Search

Your search keyword '"Barucci E"' showing total 42 results
Start Over Author "Barucci E"
42 results on '"Barucci E"'

1. An investigation of the Volatility Adjustment

Author

Barucci, E, Marazzina, D, Rroji, E, Barucci, Emilio, Marazzina, Daniele, Rroji, Edit, Barucci, E, Marazzina, D, Rroji, E, Barucci, Emilio, Marazzina, Daniele, and Rroji, Edit

Abstract

We use market data to reconstruct the volatility adjustment, a component of the Solvency II framework designed to mitigate the impact of market risk on insurance liabilities, of different countries on a monthly basis. Only partially in agreement with the regulation, we observe that the volatility adjustment, especially the proposed new mechanism, is not affected by credit quality, illiquidity of bonds, and investors’ risk appetite, but by turbulence in financial markets and equity market performance. We also show that the new mechanism proposed by EIOPA performs differently with respect to the one in force at the time of writing the current paper, yielding higher and smoother values and providing a relief to insurance companies on the Solvency II capital requirement front.

Published
2023

2. A machine learning algorithm for stock picking built on information based outliers

Author

Barucci, E, Bonollo, M, Poli, F, Rroji, E, Barucci E., Bonollo M., Poli F., Rroji E., Barucci, E, Bonollo, M, Poli, F, Rroji, E, Barucci E., Bonollo M., Poli F., and Rroji E.

Abstract

Stock picking based on regularities in time series is one of the most studied topics in the financial industry. Various machine learning techniques have been employed for this task. We build a trading strategy algorithm that receives as input indicators defined through outliers in the time series of stocks (return, volume, volatility, bid-ask spread). The procedure identifies the most relevant subset of indicators for the prediction of stock returns by combining an heuristic search strategy, guided from the Information Gain Criterium, with the Naive-Bayes classification algorithm. We apply the methodology to two sets of stocks belonging respectively to the EUROSTOXX50 and the DOW JONES index. Performance is smoother than in the Buy&Hold strategy and yields a higher risk-adjusted return, in particular in a turbulent period. However, outperformance vanishes when transaction costs (5–15 basis points) are inserted. Asset return and return/volume serial correlation turn out to be the most relevant indicators to build the trading algorithm.

Published
2021

5. The determinants of lapse rates in the Italian life insurance market

Author

Barucci, E, Colozza, T, Marazzina, D, Rroji, E, Barucci, Emilio, Colozza, Tommaso, Marazzina, Daniele, Rroji, Edit, Barucci, E, Colozza, T, Marazzina, D, Rroji, E, Barucci, Emilio, Colozza, Tommaso, Marazzina, Daniele, and Rroji, Edit

Abstract

We investigate the drivers of lapses in life insurance contracts of a large Italian insurance company. We consider both traditional (with profit or participating) and unit-linked policies. We develop two different types of analyses. First of all, we investigate the determinants of lapse decisions by policyholders looking at microdata on each contract and some macroeconomic variables. Then, through a panel study, we investigate the role of macroeconomic variables on lapses at the regional level. We observe that policy features affecting lapses of the two types of contracts are quite different. Only for the contracts stipulated few years before, we find weak evidence supporting the Interest Rate Hypothesis, i.e. a positive correlation between interest and lapse rates. Instead, there is some positive evidence that lapse rates are positively related to personal financial/economic difficulties (emergency fund hypothesis).

Published
2020

9. Introduction

Author

Barucci, E., Bassanini, F., and Messori, Marcello

Published
2014

18. Introduzione

Author

Barucci, E and Messori, Marcello

Published
2009

30. The Rise of Complex Beliefs Dynamics

Author

Barucci, E. and Posch, M.

Abstract

We prove that complex beliefs dynamics may emerge in linear stochastic models as the outcome of bounded rationality learning. If agents believe in a misspecified law of motion (which is correctly specified at the Rational Expectations Equilibria of the model) and update their beliefs observing the evolving economy, their beliefs can follow in the limit a beliefs cycle which is not a self-fulfilling solution of the model. The stochastic process induced by the learning rule is analyzed by means of an associated ordinary differential equation (ODE). The existence of a uniformly asymptotically stable attractor for the ODE implies the existence of a beliefs attractor, to which the learning process converges. We prove almost sure convergence by assuming that agents employ a projection facility and convergence with positive probability dropping this assumption. The rise of a limit cycle and of even more complex attractors is established in some monetary economics models assuming that agents update their beliefs with the Recursive Ordinary Least Squares and the Least Mean Squares algorithm.

