Working Papers del DiSIA
Algebra, coalgebra, and minimization in polynomial differential equations
Michele Boreale
We consider reasoning and minimization in systems of polynomial ordinary differential equations (ode's). The ring of multivariate polynomials is employed as a syntax for denoting system behaviours. We endow polynomials with a transition system structure based on the concept of Lie derivative, thus inducing a notion of L-bisimulation. Two states (variables) are proven \lbisim-bisimilar if and only if they correspond to the same solution in the ode's system. We then characterize L-bisimilarity algebraically, in terms of certain ideals in the polynomial ring that are invariant under Lie-derivation. This characterization allows us to develop a complete algorithm, based on building an ascending chain of ideals, for computing the largest L-bisimulation containing all valid identities that are instances of a user-specified template. A specific largest L-bisimulation can be used to build a reduced system of ode's, equivalent to the original one, but minimal among all those obtainable by linear aggregation of the original equations.
Working Papers del Dipartimento
Copula–based vMEM Specifications versus Alternatives: The Case of Trading Activity
Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo
We discuss several multivariate extensions of the Multiplicative Error Model by Engle (2002) to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past values and conditional expectations of the variables can be simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation. Alternatives involving log–Normal or semiparametric formulations produce substantially equivalent results.
Working Papers del Dipartimento
A subregional space-time exploration of family change: Italian municipalities, 1991-2011
Marcantonio Caltabiano, Emanuela Dreassi, Emilia Rocco, Daniele Vignoli
This paper posits that the municipality level offers important insights into the study of temporal and spatial patterns of family change. We focus on the diffusion of one-parent families in Italy: variation in the structure of co-resident domestic groups is a crucial indicator of changing diversity in family patterns. We apply a hierarchical Bayesian spatio-temporal model to the data of the last three Italian Population Censuses, at the municipality level. Our results show substantial sub-regional and sub-provincial heterogeneities in the spatial organization of family systems. These patterns might have gone undetected if larger territorial units of analysis had been considered.
Working Papers del Dipartimento
The ambiguous effects of public assistance to youth and female start-ups between job creation and entrepreneurship enhancement
Marco Mariani, Alessandra Mattei, Lorenzo Storchi, Daniele Vignoli
Public support to start-ups often has the dual ambition of fostering self-employment of disadvantaged individuals while nurturing entrepreneurship. In this paper we evaluate a female and youth start-up program recently implemented in Tuscany (Italy), which provides public guarantees and subsidized interest rates to new firms. Under the assumption of strong ignorability of the assignment mechanism, we use a propensity score matching approach to draw inference on causal effects of the program on firms’ survival and job creation. Results suggest that public support in this area may have rather ambiguous effects. It helps females and young people escape unemployment or inactivity, and may lead to further job creation. Unfortunately, all this occurs at the price of committing public resources towards entrepreneurial projects that hardly gain efficiency over time.
Working Papers del Dipartimento
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach
Giampiero M. Gallo, Edoardo Otranto
Volatility in financial markets is characterized by alternating persistent turmoil and quiet periods, but also by a slowly-varying average level. This slow moving component keeps open the question of whether some of its features are better represented as abrupt or smooth changes between local averages of volatility. We provide a new class of models with a set of parameters subject to abrupt changes in regime (Markov Switching -- MS) and another set subject to smooth transition (ST) changes. These models capture the possibility that regimes may overlap with one another (fuzzy). The empirical application is carried out on the volatility of four US indices. It shows that the flexibility of the new model allows for a better overall performance over either MS or ST, and provides a Local Average Volatility measure as a parametric estimation of the low frequency component.
Working Papers del Dipartimento
Opinioni degli studenti universitari sulla didattica ed i servizi erogati dagli Atenei italiani: un nuovo modello di valutazione
Bruno Bertaccini, Antonio Giusti, Alessandra Petrucci
In Italia la valutazione della efficacia interna dei percorsi formativi accademici si sostanzia, da oltre vent’anni, nelle periodiche indagini sull’opinione degli studenti sulla didattica e i servizi connessi. La prima proposta di omogeneizzazione delle varie metodologie di misurazione utilizzate dagli Atenei fu avanzata dall’allora Comitato Nazionale di Valutazione del Sistema Universitario nel 2000 ed è stata il modello di riferimento fino al 2011, data d’insediamento del primo Consiglio Direttivo della subentrata Agenzia Nazionale di Valutazione di Università e Ricerca. Il tentativo di arricchimento e aggiornamento tecnologico dell’indagine operato dall’Agenzia (nell’ambito del più ampio impianto metodologico AVA) ha in realtà posto in evidenza una serie di criticità, essenzialmente connesse all’organizzazione dell’offerta formativa degli Atenei e all’impatto che l’attuale modello proposto dall’Agenzia ha sulle modalità e le tempistiche di partecipazione. Prendendo spunto da tali criticità, questo lavoro intende proporre un nuovo modello valutativo più semplice e razionale che comunque mantenga una certa continuità con i principi ispiratori dell’impianti passati, in maniera da dare continuità agli sforzi di monitoraggio operati fino ad oggi dagli Atenei.
Working Papers del Dipartimento
Ultimo aggiornamento 7 dicembre 2017.