A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics

The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may severely underestimate correlations if traditional methods for low-frequency data are employed. We propose to model intraday log-prices through a multivariate local-level model with score-driven covariance matrices and to treat asynchronicity as a missing value problem. The main advantages of this approach are: (i) all available data are used when filtering correlations, (ii) market microstructure noise is taken into account, (iii) estimation is performed through standard maximum likelihood methods. Our empirical analysis, performed on 1-second NYSE data, shows that opening hours are dominated by idiosyncratic risk and that a market factor progressively emerges in the second part of the day. The method can be used as a nowcasting tool for high-frequency data, allowing to study the real-time response of covariances to macro-news announcements and to build intraday portfolios with very short optimization horizons.Comment: 30 pages, 10 figures, 7 table

Filtering and Smoothing with Score-Driven Models

We propose a methodology for filtering, smoothing and assessing parameter and filtering uncertainty in misspecified score-driven models. Our technique is based on a general representation of the well-known Kalman filter and smoother recursions for linear Gaussian models in terms of the score of the conditional log-likelihood. We prove that, when data are generated by a nonlinear non-Gaussian state-space model, the proposed methodology results from a first-order expansion of the true observation density around the optimal filter. The error made by such approximation is assessed analytically. As shown in extensive Monte Carlo analyses, our methodology performs very similarly to exact simulation-based methods, while remaining computationally extremely simple. We illustrate empirically the advantages in employing score-driven models as misspecified filters rather than purely predictive processes.Comment: 33 pages, 5 figures, 6 table

rethinking the design process rethinking the curriculum

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Sensitivity of Hydra vulgaris to Nanosilver for Environmental Applications

Nanosilver applications, including sensing and water treatment, have significantly increased in recent years, although safety for humans and the environment is still under debate. Here, we tested the environmental safety of a novel formulation of silver nanoparticles functionalized with citrate and L-cysteine (AgNPcitLcys) on freshwater cnidarian Hydra vulgaris as an emerging ecotoxicological model for the safety of engineered nanomaterials. AgNPcitLcys behavior was characterized by dynamic light scattering (DLS), while Ag release was measured by inductively coupled plasma mass spectrometry (ICP-MS). H. vulgaris (n = 12) subjects were evaluated for morphological aberration after 96 h of exposure and regeneration ability after 96 h and 7 days of exposure, after which the predatory ability was also assessed. The results show a low dissolution of AgNPcitLcys in Hydra medium (max 0.146% of nominal AgNPcitLcys concentration) and highlight a lack of ecotoxicological effects, both on morphology and regeneration, confirming the protective role of the double coating against AgNP biological effects. Predatory ability evaluation suggests a mild impairment of the entangling capacity or of the functionality of the tentacles, as the number of preys killed but not ingested was higher than the controls in all exposed animals. While their long-term sub-lethal effects still need to be further evaluated on H. vulgaris, AgNPcitLcys appears to be a promising tool for environmental applications, for instance, for water treatment and sensing

Vapor‐Phase Synthesis of Molecularly Imprinted Polymers on Nanostructured Materials at Room‐Temperature

Molecularly imprinted polymers (MIPs) have recently emerged as robust and versatile artificial receptors. MIP synthesis is carried out in liquid phase and optimized on planar surfaces. Application of MIPs to nanostructured materials is challenging due to diffusion-limited transport of monomers within the nanomaterial recesses, especially when the aspect ratio is >10. Here, the room temperature vapor-phase synthesis of MIPs in nanostructured materials is reported. The vapor phase synthesis leverages a >1000-fold increase in the diffusion coefficient of monomers in vapor phase, compared to liquid phase, to relax diffusion-limited transport and enable the controlled synthesis of MIPs also in nanostructures with high aspect ratio. As proof-of-concept application, pyrrole is used as the functional monomer thanks to its large exploitation in MIP preparation; nanostructured porous silicon oxide (PSiO2) is chosen to assess the vapor-phase deposition of PPy-based MIP in nanostructures with aspect ratio >100; human hemoglobin (HHb) is selected as the target molecule for the preparation of a MIP-based PSiO2 optical sensor. High sensitivity and selectivity, low detection limit, high stability and reusability are achieved in label-free optical detection of HHb, also in human plasma and artificial serum. The proposed vapor-phase synthesis of MIPs is immediately transferable to other nanomaterials, transducers, and proteins

