An improved two-step regularization scheme for spot volatility estimation

We are concerned with the problem of parameter estimation in Finance, namely the estimation of the spot volatility in the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization was presented. It was shown that this scheme can work in a real-time manner. However, the main drawback of this scheme is that it needs a lot of observation data. The aim of the present paper is to introduce an improvement of the scheme such that the modified estimator can work more efficiently and with a data set of smaller size. The technical aspects of implementation of the scheme and its performance on simulated data are analyzed. The proposed scheme is tested against other estimators, namely a realized volatility type estimator, the Fourier estimator and two kernel estimators.Spot volatility, Nonparametric estimation, Multi-step regularization, Microstructure

Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise

We analyze the effects of market microstructure noise on the Fourier estimator of multivariate volatilities. We prove that the estimator is consistent in the case of asynchronous data and robust in the presence of microstructure noise. This result is obtained through an analytical computation of the bias and the mean squared error of the Fourier estimator and con¯rmed by Monte Carlo experiments.

Real Estate Asset Management Companies’ Economies of Scale: Is It a Dream or Reality? The Italian Case

The research focuses on a sample of 26 Italian real estate asset management companies (Società di Gestione del Risparmio “SGR”)—whose asset management is totally linked to real estate funds—that considers a period of six years (2013–2018). Using some variables extrapolated from the internal accountability of each SGR, the analysis investigates possible relationships between them to verify the presence or absence of economies of scale of Italian real estate management companies by multivariate regressions. The results show that there is no single model for profit maximization and cost minimization, but all depends on the business model that each SGR decides to adopt

Le tecnologie come motore di innovazione e sinergia con il territorio.

The first part this article presents the history of CLAT of the University of Genova since its creation in 2012, showing how internationalization and inno-vation have always been the focuses of the three types of services it provides: language courses, services for the university itself and services for society\u2019s language needs. In particular, the article illustrates the structure and meth-odology of CLIL courses for schoolteachers, the CLAT adaptive tests, and a specifically conceived learning environment and platform for online courses. It then proceeds to describe a few projects and experiences involving collabo-ration with social actors, such as the FAMI project, which aims at the promo-tion of heritage language for second and third generation schoolchildren of non-Italian origin (mainly South American Spanish speakers

Modeling Social Sensory Processing During Social Computerized Cognitive Training for Psychosis Spectrum: The Resting-State Approach

Background: Greater impairments in early sensory processing predict response to auditory computerized cognitive training (CCT) in patients with recent-onset psychosis (ROP). Little is known about neuroimaging predictors of response to social CCT, an experimental treatment that was recently shown to induce cognitive improvements in patients with psychosis. Here, we investigated whether ROP patients show interindividual differences in sensory processing change and whether different patterns of SPC are (1) related to the differential response to treatment, as indexed by gains in social cognitive neuropsychological tests and (2) associated with unique resting-state functional connectivity (rsFC). Methods: Twenty-six ROP patients completed 10 h of CCT over the period of 4–6 weeks. Subject-specific improvement in one CCT exercise targeting early sensory processing—a speeded facial Emotion Matching Task (EMT)—was studied as potential proxy for target engagement. Based on the median split of SPC from the EMT, two patient groups were created. Resting-state activity was collected at baseline, and bold time series were extracted from two major default mode network (DMN) hubs: left medial prefrontal cortex (mPFC) and left posterior cingulate cortex (PCC). Seed rsFC analysis was performed using standardized Pearson correlation matrices, generated between the average time course for each seed and each voxel in the brain. Results: Based on SPC, we distinguished improvers—i.e., participants who showed impaired performance at baseline and reached the EMT psychophysical threshold during CCT—from maintainers—i.e., those who showed intact EMT performance at baseline and sustained the EMT psychophysical threshold throughout CCT. Compared to maintainers, improvers showed an increase of rsFC at rest between PCC and left superior and medial frontal regions and the cerebellum. Compared to improvers, maintainers showed increased rsFC at baseline between PCC and superior temporal and insular regions bilaterally. Conclusions: In ROP patients with an increase of connectivity at rest in the default mode network, social CCT is still able to induce sensory processing changes that however do not translate into social cognitive gains. Future studies should investigate if impairments in short-term synaptic plasticity are responsible for this lack of response and can be remediated by pharmacological augmentation during CCT

Association between age of cannabis initiation and gray matter covariance networks in recent onset psychosis

