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.

Analytical methods for evaluating the quality and the genuineness of olive oils

This Ph.D. thesis focuses on the investigation of some chemical and sensorial analytical parameters linked to the quality and purity of different categories of oils obtained by olives: extra virgin olive oils, both those that are sold in the large retail trade (supermarkets and discounts) and those directly collected at some Italian mills, and lower-quality oils (refined, lampante and “repaso”). Concurrently with the adoption of traditional and well-known analytical procedures such as gas chromatography and high-performance liquid chromatography, I carried out a set-up of innovative, fast and environmentally-friend methods. For example, I developed some analytical approaches based on Fourier transform medium infrared spectroscopy (FT-MIR) and time domain reflectometry (TDR), coupled with a robust chemometric elaboration of the results. I investigated some other freshness and quality markers that are not included in official parameters (in Italian and European regulations): the adoption of such a full chemical and sensorial analytical plan allowed me to obtain interesting information about the degree of quality of the EVOOs, mostly within the Italian market. Here the range of quality of EVOOs resulted very wide, in terms of sensory attributes, price classes and chemical parameters. Thanks to the collaboration with other Italian and foreign research groups, I carried out several applicative studies, especially focusing on the shelf-life of oils obtained by olives and on the effects of thermal stresses on the quality of the products. I also studied some innovative technological treatments, such as the clarification by using inert gases, as an alternative to the traditional filtration. Moreover, during a three-and-a-half months research stay at the University of Applied Sciences in Zurich, I also carried out a study related to the application of statistical methods for the elaboration of sensory results, obtained thanks to the official Swiss Panel and to some consumer tests.

Life Cycle Assessment of Peach Nectar: a comparative analysis between conventional and bioenergy-from-waste integrated food chains

Modern food systems are characterized by a high energy intensity as well as by the production of large amounts of waste, residuals and food losses. This inefficiency presents major consequences, in terms of GHG emissions, waste disposal, and natural resource depletion. The research hypothesis is that residual biomass material could contribute to the energetic needs of food systems, if recovered as an integrated renewable energy source (RES), leading to a sensitive reduction of the impacts of food systems, primarily in terms of fossil fuel consumption and GHG emissions. In order to assess these effects, a comparative life cycle assessment (LCA) has been conducted to compare two different food systems: a fossil fuel-based system and an integrated system with the use of residual as RES for self-consumption. The food product under analysis has been the peach nectar, from cultivation to end-of-life. The aim of this LCA is twofold. On one hand, it allows an evaluation of the energy inefficiencies related to agro-food waste. On the other hand, it illustrates how the integration of bioenergy into food systems could effectively contribute to reduce this inefficiency. Data about inputs and waste generated has been collected mainly through literature review and databases. Energy balance, GHG emissions (Global Warming Potential) and waste generation have been analyzed in order to identify the relative requirements and contribution of the different segments. An evaluation of the energy “loss” through the different categories of waste allowed to provide details about the consequences associated with its management and/or disposal. Results should provide an insight of the impacts associated with inefficiencies within food systems. The comparison provides a measure of the potential reuse of wasted biomass and the amount of energy recoverable, that could represent a first step for the formulation of specific policies on the integration of bioenergies for self-consumption.

Strumenti finanziari partecipativi e "nuovi" canali di finanziamento delle societa' per azioni

Il lavoro affronta il tema degli strumenti finanziari partecipativi e non partecipativi che possono essere emessi dalle società per azioni, alla luce della disciplina introdotta dalla riforma del diritto societario. Lo studio è diretto a fornire un inquadramento sistematico di queste modalità di finanziamento rispetto alla dicotomia azioni-obbligazioni, anche sotto il profilo contabile, per poi individuare le conseguenti implicazioni in termini di disciplina applicabile. Affrontando il dibattito dottrinale sulla collocazione complessiva degli strumenti ibridi rispetto alle forme di finanziamento tradizionali, si sposa l’opinione secondo cui tutti gli strumenti finanziari non possono essere ricompresi in una categoria unitaria, ma occorre mantenere distinti gli strumenti finanziari partecipativi indicati dall’art. 2346, comma 6, c.c., dagli altri strumenti finanziari ex art. 2411, comma 3, c.c., riconoscendo nei primi delle modalità di raccolta assimilabili al capitale di rischio e nei secondi delle forme di provvista di capitale di debito. Il connotato distintivo tra strumenti finanziari partecipativi e non partecipativi viene individuato non nell’attribuzione di diritti amministrativi – che possono anche non essere assegnati ai titolari di strumenti di cui all’art. 2346, comma 6 – bensì nell’assenza o nella presenza di un obbligo di rimborso dell’apporto fornito all’impresa. Il lavoro esamina inoltre vari profili di disciplina di entrambe le categorie di strumenti, concentrandosi prevalentemente sui diritti patrimoniali ad essi attribuibili, tra cui la partecipazione agli utili e alle perdite e i diritti in sede di liquidazione. Infine si esaminano le previsioni recentemente introdotte dal d.l. n. 83/2012 in tema di titoli obbligazionari, al fine di valutarne l’impatto sull’impianto complessivo della disciplina vigente. In particolare, viene data attenzione alle nuove disposizioni relative alle obbligazioni subordinate e/o partecipative che possono essere emesse dalle società non quotate, mettendo in evidenza le criticità dal punto di vista sistematico in tema di possibile partecipazione agli utili degli obbligazionisti.

