Efficiency and instabilities of financial markets

[Excerpt from the abstract]: In this thesis, we consider two topics in the field of high frequency financial econometrics. The first one is the measurement of market efficiency from high frequency data, within an information theory framework. The study of this topic is performed with an analytical and empirical combined approach. The second topic is that of financial market systemic instabilities at high frequency level and is analysed mainly with an empirical and modelling approach. [...

Entropia di Kolmogorov-Sinai: dinamica simbolica e sostituzioni di Grassberger

In questa tesi studiamo da un punto di vista computazionale un metodo di stima (Non Sequential Recursive Pair Substitution) dell'entropia di Kolmogorov-Sinai di sistemi dinamici ergodici e lo confrontiamo con altri metodi classici di stima. Il metodo in questione è stato proposto originariamente da Jimenez-Montaño, Ebeling e altri, ma è stato formalizzato nel linguaggio della teoria della probabilità e studiato più approfonditamente da Grassberger. Per spiegare come funziona il metodo NSRPS, supponiamo di avere una sorgente M stazionaria e a stati finiti, ossia un dispositivo che emette stringhe di simboli estratti da un alfabeto finito, in modo tale che la probabilità di ricevere una data stringa finita non vari nel tempo. Data una successione estratta dalla sorgente, il metodo di Grassberger prescrive di individuare la coppia (o una delle coppie) di simboli di maggiore frequenza e di sostituirne tutte le occorrenze non sovrapposte, procedendo da sinistra verso destra, con un nuovo simbolo. Esemplificando, data la stringa s0 = 011010111011000111011010011, estratta da una sorgente stazionaria con alfabeto A = {0,1} per cui tra le probabilità delle coppie di simboli è massima quella della coppia '01', sostituiamo ogni occorrenza della sottostringa '01' con il nuovo simbolo '2', ottenendo s1 = 2122112100211212021. Dopo la prima sostituzione abbiamo una nuova sorgente M1 con alfabeto A1 = {0,1,2}. Possiamo poi ripetere il procedimento introducendo nuovi simboli '3', '4', ..., (ottenendo nuove sorgenti M2, M3, ... Il teorema principale riguardo al metodo NSRPS afferma che il procedimento delle sostituzioni di coppie di simboli trasforma, nel limite per il numero di sostituzioni che tende a infinito, qualunque sorgente ergodica in una sorgente 1-markoviana. Equivalentemente, si può dire che l'entropia di una sorgente ergodica M si può calcolare, nel limite per il numero n di sostituzioni che tende a infinito, conoscendo solo la distribuzione dei simboli e delle coppie di simboli dopo n sostituzioni. In una sezione della tesi esponiamo nel dettaglio un esempio di processo stocastico a cui vengono applicate le sostituzioni di coppie, nel quale, pur non sostituendo ad ogni passo una coppia di frequenza massima, vale la conclusione del teorema principale, e anzi una condizione ancora più forte. Abbiamo poi applicato il metodo NSRPS per ottenere una stima dell'entropia di trasformazioni ergodiche dell'intervallo [0,1]. Abbiamo a tal fine considerato quattro trasformazioni e confrontato su di esse il metodo NSRPS con altri tre metodi classici di stima: uno che applica direttamente la definizione di entropia; uno che mette in relazione l'entropia alla crescita esponenziale in n dei tempi di ritorno di blocchi simbolici lunghi n; il terzo è il calcolo dell'esponente di Lyapunov, il quale, sotto certe condizioni, è uguale all'entropia. Dalle simulazioni al calcolatore, realizzate nel linguaggio di programmazione C con la libreria 'GMP - GNU Multiple Precision' per la gestione di numeri in virgola mobile con precisione arbitraria, traiamo conclusioni sull'efficienza del metodo NSRPS e sulla sua velocità di applicazione per la stima dell'entropia di Kolmogorov-Sinai, oltreché idee per direzioni di indagine future

Collective synchronization and high frequency systemic instabilities in financial markets

