Archivio istituzionale della Ricerca - Bocconi
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Seasonality and spikes in the natural gas market
Get PDFIn this paper we propose and examine an arbitrage-free model for the natural gas spot price and its convenience yield. Performing an empirical analysis of the European natural gas spot and futures markets, we observe that log spot prices are non-stationary, exhibit mild seasonality, and display almost continuous behaviour. In contrast, the implied convenience yield is stationary, shows strong seasonality, and experiences frequent spikes. Motivated by this evidence, we model the spot convenience yield as a combination of a deterministic seasonal component and a mean-reverting stochastic process with jumps. By assuming an appropriate distribution for the jump component, we derive a closed-form expression for futures prices. Our model demonstrates an excellent fit to European data, both before and after the COVID-19 pandemic and the Russia–Ukraine war
A new method of expanding the reconstruction of the occupational structure in Renaissance Florence: a preliminary investigation with insights into the economic impact of political and economic changes
Get PDFPrevious analyses of occupational structures in the urban centres of Western Europe in the late Middle Ages and Early modern times have attempted to estimate the shares of the labourers employed in different sectors using the information reported in the fiscal censuses. These contributions have often had to deal with the unavoidable limitations of the sources, such as their coverage of almost only the male declarants or that only a fraction of those censed declared their profession. As a result, the reconstruction of the occupational structures and the derived analysis of labour mobility based on these sources presented severe coverage limits of the labour force, for a large part of which, usually 40-50% of the active labourers, it was not possible to know the actual profession. We analyse seven fiscal censuses from Florence, ranging from the second half of the 14th century until the mid-15th century, to reconstruct the urban occupational structure among the male declarants. In addition, for a selected sample of neighbourhoods in one of the fiscal documents, we show a possible new method to integrate the existing information to increase the fraction of known occupations among the urban labour force. We show that our proposed method 1) significantly increases the proportion of the labour force with a known occupation and 2) substantially improves the knowledge of the occupational structure compared to the one obtained from the analysis of the sole declared occupations
Essays on Liquidity & Market Rules
Get PDFThe thesis is composed by three chapters.
The first chapter, "Time Series Reversal: a payment cycle friction", introduces a novel aggregate reversal strategy that exploits monthly calendar effects. Specifically, I show that the end-of-the-month return of the S&P500 negatively correlates with one-month
ahead returns. Contrary to the cross-sectional findings, strategies based on the novel aggregate pattern are extremely cost-effective, easy to implement, cyclical, and do not require short-selling. This novel pattern is consistent with pension funds’ liquidity trading to meet pension payment obligations.
The second chapter, "Optimal Tick Size," proposes a model of a limit order book to determine the optimal tick size that maximizes the welfare of market participants. When investors arrive sequentially and supply liquidity by undercutting or queuing behind existing orders, the optimal tick size is a positive function of the asset value and a negative function of trading activity. We use the introduction of MiFID II to empirically show that the new tick size regime based on price and trading activity benefited market participants. Our results suggest that both the European tick size regime and (partially) the 2022 SEC proposal dominate Reg. NMS Rule 612.
The last chapter, "Manipulation-Free Trading Mechanisms: Auction Design Approach,"proposes new financial market mechanisms through an auction design approach. We first introduce a simultaneous mechanism as an alternative to dark pools. This mechanism endogenously separates buyers from sellers by using the median price as the clearing outcome, thereby avoiding the transparency and manipulation issues inherent in traditional dark pools. Next, we study efficient mechanisms under information uncertainty and learning. We propose a sequential trading mechanism that progressively announces signals, effectively overcoming the issues of manipulation and speed races associated with
standard Limit Order Books
Measles population immunity in Hunan, China: a serological assessment
No full textBackground: Assessing the measles immunity profile is critical for developing effective nationwide or regionwide supplementary immunization activities (SIAs). This study aims to assess measles population immunity levels in China and investigate factors contributing to age-specific heterogeneities. Methods: We conducted a cross-sectional population-based serological study in southern China between June and October 2021. We determined the population mean antibody concentration and seroprevalence by age and over time, along with their associated determinants. Moreover, we estimated the contact-adjusted immunity levels by considering both age-specific immunity levels and population contact rates. Results: Among the 1015 study participants (aged 0-95 years), the overall seroprevalence was estimated at 80.9% (95% confidence interval [CI], 78.3-83.3). When adjusting for the age-specific contact rates, the contact-adjusted immunity was estimated at 66.8% (95% CI, 56.6-75.1). Individuals younger than age 30 years showed significantly lower antibody concentration and seroprevalence (mean log concentration: 5.9, seroprevalence: 73.6% [95% CI, 69.9-77.3]) compared to those older than age 50 years (mean log concentration: 6.8, seroprevalence: 96.8% [95% CI, 94.7-98.9]). In particular, individuals born after the last SIA (2010) showed a significantly faster waning of immunity. Conclusions: Our findings highlight that immunity levels in the general population remain below the 95% threshold, underscoring the need for continued monitoring of immunity dynamics, especially for individuals born in a near-elimination setting and without subsequent SIAs
