Non Stationarity and Market Structure Dynamics in Financial Time Series

This thesis is an investigation of the time changing nature of financial markets. Financial markets are complex systems having an intrinsic structure defined by the interplay of several variables. The technological advancements of the ’digital age’ have exponentially increased the amount of data available to financial researchers and industry professionals over the last decade and, as a consequence, it has highlighted the key role of iterations amongst variables. A critical characteristic of the financial system, however, is its time changing nature: the multivariate structure of the systems changes and evolves through time. This feature is critically relevant for classical statistical assumptions and has proven challenging to be investigated and researched. This thesis is devoted to the investigation of this property, providing evidences on the time changing nature of the system, analysing the implications for traditional asset allocation practices and proposing a novel methodology to identify and predict ‘market states’. First, I analyse how classical model estimations are affected by time and what are the consequential effects on classical portfolio construction techniques. Focusing on elliptical models of daily returns, I present experiments on both in-sample and out-of-sample likelihood of individual observations and show that the system changes significantly through time. Larger estimation windows lead to stable likelihood in the long run, but at the cost of lower likelihood in the short-term. A key implication of these findings is that the optimality of fit in finance needs to be defined in terms of the holding period. In this context, I also show that sparse models and information filtering significantly cope with the effects of non stationarity avoiding the typical pitfalls of conventional portfolio optimization approaches. Having assessed and documented the time changing nature of the financial system, I propose a novel methodology to segment financial time series into market states that we call ICC - Inverse Covariance Clustering. The ICC methodology allows to study the evolution of the multivariate structure of the system by segmenting the time series based on their correlation structure. In the ICC framework, market states are identified by a reference sparse precision matrix and a vector of expectation values. In the estimation procedure, each multivariate observation is associated to a market state accordingly to a minimisation of a penalized distance measure (e.g. likelihood, mahalanobis distance). The procedure is made computationally very efficient and can be used with a large number of assets. Furthermore, the ICC methodology allows to control for temporal consistency,S making it of high practical relevance for trading systems. I present a set of experiments investigating the features of the discovered clusters and comparing it to standard clustering techniques. I show that the ICC methodology is successful at clustering different states of the markets in an unsupervised manner, outperforming baseline standard models. Further, I show that the procedure can be efficiently used to forecast off-sample future market states with significant prediction accuracy. Lastly, I test the significance of increasing number of states used to model equity returns and how this parameter relates to the number of observations and the time consistency of the states. I present experiments to investigate a) the likelihood of the overall model as more states are spanned, b) the relevance of additional regimes measured by the number of observations clustered. I found that the number of “market states” that optimally define the system is increasing with the time spanned and the number of observations considered

Market structure dynamics during COVID-19 outbreak

In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analyzing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilization and recovery.Comment: 1 page, figure

ZYGOMA IMPLANT-SUPPORTED PROSTHETIC REHABILITATION OF A PATIENT AFTER SUBTOTAL BILATERAL MAXILLECTOMY

This clinical report describes the successful implant-supported prosthetic rehabilitation of a patient who underwent subtotal bilateral maxillectomy for an oral squamous cell carcinoma with a consequent wide defect interesting the whole hard palate and most of the soft palate, causing a large opening that directly connects the oral cavity to the nasal fosse bilaterally. The innovative aspect of this case is represented by the realization of a obturator prosthesis supported by just three zygoma implants. The maxillary bone had been largely excised by radical surgery. Despite the resection had a complete oncological success and the patient was free of disease after 24 months follow up, the patient experienced severe speech and deglutition deficit due to the iatrogenic large oro-antral communication. Three zygoma implants have been positioned, two trough the right maxillary bone and, owing the wide lack of bone, just one on the left side. No mucogengival surgery was necessary around the zygoma implants. The obturator prosthesis was stabilized by the three implants and the patient\u2019s oral function as well as quality of life widely improved. The results show that zygoma implants could represent a viable surgical option to obtain a satisfactory oral function rehabilitation even in case of extensive maxillary defect

Portfolio optimization with sparse multivariate modeling

Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2. uncertainties resulting from parameters’ sampling error; 3. intrinsic non-stationarity of these systems. For what concerns point 1. we propose a L-norm sparse elliptical modeling and show thatsparsification is effective. We quantify the effects of points 2. and 3. by studying the models’ likelihood in- and out-of-sample for parameters estimated over different train windows. We show that models with larger off-sample likelihoods lead to better performing portfolios only for shorter train sets. For larger train sets, we found that portfolio performances deteriorate and detaches from the models’ likelihood, highlighting the role of non-stationarity. Investigating the out-of-sample likelihood of individual observations we show that the system changes significantly through time. Larger estimation windows lead to stable likelihood in the long run, but at the cost of lower likelihood in the short term: the “optimal” fit in finance needs to be defined in terms of the holding period. Lastly, we show that sparse models outperform full-models and conventional GARCH extensions by delivering higher out of sample likelihood, lower realized volatility and improved stability, avoiding typical pitfalls of conventional portfolio optimization approaches

Blunt maxillary fracture and cheek bite: two rare causes of traumatic pneumomediastinum

