta l’analisi filogenetica per valutarne il grado di correlazione con alti ceppi suini e umani. La presenza di HEV è stata valutata lungo la filiera di produzione suina, dal macello al punto vendita. Trentaquattro campioni di feci, fegato e muscolo sono stati raccolti in un macello da altrettanti suini sani (età:6-7 mesi). Quattordici feci e 2 fegati, sono risultati positivi per HEV. Sono state prelevate 129 salsicce sia allo stabilimento di trasformazione sia alla vendita, ma nessuna è risultata positiva. La presenza di HEV è stata valutata anche nelle salsicce di fegato, fresche e secche, acquistate presso una macelleria. Il genoma virale è stato rilevato nel 22,2% delle salsicce fresche e nel 4,3 % di quelle secche ma la vitalità del virus non è stata dimostrata. In conclusione, lo studio condotto ha confermato l’ampia circolazione di HEV nei suini e la possibile contaminazione dei prodotti carnei derivati, confermando la necessità di una continua sorveglianza.

Studio geomorfologico dell'area carsica attorno alla Grotta Palombara (Melilli, Siracusa)

The following thesis attempts to study and analyse the geomorphological evolution of a relatively small coastal area located to the North of Syracuse (Southeastern Sicily). The presently inactive Palombara Cave is located in this area. The 800 metres of passages in this cave show an evolution in some way linked to the local topographic and environmental changes. This portion of coastline was affected more or less constantly by the tectonic uplift during the Pleistocene, which simultaneously to the eustatic variations have played a key role in the genesis of the marine terraces and the cave. Starting from a DTM made from Lidar data, using a GIS procedure several marine terraces have been mapped. These informations combinated with a geomorphological study of the area, allowed to identify and recognise the different orders of the Middle Pleistocene terraced surfaces. Four orders of terraces between 180-75 m a.s.l have been observed, illustrated and described. Furthermore, two other supposed terrace edges located respectively at 60 and 35 m, which would indicate the presence of two more orders, have been recognised. All these marine terraces appear to have formed in the last million years. The morphological data of the Palombara cave, highlights a genesis related to the rising of CO2 rich waters coming from the depths through the fractures of the rock mass, that ranks it as a hypogenic cave. The development has been influenced by the changes in the water table, in turn determined by the fluctuations in the sea level. In fact, the cave shows a speleogenetic evolution characterised by phases of karstification in phreatic and epiphreatic environment and fossilization stages of the upper branches in vadose conditions. These observations indicate that the cave probably started forming around 600 Ky ago, contemporary to the start of volcanic processes in the area.

Tunnelling induced settlements in soils under the water table.

Tema di questo lavoro sono i cedimenti indotti dallo scavo di gallerie superficiali in terreni coesivi sotto falda. In questi casi la velocità di avanzamento dello scavo v e la permeabilità del mezzo k influenzano molto l'evoluzione della consolidazione. Le ipotesi di risposta non drenata o drenata del mezzo saturo, comunemente adottate, sono valide solo per rapporto v/k estremamente alto o basso. Nei casi intermedi, analisi numeriche accoppiate che tengano conto del processo di consolidazione durante lo scavo sono indispensabili. Ciò nonostante, queste sono molto rare in letteratura viste le notevoli difficoltà teoriche e numeriche ad esse associate. Proprio per non incrementare ulteriormente tali difficoltà, si è deciso di adottare modelli costitutivi semplici quali: il modello elastico perfettamente plastico con criterio di resistenza alla Mohr Coulomb e il Modified Cam Clay. Dopo un' introduzione sulla risposta del terreno nell'intorno dello scavo al variare del modello costitutivo, è stato svolto uno studio parametrico del processo di consolidazione. Ci si è, successivamente, concentrati sulla capacità dei tre modelli costitutivi di predire l'andamento dei cedimenti, mediante confronto con le soluzioni empiriche proposte in letteratura. Infine, sono state effettuate una serie di simulazioni 3D accoppiate passo-passo con il programma agli elementi finiti Abaqus al variare della permeabilità del mezzo e del rivestimento installato, supposto infinitamente permeabile o impermeabile. È emerso che per v/k<100 o v/k>100000 non è necessario esaminare nel dettaglio la dipendenza dal tempo della risposta del suolo e si possono ottenere risultati affidabili assumendo condizioni drenate o non drenate, rispettivamente. Nei casi intermedi, invece, le condizioni sono da ritenersi transienti e l'unico modo per effettuare correttamente le analisi dei cedimenti e lo studio della stabilità del fronte è mediante analisi numeriche 3D idromeccaniche accoppiate.

