Systemic risk from investment similarities

Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk by individual investors. We investigate the bipartite network of US mutual fund portfolios and their assets. We follow its evolution during the Global Financial Crisis and study the diversification, as understood in modern portfolio theory, and the similarity of the investments of different funds. We show that, on average, portfolios have become more diversified and less similar during the crisis. However, we also find that large overlap is far more likely than expected from benchmark models of random allocation of investments. This indicates the existence of strong correlations between fund investment strategies. We exploit a deliberately simplified model of shock propagation to identify a systemic risk component stemming from the similarity of portfolios. The network is still partially vulnerable after the crisis because of this effect, despite the increase in the diversification of multi asset portfolios. Diversification and similarity should be taken into account jointly to properly assess systemic risk

Evolution of controllability in interbank networks

The Statistical Physics of Complex Networks has recently provided new theoretical tools for policy makers. Here we extend the notion of network controllability to detect the financial institutions, i.e. the drivers, that are most crucial to the functioning of an interbank market. The system we investigate is a paradigmatic case study for complex networks since it undergoes dramatic structural changes over time and links among nodes can be observed at several time scales. We find a scale-free decay of the fraction of drivers with increasing time resolution, implying that policies have to be adjusted to the time scales in order to be effective. Moreover, drivers are often not the most highly connected "hub" institutions, nor the largest lenders, contrary to the results of other studies. Our findings contribute quantitative indicators which can support regulators in developing more effective supervision and intervention policies

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

Expression levels of circulating miRNAs as biomarkers during multimodal treatment of rectal cancer - TiMiSNAR-mirna: a substudy of the TiMiSNAR Trial (NCT03962088)

Background: Neoadjuvant chemoradiotherapy followed by surgery is the mainstay treatment for locally advanced rectal cancer, leading to significant decrease in tumor size (downsizing) and a shift towards earlier disease stage (downstaging). Extensive histopathological work-up of the tumor specimen after surgery including tumor regression grading and lymph node status helped to visualize individual tumor sensitivity to chemoradiotherapy, retrospectively. As the response to neoadjuvant chemoradiotherapy is heterogeneous, however, valid biomarkers are needed to monitor tumor response. A relevant number of studies aimed to identify molecular markers retrieved from tumor tissue while the relevance of blood-based biomarkers is less stringent assessed. MicroRNAs are currently under investigation to serve as blood-based biomarkers. To date, no screening approach to identify relevant miRNAs as biomarkers in blood of patients with rectal cancer was undertaken. The aim of the study is to investigate the role of circulating miRNAs as biomarkers in those patients included in the TiMiSNAR Trial (NCT03465982). This is a biomolecular substudy of TiMiSNAR Trial (NCT03962088). Methods: All included patients in the TiMiSNAR Trial are supposed to undergo blood collection at the time of diagnosis, after neoadjuvant treatment, after 1 month from surgery, and after adjuvant chemotherapy whenever indicated. Discussion: TiMiSNAR-MIRNA will evaluate the association of variation between preneoadjuvant and postneoadjuvant expression levels of miRNA with pathological complete response. Moreover, the study will evaluate the role of liquid biopsies in the monitoring of treatment, correlate changes in expression levels of miRNA following complete surgical resection with disease-free survival, and evaluate the relation between changes in miRNA during surveillance and tumor relapse. Trial registration: Clinicaltrials.gov NCT03962088 . Registered on 23 May 2019

Standard (8 weeks) vs long (12 weeks) timing to minimally-invasive surgery after NeoAdjuvant Chemoradiotherapy for rectal cancer: A multicenter randomized controlled parallel group trial (TiMiSNAR)

