171,950 research outputs found
Un approccio stocastico-simulativo per le decisioni d’investimento aziendali con applicazione al caso di un’impresa turistico-alberghiera
No full textIn questo lavoro si analizza la situazione di una delle imprese turistico-alberghiere più importanti del lido di Sottomarina di Chioggia relativamente alla decisione da parte della Proprietà di effettuare un cospicuo investimento nella struttura ricettiva, o di cedere la struttura medesima. Questa decisione dovrà basarsi sulla valutazione di alcune importanti questioni: dapprima si dovranno valutare le prospettive economiche future del settore turistico di Sottomarina, cercando di capire se sussistono i presupposti per una riqualificazione regionale e nazionale del turismo balneare; poi si dovrà verificare se la struttura economico-aziendale dell'impresa potrà sopportare l'onere di un finanziamento, stimato in circa 4 miliardi di lire italiane, necessario per la realizzazione dei lavori di riammodernamento della struttura. Proprio quest'ultima valutazione costituirà il centro tematico di questa trattazione: mediante l'applicazione di un modello stocastico-simulativo opportunamente sviluppato verranno effettuate una serie di simulazioni finalizzate a fornire una base per poter effettuare la valutazione e, quindi, scegliere se continuare nell'attività o se cedere definitivamente l'impresa
The Cyber-Creative DA VINCI Process
No full textIn this chapter, creativity is defined by focusing on the creative process as opposed to the creative product via the adoption of the dynamic definition of creativity, requiring potential originality and effectiveness. As a consequence, the dynamic universal creative process is introduced, in which both human and artificial creativity find a place. The cyber-creative process is intended as the collaboration between these two forms of creativity, with different roles assigned to the artificial agent (assistant, source of inspiration, idea challenger, peer-to-peer collaborator, quality controller, manager). The creative process is then described through the DA VINCI model, comprising five mental states: DAV (Drive—Attention & Volition), I (Information), N (Novelty generation), C (Creativity estimation), and I (Implementation). This model can be utilized to describe a purely human creative episode, but it naturally applies to the cyber-creative process, too. In particular, generative artificial intelligence (Gen-AI) is assumed to be the counterpart to the human side, and a DA VINCI custom GPT (DV-GPT) is introduced as a fine-tuned version of ChatGPT, based on documents about the DA VINCI model. Possible forms of aid by the DV-GPT to the creative process are described for all of the five mental states of the DA VINCI process. Cyber-creative idea generation in the field of “Creative Ideas for Social Responsibility Start-Ups” is described as a guiding example. Whereas the DV-GPT is a general purpose tool, domain specific applications of AI are also briefly described for a cyber-creative process in the fields of education, journalism, design, fashion, music, considering legal implications in terms of intellectual property protection
Analisi della struttura frattale del mercato finanziario italiano
No full textThe standard hypothesis on Normal (or Log-normal) distribution of the variations of the stock returns seems to be not verified in empirical works. In particular, many outliers, unstationarity in the variance level and asymmetry suggest the use of a Pareto-Lévy stable probability distribution. In our work, we have estimated the four parameters of this distribution for some time series concerning both stock market indexes and securities of the Italian stock market. These estimates lead to formulate the conjecture that the stochastic process generating the analysed stock returns be characterized by a fractal structure. In order to check this conjecture, we have empirically verified that the random variable concerning stock returns shows the property of statistical self-similarity, that is one of the properties of the fractal objects. Finally, we have empirically verified the property of invariance with respect to the sum (under the hypothesis of independence of the random variables), property characterizing only this family of distributions
Un approccio stocastico-simulativo per le scelte di finanziamento con applicazione
No full textIn questo lavoro si analizza la situazione di una delle imprese turistico-alberghiere più importanti del lido di Sottomarina di Chioggia relativamente alla decisione da parte della Proprietà di effettuare un cospicuo investimento nella struttura ricettiva, o di cedere la struttura medesima. Questa decisione dovrà basarsi sulla valutazione di alcune importanti questioni: dapprima si dovranno valutare le prospettive economiche future del settore turistico di Sottomarina, cercando di capire se sussistono i presupposti per una riqualificazione regionale e nazionale del turismo balneare; poi si dovrà verificare se la struttura economico-aziendale dell’impresa potrà sopportare il peso di un finanziamento, stimato in circa 4 miliardi di lire italiane, necessario per la realizzazione dei lavori di riammodernamento della struttura. Proprio quest’ultima valutazione costituirà il centro tematico di questa trattazione: mediante l’applicazione di un modello stocastico-simulativo opportunamente sviluppato verranno effettuate una serie di simulazioni fina-lizzate a fornire una base su cui poter effettuare la valutazione e, quindi, scegliere se continuare nell’attività, o se cedere definitivamente l’impresa
Un approccio deterministico non lineare complesso alla valutazione delle opzioni finanziarie
No full textIn this paper, a formula for valuating the equilibrium price of an European call option is determined by assuming that the process underlying the returns is a complex nonlinear deterministic dynamics. In particular, this formula is obtained by solving a first order partial differential equation; it is possible to show that this ordinary differential equation and its solution can be obtained as a limit of the classic Black and Scholes stochastic approach
Fractional differo-integral calculus: Towards a theory of fractal financial laws
No full textIn this work we determine the financial laws according to which the risk-less component of a risky portfolio must evolve in order to avoid possibility of arbitrages when the dynamics of the stochastic component of the same portfolio is driven by a fractional Brownian motion. In order to deal with this problem, we specify a deterministic fractional differential equation and we solve it by using the Liouville's second method
Checking financial markets via Benford's law: The S&P 5000 case
No full textIn general, in a given financial market, the probability distribution of the first significant digit of the prices/returns of the assets listed therein follows Benford’s law, but does not necessarily follow this distribution in case of anomalous events. In this paper we investigate the empirical probability distribution of the first significant digit of S&P 500’s stock quotations. The analysis proceeds along three steps. First, we consider the overall probability distribution during the investigation period, obtaining as result that it essentially follows Benford’s law, i.e., that the market has ordinarily worked. Second, we study the day-by-day
probability distributions. We observe that the majority of such distributions follow Benford’s law and that the non-Benford days are generally associated to events such as the Wall Street crash on February 27, 2007. Finally, we take into account the sequences of consecutive non-Benford days, and find that, generally, they are rather short
Fractional differo-integral calculus for finance: some results
No full textIn this work we determine the financial laws accordin to which the riskless component of a random immunized portfolio must evolve in order to avoid the possibility of arbitrages, under the assumption following which the dynamics of the stochastic component of the same portfolio is describable by means of a fractional Brownian motion
Mathematical and Statistical Methods for Actuarial Sciences and Finance
No full textIn actuarial literature the properties of
risk measures or insurance premium principles have been
extensively studied. We propose a new kind of stop-loss transform and a related order in the multivariate setting and some equivalent conditions. In our work there is a characterisation of some particular classes of multivariate and bivariate risk measures and a new representation result in a multivariate framework
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