arXiv subjects

Loretta Mastroeni

Publications and source records attributed to Loretta Mastroeni.

7 recordsLinked to original sources

arXiv2022

Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect

In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency movements which correspond, respectively, to short and long run dynamics. We show that the significant local correlation between food and oil is only apparent and this is mainly due both to the activity of commodity index investments and, to a lesser extent, to a growing demand from emerging economies. Moreover, the activity of commodity index investments gives evidence of the overall financialisation process. In addition, we employ wavelet entropy to assess the predictability of the time series under consideration at different frequencies. We find that some variables share a similar predictability structure with food and oil. These variables are the ones that move the most along with oil and food. We also introduce a novel measure, the Cross Wavelet Energy Entropy Measure (CWEEM), based on wavelet transformation and information entropy, with the aim of quantifying the intrinsic predictability of food and oil given demand from emerging economies, commodity index investments, financial stress, and global economic activity. The results show that these dynamics are best predicted by global economic activity at all frequencies and by demand from emerging economies and commodity index investments at high frequencies only.

q-fin.CP↗

arXiv2019

Personal Finance Decisions with Untruthful Advisors: an Agent-Based Model

Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in the past, the media and regulators blamed biased advisors for manipulating the expectations of naive investors. In order to give an analytic formulation of the problem, we present an Agent-Based Model formed by individual investors and a financial advisor. We parametrize the games by considering a compromise for the financial advisor (between a sufficient reward by bank and to keep his/her reputation), and a compromise for the customers (between the desired return and the proposed return by advisor). Then we obtain the Nash equilibria and the best response functions of the resulting game. We also describe the parameter regions in which these points result acceptable equilibria and the greediness/naivety of the customers emerge naturally from the model. Finally, we focus on the efficiency of the best Nash equilibrium.

q-fin.CP↗

arXiv2017

"Chaos" in energy and commodity markets: a controversial matter

We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and a determinism test, both based on the reconstruction of the phase space. In particular, employing a recent methodology, we estimate a coefficient $κ$ that describes the determinism rate of the analyzed time series. We find that the underlying system for futures prices shows a reliability level $κ$ near to $1$ while the MLE is positive for all commodity futures series. Thus, the empirical evidence suggests that commodity and energy futures prices are the measured footprint of a nonlinear deterministic, rather than a stochastic, system.

q-fin.ST↗

arXiv2016

"Butterfly Effect" vs Chaos in Energy Futures Markets

In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the determinism of those series. This paper is distinguished from previous studies in the following points: first, we reread existent works in the literature on energy markets, enlightening the role of \emph{butterfly effect} in chaos definition (introduced by Devaney), using this definition to prevent us from misleading results about ostensible chaoticity of the price series. Second, we test for the time series for sensitive dependence on initial conditions, introducing a coefficient that describes the determinism rate of the series and that represents its reliability level (in percentage). The introduction of this reliability level is motivated by the fact that time series generated from stochastic systems also might show sensitive dependence on initial conditions. According to this perspective, the maximum reliability level obtained here is too low to be able to ensure that there is strong evidence of sensitive The maximum reliability level obtained here was been $\simeq 56\% $, too low to ensure strong evidence of sensitive dependence on initial conditions.

q-fin.ST↗

arXiv2012

Analysis of cloud storage prices

Cloud storage is fast securing its role as a major repository for both consumers and business customers. Many companies now offer storage solutions, sometimes for free for limited amounts of capacity. We have surveyed the pricing plans of a selection of major cloud providers and compared them using the unit price as the means of comparison. All the providers, excepting Amazon, adopt a bundling pricing scheme; Amazon follows instead a block-declining pricing policy. We compare the pricing plans through a double approach: a pointwise comparison for each value of capacity, and an overall comparison using a two-part tariff approximation and a Pareto-dominance criterion. Under both approaches, most providers appear to offer pricing plans that are more expensive and can be excluded from a procurement selection in favour of a limited number of dominant providers.

cs.DC↗

arXiv2012

Pricing of insurance policies against cloud storage price rises

When a company migrates to cloud storage, the way back is neither easy nor cheap. The company is then locked up in the storage contract and exposed to upward market prices, which reduce the company's profit and may even bring it below zero. We propose a protection means based on an insurance contract, by which the cloud purchaser is indemnified when the current storage price exceeds a pre-defined threshold. By applying the financial options theory, we provide a formula for the insurance price (the premium). By using historical data on market prices for disks, we apply the formula in realistic scenarios. We show that the premium grows nearly quadratically with the length of the coverage period as long as this is below one year, but grows more slowly, though faster than linearly, over longer coverage periods.

cs.OH↗

arXiv2010

Spectrum Trading: An Abstracted Bibliography

This document contains a bibliographic list of major papers on spectrum trading and their abstracts. The aim of the list is to offer researchers entering this field a fast panorama of the current literature. The list is continually updated on the webpage \url{http://www.disp.uniroma2.it/users/naldi/Ricspt.html}. Omissions and papers suggested for inclusion may be pointed out to the authors through e-mail (\textit{naldi@disp.uniroma2.it}).

cs.NI↗