Roy Cerqueti - Profile on Academia.edu (original) (raw)

Papers by Roy Cerqueti

The impact of innovation on companies’ performance: an entropy-based analysis of the STAR market segment of the Italian Stock Exchange

Technology Analysis & Strategic Management, 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.

Exhaustion of resources: a marked temporal process framework

Stochastic Environmental Research and Risk Assessment, 2014

ABSTRACT This paper deals with the exhaustion of a replenishable resource, one of the main topics... more ABSTRACT This paper deals with the exhaustion of a replenishable resource, one of the main topics in environmental research. To examine this problem, we construct a mechanism to estimate the probability of depletion under a very small set of assumptions. The stock of the resource is assumed to evolve accordingly to a marked temporal process generated by the shocks occurring in the environment. Our setting is eminently theoretical, and constitutes an effective extension of some important models of stochastic growth regarding sustainability and ruin analysis. Furthermore, the validity of the model is supported through the evidence relative to the paradigmatic cases of water resource planning and oil reserves.

Journal of Statistical Mechanics: Theory and Experiment, 2015

This paper explores the relationship between the inner economical structure of communities and th... more This paper explores the relationship between the inner economical structure of communities and their population distribution through a rank-rank analysis of official data, along statistical physics ideas within two techniques. The data is taken on Italian cities. The analysis is performed both at a global (national) and at a more local (regional) level in order to distinguish "macro" and "micro" aspects. First, the rank-size rule is found not to be a standard power law, as in many other studies, but a doubly decreasing power law. Next, the Kendall τ and the Spearman ρ rank correlation coefficients which measure pair concordance and the correlation between fluctuations in two rankings, respectively, -as a correlation function does in thermodynamics, are calculated for finding rank correlation (if any) between demography and wealth. Results show non only global disparities for the whole (country) set, but also (regional) disparities, when comparing the number of cities in regions, the number of inhabitants in cities and that in regions, as well as when comparing the aggregated tax income of the cities and that of regions. Different outliers are pointed out and justified. Interestingly, two classes of cities in the country and two classes of regions in the country are found. "Common sense" social, political, and economic considerations sustain the findings. More importantly, the methods show that they allow to distinguish communities, very clearly, when specific criteria are numerically sound. A * Corresponding address: specific modeling for the findings is presented, i.e. for the doubly decreasing power law and the two phase system, based on statistics theory, e.g., urn filling. The model ideas can be expected to hold when similar rank relationship features are observed in fields. It is emphasized that the analysis makes more sense than one through a Pearson Π value-value correlation analysis.

Roots and effects of financial misperception in a stochastic dominance framework

Quality Quantity International Journal of Methodology, 2013

ABSTRACT This work deals with the issue of investors’ irrational behavior and financial products’... more ABSTRACT This work deals with the issue of investors’ irrational behavior and financial products’ misperception. The theoretical analysis of the mechanisms driving erroneous assessment of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the remarkable case of structured financial products. Some motivations explaining the popularity of these complex financial instruments among retail investors are also provided. In particular, investors are assumed to compare the performances of different projects through stochastic dominance rules. Unreasonably and in contrast with results obtained by the application of the selected criteria, investors prefer complex securities to standard ones. In this paper, introducing a new definition for stochastic dominance which presents asymmetric property, we provide theoretical and numerical results showing how investors distort stochastic returns and make questionable investment choices. Results are explained in terms of framing and representative effects, which are behavioral finance type arguments showing how decisions may depend on the way the available alternatives are presented to investors.

Corruptibility and tax evasion

European Journal of Law and Economics, 2015

ABSTRACT Reduction of fiscal evasion may be pursued by introducing incentive schemes for tax insp... more ABSTRACT Reduction of fiscal evasion may be pursued by introducing incentive schemes for tax inspectors. The aim of this paper is to explain the role of such bonuses in an economic environment with corruption, i.e. in a world where entrepreneurs and tax inspectors are open to bribery. In detail, we analyze the role of a public incentive scheme, where the tax inspector’s bargaining strength is endogenous with respect to an incentive mechanism: indeed the knowledge that even if an entrepreneur does not agree to pay the bribe, s/he can report tax evasion and be partly rewarded for this, increases the tax inspector’s bargaining strength.

The aim of this paper is to provide a new perspective on the nonparametric co-integration analysi... more The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process. Such matrices are constructed by introducing some weight functions. Under asymptotic conditions on such weights, convergence results in distribution are obtained. Therefore, a generalized eigenvalue problem is solved. Differential equations and stochastic calculus theory are used.

