Mr Reffell guided the group along the Via del Babuino to the stunning Piazza del Popolo with its twin churches and ancient Egyptian obelisk. Surrounded by neoclassical buildings, the enormous square was practically empty compared with other parts of the city. A trail of senior citizens on segways zipped past while three mounted policemen stood guard in the centre of the open space. The children bounded about, taking loads of photographs and trying to spot the differences between the two adjacent Santa Maria churches, which, upon closer inspection, were not identical at all. Mr Reffell pointed out numerous other landmarks, including the Villa Borghese gardens, which they would visit later in the week along with the Villa Medici on Pincian Hill.

As the obelisk cast long shadows from the afternoon sun and the temperature began to fall, several of the children were shivering and the decision was made to turn back for the hotel. Max walked along beside Carlos and Dante, who were talking excitedly about their upcoming visit to the Colosseum.

‘Do you think we’ll get to walk inside the Hypogeum, where the gladiators and animals were held underground?’ Carlos asked. ‘I read that it was two levels and there were thirty-six trapdoors that they could burst out of into the arena at any time. Imagine standing there and all of a sudden a lion jumps on you or a gladiator. Which do you think would have been scarier?’

‘Lion,’ Dante replied emphatically. ‘What about you, Max?’

But the boy’s thoughts were elsewhere. Ever since they’d arrived in the city, he’d been thinking about his parents and wondering if that cryptic message on Christmas Eve had really meant anything. What were they looking for – or hiding from? And Max was almost certain the skyline they’d glimpsed while speaking to Fitz yesterday was of Rome, so it was entirely possible they were all here. Among the thousands of tourists, though, it didn’t seem likely that he and Kensy would find them. Earlier, he’d spotted a bald, broad-shouldered man in the crowd and, for a fleeting moment, Max had thought it was Fitz. Then the man turned to reveal a thin moustache and coal-coloured eyes. Max glanced over at his friends. ‘Sorry, what did you say?’

But Carlos and Dante had moved on and were talking about whether or not there might be ancient bloodstains in the arena. They were going to see if Mrs Vanden Boom had a DNA kit with her.

The group took a different route this time, heading down the Via del Corso, past shops and restaurants, hotels and more monuments. Restauranteurs shouted from doorways, urging diners to choose their establishment. As they neared another piazza with yet another central memorial, this time celebrating the victories of Marcus Aurelius, the shouting intensified and the friendly tones grew harsh.

‘Oh, good heavens,’ Mr Reffell said. ‘The Italians do love a protest, don’t they?’

Up ahead, an angry mob surrounded the stone column, chanting and holding aloft placards. There was a long line of armed carabinieri standing in front of an imposing building while a throng of photographers gathered as close as they dared to the giant front doors.

‘What are they upset about, sir?’ Inez asked.

‘I gather they are protesting the price of wheat and the shortages of grain,’ the man said. ‘That’s the Palazzo Chigi, where the Italian Prime Minister lives.’

‘And they’re calling her a lying swine,’ Dante added.

‘That’s a bit insensitive considering her son is missing,’ Max said.

Several of the children looked at him blankly. ‘How do you know that?’ Lola asked.

‘There was the front page of a newspaper on the wall outside the hotel. It said he’d run away and was last seen on Christmas Eve,’ Kensy chimed in.

‘The boy has been acting out since his mother remarried and she became Prime Minister,’ Lottie Ziegler added, noting that she’d read that in the paper too. The truth was, the information had come through from HQ that morning. After a quick assessment, Nico Vitale’s disappearance had been downgraded from an international incident to a mere case of a flighty boy with a penchant for tantrums.

A soaring Christmas tree sparkled in the centre of the palazzo, its crystal ornaments catching the light like millions of tiny stars. Suddenly, the crowd’s chanting intensified as a black Mercedes Benz zoomed into the square and screeched to a halt outside the front doors. A woman dressed head to toe in black walked out of the building, accompanied by a suave-looking man in a suit. Ignoring the hordes of photographers and journalists jostling for her attention, the Prime Minister hopped into the back of the car. Seconds later, it sped past the children, the photographers chasing after them, their flashbulbs like tiny explosions in the chilly evening air.

‘So that was the Prime Minister,’ Kensy said. ‘I wouldn’t fancy her job for all the money in the world.’

Autumn shook her head. ‘I hope they find her son soon. She must be worried sick.’

‘I know that feeling,’ Kensy said as they turned left into a side street.

Autumn reached out and held her friend’s hand, giving it a reassuring squeeze. At that moment Kensy’s watch vibrated on her wrist. It emitted a long beep followed by three short staccato bursts. Instinctively, Kensy pulled away.

‘I – I have to talk to Max,’ she said quickly, and pushed past the others to get to her brother, who was walking with his friends behind Mr Reffell. She hadn’t even reached him when she heard Max ask permission to run ahead to the hotel to use the loo.

‘I need to go too!’ she shouted, and took off after him before Mrs Vanden Boom could reply.

The twins bounded into the building and hid in the business centre on the ground floor. With a pencil poised in her hand, Kensy only had to wait a few seconds. This time she scribbled the dots and dashes while Max watched on. When she’d finished, the children looked at each other and then at the page.

In Rome. Following a lead. Will try to see you. Love, Mum and Dad.

‘Max,’ Kensy gasped, her eyes filling with tears, ‘they’re here.’