Roy Cerqueti - Academia.edu (original) (raw)
Papers by Roy Cerqueti
Sustainability
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for... more Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naïve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios’ stake committed to social impact investments.
Chaos, Solitons & Fractals
Stats
This paper presents new perspectives and methodological instruments for verifying the validity of... more This paper presents new perspectives and methodological instruments for verifying the validity of Benford’s law for a large given dataset. To this aim, we first propose new general tests for checking the statistical conformity of a given dataset with a generic target distribution; we also provide the explicit representation of the asymptotic distributions of the relevant test statistics. Then, we discuss the applicability of such novel devices to the case of Benford’s law. We implement extensive Monte Carlo simulations to investigate the size and the power of the introduced tests. Finally, we discuss the challenging theme of interpreting, in a statistically reliable way, the conformity between two distributions in the presence of a large number of observations.
Entropy
In this work, we develop the Tsallis entropy approach for examining the cross-shareholding networ... more In this work, we develop the Tsallis entropy approach for examining the cross-shareholding network of companies traded on the Italian stock market. In such a network, the nodes represent the companies, and the links represent the ownership. Within this context, we introduce the out-degree of the nodes—which represents the diversification—and the in-degree of them—capturing the integration. Diversification and integration allow a clear description of the industrial structure that were formed by the considered companies. The stochastic dependence of diversification and integration is modeled through copulas. We argue that copulas are well suited for modelling the joint distribution. The analysis of the stochastic dependence between integration and diversification by means of the Tsallis entropy gives a crucial information on the reaction of the market structure to the external shocks—on the basis of some relevant cases of dependence between the considered variables. In this respect, t...
Journal of the Operational Research Society
The standard theory of coherent risk measures fails to consider individual institutions as part o... more The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market game where agents and institutions play the same role can be developed. We take into account a multiple institutions framework where some of them jointly experience distress events in order to evaluate their individual and collective impact on the remaining institutions in the market. To carry out this analysis, we define a new risk measure (SCoES), generalising the Expected Shortfall of Acerbi (2002) and we characterise the riskiness profile as the outcome of a cost cooperative game played by institutions in distress (a similar approach was adopted by Denault 2001). Each institution's marginal contribution to the spread of riskiness towards the safe institutions in then evaluated by calculating suitable solution concepts of the game such as the Banzhaf-Coleman and the Shapley-Shubik values.
Annals of Operations Research
Chaos, Solitons & Fractals
Environmental Impact Assessment Review
Computational Management Science
Social Choice and Welfare
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
Data in brief, 2018
This dataset contains the annual aggregated income taxes of all the Italian municipalities over t... more This dataset contains the annual aggregated income taxes of all the Italian municipalities over the years 2007-2011. Data are clustered over the Italian regions and provinces. The source of the data is the Italian Ministry of Economics and Finance. The administrative variations in Italy over the quinquennium have been taken into account. Data are useful to understand the economic structure of Italy at the microscopic level of municipalities. They can serve also for making comparisons between economical aspects and other features of the Italian cities.
In this paper we propose a set of new panel tests to detect changes in persistence. These statist... more In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The limiting distributions of the panel tests are derived and small sample properties are investigated by Monte Carlo experiments under the hypothesis that the individual series are cross-sectionally independently distributed. These tests have a good size and power properties. Cross-sectional dependence is also considered. A procedure of de-factorizing proposed by Stock and Watson (2002) is applied. Monte Carlo analysis is conducted and the defactored panel tests show to have good size and power. The empirical results obtained from applying these tests to a panel covering 15 European countries between 1970 and 2006 suggest that inflation rate changes from I(1) to I(0) when cross-correlation is considered.