Toward cell therapy using placenta-derived cells: disease mechanisms, cell biology, preclinical studies, and regulatory aspects at the round table

Among the many cell types that may prove useful to regenerative medicine, mounting evidence suggests that human term placenta-derived cells will join the list of significant contributors. In making new cell therapy-based strategies a clinical reality, it is fundamental that no a priori claims are made regarding which cell source is preferable for a particular therapeutic application. Rather, ongoing comparisons of the potentiality and characteristics of cells from different sources should be made to promote constant improvement in cell therapies, and such comparisons will likely show that individually tailored cells can address disease-specific clinical needs. The principle underlying such an approach is resistance to the notion that comprehensive characterization of any cell type has been achieved, neither in terms of phenotype nor risks-to-benefits ratio. Tailoring cell therapy approaches to specific conditions also requires an understanding of basic disease mechanisms and close collaboration between translational researchers and clinicians, to identify current needs and shortcomings in existing treatments. To this end, the international workshop entitled "Placenta-derived stem cells for treatment of inflammatory diseases: moving toward clinical application" was held in Brescia, Italy, in March 2009, and aimed to harness an understanding of basic inflammatory mechanisms inherent in human diseases with updated findings regarding biological and therapeutic properties of human placenta-derived cells, with particular emphasis on their potential for treating inflammatory diseases. Finally, steps required to allow their future clinical application according to regulatory aspects including good manufacturing practice (GMP) were also considered. In September 2009, the International Placenta Stem Cell Society (IPLASS) was founded to help strengthen the research network in this field.

On-table reconstruction of comminuted fractures of the radial head

The most widely accepted treatment for comminuted fractures of the radial head is either the excision or open reduction and internal fixation. The purpose of the present study is to evaluate the value of an 'on-table' reconstruction technique in severely comminuted fractures of the radial head. In this study, two patients with a Mason type-III and four patients with a Mason type-IV radial-head fracture were treated with 'on-table' reconstruction and fixation using low-profile mini-plates. After a mean follow-up of 112 months (47-154 months), the mean elbow motion was 0-6-141 degrees extension flexion with 79 degrees of pronation and 70 degrees of supination. The mean Broberg and Morrey functional rating score was 97.0 points, the Mayo Elbow Performance Index was 99.2 points and the mean Disabilities of the Arm, Shoulder, and Hand (DASH) Outcome Measure score was 1.94 points. One patient had symptoms of degenerative changes, with a slight joint-space narrowing. There were no radiographic signs of devitalisation at final examination. Comminuted fractures of the radial head, which would otherwise require excision, can be successfully treated with an 'on-table' reconstruction technique.

Geophysical Analysis of Seasonal Montandon Gravel Ridge Water Table Fluctuation and Moisture Gradient Variation due to Storm Events

The purpose of this research project is to continue exploring the Montandon Long-Term Hydrologic Research Site(LTHR) by using multiple geophysical methods to obtain more accurate and precise information regarding subsurface hydrologic properties of a local gravel ridge,which are important to both the health of surrounding ecosystems and local agriculture. Through using non-invasive geophysical methods such as seismic refraction, Direct Current resistivity and ground penetrating radar (GPR) instead of invasive methods such as boreholedrilling which displace sediment and may alter water flow, data collection is less likely to bias the data itself. In addition to imaging the gravel ridge subsurface, another important researchpurpose is to observe how both water table elevation and the moisture gradient (moisture content of the unsaturated zone) change over a seasonal time period and directly after storm events. The combination of three types of data collection allows the strengths of each method combine together and provide a relatively strongly supported conclusions compared to previous research. Precipitation and geophysical data suggest that an overall increase in precipitation during the summer months causes a sharp decrease in subsurface resistivity within the unsaturated zone. GPR velocity data indicate significant immediate increase in moisture content within the shallow vadose zone (< 1m), suggesting that rain water was infiltrating into the shallow subsurface. Furthermore, the combination of resistivity and GPR results suggest that the decreased resistivity within the shallow layers is due to increased ion content within groundwater. This is unexpected as rainwater is assumed to have a DC resistivity value of 3.33*105 ohm-m. These results may suggest that ions within the sediment must beincorporated into the infiltrating water.

Associations between fluctuations in lung function and asthma control in two populations with differing asthma severity

Lung function is a major criterion used to assess asthma control. Fluctuation analyses can account for lung function history over time, and may provide an additional dimension to characterise control. The relationships between mean and fluctuations in lung function with asthma control, exacerbation and quality of life were studied in two independent data sets.