Roy Cerqueti | University Of Macerata, Italy (original) (raw)

Papers by Roy Cerqueti

Research paper thumbnail of 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.

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Research paper thumbnail of 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.

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Research paper thumbnail of Economic interactions and social tolerance: A dynamic perspective

Economics Letters, 2013

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Research paper thumbnail of Cross ranking of cities and regions: population versus income

Journal of Statistical Mechanics: Theory and Experiment, 2015

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Research paper thumbnail of 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.

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Research paper thumbnail of 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.

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Research paper thumbnail of Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes

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Research paper thumbnail of Speculative Bubbles Under Cross Sectional Dependence

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Research paper thumbnail of Testing for rational bubbles

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Research paper thumbnail of Fractional Nonparametric Cointegration Analysis

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Research paper thumbnail of Socio-economical analysis of Italy: The case of habiotoponym cities

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.

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Research paper thumbnail of A dynamic stochastic asset pricing model with heterogeneous agents

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

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Research paper thumbnail of Religion-based urbanization process in Italy: statistical evidence from demographic and economic data

Quality & Quantity, 2015

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Research paper thumbnail of Forecasting macroeconomic fundamentals in economic crises

Annals of Operations Research, 2015

ABSTRACT

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Research paper thumbnail of Socio-economical analysis of Italy: The case of hagiotoponym cities

The Social Science Journal, 2015

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Research paper thumbnail of Statistical assessment of regional wealth inequalities: the Italian case

Quality & Quantity, 2014

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Research paper thumbnail of Approximating multivariate Markov chains for bootstrapping through contiguous partitions

OR Spectrum, 2015

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Research paper thumbnail of Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data

Physica A: Statistical Mechanics and its Applications, 2015

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Research paper thumbnail of 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.

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Research paper thumbnail of On the asymptotic behaviour of random matrices in a multivariate statistical model

Statistics & Probability Letters, 2008

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Research paper thumbnail of 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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of 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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Economic interactions and social tolerance: A dynamic perspective

Economics Letters, 2013

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Cross ranking of cities and regions: population versus income

Journal of Statistical Mechanics: Theory and Experiment, 2015

Bookmarks Related papers MentionsView impact

Research paper thumbnail of 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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of 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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Speculative Bubbles Under Cross Sectional Dependence

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Testing for rational bubbles

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Fractional Nonparametric Cointegration Analysis

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Socio-economical analysis of Italy: The case of habiotoponym cities

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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of A dynamic stochastic asset pricing model with heterogeneous agents

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

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Religion-based urbanization process in Italy: statistical evidence from demographic and economic data

Quality & Quantity, 2015

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Forecasting macroeconomic fundamentals in economic crises

Annals of Operations Research, 2015

ABSTRACT

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Socio-economical analysis of Italy: The case of hagiotoponym cities

The Social Science Journal, 2015

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Statistical assessment of regional wealth inequalities: the Italian case

Quality & Quantity, 2014

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Approximating multivariate Markov chains for bootstrapping through contiguous partitions

OR Spectrum, 2015

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data

Physica A: Statistical Mechanics and its Applications, 2015

Bookmarks Related papers MentionsView impact

Research paper thumbnail of 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.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of On the asymptotic behaviour of random matrices in a multivariate statistical model

Statistics & Probability Letters, 2008

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