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Stochastic Optimization approaches for trading on financial and energy markets
No full textThe goal of this thesis is twofold.
First, for a rather broad class of financial options a stochastic model predictive control (SMPC) approach is proposed for dynamically hedging a portfolio of underlying assets.After formulating the dynamic hedging problem as a stochastic control problem with a least-squares criterion, for plain vanilla and exotic options we test its ability to replicate the payoff at expiration date. We show not only that relatively small hedging errors are obtained in spite of price realizations, but also that the approach is robust with respect to market modeling errors.
The SMPC approach is then extended to hedging derivative contracts (such as plain vanilla and exotic options) in the presence of transaction costs.
After proving that the least-squares approach is no longer suitable to handle this kind of market, the hedging performance obtained by three different measures is tested and compared in simulation on a European call and a barrier option. The aim in the second part of this thesis is to present a novel market design for trading energy and regulating reserves and to introduce a strategy for the optimal bidding problem in such a scenario. In the deregulated market, the presence of several market participants or Balance Responsible Parties (BRPs) entitled for trading energy, together with the increasing integration of renewable sources and price-elastic loads, shift the focus on decentralized control and reliable forecast techniques. The main feature of the considered market design is its double-sided nature. In addition to portfolio-based supply bids and based on prediction of their stochastic production and load, BRPs are allowed to submit risk-limiting requests. Requesting capacity from the AS market corresponds to giving to the market an estimate of the possible deviation from the daily production schedule resulting from the day-ahead auction and from bilateral contracts, named E-Program. In this way each BRP is responsible for the balanced and safe operation of the electric grid. On the other hand, at each Program Time Unit (PTU) BRPs must also offer their available capacity under the form of bids. In this paper, a bidding strategy to the double-sided market is described, where the risk is minimized and all the constraints are fulfilled. The algorithms devised are tested in a simulation environment and compared to the current practice, where the double-sided auction is not contemplated. Results in terms of expected imbalances and reliability are presented
Componenti culturali nei siti neolitici emiliani tra Neolitico recente e finale
No full textThe period under review is one of the few moments of Italian prehistory in which the archaeological record permits determination of the arrival of foreign-born groups in conjunction with the disintegration of an indigenous world of ancient tradition. Studies related to this phase of the Neolithic mainly refer to the observations of Bagolini (Bagolini and Biagi 1987; Bagolini 1998) taken from various other authors (Barfield et al 2000), which outline a framework for northern Italy multifaceted , created by the interaction between the people of the local culture of Square Mouth Pottery and people of culture Chassey from France, as well as by contributions from the North Alpine acquiring increasing importance over time (Chapter 1). The meeting, which took place from area to area at different times and different ways between half V millennium and half IV millennium BC, seems to have produced along the coastal and transalpine paths especially related to the exchange of raw materials (green stones, obsidian, flint), but also of technological expertise.
In reading these new interactions, therefore, is the ability to explain the crisis in the world of Western culture in the first half of the fourth millennium, whose disintegration develop experiences in which today stand out above all the traits of discontinuity with the earlier traditions (various Authors in Ferrari et al 2002a).
The Emilia is a crossroads of all the direct and indirect contributions to the circles mentioned above. This is demonstrated by the marked variability observed in cultural sites are also close, attributed mainly to differences in chronological (Bagolini 1981), but also resulting complex interweaving of cultural routes. This region is therefore an area for privileged observation to assess how to meet, including conflict, interaction and assimilation between different human groups that have settled or still have covered the territory in the period under review. If the reference framework outlined by Bagolini in the 80s remains roughly shared, the development of the cultural debate, the recent discoveries in the study of the sites proposed by Emilian this PhD work will allow further information and updates. The contexts Emilia object of this work are those published and unpublished due to the last centuries of the fifth millennium BC and the early fourth cal. In detail it is the site of S. Andrea in Travo (Chapter 5) and Le Mose in Piacenza (Chapter 4), Vignola Fiorenzuola (chapter 7), Box Office (Chapter 6) and Vighi and Parma (Chapter 7), S.ILARIO d'Enza (Reggio Emilia) (Chapter 7).
The study focused on the analysis of the ceramic industry, from the point of view of both technological and typological (Chapter 3), in order to better define the internal chronology of the different sites.
From this analysis were in fact identified a number of representative types, for which it has been proposed a relative chronology useful in order to reconstruct a chronological framework to realize the variability observed in Emilia at the turn of the fifth millennium BC.