This article evaluates patents in a stochastic discrete time framework following the real options... more This article evaluates patents in a stochastic discrete time framework following the real options approach. By modeling the dynamics of the underlying as a spatial point process both size and time of the jumps can be treated as random variables. The propagation of the jumps from the underlying security to the patent value is not restricted to be immediate, but
Http Dx Doi Org 10 1080 09537325 2014 952624, Dec 16, 2014
ABSTRACT This paper proposes the use of a class of concentration-based entropy measures as a new ... more ABSTRACT This paper proposes the use of a class of concentration-based entropy measures as a new instrument to quantify business performances through an analysis of growth, profitability and productivity. Such measures are tested against a complex analysis of the link between innovation and performance for firms listed in the STAR market segment of the Italian Stock Exchange. In so doing, two targets are achieved: (1) the identification of parameters that are relevant for explaining the relationship between innovation and performance for the considered sample, with special focus on innovation type, innovation level and business size; (2) the elaboration of a new methodology – based on information theory – for the analysis of the impact of innovation on performance. The study shows that type of innovation and size play a key role in determining company performance.
Isae Working Papers, Feb 1, 2007
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework.... more This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary in a continuous and discrete range. The random matrices are defined by some weight functions. Asymptotic behaviors of these random matrices are obtained by stating some conditions on the weight functions, and by using Bierens (1997) and Andersen et al.(1983) results. In this way, a nonparametric analysis is provided. Moving from the solution of the generalized eigenvalue problem, a fractional nonparametric VAR model for cointegration is also presented.
Computational Economics, 2010
This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous b... more This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous beliefs. Forecasting rules of all agents are characterized by a stochastic term that works as an agent-based time dependent weight of the conditional expectation of the fundamental. Since we consider the presence of an imitative behavior between agents, these weights depend stochastically on the type-distribution of agents. The resulting dynamical system is firstly analyzed in a deterministic framework. Starting from the results obtained in the deterministic case, the model is lastly explored by reintroducing randomness. The deterministic study aims at providing the existence of a region in the parameters plane where the unique possible dynamics is the convergence to a steady state, while complexity is exhibited outside such region. This region is also analyzed by reintroducing stochasticity and we provide an explicit formula for its probability measure. Our findings are in agreement with the economic meaning of the parameters. Finally, we propose a bayesian analysis, in order to explore the distribution of the adjustment term of the proportion of agents.
Working Papers, 2009
While the large portion of the literature on Markov chain (possibly of order higher than one) boo... more While the large portion of the literature on Markov chain (possibly of order higher than one) bootstrap methods has focused on the correct estimation of the transition probabilities, little or no attention has been devoted to the problem of estimating the dimension of the transition probability matrix. Indeed, it is usual to assume that the Markov chain has a one-step memory property and that the state space could not to be clustered, and coincides with the distinct observed values. In this paper we question the opportunity of such a standard approach. In particular we advance a method to jointly estimate the order of the Markov chain and identify a suitable clustering of the states. Indeed in several real life applications the "memory" of many processes extends well over the last observation; in those cases a correct representation of past trajectories requires a significantly richer set than the state space. On the contrary it can sometimes happen that some distinct values do not correspond to really "different states" of a process; this is a common conclusion whenever, for example, a process assuming two distinct values in t is not affected in its distribution in t + 1. Such a situation would suggest to reduce the dimension of the transition probability matrix. Our methods are based on solving two optimization problems. More specifically we consider two competing objectives that a researcher will in general pursue when dealing with bootstrapping: preserving the similarity between the observed and the bootstrap series and reducing the probabilities of getting a perfect replication of the original sample. A brief axiomatic discussion is developed to define the desirable properties for such optimal criteria. Two numerical examples are presented to illustrate the method.
Economics Statistics Discussion Papers, Jul 12, 2005
This paper provides a further generalization of co-integration tests in a nonparametric setting. ... more This paper provides a further generalization of co-integration tests in a nonparametric setting. We adopt Bierens'([2]) approach in order to give an extension for processes I(d), with a fixed integer d. A generalized eigenvalue problem is solved, and the test statistics involved are obtained starting from two matrices that are independent on the data generating process. The mathematical tools we adopt are related to the asymptotic theory of the stochastic processes. The key point of our work is linked to the distinguishing between the stationary and non-stationary part of an integrated process.