The El Niño Southern Oscillation and the salinity of land and water in the United States
Get PDFThe El Niño–Southern Oscillation (ENSO) is a periodic climate phenomenon with important consequences for weather and socioeconomic variables worldwide. This paper investigates the effect of El Niño on the concentration of salts in soils and fresh water. Our analysis shows effects that are statistically significant and large in magnitude. In particular, in response to El Niño events, soil salinity increases by 21% in the northern region of the United States, where average temperatures are positively affected, while it decreases by 29% on average in the southern tiers of the country, where temperatures decline. Similarly, fresh water salinity increases by 9% in warmer counties, while it is 53% lower in cooler counties
Subnational income, growth and the COVID-19 pandemic
Get PDFUsing real-time data and machine-learning methods, we produce monthly aggregates on gross national income (GNI) for 147 Pakistani districts between 2012 and 2021. We use them to understand whether and how the COVID-19 pandemic affected the growth and subnational distribution of income in Pakistan. Three findings emerge from our analysis. First, districts experienced a sizable decline in income during the pandemic, as their monthly growth rate dropped on average by 0.133 percentage points. Second, a larger income drop took place in districts with a higher COVID-19 incidence, which correspond to urban areas characterized by a higher population density. Third, COVID-19 caused a decline in income inequality across districts, with richer districts experiencing more negative income growth during the pandemic
Essays on the Intersections of Knowledge, Organizations, and Labor Mobility
Get PDFThis thesis lies at the intersection of knowledge, organizational dynamics, and labor mobility, with a particular focus on the factors that shape knowledge creation and diffusion, as well as the influence of knowledge on entrepreneurial and innovative performance.
Chapter One (the job market paper) explores the effects of involuntary employee mobility on knowledge productivity. The findings show that when inventors move involuntarily from a source firm to a destination firm, their post-mobility productivity significantly
declines. However, maintaining prior co-inventor relationships mitigates this negative impact. In contrast, moving to a firm with greater resources does not yield a statistically significant improvement in productivity outcomes.
Chapter Two shifts the unit of analysis from individuals to firms, investigating how uncommon knowledge combinations among founding teams affect entrepreneurial outcomes. The analysis demonstrates that startups with founder teams possessing more uncommon knowledge pairings are more likely to experience extreme outcomes, either notable market success or failure. While these uncommon combinations increase attractiveness to venture capitalists and facilitate early growth, they also lead startups to pursue multiple, less familiar market opportunities, thereby elevating the risk of failure.
Chapter Three transitions from startups to incumbent firms, examining knowledge diffusion within multi-clustered organizations. The results highlight a positive relationship between geographical dispersion and the quantity, diffusion, and exploitation of explo-
rative patents. However, pre-existing co-patenting relationships between clusters significantly constrain knowledge diffusion and exploitation.
This thesis contributes to the literature on strategic human capital, entrepreneurship, and innovation by underscoring the critical role of knowledge as a key form of human capital influencing firm performance. It extends the body of research on the portability
of human capital across firms by differentiating the effects of involuntary mobility from those of other causes. Beyond employee-driven knowledge transfer, this work also enriches the understanding of founder team composition, intra-firm knowledge diffusion, and their influences on organizational performance
Ripensare l’impresa, rilanciare l’Europa
Get PDFLe imprese europee affrontano oggi sfide complesse tra dazi, crisi geopolitiche e ridefinizione delle
catene globali del valore. Per affrontare queste discontinuità servono capitali, strategie di reshoring,
politiche industriali mirate e una cultura imprenditoriale orientata alla crescita. Tre le direttrici
fondamentali: sostenibilità autentica oltre la compliance, maggiore scala per attrarre investimenti
e talenti, e apertura al capitale come leva di sviluppo. Una Scuola di Management deve sostenere
questo cambiamento, promuovendo purpose, aggregazioni e una nuova ambizione imprenditoriale.
La posta in gioco non è solo la competitività, ma il futuro economico e sociale dell’Europa stessa
Envisioning an Italian Head and Neck Proton Therapy Model-Based Selection: Challenge and Opportunity
No full textIn this study, we suggest the implementation of a centralized Italian NTCP model-based selection approach for HNC PT. The envisioned Italian MBS would be led by a dedicated expert team operating within a novel Italian PT framework
Una visione sistemica per i silos digitali del PNRR
Get PDFIl PNRR ha offerto all’Italia un’opportunità di investire nella trasformazione digitale della sanità, individuando e investendo su alcuni sistemi verticali privi di una visione d’insieme. Gli autori propongono lo sviluppo di una visione strategica di ecosistema digitale che si basa innanzitutto su un preciso modello di servizi sanitari costruito con logiche di presa in carico dei pazienti e di comunicazione bidirezionale SSN-cittadini. La visione d’insieme permette di caratterizzare i cinque sistemi digitali verticali supportati dal PNRR: 1) la gestione dei PAI, 2) l’FSE 2.0, 3) l’evoluzione dei CUP, 4) i Clinical Decision Support Systems (CDSS), 5) la telemedicina. Oltre a delineare le caratteristiche di queste componenti e le loro interconnessioni in una visione d’insieme, si propone un percorso di gestione del cambiamento a livello regionale e aziendale