In this reading, the sites of Travo and Le Mose proved to be the most useful in the construction of this trial-type first of all because it is multi-staged sites. The study of the stratigraphy of Travo and Le Mose of the different settlement phases from the VBQ I to Late Neolithic, in fact, has provided important data for the evaluation of the different diachronic cultural indicators
The search template for object detection in naturalistic scenes
Get PDFThe work presented here is at the meeting point of two branches of visual search research, one of which focuses on the proposition that visual search is guided by preparatory internal representations of targets (i.e., search templates: e.g., Bravo & Farid, 2009; 2012; Castelhano & Heaven, 2010; Duncan & Humphreys, 1989; Malcolm & Henderson 2009; 2010; Schmidt & Zelinsky, 2009; Vickery, King, & Jiang, 2005; Wolfe, 2007; Wolfe, Cave, & Franzel, 1989; Yang & Zelinsky, 2009), and the other of which focuses on investigating target detection in naturalistic search environments (e.g., Delorme, Richard, & Fabre-Thorpe, 2010; Delorme, Rousselet, Macé, & Fabre-Thorpe, 2004; Li, VanRullen, Koch, & Perona, 2002; Peelen, Fei-Fei, & Kastner, 2009; Peelen & Kastner, 2011; Thorpe, Fize, & Marlot, 1996; VanRullen & Thorpe, 2001). The search template for objects presented in naturalistic scenes is relatively unknown in terms of its content and characteristics, neural underpinnings, and individual differences in its representation. This thesis explores these topics in depth using behavioral and neurostimulation methods in four experimental chapters
Understanding the effect of nanofillers on the properties of polypropylene and glass fiber/polypropylene multiscale composites
No full textIn this study, polypropylene (PP) based nanocomposites were prepared by incorporating different kinds and amounts of silica nanoparticles and graphite nanoplatelets (GNP). The role of various percentages of compatibilizer polypropylene grafted with maleic anhydride (PPgMA) into PP nanocomposites was also investigated. In order to analyze the effect of the manufacturing process on the material’s properties, the samples were produced by (i) melt compounding and compression molding and (ii) extrusion and injection molding. It was found that injection molding provides significantly greater stiffness and strength compared to compression molding for all types of PP nanocomposites. Several characterization techniques were used in order to correlate the microstructure to the physical and mechanical properties of the materials. Both silica and GNP were found to be effective nucleating agents, significantly increasing the crystallization rate during isothermal crystallization and favoring the nucleation of the the β- phase, which manifests superior impact strength and toughness compared to the most common α-form crystals. Graphite nanoplatelets were found more efficient in inducing polymorphism and favoring the formation of a transcrystalline phase on the filler surface. A significant correlation between the tensile modulus, glass transition temperature and the amount of constrained phase, as assessed through tensile and DMA analyses, revealed the presence of a secondary reinforcing mechanisms, which, concurrently to the primary stiffening effect of the high modulus filler, contributes to the enhancement of the bulk properties. A complex constrained phase, responsible for providing a secondary reinforcing mechanism, was modeled as immobilized amorphous and transcrystalline regions located at the filler surface.
The non-linear viscoelastic creep of the composites, successfully studied by the application of the time strain superposition principle (TSSP), showed a considerable enhancement of the creep stability in nanocomposites with respect to unfilled PP, especially for higher creep stresses. The study of creep dependance on the temperature showed that the stabilizing effect provided by the nanoparticles was more effective at high temperatures and, considering the time temperature superposition principle (TTSP), at long loading times. The equivalence between the time strain- and time temperature- superposition principle was substantiated by comparing the correspondent superimposed master curves. The nanofilled PP matrices have also been used for the preparation of microcomposites reinforced with short glass fibers (GF). Interfacial shear strength (ISS) was measured by means of the single fiber fragmentation test on various PP/GF microcomposites. Results show that the strength at the fiber/matrix interface can be remarkably increased when using nanocomposite systems, especially in the case of dimethyldichlorosilane-functionalized silica nanoparticles and GNP platelets, and that the improvement is further increased when the nanoparticles are used in combination with PPgMA. The thermodynamic fiber/matrix work of adhesion, estimated by contact angle measurements, showed a good correlation with the ISS values. Hybrid composites reinforced with short glass fibers and nanofillers were produced and characterized in order to investigate how the morphology and the mechanical properties of the composites were affected by the combined effect of two fillers of rather different size scales (i.e. micro- and nano- scale). The stronger fiber/matrix adhesion combined with the enhancement of the matrix properties resulted in superior tensile properties and impact resistance and improved viscoelastic behavior. As means of comparison, thermosetting hybrid composites based on epoxy resin were also produced by incorporation of GNP and short GF