Chaos, Solitons & Fractals, 2016
Sustainability
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for... more Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naïve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios’ stake committed to social impact investments.
Chaos, Solitons & Fractals
Stats
This paper presents new perspectives and methodological instruments for verifying the validity of... more This paper presents new perspectives and methodological instruments for verifying the validity of Benford’s law for a large given dataset. To this aim, we first propose new general tests for checking the statistical conformity of a given dataset with a generic target distribution; we also provide the explicit representation of the asymptotic distributions of the relevant test statistics. Then, we discuss the applicability of such novel devices to the case of Benford’s law. We implement extensive Monte Carlo simulations to investigate the size and the power of the introduced tests. Finally, we discuss the challenging theme of interpreting, in a statistically reliable way, the conformity between two distributions in the presence of a large number of observations.
Entropy
In this work, we develop the Tsallis entropy approach for examining the cross-shareholding networ... more In this work, we develop the Tsallis entropy approach for examining the cross-shareholding network of companies traded on the Italian stock market. In such a network, the nodes represent the companies, and the links represent the ownership. Within this context, we introduce the out-degree of the nodes—which represents the diversification—and the in-degree of them—capturing the integration. Diversification and integration allow a clear description of the industrial structure that were formed by the considered companies. The stochastic dependence of diversification and integration is modeled through copulas. We argue that copulas are well suited for modelling the joint distribution. The analysis of the stochastic dependence between integration and diversification by means of the Tsallis entropy gives a crucial information on the reaction of the market structure to the external shocks—on the basis of some relevant cases of dependence between the considered variables. In this respect, t...
Journal of the Operational Research Society
The standard theory of coherent risk measures fails to consider individual institutions as part o... more The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market game where agents and institutions play the same role can be developed. We take into account a multiple institutions framework where some of them jointly experience distress events in order to evaluate their individual and collective impact on the remaining institutions in the market. To carry out this analysis, we define a new risk measure (SCoES), generalising the Expected Shortfall of Acerbi (2002) and we characterise the riskiness profile as the outcome of a cost cooperative game played by institutions in distress (a similar approach was adopted by Denault 2001). Each institution's marginal contribution to the spread of riskiness towards the safe institutions in then evaluated by calculating suitable solution concepts of the game such as the Banzhaf-Coleman and the Shapley-Shubik values.
Annals of Operations Research
Chaos, Solitons & Fractals
Environmental Impact Assessment Review
Computational Management Science
Social Choice and Welfare
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
Data in brief, 2018
This dataset contains the annual aggregated income taxes of all the Italian municipalities over t... more This dataset contains the annual aggregated income taxes of all the Italian municipalities over the years 2007-2011. Data are clustered over the Italian regions and provinces. The source of the data is the Italian Ministry of Economics and Finance. The administrative variations in Italy over the quinquennium have been taken into account. Data are useful to understand the economic structure of Italy at the microscopic level of municipalities. They can serve also for making comparisons between economical aspects and other features of the Italian cities.
In this paper we propose a set of new panel tests to detect changes in persistence. These statist... more In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The limiting distributions of the panel tests are derived and small sample properties are investigated by Monte Carlo experiments under the hypothesis that the individual series are cross-sectionally independently distributed. These tests have a good size and power properties. Cross-sectional dependence is also considered. A procedure of de-factorizing proposed by Stock and Watson (2002) is applied. Monte Carlo analysis is conducted and the defactored panel tests show to have good size and power. The empirical results obtained from applying these tests to a panel covering 15 European countries between 1970 and 2006 suggest that inflation rate changes from I(1) to I(0) when cross-correlation is considered.