This paper study empirically a model for speculative bubbles . The idea is to investigate the exi... more This paper study empirically a model for speculative bubbles . The idea is to investigate the existence of a stable (no-explosive) relationship among stock prices, dividends and returns in international markets over the period 1991-2006. First, we check for panel unit root in log dividend-price ratio and in the real returns using cross-sectional dependence tests in order to verify "no bubble" hypothesis. Second, we check for co-integrating relationship between the log dividend-price ratio and real returns using a new panel co-integration test . If a stable (equilibrium) relationship is rejected, the "no bubble" hypothesis is also rejected.

This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countrie... more This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model.

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, extending Bierens' (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence results are obtained.

This paper considers joining the economical characteristics of Italian cities with a relevant soc... more This paper considers joining the economical characteristics of Italian cities with a relevant sociological aspect of the Catholic saints. More than in other countries, a high percentage of Italian cities are toponyms coming from the name of specific saints (hagiotoponym). The link with Italian religious views is distinct. The statistical analysis of the economic contributions that each hagiotoponym city provides to the Italian GDP is considered. Such an analysis is also based on the comparison with Italian data and is considered with the Theil, Gini, and Herfindahl-Hirschman indices. It is obtained that hagiotoponym cities represent a proxy of the overall Italian reality of medium-sized cities in the case of outliers removal.

An interesting contribution is due to Brock and Hommes (1997) and (1998). The authors propose sim... more An interesting contribution is due to Brock and Hommes (1997) and (1998). The authors propose simple, analytically tractable heterogeneous agent mod- els to show that irrational strategies can survive evolutionary selection. They studied heterogeneity in expectation formation by introducing the concept of Adaptive Belief System (ABS) to model economic and flnancial models. In this paper heterogeneity is assumed, in fact

Quality & Quantity, 2015

This paper analyzes some economic and demographic features of Italians living in cities containin... more This paper analyzes some economic and demographic features of Italians living in cities containing a Saint name in their appellation (hagiotoponyms). Demographic data come from the surveys done in the 15th (2011) Italian Census, while the economic wealth of such cities is explored through their recent [2007][2008][2009][2010][2011] aggregated tax income (ATI). This cultural problem is treated from various points of view. First, the exact list of hagiotoponyms is obtained through linguistic and religiosity criteria. Next, it is examined how such cities are distributed in the Italian regions. Demographic and economic perspectives are also offered at the Saint level, i.e. calculating the cumulated values of the number of inhabitants and the ATI, "per Saint", as well as the corresponding relative values taking into account the Saint popularity. On one hand, frequency-size plots and cumulative distribution function plots, and on the other hand, scatter plots and rank-size plots between the various quantities are shown and discussed in order to find the importance of correlations between the variables. It is concluded that rank-rank correlations point to a strong Saint effect, which explains what actually Saint-based toponyms imply in terms of comparing economic and demographic data.

Forecasting macroeconomic fundamentals in economic crises

Annals of Operations Research, 2015

ABSTRACT

The Social Science Journal, 2015

Statistical assessment of regional wealth inequalities: the Italian case

Quality & Quantity, 2014

Approximating multivariate Markov chains for bootstrapping through contiguous partitions

OR Spectrum, 2015

Physica A: Statistical Mechanics and its Applications, 2015

This paper discusses the size distribution, -in economic terms -of the Italian municipalities ove... more This paper discusses the size distribution, -in economic terms -of the Italian municipalities over the period 2007-2011. Yearly data are rather well fitted by a modified Lavalette law, while Zipf-Mandelbrot-Pareto law seems to fail in this doing. The analysis is performed either at a national as well as at a local (regional and provincial) level. Deviations are discussed as originating in so called king and vice-roy effects. Results confirm that Italy is shared among very different regional realities. The case of Lazio is puzzling.

New results on the convergence of random matrices

Statistics, 2013

This paper extends the previous convergence results in Cerqueti and Costantini (2008) to a more g... more This paper extends the previous convergence results in Cerqueti and Costantini (2008) to a more general case using larger normed set of functions. In this regard, the weight-based convergence of the random matrices and their generalized eigenvalues is obtained under less restrictive requirements for the weights.

Statistics & Probability Letters, 2008

Please cite this article as: Cerqueti, R., Costantini, M., On the asymptotic behaviour of random ... more Please cite this article as: Cerqueti, R., Costantini, M., On the asymptotic behaviour of random matrices in a multivariate statistical model. Statistics and Probability Letters ,