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Università della Svizzera italiana

Learning about beta : Time-varying factor loadings, expected returns, and the conditional CAPM

Adrian,Tobias ; Franzoni, Francesco

In: Journal of empirical finance, 2009, vol. 16, no. 4, p. 537-556

We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter. Because of its focus on low-frequency variation in betas, our approach...

Università della Svizzera italiana

ICT and gamified learning in tourism education : a case of South African secondary schools

Adukaite, Asta ; Cantoni, Lorenzo (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016COM012.

Tourism is often introduced as a subject in formal education curricula because of the increasing and significant economic contribution of the tourism industry to the private and public sector. This is especially the case in emerging economies in Asia and Africa (Hsu, 2015; Mayaka Cuffy et al., 2012). Tourism in South Africa – which is the geographical setting of this research...

Università della Svizzera italiana

End-user development of mashups using live natural language programming

Aghaee, Saeed ; Pautasso, Cesare (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014INFO002.

The emergence of the long-tail in the market of software applications is shifting the role of end-users from mere consumers to becoming developers of applications addressing their unique, personal, and transient needs. On the Web, a popular form of such applications is called mashup, built out of the lightweight composition of Web APIs (reusable software components delivered as a service...

Università della Svizzera italiana

Response of residential electricity demand to price : the effect of measurement error

Alberini, Anna ; Filippini, Massimo

In: Energy economics, 2011, vol. 33, no. 5, p. 889-895

In this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 US states from 1995 to 2007. Earlier literature has examined residential energy consumption at the state level using annual or monthly data, focusing on the variation in price elasticities of demand across states or regions, but has failed to recognize...

Università della Svizzera italiana

An SMT-based verification framework for software systems handling arrays

Alberti, Francesco ; Sharygina, Natasha (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015INFO003.

Recent advances in the areas of automated reasoning and first-order theorem proving paved the way to the developing of effective tools for the rigorous formal analysis of computer systems. Nowadays many formal verification frameworks are built over highly engineered tools (SMT-solvers) implementing decision procedures for quantifier- free fragments of theories of interest for (dis)proving...

Università della Svizzera italiana

Monitoring a trans-border labour market in view of liberalization : the case of Ticino

Alberton, Siegfied ; Gonzalez, Oscar

Switzerland has signed a Treaty with the EU on free mobility. From June 2004, this will replace current regulations based on quotas of foreign work force, and will facilitate the access of Italian enterprises to the Ticino market. Evidence found when monitoring the Ticino economy for the period 1980-2002 shows that the opening of the market had largely been anticipated; indeed the regional...

Università della Svizzera italiana

Adoption and use of new information technology

Alderighi, Marco ; Maggi, Rico

A general result of information theory is that asymmetric information generates agent rents and distortions in production. In this paper, we analyse the impact of asymmetric information on adoption and use of information technology (IT). Depending on the conctracting scheme, different results may occur. We explore the differences between the case of contractible investment and the case of...

Università della Svizzera italiana

A new approach to check the free boundary of single factor interest rate put option

Allegretto, Walter ; Barone-Adesi, Giovanni ; Dinenis, Elias ; Lin, Yangpin ; Sorwar, Ghulam

The application of Green’s theorem to free boundary problems in option pricing leads to a new metric to measure numerical errors. Free boundaries for a variety of interest rate models are computed more accurately through minimization of our metric.

Università della Svizzera italiana

Causal loops : logically consistent correlations, time travel, and computation

Ämin, Baumeler ; Wolf, Stefan (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017INFO002.

Causal loops are loops in cause-effect chains: An effect can be the cause of that effect's cause. We show that causal loops can be unproblematic, and explore them from different points of view. This thesis is motivated by quantum theory, general relativity, and quantum gravity. By accepting all of quantum theory one can ask whether the possibility to take superpositions extends to causal...

Università della Svizzera italiana

Analysis and new constructions of generalized barycentric coordinates in 2D

Anisimov, Dmitry ; Hormann, Kai (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017INFO004.

Different coordinate systems allow to uniquely determine the position of a geometric element in space. In this dissertation, we consider a coordinate system that lets us determine the position of a two-dimensional point in the plane with respect to an arbitrary simple polygon. Coordinates of this system are called generalized barycentric coordinates in 2D and are widely used in computer...