Background: The optimal timing of surgery in relation to chemoradiation is still controversial. Retrospective analysis has demonstrated in the recent decades that the regression of adenocarcinoma can be slow and not complete until after several months. More recently, increasing pathologic Complete Response rates have been demonstrated to be correlated with longer time interval. The purpose of the trial is to demonstrate if delayed timing of surgery after neoadjuvant chemoradiotherapy actually affects pathologic Complete Response and reflects on disease-free survival and overall survival rather than standard timing. Methods: The trial is a multicenter, prospective, randomized controlled, unblinded, parallel-group trial comparing standard and delayed surgery after neoadjuvant chemoradiotherapy for the curative treatment of rectal cancer. Three-hundred and forty patients will be randomized on an equal basis to either robotic-assisted/standard laparoscopic rectal cancer surgery after 8 weeks or robotic-assisted/standard laparoscopic rectal cancer surgery after 12 weeks. Discussion: To date, it is well-know that pathologic Complete Response is associated with excellent prognosis and an overall survival of 90%. In the Lyon trial the rate of pCR or near pathologic Complete Response increased from 10.3 to 26% and in retrospective studies the increase rate was about 23-30%. These results may be explained on the relationship between radiation therapy and tumor regression: DNA damage occurs during irradiation, but cellular lysis occurs within the next weeks. Study results, whether confirmed that performing surgery after 12 weeks from neoadjuvant treatment is advantageous from a technical and oncological point of view, may change the current pathway of the treatment in those patient suffering from rectal cancer. Trial registration: ClinicalTrials.gov NCT3465982

Standard (8 weeks) vs long (12 weeks) timing to minimally-invasive surgery after NeoAdjuvant Chemoradiotherapy for rectal cancer: a multicenter randomized controlled parallel group trial (TiMiSNAR)

BACKGROUND: The optimal timing of surgery in relation to chemoradiation is still controversial. Retrospective analysis has demonstrated in the recent decades that the regression of adenocarcinoma can be slow and not complete until after several months. More recently, increasing pathologic Complete Response rates have been demonstrated to be correlated with longer time interval. The purpose of the trial is to demonstrate if delayed timing of surgery after neoadjuvant chemoradiotherapy actually affects pathologic Complete Response and reflects on disease-free survival and overall survival rather than standard timing. METHODS: The trial is a multicenter, prospective, randomized controlled, unblinded, parallel-group trial comparing standard and delayed surgery after neoadjuvant chemoradiotherapy for the curative treatment of rectal cancer. Three-hundred and forty patients will be randomized on an equal basis to either robotic-assisted/standard laparoscopic rectal cancer surgery after 8\u2009weeks or robotic-assisted/standard laparoscopic rectal cancer surgery after 12\u2009weeks. DISCUSSION: To date, it is well-know that pathologic Complete Response is associated with excellent prognosis and an overall survival of 90%. In the Lyon trial the rate of pCR or near pathologic Complete Response increased from 10.3 to 26% and in retrospective studies the increase rate was about 23-30%. These results may be explained on the relationship between radiation therapy and tumor regression: DNA damage occurs during irradiation, but cellular lysis occurs within the next weeks. Study results, whether confirmed that performing surgery after 12\u2009weeks from neoadjuvant treatment is advantageous from a technical and oncological point of view, may change the current pathway of the treatment in those patient suffering from rectal cancer

Stochastic volatility with heterogeneous time scales

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and prove that a parsimonious, two-scale version effectively captures the long memory as measured from the real data. Since estimating parameters in a stochastic volatility model is challenging, we introduce a robust methodology based on the Generalized Method of Moments supported by a heuristic selection of the orthogonal conditions. In addition to the volatility clustering, the estimated model also captures other relevant stylized facts, emerging as a minimal but realistic and complete framework for modelling financial time series

Exact moment scaling from multiplicative noise

For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We allow for a non trivial time dependence of the microscopic dynamics and we analytically characterize the process evolution, possibly towards a stationary state, and the direct relationship existing between the drift and diffusion coefficients and the time scaling of the moments.Comment: 4 pages, 3 figures. Final version accepted for publication on Phys. Rev. E as Brief Repor