Cannabis use during adolescence is associated with an increased risk of developing psychosis. According to a current hypothesis, this results from detrimental effects of early cannabis use on brain maturation during this vulnerable period. However, studies investigating the interaction between early cannabis use and brain structural alterations hitherto reported inconclusive findings. We investigated effects of age of cannabis initiation on psychosis using data from the multicentric Personalized Prognostic Tools for Early Psychosis Management (PRONIA) and the Cannabis Induced Psychosis (CIP) studies, yielding a total sample of 102 clinically-relevant cannabis users with recent onset psychosis. GM covariance underlies shared maturational processes. Therefore, we performed source-based morphometry analysis with spatial constraints on structural brain networks showing significant alterations in schizophrenia in a previous multisite study, thus testing associations of these networks with the age of cannabis initiation and with confounding factors. Earlier cannabis initiation was associated with more severe positive symptoms in our cohort. Greater gray matter volume (GMV) in the previously identified cerebellar schizophrenia-related network had a significant association with early cannabis use, independent of several possibly confounding factors. Moreover, GMV in the cerebellar network was associated with lower volume in another network previously associated with schizophrenia, comprising the insula, superior temporal, and inferior frontal gyrus. These findings are in line with previous investigations in healthy cannabis users, and suggest that early initiation of cannabis perturbs the developmental trajectory of certain structural brain networks in a manner imparting risk for psychosis later in life

Risk of hospitalization for heart failure in patients with type 2 diabetes newly treated with DPP-4 inhibitors or other oral glucose-lowering medications: A retrospective registry study on 127,555 patients from the Nationwide OsMed Health-DB Database

Aims Oral glucose-lowering medications are associated with excess risk of heart failure (HF). Given the absence of comparative data among drug classes, we performed a retrospective study in 32 Health Services of 16 Italian regions accounting for a population of 18 million individuals, to assess the association between HF risk and use of sulphonylureas, DPP-4i, and glitazones. Methods and results We extracted data on patients with type 2 diabetes who initiated treatment with DPP-4i, thiazolidinediones, or sulphonylureas alone or in combination with metformin during an accrual time of 2 years. The endpoint was hospitalization for HF (HHF) occurring after the first 6 months of therapy, and the observation was extended for up to 4 years. A total of 127 555 patients were included, of whom 14.3% were on DPP-4i, 72.5% on sulphonylurea, 13.2% on thiazolidinediones, with average 70.7% being on metformin as combination therapy. Patients in the three groups differed significantly for baseline characteristics: age, sex, Charlson index, concurrent medications, and previous cardiovascular events. During an average 2.6-year follow-up, after adjusting for measured confounders, use of DPP-4i was associated with a reduced risk of HHF compared with sulphonylureas [hazard ratio (HR) 0.78; 95% confidence interval (CI) 0.62-0.97; P = 0.026]. After propensity matching, the analysis was restricted to 39 465 patients, and the use of DPP-4i was still associated with a lower risk of HHF (HR 0.70; 95% CI 0.52-0.94; P = 0.018). Conclusion In a very large observational study, the use of DPP-4i was associated with a reduced risk of HHF when compared with sulphonylureas

Multimodal prognosis of negative symptom severity in individuals at increased risk of developing psychosis

Negative symptoms occur frequently in individuals at clinical high risk (CHR) for psychosis and contribute to functional impairments. The aim of this study was to predict negative symptom severity in CHR after 9 months. Predictive models either included baseline negative symptoms measured with the Structured Interview for Psychosis-Risk Syndromes (SIPS-N), whole-brain gyrification, or both to forecast negative symptoms of at least moderate severity in 94 CHR. We also conducted sequential risk stratification to stratify CHR into different risk groups based on the SIPS-N and gyrification model. Additionally, we assessed the models' ability to predict functional outcomes in CHR and their transdiagnostic generalizability to predict negative symptoms in 96 patients with recent-onset psychosis (ROP) and 97 patients with recent-onset depression (ROD). Baseline SIPS-N and gyrification predicted moderate/severe negative symptoms with significant balanced accuracies of 68 and 62%, while the combined model achieved 73% accuracy. Sequential risk stratification stratified CHR into a high (83%), medium (40-64%), and low (19%) risk group regarding their risk of having moderate/severe negative symptoms at 9 months follow-up. The baseline SIPS-N model was also able to predict social (61%), but not role functioning (59%) at above-chance accuracies, whereas the gyrification model achieved significant accuracies in predicting both social (76%) and role (74%) functioning in CHR. Finally, only the baseline SIPS-N model showed transdiagnostic generalization to ROP (63%). This study delivers a multimodal prognostic model to identify those CHR with a clinically relevant negative symptom severity and functional impairments, potentially requiring further therapeutic consideration