Applying complexity science to air traffic management
Versión aceptada obtenida del archivo digital en línea WestminsterResearch de la Universidad de Westminster. Complexity science is the multidisciplinary study of complex systems. Its marked network orientation lends itself well to transport contexts. Key features of complexity science are introduced and defined, with a specific focus on the application to air traffic management. An overview of complex network theory is presented, with examples of its corresponding metrics and multiple scales. Complexity science is starting to make important contributions to performance assessment and system design: selected, applied air traffic management case studies are explored. The important contexts of…
Multi-scale analysis of the European airspace using network community detection
We show that the European airspace can be represented as a multi-scale traffic network whose nodes are airports, sectors, or navigation points and links are defined and weighted according to the traffic of flights between the nodes. By using a unique database of the air traffic in the European airspace, we investigate the architecture of these networks with a special emphasis on their community structure. We propose that unsupervised network community detection algorithms can be used to monitor the current use of the airspaces and improve it by guiding the design of new ones. Specifically, we compare the performance of three community detection algorithms, also by using a null model which t…
Backbone of credit relationships in the Japanese credit market
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that is statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our findings with economic events that have characterized the Japanese credit market during the last years. The study of the time evolution of the backbone allows us to detect changes occurred in network size,…
Bank-firm credit network in Japan. An analysis of a bipartite network
We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection algorithm which is identifying communities composed by both banks and firms. We show that the clusters obtained by directly working on the bipartite network carry information about the networked nature of the Japanese credit market. Our analysis is performed for each calendar year during the time period from 1980 to 2011. Specifically, we obtain communities of banks and networks …
An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management
We present an agent based model of the Air Traffic Management socio-technical complex system that aims at modeling the interactions between aircrafts and air traffic controllers at a tactical level. The core of the model is given by the conflict detection and resolution module and by the directs module. Directs are flight shortcuts that are given by air controllers to speed up the passage of an aircraft within a certain airspace and therefore to facilitate airline operations. Conflicts resolution between flight trajectories can arise during the en-route phase of each flight due to both not detailed flight trajectory planning or unforeseen events that perturb the planned flight plan. Our mod…
Do firms share the same functional form of their growth rate distribution? A statistical test
We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate distribution. We applied the test to European Union and US publicly quoted manufacturing firms data, considering functional forms belonging to the Subbotin family of distributions. While our hypotheses are rejected for the vast majority of sets at the sector level, we cannot rejected them at the subsector level, indicating that homogenous panels of firms could be described by a common functional form of growth rate distribution.
Bootstrap validation of links of a minimum spanning tree
We describe two different bootstrap methods applied to the detection of a minimum spanning tree obtained from a set of multivariate variables. We show that two different bootstrap procedures provide partly distinct information that can be highly informative about the investigated complex system. Our case study, based on the investigation of daily returns of a portfolio of stocks traded in the US equity markets, shows the degree of robustness and completeness of the information extracted with popular information filtering methods such as the minimum spanning tree and the planar maximally filtered graph. The first method performs a "row bootstrap" whereas the second method performs a "pair bo…
ELSA air traffic simulator: An empirically grounded agent based model for the SESAR scenario
This paper describes the Air Traffic Simulator produced by the ELSA project. It is partially based on interacting agents taking actions during strategic and tactical phases: air companies, network manager, pilots, and controllers. The simulator is highly modular and each part can be used independently of the others. The code is open source, ready to use and available for the research community. Some results concerning the future organization of the European Airspace (free-routing) are presented, using the full capabilities of the model. We found that the implementation of free-routing could have a positive impact on the safety event occurrences that will be reduced in number although spread…
Scale-free relaxation of a wave packet in a quantum well with power-law tails
We propose a setup for which a power-law decay is predicted to be observable for generic and realistic conditions. The system we study is very simple: A quantum wave packet initially prepared in a potential well with (i) tails asymptotically decaying like ~ x^{-2} and (ii) an eigenvalues spectrum that shows a continuous part attached to the ground or equilibrium state. We analytically derive the asymptotic decay law from the spectral properties for generic, confined initial states. Our findings are supported by realistic numerical simulations for state-of-the-art expansion experiments with cold atoms.