4D Printing of Plasmon-Encoded Tunable Polydimethylsiloxane Lenses for On-Field Microscopy of Microbes

Here the 4D printing of a magnifying polydimethylsiloxane (PDMS) lens encoded with a tunable plasmonic rejection filter is reported. The lens is formed by moldless printing of PDMS pre-polymer on a nanostructured porous silicon (PSi) templating layer. A nanometer-thick plasmonic filter is integrated on the lens surface by in situ synthesis of Ag and Au nanoparticles (NPs) with programmed density. The filter can be designed to reject light at the plasmonic resonance wavelength of the NPs with an optical density tunable from 0 to 3 and retreive light at longer wavelengths with a pass-to-stop band ratio tunable from 0 to 60 dB. Swelling of PDMS in hexane and ether is used to change the NP density on the lens surface and modulate, in turn, the transmittance properties of the NP-decorated lens over 3 orders of magnitude. The plasmon-encoded lens is coupled to a commercial smartphone demonstrating: shaping of the emission spectrum of a white light-emitting diode to tune the color from yellow to purple; real-time bright-field and fluorescence microscopy of living microbes in water, namely, the auto-fluorescent green alga Chlorogonium sp. and the ciliated protozoan Euplotes daidaleos

Identification of a BAZ2A Bromodomain Hit Compound by Fragment Joining

The bromodomains of BAZ2A and BAZ2B (bromodomain adjacent to zinc finger domain proteins 2) are among the most hard to drug of the 61 human bromodomains. While little is known about the role of BAZ2B, there is strong evidence for the opportunity of targeting BAZ2A in various cancers. Here, a benzimidazole–triazole fragment that binds to the BAZ2A acetyl lysine pocket was identified by a molecular docking campaign and validated by competitive binding assays and X-ray crystallography. Another ligand was observed in close proximity by soaking experiments using the BAZ2A bromodomain preincubated with the benzimidazole–triazole fragment. The crystal structure of BAZ2A with the two ligands was employed to design a few benzimidazole–triazole derivatives with increased affinity. We also present the engineering of a BAZ2A bromodomain mutant for consistent, high-resolution crystallographic studies

Unilateral isolated primary cutaneous amyloidosis of the external auditory canal

Isolated primary cutaneous amyloidosis (PCA) of the external ear is extremely rare. We describe the case of a 65-year-old woman presenting with itching within the left external auditory canal (EAC). Otoscopy revealed a 3 mm whitish lesion involving the cartilaginous portion of the left EAC. The lesion was excised. Histological and immunohistochemical features were consistent with keratinic amyloidosis. A clinical workup was negative for systemic amyloidosis. As far as we know, only nine cases of PCA exclusively involving the EAC have been reported. The frequent occurrence of itching in these patients and the keratinic nature of the amyloid support the role of chronic stimulation/irritation in the pathogenesis of isolated amyloidosis the EAC

A data-driven analysis of the current debate on the linkages between performance and strategy studies

This paper focuses on how the relations between performance management and measurement (PMM) and strategy are considered by scholars. These relations are crucial in building a comprehensive body of knowledge of a complex and multifaceted phenomenon which attracts scholars pertaining to different management disciplines. The results obtained by adopting quantitative methodologies (descriptive statistics and text-mining analysis) on a sample of articles recently published in the most influential international 'business, and management accounting' journals, contribute to extant literature by providing evidence that several connections exist between key-concepts which are usually considered an exclusive heritage of single management disciplines, such as strategy, organisation, management control, and so forth. For that reason, an integration of competences and methodologies is needed to support further research in the field. We also find evidence suggesting that the organisational perspective should be particularly considered when investigating the relations between strategy, management control systems and PMM