Disposition Effect

 

 

The disposition effect is a joint research project on the topic of Behavioral Economics & Finance developed by me and Lorenzo Mazzucchelli.

The disposition effect is an irrational behavior in financial markets consisting in the realization that investors are more likely to sell an asset when it is gaining value compared to when it is losing value. A phenomenon which is closely related to sunk costs’ bias, diminishing sensitivity, and loss aversion.

The research project aims at studying the disposition effect more deeply and and more effectively compared to what it is already been done by other researchers.
To do that, the project focuses on two main aspects:

  1. Methodological advances with the publication of 2 working papers:
  • Mazzucchelli, and Zanotti, 2024, Analysis of short-selling and volatility impact on disposition effect
  • Mazzucchelli, and Zanotti, 2024, Portfolio driven disposition effect: the wide framing approach
  1. Practical advances with the creation of a software helping researchers and institutions in the computation of the disposition effect: the dispositionEffect R Package.

The released version of the software is available on CRAN. The development version, instead, is available on Github.

The software has been presented at the useR!2021 Conference, it has been listed on the Top 40 New CRAN Packaes on August 2021, and it has been accepted within the R-Universe.

Silene Acaulis

The Silene acaulis is a collaboration project on the topic of Ecological Science developed by Maria Elisa Pierfederici. I have contributed to the research with the statistical analysis of biological data through R.

Climate is an important determinant of plant population growth rates; however, different components of climate may have contrasting effects on both plant population growth rates and individual plant vital rates. Thus, it is necessary to evaluate multiple climatic drivers simultaneously to understand how climate may affect plant population survival and persistence. The project focused on the alpine cushion plant Silene acaulis, a foundational plant widely distributed in the Northern hemisphere that facilitates other species by creating microclimatic habitats.

The project ends up with the publication of a scientific paper:

  • Pierfederici et al, 2024, Long and warm summers increase the population growth rate of Silene acaulis in Nordic regions.

Time Series Forecasting Tool: Global Models

Working project related to the development of a high-performance forecasting system that allows to quickly produce forecasts for thousands time series using many different approaches and algorithms.
Especially, the project focuses on the use of the novel global models methodologies.

Time Series Anomaly Detection: Ensemble Techiques

Working project related to the development of a ensemble anomaly detection method that allows to quickly estimate the probability of an observation to be an anomaly by using an ensemble learning strategy of many different anomaly detection methods.