The Presence of Words in Visual Art from Surrealism to Conceptualism

Without a doubt, one of the biggest changes that affected XXth century art is the introduction of words into paintings and, in more recent years, in installations. For centuries, if words were part of a visual composition, they functioned as reference; strictly speaking, they were used as a guideline for a better perception of the subject represented. With the developments of the XXth century, words became a very important part of the visual composition, and sometimes embodied the composition itself. About this topic, American art critic and collector Russell Bowman wrote an interesting article called Words and images: A persistent paradox, in which he examines the American and the European art of the XXth century in almost its entirety, dividing it up in six “categories of intention”. The aforementioned categories are not based on the art history timeline, but on the role that language played for specific artists or movements. Taking inspiration from Bowman's article, this paper is structured in three chapters, respectively: words in juxtaposition and free association, words as means of exploration of language structures, and words as means for political and personal messages. The purpose of this paper is therefore to reflect on the role of language in contemporary art and on the way it has changed from artist to artist.

Potential vorticity and moisture in extratropical cyclones : climatology and sensitivity experiments

The development of extratropical cyclones can be seen as an interplay of three positive potential vorticity (PV) anomalies: an upper-level stratospheric intrusion, low-tropospheric diabatically produced PV, and a warm anomaly at the surface acting as a surrogate PV anomaly. In the mature stage they become vertically aligned and form a “PV tower” associated with strong cyclonic circulation. This paradigm of extratropical cyclone development provides the basis of this thesis, which will use a climatological dataset and numerical model experiments to investigate the amplitude of the three anomalies and the processes leading in particular to the formation of the diabatically produced low-tropospheric PV anomaly.rnrnThe first part of this study, based on the interim ECMWF Re-Analysis (ERA-Interim) dataset, quantifies the amplitude of the three PV anomalies in mature extratropical cyclones in different regions in the Northern Hemisphere on a climatological basis. A tracking algorithm is applied to sea level pressure (SLP) fields to identify cyclone tracks. Surface potential temperature anomalies ∆θ and vertical profiles of PV anomalies ∆PV are calculated at the time of the cyclones’ minimum SLP and during the intensification phase 24 hours before in a vertical cylinder with a radius of 200 km around the surface cyclone center. To compare the characteristics of the cyclones, they are grouped according to their location (8 regions) and intensity, where the central SLP is used as a measure of intensity. Composites of ∆PV profiles and ∆θ are calculated for each region and intensity class at the time of minimum SLP and during the cyclone intensification phase.rnrnDuring the cyclones’ development stage the amplitudes of all three anomalies increase on average. In the mature stage all three anomalies are typically larger for intense than for weak winter cyclones [e.g., 0.6 versus 0.2 potential vorticity units (PVU) at lower levels, and 1.5 versus 0.5 PVU at upper levels].rnThe regional variability of the cyclones’ vertical structure and the profile evolution is prominent (cyclones in some regions are more sensitive to the amplitude of a particular anomaly than in other regions). Values of ∆θ and low-level ∆PV are on average larger in the western parts of the oceans than in the eastern parts. In addition, a large seasonal variability can be identified, with fewer and weaker cyclones especially in the summer, associated with higher low-tropospheric PV values, but also with a higher tropopause and much weaker surface potential temperature anomalies (compared to winter cyclones).rnrnIn the second part, we were interested in the diabatic low-level part of PV towers. Evaporative sources were identified of moisture that was involved in PV production through condensation. Lagrangian backward trajectories were calculated from the region with high PV values at low-levels in the cyclones. PV production regions were identified along these trajectories and from these regions a new set of backward trajectories was calculated and moisture uptakes were traced along them. The main contribution from surface evaporation to the specific humidity of the trajectories is collected 12-72 hours prior to therntime of PV production. The uptake region for weaker cyclones with less PV in the centre is typically more localized with reduced uptake values compared to intense cyclones. However, in a qualitative sense uptakes and other variables along single trajectories do not vary much between cyclones of different intensity in different regions.rnrnA sensitivity study with the COSMO model comprises the last part of this work. The study aims at investigating the influence of synthetic moisture modification in the cyclone environment in different stages of its development. Moisture was eliminated in three regions, which were identified as important moisture source regions for PV production. Moisture suppression affected the cyclone the most in its early phase. It led to cyclolysis shortly after its genesis. Nevertheles, a new cyclone formed on the other side of a dry box and developed relatively quickly. Also in other experiments, moisture elimination led to strong intensity reduction of the surface cyclone, limited upper-level development, and delayed or missing interaction between the two.rnrnIn summary, this thesis provides novel insight into the structure of different intensity categories of extratropical cyclones from a PV perspective, which corroborates the findings from a series of previous case studies. It reveals that all three PV anomalies are typically enhanced for more intense cyclones, with important regional differences concerning the relative amplitude of the three anomalies. The moisture source analysis is the first of this kind to study the evaporation-condensation cycle related to the intensification of extratropical cyclones. Interestingly, most of the evaporation occurs during the 3 days prior to the time of maximum cyclone intensity and typically extends over fairly large areas along the track of the cyclone. The numerical model case study complements this analysis by analyzing the impact of regionally confined moisture sources for the evolution of the cyclone.