Published
1996

34. The determinants of lapse rates in the Italian life insurance market

Author

Edit Rroji, Tommaso Colozza, Daniele Marazzina, Emilio Barucci, Barucci, E, Colozza, T, Marazzina, D, and Rroji, E

Subjects
Statistics and Probability, Economics and Econometrics, Profit (accounting), media_common.quotation_subject, Generalized linear model, Positive correlation, Dynamic panel, 01 natural sciences, 010104 statistics & probability, Survival analysi, Life insurance, 0502 economics and business, SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE, 0101 mathematics, Financial services, media_common, 050208 finance, Actuarial science, business.industry, Mathematical finance, 05 social sciences, Lapse rate, Lapse, Interest rate, Microdata (HTML), Statistics, Probability and Uncertainty, business
Abstract

We investigate the drivers of lapses in life insurance contracts of a large Italian insurance company. We consider both traditional (with profit or participating) and unit-linked policies. We develop two different types of analyses. First of all, we investigate the determinants of lapse decisions by policyholders looking at microdata on each contract and some macroeconomic variables. Then, through a panel study, we investigate the role of macroeconomic variables on lapses at the regional level. We observe that policy features affecting lapses of the two types of contracts are quite different. Only for the contracts stipulated few years before, we find weak evidence supporting the Interest Rate Hypothesis, i.e. a positive correlation between interest and lapse rates. Instead, there is some positive evidence that lapse rates are positively related to personal financial/economic difficulties (emergency fund hypothesis).

Published
2020

35. A machine learning algorithm for stock picking built on information based outliers

Author

Federico Poli, Michele Bonollo, Edit Rroji, Emilio Barucci, Barucci, E, Bonollo, M, Poli, F, and Rroji, E

Subjects
Technical analysis, Index (economics), Computer science, business.industry, Autocorrelation, General Engineering, Volume (computing), Machine learning, computer.software_genre, Classification algorithm, Computer Science Applications, Technical analysi, Artificial Intelligence, Outlier, Trading strategy, Private information, Stock picking, Artificial intelligence, Volatility (finance), business, computer, Algorithm, Finance, Stock (geology), Financial services
Abstract

Stock picking based on regularities in time series is one of the most studied topics in the financial industry. Various machine learning techniques have been employed for this task. We build a trading strategy algorithm that receives as input indicators defined through outliers in the time series of stocks (return, volume, volatility, bid-ask spread). The procedure identifies the most relevant subset of indicators for the prediction of stock returns by combining an heuristic search strategy, guided from the Information Gain Criterium, with the Naive-Bayes classification algorithm. We apply the methodology to two sets of stocks belonging respectively to the EUROSTOXX50 and the DOW JONES index. Performance is smoother than in the Buy&Hold strategy and yields a higher risk-adjusted return, in particular in a turbulent period. However, outperformance vanishes when transaction costs (5–15 basis points) are inserted. Asset return and return/volume serial correlation turn out to be the most relevant indicators to build the trading algorithm.

Published
2021

37. Asset pricing with a forward-backward stochastic differential utility

Author

Fabio Antonelli, Emilio Barucci, Maria Elvira Mancino, Antonelli, F., Barucci, E., and Mancino, MARIA ELVIRA

Subjects
Consumption (economics), Economics and Econometrics, Disappointment, forward backward SDU, Consumption-based capital asset pricing model, Risk premium, Equity premium puzzle, education, asset pricing, Volatility risk premium, disappointment, Microeconomics, disappointment, anticipation, equity premium, asset pricing, forward backward SDU, equity premium, health services administration, medicine, Economics, anticipation, Capital asset pricing model, medicine.symptom, health care economics and organizations, Finance, Expected utility hypothesis
Abstract

In an intertemporal setting we model the anticipation–disappointment effect through a habit formation process which is a function of past consumption and of past expected utility. We show that in equilibrium the anticipation effect reduces the risk premium, whereas the disappointment effect induces a higher risk premium.

Published
2001

38. Asset pricing with endogenous aspirations

Author

Emilio Barucci, Maria Elvira Mancino, Fabio Antonelli, Antonelli, F., Barucci, E., and Mancino, MARIA ELVIRA

Subjects
Financial economics, Risk premium, media_common.quotation_subject, Representative agent, Conditional expectation, Affect (psychology), Econometrics, Economics, Capital asset pricing model, Habit, General Economics, Econometrics and Finance, health care economics and organizations, Finance, Expected utility hypothesis, Public finance, media_common
Abstract

We develop the classical asset pricing analysis assuming that the representative agent is characterized by endogenous aspirations. The agent's aspirations at time t are given by a linear combination of the standard of living (habit) at time t (the “forward” part) and of the conditional expectation at t of the habit at the end of the agent's life (the “backward” part). With this process we capture the fact that the agent's preferences are affected by what he plans to do in the future. Under certain conditions, the risk premium turns out to be higher than that obtained with an additive expected utility when both the forward and the backward parts affect the utility negatively.

40. Cognitive profile in cerebral small vessel disease: comparison between cerebral amyloid angiopathy and hypertension-related microangiopathy.

