Looking for skewness in financial time series

In this paper marginal and conditional skewness of financial return time series is studied, by means of testing procedures and suitable models, for nine major international stock indexes. To analyze time-varying conditional skewness a new GARCH-type model with dynamic skewness and kurtosis is proposed. Results indicate that there are no evidences of marginal asymmetry in the nine series, but there are clear findings of significant time-varying conditional skewness. The economic significance of conditional skewness is analyzed and compared by considering Value-at-Risk, Expected Shortfall and Market Risk Capital Requirements set by the Basel Accord

Value-at-Risk prediction by higher moment dynamics.

In this paper the prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider the GARCHDSK model, which allows for dynamic skewness and kurtosis, and compare its performance with that of several widely adopted models. The analysis is based on the study of sequences of (long and short) VaR violations, for which the hypotheses of absence of autocorrelation and of correct coverage rates are assessed. Both in-sample and out-of-sample results are investigated

Analisi di dati oceanografici ad alta ed altissima risoluzione

Alla luce del concetto di Rapid Environmental Assessment (REA) è stata progettata una campagna di raccolta dati denominata MREA che fin delle prime edizioni (2007) ha visto impiegati mezzi e uomini al fine di effettuare osservazioni in situ. I dati così raccolti permetteranno di elaborare nowcast e successivamente forecast sufficientemente accurate e utili come supporto a varie attività operative in ambito costiero. Tra le applicazioni più importanti in campo civile sono comprese la gestione delle Zone Economiche Esclusive (EEZ), la pianificazione di dragaggi e la gestione di emergenze ambientali come episodi di oil spill o incidenti marittimi. Il lavoro di tesi proposto si occupa dell’elaborazione di una parte dei dati raccolti durante la campagna oceanografia MREA17 che ha interessato la zona di mare antistante il Golfo di La Spezia. Grazie all’ausilio di piattaforme di campionamento come Scanfish e CTD è stato possibile effettuare un monitoraggio su tre diverse scale di risoluzione spaziale passando dall’ordine dei chilometri a quello delle centinaia di metri. In secondo luogo, tramite l’ausilio della tecnica di analisi oggettiva e del software MatLab sono state elaborate delle mappe che descrivono la distribuzione delle variabili termodinamiche temperatura e salinità e di densità al fine di dimostrare che una rete osservativa come quella utilizzata per MREA17 è fondamentale se si vuole studiare l’oceano a livello di mesoscala e sottomesoscala

Mechanisms of top-down visual spatial attention: computational and behavioral investigations