Essays of financial factors and firm export behavior
No full textThis thesis includes three main chapters that are the outcome of different research projects. All chapters stand as independent papers, but they are linked by the common focus on firm financial factors and export behavior, and by the use of microeconometric methodologies applied to firm-level data. The first two chapters investigate, respectively, the impact of export activity on firms’ access to credit and the role of corporate financial structure as a determinant of exporters’ ability to compete on foreign markets through quality. The third chapter looks instead at the scope for promoting investment and exports of small and medium enterprises through the introduction of more favorable Corporate Taxation rates
Discrimination of Computer Generated versus Natural Human Faces
No full textThe development of computer graphics technologies has been bringing realism to computer generated multimedia data, e.g., scenes, human characters and other objects, making them achieve a very high quality level. However, these synthetic objects may be used to create situations which may not be present in real world, hence raising the demand of having advance tools for differentiating between real and artificial data. Indeed, since 2005 the research community on multimedia forensics has started to develop methods to identify computer generated multimedia data, focusing mainly on images. However, most of them do not achieved very good performances on the problem of identifying CG characters. The objective of this doctoral study is to develop efficient techniques to distinguish between computer generated and natural human faces. We focused our study on geometric-based forensic techniques, which exploit the structure of the face and its shape, proposing methods both for image and video forensics. Firstly, we proposed a method to differentiate between computer generated and photographic human faces in photos. Based on the estimation of the face asymmetry, a given photo is classified as computer generated or not. Secondly, we introduced a method to distinguish between computer generated and natural faces based on facial expressions analysis. In particular, small variations of the facial shape models corresponding to the same expression are used as evidence of synthetic characters. Finally, by exploiting the differences between face models over time, we can identify synthetic animations since their models are usually recreated or performed in patterns, comparing to the models of natural animations
Prescrizione del reato; tra antica eredità e moderne sfide politico-criminali
No full textQuesto lavoro ha come obiettivo l’esame dell’istituto della prescrizione del reato, attraverso un’analisi comparata fra tre ordinamenti giuridici (Italia, Germania e Cile) che prende in considerazione anche aspetti di carattere storico e filosofico.
La prescrizione del reato si trova davanti ad importanti sfide politico-criminali, dato che è stata oggetto di sospetti e di diffidenze se posta in relazione con i bisogni ed esigenze della comunità.
In questo scenario risulta di interesse comparare la realtà attuale della prescrizione con il suo sviluppo storico, al fine di ricostruire il complesso quadro contemporaneo, nel senso di determinare se l’attuale fisionomia della prescrizione sia l’ultima tappa di uno sviluppo “fisiologico” o, invece, una pericolosa fuga dal diritto penale ed un cambiamento dei principi giuspenalistici ereditati dall’Illuminismo.
La prospettiva comparata, invece, offre la possibilità di analizzare come la prescrizione concretamente operi, al di là del modo in cui è stata recepita negli ordinamenti e delle dispute dommatiche sul suo fondamento e sulla sua natura.
È però la prospettiva della filosofia giuridica l’unica che può offrire qualche risposta alle questioni più complesse dell’istituto in esame. Come punto di partenza pare essere corretta la tesi secondo cui la prescrizione ha un fondamento collegato alla sicurezza giuridica/certezza del diritto ed alla idea di umanità. Tuttavia, sembra necessario specificare la portata ed operatività di questi principi. In questo senso sembra particolarmente problematico il concetto di sicurezza giuridica, intesa come prevedibilità ex ante delle conseguenze giuridiche sfavorevoli
Lavorare nell'economia informale: i meccanici di strada nella metropoli parigina
No full textLa presente tesi di dottorato intende inscriversi nel filone delle ricerche rivolte alle forme di lavoro che si esprimono nell'economia informale. E' stato adottato un approccio etnografico focalizzato sulle pratiche lavorative, a partire da una prospettiva che vuole concentrarsi sulle modalità concrete con cui gli attori costruiscono, giorno dopo giorno, le condizioni sociali del loro agire e riescono a condurre il loro lavoro confrontandosi con le difficoltà quotidiane.
L'ambito dell'economia informale, con le sue caratteristiche specifiche e le difficoltà d'accesso che lo contraddistinguono, non è stato finora molto considerato a partire da un'attenzione rivolta in profondità alle forme di pratica lavorativa intraprese dagli attori che qui agiscono. Il lavoro di ricerca intende situarsi in questo interstizio ancora scarsamente considerato, andando ad esplorare un'attività specifica dell'economia informale, non per indagarne le dinamiche generali e le linee d'andamento e sviluppo, ma per approfondire le condizioni situate che permettono ad un'attività economica e di lavoro di manifestarsi.