Elites or middle classes? : lessons from transnational research for the study of social stratification in Africa

In diesem Arbeitspapier will ich zur künftigen Forschung über soziale Stratifikation in Afrika beitragen, indem ich die theoretischen Implikationen und empirischen Herausforderungen der Konzepte "Elite" und "Mittelklasse" untersuche. Diese Konzepte stammen aus teilweise miteinander konkurrierenden Theorietraditionen. Außerdem haben Sozialwissenschaftler und Historiker sie zu verschiedenen Zeiten und mit Bezug auf verschiedene Regionen unterschiedlich verwendet. So haben Afrikaforscher und -forscherinnen soziale Formationen, die in anderen Teilen der Welt als Mittelklasse kategorisiert wurden, meist als Eliten aufgefasst und tun dies zum Teil noch heute. Elite und Mittelklasse sind aber nicht nur Begriffe der sozialwissenschaftlichen Forschung, sondern zugleich Kategorien der sozialen und politischen Praxis. Die Art und Weise, wie Menschen diese Begriffe benutzen, um sich selbst oder andere zu beschreiben, hat wiederum Rückwirkungen auf sozialwissenschaftliche Diskurse und umgekehrt. Das Arbeitspapier setzt sich mit beiden Aspekten auseinander: mit der Geschichte der theoretischen Debatten über Elite und Mittelklasse und damit, was wir aus empirischen Studien über die umstrittenen Selbstverortungen sozialer Akteure lernen können und über ihre sich verändernden Auffassungen und Praktiken von Elite- oder Mittelklasse-Sein. Weil ich überzeugt bin, dass künftige Forschung zu sozialer Stratifikation in Afrika außerordentlich viel von einer historisch und regional vergleichenden Perspektive profitieren kann, analysiert dieses Arbeitspapier nicht nur Untersuchungen zu afrikanischen Eliten und Mittelklassen, sondern auch eine Fülle von Studien zur Geschichte der Mittelklassen in Europa und Nordamerika sowie zu den neuen Mittelklassen im Globalen Süden.

Temperature effects on larval growth and survival in five species of Caribbean Echinoids

Under the global change scenario, the possible effects of ocean warming were investigated on the larvae of five species of Caribbean Echinoids: Echinometra lucunter, Echinometra viridis, Clypeaster rosaceus, Tripneustes ventricosus and Lytechinus williamsi. Their thermal tolerance was evaluated rearing them for six days under different temperature regimes (26, 28, 30, 32, 34, 36°C). The larval sensitivity to the treatments was evaluated on the base of survival and growth. The rearing at higher temperatures has revealed a great suffering state of the larvae by inducing both reduction of live larvae and abnormality in their development. The extent of impact of the treatments varied from species to species, evidencing different levels of thermal tolerance. Anyway, higher temperature treatments have shown a general lethal threshold at about 34°C for most of the species. As an exception, the lethal threshold of Echinometra species was 36°C, few larvae of which being still capable of survive at the temperature of 34°C. The studies have also analyzed the effect of water warming on the larvae growth in terms of size and symmetry. The results put in evidence the presence of a critical upper temperature (about 32°C) at which the larvae of all species reveal a great suffering state that translates in the reduction of size (i.e., of body, stomach and postero-dorsal arm) and abnormalities (i.e., strong difference in the lengths of the two postero-dorsal arms). As sea surface temperatures are predicted to increase of 4-5°C by 2100, the high percentage of abnormal larvae and their scarce survival observed at 32- 34°C treatments indicate that the early stages of these species could be affected by future global warming.