We present some empirical evidence on the dynamics of price instabilities in financial markets and propose a new Hawkes modelling approach. Specifically, analysing the recent high frequency dynamics of a set of US stocks, we find that since 2001 the level of synchronization of large price movements across assets has significantly increased. We find that only a minor fraction of these systemic events can be connected with the release of pre-announced macroeconomic news. Finally, the larger is the multiplicity of the event \u2014 i.e. how many assets have swung together \u2014 the larger is the probability of a new event occurring in the near future, as well as its multiplicity. To reproduce these facts, due to the self- and cross-exciting nature of the event dynamics, we propose an approach based on Hawkes processes. For each event, we directly model the multiplicity as a multivariate point process, neglecting the identity of the specific assets. This allows us to introduce a parsimonious parametrization of the kernel of the process and to achieve a reliable description of the dynamics of large price movements for a high-dimensional portfolio

Enhanced adsorption capacity of porous titanium dioxide nanoparticles synthetized in alkaline sol

Abstract In recent years, the exploitation of natural resources and industrial development have led to the production of harmful pollutants. Much of these contaminants end up in water resources, reducing the availability of drinking water. Therefore, it is necessary to find remedies to this situation. Solutions could be the adsorption or the degradation through photocatalysis of these compounds. A good candidate for this task is titanium dioxide (TiO2), due to its non-toxicity, stability and low cost. In this work, we propose a novel synthesis of TiO2 nanoparticles (NPs), with high adsorption capacity, produced at low temperature in alkaline environment. Adsorption tests were conducted using methylene blue and diclofenac as model pollutants. Moreover, the obtained NPs have been characterized through Raman spectroscopy, Scanning and Transmission electron microscopies and with thermogravimetric analysis. The results showed a porous structure with a high surface area, able to efficiently adsorb large amounts of dye from the aqueous solution. These properties make the obtained TiO2 powders suitable for applications devoted to the adsorption and recovery of harmful compounds. Graphic abstrac

Entropy and Efficiency of the ETF Market

We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol discretisations of the data. Analysing 1-min and 5-min price time series of 55 Exchange Traded Funds traded at the New York Stock Exchange, we develop a methodology to isolate residual inefficiencies from other sources of regularities, such as the intraday pattern, the volatility clustering and the microstructure effects. The first two are modelled as multiplicative factors, while the microstructure is modelled as an ARMA noise process. Following an analytical and empirical combined approach, we find a strong relationship between low entropy and high relative tick size and that volatility is responsible for the largest amount of regularity, averaging 62% of the total regularity against 18% of the intraday pattern regularity and 20% of the microstructure

Modelling systemic price cojumps with Hawkes factor models

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are a large number of high-frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one-factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets

A Hydrogenated amorphous silicon detector for Space Weather Applications

The characteristics of a hydrogenated amorphous silicon (a-Si:H) detector are presented here for monitoring in space solar flares and the evolution of large energetic proton events up to hundreds of MeV. The a-Si:H presents an excellent radiation hardness and finds application in harsh radiation environments for medical purposes, for particle beam characterization and in space weather science and applications. The critical flux detection threshold for solar X rays, soft gamma rays, electrons and protons is discussed in detail.Comment: 32 pages, 13 figures, submitted to Experimental Astronom

Precious coral non-destructive characterization by Raman and XRF spectroscopy

Precious corals are some of the most valuable livingmarine resources, growing and commercially exploited only in limited areas of the world, namely the Mediterranean Sea and the Northern Pacific Ocean. Their skeleton is formed by calcium carbonate crystallized in the form of calcite whereas their color is because of the presence of partially demethylated polyene pigments. Recently, Pacific corals have been included in the appendix II of CITES list, whileMediterranean corals are still excluded. Different Corallium species of Corallidae family (e.g. Coralliumrubrum, Corallium elatius and Coralliumsecundum) collected from different locations of the Mediterranean Sea and the Pacific Ocean were analyzed by Raman spectroscopy for the characterization of the reddish pigment and by X-ray fluorescence (XRF) for the determination of the chemical composition of their skeletons, in order to obtain molecular and elemental data with two relatively easy and non-destructive techniques, which can be used quite steadily for authentication purposes. Raman analysis demonstrated the presence of specific vibrational bands useful to identify the colored pigments as a mixture involving methylated and demethylated polyenes such as carotenoids and parrodienes, characterized by the presence of ―CH3 groups along the polyene chain. The ratio between the Raman signal and fluorescence background was found to vary as a function of the macroscopic color of the coral, but Raman analyses resulted inadequate for distinguishing between corals having similar color but different origins. On the other side, XRF data provided reliable information for an appropriate separation between Pacific and Mediterranean corals at the elemental level. The results of this study will be of great relevance for the authentication and identification of the origin of corals in trade market by means of completely non-destructive techniques