A5068695616- Complex Systems and Time Series Analysis
- Financial Risk and Volatility Modeling
- Complex Network Analysis Techniques
- Financial Markets and Investment Strategies
- Stock Market Forecasting Methods
- Market Dynamics and Volatility
- Opinion Dynamics and Social Influence
- Time Series Analysis and Forecasting
- stochastic dynamics and bifurcation
- Fractal and DNA sequence analysis
- Economic theories and models
- Theoretical and Computational Physics
- Banking stability, regulation, efficiency
- Stochastic processes and financial applications
- Advanced Thermodynamics and Statistical Mechanics
- Spectroscopy and Quantum Chemical Studies
- Nonlinear Dynamics and Pattern Formation
- RNA and protein synthesis mechanisms
- Machine Learning in Bioinformatics
- Statistical Mechanics and Entropy
- Air Traffic Management and Optimization
- Neural Networks and Applications
- Quantum optics and atomic interactions
- Genomics and Phylogenetic Studies
- Monetary Policy and Economic Impact
University of Palermo
2015-2024
Complexity Science Hub Vienna
2018-2024
Mathematics Research Center
2022
Consejo Nacional de Humanidades, Ciencias y Tecnologías
2022
University College London
2017-2021
University of London
2019
Central European University
2013-2017
Regional Environmental Center for Central and Eastern Europe
2015
Istituto Nazionale per la Fisica della Materia
1998-2008
Boston University
1994-2008
This book concerns the use of concepts from statistical physics in description financial systems. The authors illustrate scaling used probability theory, critical phenomena, and fully developed turbulent fluids. These are then applied to time series. also present a stochastic model that displays several properties observed empirical data. Statistical such as dynamics, short- long-range correlations, self-similarity permit an understanding global behaviour economic systems without first...
We introduce a class of stochastic process, the truncated L\'evy flight (TLF), in which arbitrarily large steps are eliminated. find that convergence sum $n$ independent TLFs to Gaussian process can require remarkably value $n$---typically $n\ensuremath{\approx}{10}^{4}$ contrast $n\ensuremath{\approx}10$ for common distributions. well-defined crossover between and regime, carries information about relevant parameters underlying process.
We introduce a technique to filter out complex data sets by extracting subgraph of representative links. Such filtering can be tuned up any desired level controlling the genus resulting graph. show that this is especially suitable for correlation-based graphs, giving filtered graphs preserve hierarchical organization minimum spanning tree but containing larger amount information in their internal structure. In particular case planar (genus equal 0), triangular loops and four-element cliques...
We propose a fast and accurate algorithm generating L\'evy stable stochastic processes of arbitrary index \ensuremath{\alpha} ranging between 0.3 1.99. The scale parameter is also controllable. very when lies 0.75 1.95.
An open question in computational molecular biology is whether long-range correlations are present both coding and noncoding DNA or only the latter. To answer this question, we consider all 33 301 29 453 eukaryotic sequences---each of length larger than 512 base pairs (bp---in release GenBank to determine there any statistically significant distinction their correlation properties. Standard fast Fourier transform (FFT) analysis indicates that sequences have practically no range from 10 bp...
We compare the topological properties of minimal spanning tree obtained from a large group stocks traded at New York Stock Exchange during 12-year trading period with one surrogated data simulated by using simple market models. find that empirical has features complex network cannot be reproduced, even as first approximation, random model and widespread one-factor model.
What are the dominant stocks which drive correlations present among traded in a stock market? Can correlation analysis provide an answer to this question? In past, based networks have been proposed as tool uncover underlying backbone of market. Correlation represent and their relationships, then investigated using different network theory methodologies. Here we introduce new concept tackle above question—the partial network. Partial is measure how between two variables, e.g., returns,...
Many complex systems present an intrinsic bipartite nature and are often described modeled in terms of networks [1-5]. Examples include movies actors [1, 2, 4], authors scientific papers [6-9], email accounts emails [10], plants animals that pollinate them [11, 12]. Bipartite very heterogeneous the number relationships elements one set establish with other set. When constructs a projected network nodes from only set, system heterogeneity makes it difficult to identify preferential links...
We use a Zipf plot to demonstrate that the upper tail of size distribution firms is too thin relative log normal rather than fat, as had previously been believed.
We extend the Zipf approach to analyzing linguistic texts statistical study of DNA base pair sequences and find that noncoding regions are more similar natural languages than coding regions. also adapt Shannon quantifying "redundancy" a text in terms measurable entropy function, demonstrate eukaryotes display smaller larger redundancy regions, supporting possibility may carry biological information.
We experimentally detect noise enhanced stability in an unstable physical system. The average escape time from a metastable, periodically driven, system is measured the stable and regimes noisy environment. In regime, we measure that has maximum for finite value of intensity. scaling properties variance times are compared with predictions obtained marginal state.
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated set 100 US equity markets. A hierarchical organization the is obtained by determining metric distance and investigating properties subdominant ultrametric associated with it. clear modification detected when time horizon used to determine stock returns changed. location energy sector as function horizon.
We empirically study the market impact of trading orders. are specifically interested in large orders that executed incrementally, which we call hidden These statistically reconstructed based on information about member codes using data from Spanish Stock Market and London Exchange. find is strongly concave, approximately increasing as square root order size. Furthermore, a given executed, grows time according to power law; after finished, it reverts level 0.5--0.7 its value at peak. observe...
We discuss examples of complex systems composed many interacting subsystems. focus on those displaying nontrivial long-range correlations. These include the one-dimensional sequence base pairs in DNA, flight times large seabird Wandering Albatross, and annual fluctuations growth rate business firms. review formal analogies models that describe observed correlations, conclude by discussing possibility behavior numbers humans (as measured, e.g., economic indices) might conform to analogs...
We investigate the daily correlation present among market indices of stock exchanges located all over world in time period January 1996 to July 2009. discover that presents both a fast and slow dynamics. The dynamics reflects development consolidation globalization. is associated with critical events originate specific country or region rapidly affect global system. provide evidence short term scale less than 3 trading months (about 60 days). average values nondiagonal elements matrix,...
The discovery that the epsilon 4 allele of apolipoprotein E (apoE) gene is a putative risk factor for Alzheimer disease (AD) in general population has highlighted role genetic influences this extremely common and disabling illness. It long been recognized another abnormality, trisomy 21 (Down syndrome), associated with early severe development AD neuropathological lesions. remains challenge, however, to understand how these facts relate pathological changes brains patients. We used...