Development of a fluorescent-based single liposome assay for studying calcium transporter LMCA1

The morphological and functional unit of all the living organisms is the cell. The transmembrane proteins, localized in the plasma membrane of cells, play a key role in the survival of the cells themselves. These proteins perform a variety of different tasks, for example the control of the homeostasis. In order to control the homeostasis, these proteins have to regulate the concentration of chemical elements, like ions, inside and outside the cell. These regulations are fundamental for the survival of the cell and to understand them we need to understand how transmembrane proteins work. Two of the most important categories of transmembrane proteins are ion channels and transporter proteins. The ion channels have been depth studied at the single molecule level since late 1970s with the development of patch-clamp technique. It is not possible to apply this technique to study the transporter proteins so a new technique is under development in order to investigate the behavior of transporter proteins at the single molecule level. This thesis describes the development of a nanoscale single liposome assay for functional studies of transporter proteins based on quantitative fluorescence microscopy in a highly-parallel manner and in real time. The transporter of interest is the prokaryotic transporter Listeria Monocytogenes Ca2+-ATPase1 (LMCA1), a structural analogue of the eukaryotic calcium pumps SERCA and PMCA. This technique will allow the characterization of LMCA1 functionality at the single molecule level. Three systematically characterized fluorescent sensors were tested at the single liposome scale in order to investigate if their properties are suitable to study the function of the transporter of interest. Further studies will be needed in order to characterize the selected calcium sensor and pH sensor both implemented together in single liposomes and in presence of the reconstituted protein LMCA1.

Identification of problems in functioning of people with sleep disorders in a clinical setting using the International Classification of Functioning Disability and Health (ICF) Checklist

We conducted an explorative, cross-sectional, multi-centre study in order to identify the most common problems of people with any kind of (primary) sleep disorder in a clinical setting using the International Classification of Functioning, Disability and Health (ICF) as a frame of reference. Data were collected from patients using a structured face-to-face interview of 45-60 min duration. A case record form for health professionals containing the extended ICF Checklist, sociodemographic variables and disease-specific variables was used. The study centres collected data of 99 individuals with sleep disorders. The identified categories include 48 (32%) for body functions, 13 (9%) body structures, 55 (37%) activities and participation and 32 (22%) for environmental factors. 'Sleep functions' (100%) and 'energy and drive functions', respectively, (85%) were the most severely impaired second-level categories of body functions followed by 'attention functions' (78%) and 'temperament and personality functions' (77%). With regard to the component activities and participation, patients felt most restricted in the categories of 'watching' (e.g. TV) (82%), 'recreation and leisure' (75%) and 'carrying out daily routine' (74%). Within the component environmental factors the categories 'support of immediate family', 'health services, systems and policies' and 'products or substances for personal consumption [medication]' were the most important facilitators; 'time-related changes', 'light' and 'climate' were the most important barriers. The study identified a large variety of functional problems reflecting the complexity of sleep disorders. The ICF has the potential to provide a comprehensive framework for the description of functional health in individuals with sleep disorders in a clinical setting.

Genomic analysis of non-splenic marginal zone lymphomas (MZL) indicates similarities between nodal and extranodal MZL and supports their derivation from memory B-cells

Three distinct categories of marginal zone lymphomas (MZLs) are currently recognized, principally based on their site of occurrence. They are thought to represent unique entities, but the relationship of one subtype with another is poorly understood. We investigated 17 non-splenic MZLs (seven nodal, 10 extranodal) by gene expression profiling to distinguish between subtypes and determine their cell of origin. Our findings suggest biological inter-relatedness of these entities despite occurrence at different locations and associations with possibly different aetiologies. Furthermore, the expression profiles of non-splenic MZL were similar to memory B cells.