Dati anche i presupposti teorici orientati all'analisi della dimensione concreta, minuta e situata delle pratiche lavorative messe in atto dagli attori nel corso del loro agire quotidiano, mi sono concentrato su di un'attività e un territorio particolare: la meccanica di strada nella metropoli parigina. La ricerca si è articolata grazie ad un'intensa esperienza di lavoro sul campo, che mi ha dato modo di sperimentare attivamente le pratiche lavorative dei meccanici di strada. Ho dunque intrapreso un percorso d'immersione nel contesto prescelto per la ricerca, seguendo una partecipazione osservante delle azioni quotidiane che ha trovato nel corpo del ricercatore un ulteriore strumento d'indagine utile al fine di saggiare le condizioni di lavoro dei meccanici di strada
Design and Development of a Distributed System for Monitoring of Machine Tool Behavior
No full textThe following thesis describes the development of a distributed system for the monitoring of numerical control machine tools. This work discusses all the design steps from the conceptualization of the hardware architecture to the development and implementation of monitoring algorithms. In the first chapter the state of art in machining automation will be presented, with a particular focus on monitoring and control system for machining operations. The second chapter describes the architecture of the proposed system both from the hardware and the software side. The third chapter goes into detail of the developed monitoring algorithms intended to the application on milling machines. The implementation and results of experimental tests will be discussed. Finally the fourth chapter proposes a new approach applied to the control of linear motion systems. The work presented in this thesis belongs to the applied research field that aims to enhance the automation level of machine tools by developing innovative techniques for the monitoring and control of machining process. The proposed monitoring system has been developed considering as key requirements the possibility to properly operate in several working conditions, the complete integration with the machine tool structure and the ease of use for unskilled personnel. The developed algorithms include the monitoring and mitigation of cutting vibrations, the detection and diagnosis of faults in spindle bearing and the emergency halt of the machine in case of collision. The resulting system provides a flexible and scalable framework easily adaptable to the specific machine tool and machining application. The monitoring tasks allow a fast setup and their execution is mostly automated, requiring a limited interaction with the machine tool end users. In conclusion the monitoring system improves the automation level of the machine tool providing a better control on the process execution. In addition it facilitates the assessment of the machine behavior allowing the objective evaluation of the operative conditions providing a useful support tool for the machine operator
La tutela giurisdizionale avverso i provvedimenti in materia di immigrazione e i principi della CEDU
No full textLa tesi analizza l’impatto della Convenzione europea per la salvaguardia dei diritti dell’uomo e delle libertà fondamentali (CEDU) sulla disciplina delle tutele giurisdizionali avverso i provvedimenti amministrativi, adottando come caso di studio quello dei provvedimenti in materia di immigrazione (ingresso, soggiorno ed espulsione).
La tesi osserva come la giurisprudenza della Corte EDU abbia elaborato importanti standard di tutela processuale in materia di immigrazione e rileva come in altri ordinamenti Europei (Francia, Belgio e Regno Unito) tali principi abbiano esercitato un’influenza maggiore che in Italia sulla disciplina della materia. Ciò, sia per effetto di alcune importanti sentenze di condanna della Corte EDU a carico di tali Stati (che hanno influenzato soprattutto l’attività dei legislatori nazionali), sia in conseguenza dell’applicazione diretta dei principi CEDU da parte degli operatori nazionali (in particolare i giudici).
Nell’ordinamento italiano, invece, l’interpretazione dei principi costituzionali di effettività della tutela sono stati meno decisivi e la CEDU stessa ha esercitato un’influenza meno diretta sui profili processuali della materia.
La tesi afferma che, attraverso la clausola di adeguamento alla CEDU fornita dall’art. 117 Cost., sarebbe possibile richiamare gli standard elaborati dalla Corte di Strasburgo in funzione integratrice rispetto ai parametri nazionali. In particolare sarebbe possibile formulare un principio costituzional-convenzionale di effettività della tutela fondato sul combinato disposto tra art. 24 Cost. e art. 13 CEDU, applicabile sia dai giudici comuni (attraverso il meccanismo dell’interpretazione adeguatrice del diritto nazionale), sia dal giudice costituzionale (al fine di esercitare un sindacato più penetrante sulla discrezionalità del legislatore in tema di garanzie processuali dello straniero).
Sulla base di questo principio, si individuano i profili più problematici che l’ordinamento italiano presenta e si formulano alcune proposte, alla luce della giurisprudenza della Corte EDU e dell’analisi comparatistica, al fine di adeguare i relativi istituti ai parametri della CEDU.
Si osserva inoltre come alcune sentenze della Corte Costituzionale e di alcuni giudici comuni operino già delle aperture, in questa materia, ai principi sostanziali della Convenzione. Pertanto, l’adeguamento agli standard processuali costituirebbe un intervento coerente con tali tendenze, anche al fine di assicure l’effettività stessa dei relativi risultati