This thesis examines the mechanisms underlying visual spatial attention. In particular I focused on top-­‐down or voluntary attention, namely the ability to select relevant information and discard the irrelevant according to our goals. Given the limited processing resources of the human brain, which does not allow to process all the available information to the same degree, the ability to correctly allocate processing resources is fundamental for the accomplishment of most everyday tasks. The cost of misoriented attention is that we could miss some relevant information, with potentially serious consequences. In the first study (chapter 2) I will address the issue of the neural substrates of visual spatial attention: what are the neural mechanisms that allow the deployment of visual spatial attention? According to the premotor theory orienting attention to a location in space is equivalent to planning an eye movement to the same location, an idea strongly supported by neuroimaging and neurophysiological evidence. Accordingly, in this study I will present a model that can account for several attentional effects without requiring additional mechanisms separate from the circuits that perform sensorimotor transformations for eye movements. Moreover, it includes a mechanism that allows, within the framework of the premotor theory, to explain dissociations between attention and eye movements that may be invoked to disprove it. In the second model presented (chapter 3) I will further investigate the computational mechanisms underlying sensorimotor transformations. Specifically I will show that a representation in which the amplitude of visual responses is modulated by postural signal is both efficient and plausible, emerging also in a neural network model trained through unsupervised learning (i.e., using only signals locally available at the neuron level). Ultimately this result gives additional support to the approach adopted in the first model. Next, I will present a series of behavioral studies: in the first (chapter 4) I will show that spatial constancy of attention (i.e., the ability to sustain attention at a spatial location across eye movements) is dependent on some properties of the image, namely the presence of continuous visual landmarks at the attended locations. Importantly, this finding helps resolve contrasts between several recent results. In the second behavioral study (chapter 5), I will investigate an often neglected aspect of spatial cueing paradigms, probably the most widely used technique in studies of covert attention: the role of cue predictivity (i.e. the extent to which the spatial cue correctly indicates the location where the target stimulus will appear). Results show that, independently of participant’s awareness, changes  in predictivity result in changes in spatial validity effects, and that reliable shifts of attention can take place also in the absence of a predictive cue. In sum the results question the appropriateness of using predictive cues for delineating pure voluntary shifts of spatial attention. Finally, in the last study I will use a psychophysiological measure, the diameter of the eye’s pupil, to investigate intensive aspects of attention. Event-­‐related pupil dilations accurately mirrored changes in visuospatial awareness induced by a dual-­‐task manipulation that consumed attentional resources. Moreover, results of the primary spatial monitoring task revealed a significant rightward bias, indicated by a greater proportion of missed targets in the left hemifield. Interestingly this result mimics the extinction to double simultaneous stimulation (i.e., the failure to respond to a stimulus when it is presented simultaneously with another stimulus) which is often found in patients with unilateral brain damage. Overall, these studies present an emerging picture of attention as a complex mechanism that even in its volitional aspects is modulated by other non-­‐volitional factors, both external and internal to the individua

Serial integration of sensory evidence for perceptual decisions and oculomotor responses

Perceptual decisions often require the integration of noisy sensory evidence over time. This process is formalized with sequential sampling models, where evidence is accumulated up to a decision threshold before a choice is made. Although classical accounts grounded in cognitive psychology tend to consider the process of decision formation and the preparation of the motor response as occurring serially, neurophysiological studies have proposed that decision formation and response preparation occur in parallel and are inseparable (Cisek, 2007; Shadlen et al., 2008). To address this serial vs. parallel debate, we developed a behavioural, reverse correlation protocol, in which the stimuli that influence perceptual decisions can be distinguished from the stimuli that influence motor responses. We show that the temporal integration windows supporting these two processes are distinct and largely non-overlapping, suggesting that they proceed in a serial or cascaded fashion

Heterosexual, gay, and lesbian people’s reactivity to virtual caresses on their embodied avatars’ taboo zones

Embodying an artificial agent through immersive virtual reality (IVR) may lead to feeling vicariously somatosensory stimuli on one’s body which are in fact never delivered. To explore whether vicarious touch in IVR reflects the basic individual and social features of real-life interpersonal interactions we tested heterosexual men/women and gay men/lesbian women reacting subjectively and physiologically to the observation of a gender-matched virtual body being touched on intimate taboo zones (like genitalia) by male and female avatars. All participants rated as most erogenous caresses on their embodied avatar taboo zones. Crucially, heterosexual men/women and gay men/lesbian women rated as most erogenous taboo touches delivered by their opposite and same gender avatar, respectively. Skin conductance was maximal when taboo touches were delivered by female avatars. Our study shows that IVR may trigger realistic experiences and ultimately allow the direct exploration of sensitive societal and individual issues that can otherwise be explored only through imagination

Perceiving locations of moving objects across eye blinks

Eye blinks cause disruption of visual input that generally goes unnoticed. It is thought that the brain uses active suppression to prevent awareness of the gaps, but it is unclear how suppression would affect the perception of dynamic events, when visual input changes across the blink. Here we addressed this question by studying the perception of moving objects around eye blinks. In Experiment 1 (N = 16), we observed that when motion terminates during a blink, the last perceived position is shifted forward from its actual last position. In Experiment 2 (N = 8), we found that motion trajectories were perceived as more continuous when the object jumped backward during the blink, cancelling a fraction of the space it travelled. This suggests subjective underestimation of blink duration. These results reveal the strategies used by the visual system to compensate for disruptions and maintain perceptual continuity: time elapsed during eye blinks is perceptually compressed and filled with extrapolated information