This article evaluates patents in a stochastic discrete time framework following the real options... more This article evaluates patents in a stochastic discrete time framework following the real options approach. By modeling the dynamics of the underlying as a spatial point process both size and time of the jumps can be treated as random variables. The propagation of the jumps from the underlying security to the patent value is not restricted to be immediate, but
Http Dx Doi Org 10 1080 09537325 2014 952624, Dec 16, 2014
ABSTRACT This paper proposes the use of a class of concentration-based entropy measures as a new ... more ABSTRACT This paper proposes the use of a class of concentration-based entropy measures as a new instrument to quantify business performances through an analysis of growth, profitability and productivity. Such measures are tested against a complex analysis of the link between innovation and performance for firms listed in the STAR market segment of the Italian Stock Exchange. In so doing, two targets are achieved: (1) the identification of parameters that are relevant for explaining the relationship between innovation and performance for the considered sample, with special focus on innovation type, innovation level and business size; (2) the elaboration of a new methodology – based on information theory – for the analysis of the impact of innovation on performance. The study shows that type of innovation and size play a key role in determining company performance.
Isae Working Papers, Feb 1, 2007
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework.... more This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary in a continuous and discrete range. The random matrices are defined by some weight functions. Asymptotic behaviors of these random matrices are obtained by stating some conditions on the weight functions, and by using Bierens (1997) and Andersen et al.(1983) results. In this way, a nonparametric analysis is provided. Moving from the solution of the generalized eigenvalue problem, a fractional nonparametric VAR model for cointegration is also presented.
Computational Economics, 2010
This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous b... more This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous beliefs. Forecasting rules of all agents are characterized by a stochastic term that works as an agent-based time dependent weight of the conditional expectation of the fundamental. Since we consider the presence of an imitative behavior between agents, these weights depend stochastically on the type-distribution of agents. The resulting dynamical system is firstly analyzed in a deterministic framework. Starting from the results obtained in the deterministic case, the model is lastly explored by reintroducing randomness. The deterministic study aims at providing the existence of a region in the parameters plane where the unique possible dynamics is the convergence to a steady state, while complexity is exhibited outside such region. This region is also analyzed by reintroducing stochasticity and we provide an explicit formula for its probability measure. Our findings are in agreement with the economic meaning of the parameters. Finally, we propose a bayesian analysis, in order to explore the distribution of the adjustment term of the proportion of agents.
Working Papers, 2009
While the large portion of the literature on Markov chain (possibly of order higher than one) boo... more While the large portion of the literature on Markov chain (possibly of order higher than one) bootstrap methods has focused on the correct estimation of the transition probabilities, little or no attention has been devoted to the problem of estimating the dimension of the transition probability matrix. Indeed, it is usual to assume that the Markov chain has a one-step memory property and that the state space could not to be clustered, and coincides with the distinct observed values. In this paper we question the opportunity of such a standard approach. In particular we advance a method to jointly estimate the order of the Markov chain and identify a suitable clustering of the states. Indeed in several real life applications the "memory" of many processes extends well over the last observation; in those cases a correct representation of past trajectories requires a significantly richer set than the state space. On the contrary it can sometimes happen that some distinct values do not correspond to really "different states" of a process; this is a common conclusion whenever, for example, a process assuming two distinct values in t is not affected in its distribution in t + 1. Such a situation would suggest to reduce the dimension of the transition probability matrix. Our methods are based on solving two optimization problems. More specifically we consider two competing objectives that a researcher will in general pursue when dealing with bootstrapping: preserving the similarity between the observed and the bootstrap series and reducing the probabilities of getting a perfect replication of the original sample. A brief axiomatic discussion is developed to define the desirable properties for such optimal criteria. Two numerical examples are presented to illustrate the method.
Economics Statistics Discussion Papers, Jul 12, 2005
This paper provides a further generalization of co-integration tests in a nonparametric setting. ... more This paper provides a further generalization of co-integration tests in a nonparametric setting. We adopt Bierens'([2]) approach in order to give an extension for processes I(d), with a fixed integer d. A generalized eigenvalue problem is solved, and the test statistics involved are obtained starting from two matrices that are independent on the data generating process. The mathematical tools we adopt are related to the asymptotic theory of the stochastic processes. The key point of our work is linked to the distinguishing between the stationary and non-stationary part of an integrated process.
Chaos, Solitons & Fractals, 2016