Subcutaneous facial emphysema is a well-known consequence of oral and maxillofacial traumatic injury. In some rare cases, the subcutaneous air collection could spread through the retropharyngeal and paralatero-cervical spaces, reaching the mediastinum. This clinical entity is known as pneumomediastinum and represents a severe and, sometimes, life-threatening condition. Other reported causes of pneumomediastinum are esophageal and tracheal traumatic or iatrogenic rupture. Finally, the so-called spontaneous pneumomediastinum is caused by a sudden increase in alveolar pressure and is usually seen in young men. We present two cases of pneumomediastinum as a consequence of unusual traumatic damage of orofacial tissues, followed by repeated sneezing and Valsalva maneuver

A Dental Implant in the Infratemporal Fossa: Case Report

Implant-supported prosthetic rehabilitation represents one of the most common procedures in dental clinical practice.1 The recent development of computer- aided design/computer-assisted manufacture technology for surgical planning and fabrication of custom surgical templates has led to minimally invasive, valid, and simplified surgical approaches.2,3 Preoperative computer-guided three-dimensional planning of implant treatment takes into account bone quality and quantity and can therefore avoid bone augmentation procedures in many patients with atrophied jawbone. 2,4 However, accurate implant planning and strict adherence to standardized surgical protocols is mandatory to minimize the risk of complications during the surgical phase.4 Intraoperative implant displacement into the paranasal sinuses has been reported frequently. 5–10 Any surgical treatment that includes the posterior maxillary region, whether for dental placement or extraction of third molars, has to take into account the maxillary sinus because of its anatomical position.11 Infratemporal fossa involvement is less common after implant surgery or exodontia, and it is usually associated with an inaccurate preoperative evaluation or an incorrect inclination of the pterygoid implant during its insertion.12,13 To the authors’ knowledge, this is the first report of dental implant dislocation during computer- assisted implant positioning

Modified technique for endoscopic endonasal reduction of medial orbital wall fracture using an absorbable packing

Purpose: The purpose of this study was to describe a modified technique using only biological dura substitute (Lyoplant\uae) associated or not to a sheet of Medpore\uae (porous polyethylene plate) avoiding the use of Silastic\uae or Merocel\uae packing for endoscopic endonasal reduction of medial orbital wall fracture. Methods: An interventional case report was used involving two patients with medial orbital wall fracture that were treated with the modified technique. Postoperatively, the patients were evaluated for visual acuity, enophthalmos, extraocular motility, and diplopia. Result: Twelve months after surgery, patients recovered completely without any residual eye symptoms or complications, and postoperative CT showed a completely corrected medial orbital wall fractures. Conclusion: The reported technique proved itself to be safe and effective, and it may be expected to have advantages over the conventional endoscopic approach using a non-absorbable packing, avoiding the need for long-term nasal packing and a secondary removal procedure

Simultaneous Le Fort I Osteotomy and Zygomatic Implants Placement With Delayed Prosthetic Rehabilitation

Abstract: Patients affected by severe maxillary atrophy and skeletal malocclusion have been widely treated by simultaneous orthognathic surgical procedures, interpositional bone insertion and immediate or delayed implant placement. Although several authors have described that the “ quad ” technique using 4 zygomatic fixtures as an effective way to fully rehabilitate the severe atrophic maxilla, there are still no experiences relative to the use of zygomatic fixtures associated to maxillary osteotomies in case of large skeletal discrepancy. The aim of this study is to report a 1-step surgical rehabilitation of severe atrophic maxilla by means of Le Fort I osteotomy for maxillary forward repositioning and simultaneous insertion of 4 zygomatic implants with immediate prosthetic loading

The use of double-layer collagen membrane for the improvement of nasal dorsum skin thickness and texture in primary nose surgery

Objectives: To place a collagen membrane containing crushed Objectives: To place a collagen membrane containing crushed nasal septal cartilage over the nasal dorsum to see how this graft can improve the results of visible postsurgical irregularities in thin skinned patients. Methods: Fifty-seven patients were treated between 2006 and 2010 (26 males and 31 females) whose ages ranged between 31 and 55 years old. They were divided into group a, defect 3 mm. These patients presented intraoperative nasal dorsum irregularities that were corrected with 57 cartilage grafts in conjunction with collagen membrane. Results: All of our patients showed an initial over-correction. A dense network of collagen fiber bundles was observed running parallel to the surface of the membrane at the connective tissue-membrane interface. The clinical percentage of volume reabsorption was about 5% after 6 months, measured with clinical pictures and a clinical follow-up. No infection was noted, only 1 patient of dislocation was observed, and 5 patients required some refinements at the long-term follow-up. Conclusions: In the authors' experience the use of bilayered combined cartilage and collagen membrane grafts gives the best aesthetic results with balanced tip projection and dorsum fullness, and avoids thickness and texture modification of the skin above the graft. The use of Bio-gide membrane avoids all problems related to the donor site and shortens surgical time

Simultaneous Le Fort I Osteotomy and Zygomatic Implants Placement With Delayed Prosthetic Rehabilitation

Patients affected by severe maxillary atrophy and skeletal malocclusion have been widely treated by simultaneous orthognathic surgical procedures, interpositional bone insertion and immediate or delayed implant placement. Although several authors have described that the \u201cquad\u201d technique using 4 zygomatic fixtures as an effective way to fully rehabilitate the severe atrophic maxilla, there are still no experiences relative to the use of zygomatic fixtures associated to maxillary osteotomies in case of large skeletal discrepancy. The aim of this study is to report a 1-step surgical rehabilitation of severe atrophic maxilla by means of Le Fort I osteotomy for maxillary forward repositioning and simultaneous insertion of 4 zygomatic implants with immediate prosthetic loading