Viral sequence integration into introns of chemokine receptor genes

Viral DNA sequences are able to integrate into the non-coding DNA sections of the genome of human cells which have been infected, either spontaneously or experimentally. We have made a data-base search for integration events of non-endogenous viruses into the introns of chemokine receptor sequences. A BLAST search of all viral DNA sequences, using the intronic sequences as "Query," returned several significant alignments. However, due to the high reiteration rate of the non-coding sequences in the human genome, it became necessary to re-examine the individual alignments to verify whether the virus-flanking intronic sequence was really located in a chemokine receptor intron. We found only one unquestionable event of viral insertion of a section of a long terminal repeat of the murine leukemia virus within the first intron of the CC chemokine receptor 7 gene. Possible biological effects of such an insertion are discussed. Further experimental or clinical research could demonstrate the occurrence of other intronic viral insertions in human chemokine receptor genes

Left atrial strain in patients with arterial hypertension

Background: Arterial hypertension (HTN) causes left ventricular (LV) cavity dysfunction even if ejection function (EF) remains preserved. Recent studies have shown that diastolic dysfunction and left atrial (LA) dilatation are also associated with myocardial dysfunction. The aim of the present study was to explore the nature of LA longitudinal function disturbances in hypertensive patients with normal LV and LA structure and conventional function parameters.Methods: Peak atrial longitudinal strain (PALS) was evaluated in 78 patients with systemic HTN and preserved EF (≥ 55%) divided in 41 patients with diastolic dysfunction but no hypertrophy (group HTNdd), and 37 patients with no diastolic dysfunction or hypertrophy (group eHTN). Results were compared with those from 38 age and gender-matched healthy controls.Results: Indexed LA area and indexed LA volume were within the normal range and not different between the two patient groups and controls. eHTN group had reduced global PALS (p &lt; 0.001) and four-and two-chamber average PALS (p &lt; 0.001 for both). Similar abnormalities were seen in HTNdd group but to a worse degree (P &lt; 0.01 for both). LV EF was not different between the eHTN and HTNdd groups compared to controls. LV E/e' ratio was the strongest predictor of reduced global PALS in both eHTN and HTNdd groups.Conclusion: Asymptomatic untreated HTN patients with preserved LVEF and normal diastolic function have compromised LA strain despite normal cavity size, consistent with preclinical LA myocardial dysfunction.</p

Motion and position shifts induced by the double-drift stimulus are unaffected by attentional load.

The double-drift stimulus produces a strong shift in apparent motion direction that generates large errors of perceived position. In this study, we tested the effect of attentional load on the perceptual estimates of motion direction and position for double-drift stimuli. In each trial, four objects appeared, one in each quadrant of a large screen, and they moved upward or downward on an angled trajectory. The target object whose direction or position was to be judged was either cued with a small arrow prior to object motion (low attentional load condition) or cued after the objects stopped moving and disappeared (high attentional load condition). In Experiment 1, these objects appeared 10° from the central fixation, and participants reported the perceived direction of the target's trajectory after the stimulus disappeared by adjusting the direction of an arrow at the center of the response screen. In Experiment 2, the four double-drift objects could appear between 6 ° and 14° from the central fixation, and participants reported the location of the target object after its disappearance by moving the position of a small circle on the response screen. The errors in direction and position judgments showed little effect of the attentional manipulation-similar errors were seen in both experiments whether or not the participant knew which double-drift object would be tested. This suggests that orienting endogenous attention (i.e., by only attending to one object in the precued trials) does not interact with the strength of the motion or position shifts for the double-drift stimulus