Nakon EC8: novi talijanski propisi za protupotresnu gradnju

The 2002 Molise earthquake, which was defined by seismologists as a normal event in the geodynamics of the Italian peninsula but had an international resonance due to the collapse of a primary school, triggered a series of research initiatives in earthquake engineering and significant modifications to building codes in Italy. The modifications were completed at the beginning of 2008 with the release of a new comprehensive building code for Italy. This document was mainly inspired by Eurocode, but it contains some changes and improvements. In this paper, comments are made on three specific parts of the new code: definition of seismic action, analysis of liquefaction and analysis of slope stability. For the first part, seismic action is defined based on a recent careful study of the seismic hazard in Italy. For liquefaction analysis, some developments are given, keeping the same structure used in Eurocode. Finally, for slope stability, improvements are introduced to avoid overestimation of pseudostatic forces in conventional analyses.Iako su potres u pokrajini Molize, koji se dogodio 2002. godine, seizmolozi kategorizirali kao uobičajenu geodinamičku pojavu na talijanskom poluotoku, on je imao veliki odjek u javnosti jer je prouzročio rušenje jedne osnovne škole. Taj je događaj u Italiji inicirao mnoga istraživanja u području potresnog inženjerstva i značajne izmjene zakona o gradnji. Te su izmjene dovršene početkom 2008. godine, kada je obznanjen novi, detaljno razrađen, talijanski zakon o protupotresnoj gradnji. Taj je zakon izrađen po uzoru na Eurokod, ali donosi i neke novine i unaprje|enja. Iz tog se zakona u ovom članku komentiraju: definicija seizmičkog opterećenja, te analize potencijala likvefakcije i stabilnosti kosina. Seizmičko je opterećenje određeno na temelju nedavnih detaljnih studija seizmičkog hazarda na području Italije. Što se tiče likvefakcije, prikazane su neke novine u odnosu na Eurokod. Konačno, u vezi stabilnosti kosina unesene su izmjene u odnosu na Eurokod da se izbjegnu prevelike pseudostatičke sile u konvencionalnim analizama stabilnosti

Analyzing the Risks Embedded in Option Prices with rndfittool

This paper introduces a new computational tool for the analysis of the risks embedded in a set of prices of European-style options. The software enables the estimation of the risk-neutral density (RND) from the observed option prices by means of orthogonal polynomial expansions. Orthogonal polynomials offer a viable alternative to more standard techniques based on interpolation and estimation of the second-order derivatives of option prices. The app rndfittool is available on GitHub and its usage is illustrated with examples based on real data

Recognition of the Mechanical Properties for Soils in Complex Conditions: A Case Study

AbstractThe aim of this paper is to discuss the shear resistance angle φ’ of structurally complex formations in San Giuliano del Sannio (CB) for the construction of a strategic building. Large lithoid stones in a clayey-like matrix constitute the main soil formations. In this condition, it is doubtful how to evaluate φ’ for geotechnical design, being very small the values obtained by conventional laboratory tests on the fine-graded matrix. Two alternative approaches could be suggested to detect the geotechnical parameters for design, specifically the φ’ the angle: using the shear waves velocity and its empirical relationship with the soil resistance and through the back-analyses of an existing embedded retaining wall. It is shown that the two proposed pattern give more realistic values of the soil resistance for this kind of material, with respect to the ones obtained by conventional laboratory tests

Chasing volatility: A persistent multiplicative error model with jumps

Persistence and unpredictable large increments characterize the volatility of financial returns.We propose the Multiplicative Error Model with volatility jumps (MEM-J) to describe and predict the probability and the size of these extreme events. Under the MEM-J, the conditional density of the realized measure is a countably infinite mixture of Gamma and Kappa distributions, with closed form conditional moments. We derive stationarity conditions and the asymptotic theory for the maximum likelihood estimation. Estimates of the volatility jump component confirm that the probability of jumps dramatically increases during the financial crises. The MEM-J improves over other models with fat tails

Forecasting with the Standardized Self-Perturbed Kalman Filter

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding the calibration of a design parameter. The standardization leads to a better tracking of the dynamics of the parameters compared to other on-line methods, especially as the level of noise increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S&P 500 realized volatility series with a time-varying parameters HAR model with exogenous variables

Estimating jumps in volatility using realized-range measures

We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the presence of jumps in volatility, using the realizedrangemeasure as a volatility proxy. By focusing on a set of 36 NYSE stocks,we show that there is a positive probability of jumps in volatility

Level shifts and long memory: A state space approach

Short memory models contaminated by level shifts have similar long-memory features as fractionally integrated processes. This makes it hard to verify whether the true data generating process is a pure fractionally integrated process when employing standard estimation methods based on the autocorrelation function or the periodogram. In this paper, we propose a robust testing procedure, based on an encompassing parametric specification that allows us to disentangle the level shifts from the fractionally integrated component. The estimation is carried out on the basis of a state-space methodology and it leads to a robust estimate of the fractional integration parameter also in presence of level shifts. Once the memory parameter is correctly estimated, we use the KPSS test for presence of level shift. The Monte Carlo simulations show how this approach produces unbiased estimates of the memory parameter when shifts in the mean, or other slowly varying trends, are present in the data. Therefore, this subsequent robust version of the KPSS test for the presence of level shifts has proper size and by far the highest power compared to other existing tests. Finally, we illustrate the usefulness of the proposed approach on financial data, such as daily bipower variation and turnover

A Step Into the Definition of the Seismic Risk for the City of Benevento (Italy)

This paper gives a contribution in the definition of the seismic hazard for the city of Benevento in Southern Italy, from a geotechnical engineering viewpoint. To pursue this goal, an extensive geotechnical characterization of the city subsoil was achieved collecting data available at the Department of Geotechnical Engineering, University of Napoli and Benevento municipal technical office. Attention was paid in defining strain dependent shear stiffness and damping ratio for the geomaterials present in the urban area. A new method to correct the Masing criteria was adopted. Numerical analyses were performed considering the subsoil as a continuous one-phase equivalent linear medium. The 1-D analyses were carried out using Shake-like codes. The seismic hazard in the city was evaluated on the basis of two seismic scenarios, respectively characterized by low and high acceleration levels. The final result of the work is a seismic zonation of the city of Benevento. It was found that zonation maps are largely dependent from the chosen seismic scenario