Author

Barucci E, Salvadori E, Magi S, Squitieri M, Fiore GM, Ramacciotti L, Formelli B, Pescini F, and Poggesi A

Subjects
Male, Humans, Cognition, Magnetic Resonance Imaging methods, Cerebral Amyloid Angiopathy complications, Cerebral Amyloid Angiopathy psychology, Cognitive Dysfunction psychology, Hypertension complications, Cerebral Small Vessel Diseases complications, Cerebral Small Vessel Diseases diagnostic imaging, Alzheimer Disease complications
Abstract

Cerebral amyloid angiopathy (CAA) is recognized as a cause of cognitive impairment, but its cognitive profile needs to be characterized, also respect to hypertension-related microangiopathy (HA). We aimed at comparing difference or similarity of CAA and HA patients' cognitive profiles, and their associated factors. Participants underwent an extensive clinical, neuropsychological, and neuroimaging protocol. HA patients (n = 39) were more frequently males, with history of vascular risk factors than CAA (n = 32). Compared to HA, CAA patients presented worse performance at MoCA (p = 0.001) and semantic fluency (p = 0.043), and a higher prevalence of amnestic MCI (46% vs. 68%). In univariate analyses, multi-domain MCI was associated with worse performance at MoCA, Rey Auditory Verbal Learning Test (RAVLT), and semantic fluency in CAA patients, and with worse performance at Symbol Digit Modalities Test (SDMT) and phonemic fluency in HA ones. In multivariate models, multi-domain deficit remained as the only factor associated with RAVLT (β = - 0.574) in CAA, while with SDMT (β = - 0.364) and phonemic fluency (β = - 0.351) in HA. Our results highlight different patterns of cognitive deficits in CAA or HA patients. While HA patients' cognitive profile was confirmed as mainly attentional/executive, a complex cognitive profile, characterized also by deficit in semantic memory, seems the hallmark of CAA patients., (© 2024. The Author(s).)

Published
2024
Full Text
View/download PDF

41. Online or on-campus? Analysing the effects of financial education on student knowledge gain.

Author

Agasisti T, Barucci E, Cannistrà M, Marazzina D, and Soncin M

Subjects
Humans, Program Evaluation, Educational Measurement, Curriculum, Students, Learning
Abstract

This paper describes the results of an experiment conducted in a technical university in Italy in 2019, involving the implementation and evaluation of an innovative short course on financial education. The programme applied a novel approach based on online learning and its effectiveness is compared against the effects of a traditional on-campus lecture, within an experimental setting. The findings indicate that the programme is effective: one week after taking the course, the students improved their pre-course test scores by about 4 points out of 10. No statistically significant difference in gains is found between students assigned to the online vs the on-campus mode of learning, suggesting a potential positive role of digital learning in this specific setting. An exploratory analysis of factors associated with the outcome reveal that the course has been particularly beneficial for those students initially less interested in finance., Competing Interests: Declarations of interest None., (Copyright © 2023 Elsevier Ltd. All rights reserved.)

Published
2023
Full Text
View/download PDF

42. Cognitive phenotypes and factors associated with cognitive decline in a cohort of older patients with atrial fibrillation: The Strat-AF study.

Author

Salvadori E, Barucci E, Barbato C, Formelli B, Cesari F, Chiti S, Diciotti S, Giusti B, Gori AM, Marzi C, Pescini F, Pracucci G, Fainardi E, Marcucci R, and Poggesi A

Subjects
Female, Humans, Male, Anticoagulants, Atrophy, Cognition, Phenotype, Prospective Studies, Risk Assessment methods, Risk Factors, Atrial Fibrillation complications, Cognitive Dysfunction complications, Stroke complications
Abstract

Background and Purpose: The multifactorial relationship between atrial fibrillation (AF) and cognitive impairment needs to be elucidated. The aim of this study was to assess, in AF patients on oral anticoagulants (OACs), the prevalence of cognitive impairment, defined according to clinical criteria or data-driven phenotypes, the prevalence of cognitive worsening, and factors associated with cognitive outcomes., Methods: The observational prospective Strat-AF study enrolled AF patients aged ≥ 65 years who were receiving OACs. The baseline and 18-month protocol included clinical, functional, and cognitive assessment, and brain magnetic resonance imaging. Cognitive outcomes were: empirically derived cognitive phenotypes; clinical diagnosis of cognitive impairment; and longitudinal cognitive worsening., Results: Out of 182 patients (mean age 77.7 ± 6.7 years, 63% males), 82 (45%) received a cognitive impairment diagnosis, which was associated with lower education level and functional status, and higher level of atrophy. Cluster analysis identified three cognitive profiles: dysexecutive (17%); amnestic (25%); and normal (58%). Compared to the normal group, the dysexecutive group was older, and had higher CHA 2 DS 2 -VASc scores, while the amnestic group had worse cognitive and functional abilities, and medial temporal lobe atrophy (MTA). Out of 128 followed-up patients, 35 (27%) had cognitive worsening that was associated with lower education level, worse cognitive efficiency, CHA 2 DS 2 -VASc score, timing of OAC intake, history of stroke, diabetes, non-lacunar infarcts, white matter hyperintensities and MTA. In multivariate models, belonging to the dysexecutive or amnestic group was a main predictor of cognitive worsening., Conclusions: In our cohort of older AF patients, CHA 2 DS 2 -VASc score, timing of OAC intake, and history of stroke influenced presence, type and progression of cognitive impairment. Empirically derived cognitive classification identified three groups with different clinical profiles and better predictive ability for cognitive worsening compared to conventional clinical diagnosis., (© 2023 The Authors. European Journal of Neurology published by John Wiley & Sons Ltd on behalf of European Academy of Neurology.)

Published
2023
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results