Accounting for Fetal Death: Vital Statistics and the Medicalization of Pregnancy in the United States

Recent reports by the Centers for Disease Control and Prevention have decried the high rate of fetal mortality in the contemporary United States. Much of the data about fetal and infant deaths, as well as other poor pregnancy outcomes, are tabulated and tracked through vital statistics. In this article, I demonstrate how notions of fetal death became increasingly tied to the surveillance of maternal bodies through the tabulating and tracking of vital statistics in the middle part of the twentieth century. Using a historical analysis of the revisions to the United States Standard Certificate of Live Birth, and the United States Standard Report of Fetal Death, I examine how the categories of analysis utilized in these documents becomes integrally linked to contemporary ideas about fetal and perinatal death, gestational age, and prematurity. While it is evident that there are relationships between maternal behavior and birth outcomes, in this article I interrogate the ways in which the surveillance of maternal bodies through vital statistics has naturalized these relationships. Copyright 2013 Elsevier Ltd. All rights reserved.

Semantic Categorization of Unfamiliar Tunes in Older and Younger Adults

The process of learning the categories of new tunes in older and younger adults was examined for this study. Tunes were presented either one or three times along with a category name to see if multiple repetitions aid in category memory. Additionally, toexamine if an association may help some listeners, especially older ones, to better remember category information, some tunes were presented with a short associative fact; this fact was either neutral or emotional. Participants were tested on song recognition,fact recognition, and category memory. For all tasks, there was a benefit of three presentations. There were no age differences in fact recognition. For both song recognition and categorization, the memory burden of a neutral association was lessened when the association was emotional.

INVESTIGATION OF INTRAOCULAR PRESSURE AS A PREDICTOR OF TRAUMATIC EYE INJURIES

Eye injuries are a large societal problem in both the military and civilian sectors. Eye injury rates are increasing in recent military conflicts, and there are over 1.9 million eye injuries in the United States civilian sector annually. In order to develop a better understanding of eye injury risk, several previous studies have developed eye injury criteria based on projectile characteristics. While these injury criteria have been used to estimate eye injury potential of impact scenarios, they require that the mass, size and velocity of the projectile are known. It is desirable to develop a method to assess the severity of an eye impact in environments where it would be difficult or impossible to determine these projectile characteristics. The current study presents a measurement technique for monitoring intraocular pressure of the eye under impactloading. Through experimental tests with a custom pressure chamber, a subminiature pressure transducer was validated to be thermally stable and suitable for testing in an impact environment.Once validated, the transducer was utilized intraocularly, inserted through the optic nerve, to measure the pressure of the eye during blunt-projectile impacts. A total of 150 impact tests were performed using projectiles ranging from 3.2 mm to 17.5 mm in diameter. Investigation of the relationship between projectile energy and intraocular pressure lead to the identification of at least two distinct trends. Intraocular pressure and normalized energy measurements indicated a different response for penetrating-type globe rupture injuries with smaller diameter (d < 1 cm)projectiles, and blunt-type globe rupture injuries with larger diameter (d > 1 cm) projectiles. Furthermore, regression analysis indicates that relationships exist between intraocular pressureand projectile energy that may allow quantification of eye injury risk based on pressure data, and also that intraocular pressure measurements of impact may lead to a better understanding of thetransition between penetrating and blunt globe rupture injury mechanisms.

Increased parasite resistance and recurrent airway obstruction in horses of a high-prevalence family

BACKGROUND: Equine recurrent airway obstruction (RAO) shares many characteristics with human asthma. In humans, an inverse relationship between susceptibility to asthma and resistance to parasites is suspected. HYPOTHESIS/OBJECTIVES: Members of a high-incidence RAO half-sibling family (F) shed fewer strongylid eggs compared with RAO-unaffected pasture mates (PM) and that RAO-affected horses shed fewer eggs than RAO-unaffected half-siblings. ANIMALS: Seventy-three F and 73 unrelated, age matched PM. METHODS: Cases and controls kept under the same management and deworming regime were examined. Each individual was classified as RAO affected or RAO unaffected and fecal samples were collected before and 1-3 weeks and 3 months after deworming. Samples were analyzed by combined sedimentation-flotation and modified McMaster methods and classified into 3 categories of 0 eggs per gram of feces (EpG), 1-100 EpG, and > 100 EpG, respectively. RESULTS: PM compared with RAO-affected F had a 16.7 (95% confidence interval [CI]: 2.0-136.3) times higher risk for shedding > 100 EpG compared with 0 EpG and a 5.3 (95% CI: 1.0-27.4) times higher risk for shedding > 100 EpG compared with 0 EpG. There was no significant effect when RAO-unaffected F were compared with their PM. RAO-unaffected compared with RAO-affected offspring had a 5.8 (95% CI: 0.0-1.0) times higher risk for shedding 1-100 EpG. Age, sex, breed, and sharing pastures with other species had no significant confounding effects. CONCLUSION AND CLINICAL IMPORTANCE: RAO is associated with resistance against strongylid parasites in a high-prevalence family.