Univariate and multivariate statistical aspects of equity volatility
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
An agent based model of air traffic management
The WP-E ELSA project aims at developing an empirically grounded agent based model that describes some of the stylized facts observed in the Air Traffic Management of the European airspace. The model itself has two main parts: (i) The strategic layer, focused on the interaction between the Network Manager and the Airline Operators and (ii) the tactical layer, focused on aircraft and controllers behaviour in Air Traffic Control (ATC) sectors. The preliminary results for the strategic layer show that when we have a mixing of re-routing and shifting companies, the overall satisfaction can even increase together with the number of flights, which is an effect not observed when only one type of c…
Statistically validated networks in bipartite complex systems.
Many complex systems present an intrinsic bipartite nature and are often described and modeled in terms of networks [1-5]. Examples include movies and actors [1, 2, 4], authors and scientific papers [6-9], email accounts and emails [10], plants and animals that pollinate them [11, 12]. Bipartite networks are often very heterogeneous in the number of relationships that the elements of one set establish with the elements of the other set. When one constructs a projected network with nodes from only one set, the system heterogeneity makes it very difficult to identify preferential links between the elements. Here we introduce an unsupervised method to statistically validate each link of the pr…
Soliton Solutions with Real Poles in the Alekseev formulation of the Inverse-Scattering method
A new approach to the inverse-scattering technique of Alekseev is presented which permits real-pole soliton solutions of the Ernst equations to be considered. This is achieved by adopting distinct real poles in the scattering matrix and its inverse. For the case in which the electromagnetic field vanishes, some explicit solutions are given using a Minkowski seed metric. The relation with the corresponding soliton solutions that can be constructed using the Belinskii-Zakharov inverse-scattering technique is determined.
Quantifying Preferential Trading in the e-MID Interbank Market
Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…
Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes
By performing a comprehensive study on 1832 segments of 1212 complete genomes of viruses, we show that in viral genomes the hairpin structures of thermodynamically predicted RNA secondary structures are more abundant than expected under a simple random null hypothesis. The detected hairpin structures of RNA secondary structures are present both in coding and in noncoding regions for the four groups of viruses categorized as dsDNA, dsRNA, ssDNA and ssRNA. For all groups hairpin structures of RNA secondary structures are detected more frequently than expected for a random null hypothesis in noncoding rather than in coding regions. However, potential RNA secondary structures are also present i…
A comparative analysis of the statistical properties of large mobile phone calling networks.
Mobile phone calling is one of the most widely used communication methods in modern society. The records of calls among mobile phone users provide us a valuable proxy for the understanding of human communication patterns embedded in social networks. Mobile phone users call each other forming a directed calling network. If only reciprocal calls are considered, we obtain an undirected mutual calling network. The preferential communication behavior between two connected users can be statistically tested and it results in two Bonferroni networks with statistically validated edges. We perform a comparative analysis of the statistical properties of these four networks, which are constructed from …
Statistically validated mobile communication networks: the evolution of motifs in European and Chinese data
Big data open up unprecedented opportunities to investigate complex systems including the society. In particular, communication data serve as major sources for computational social sciences but they have to be cleaned and filtered as they may contain spurious information due to recording errors as well as interactions, like commercial and marketing activities, not directly related to the social network. The network constructed from communication data can only be considered as a proxy for the network of social relationships. Here we apply a systematic method, based on multiple hypothesis testing, to statistically validate the links and then construct the corresponding Bonferroni network, gen…
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach.
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the cor…
The Weber-Wheeler-Bonnor pulse and phase shifts in gravitational soliton interactions
Abstract The WWB cylindrical pulse solution and the equivalent G 2 solution are analyzed particularly as the wave is reflected off the axis. Apparent phase shifts are revealed that are relevant to the discussion of whether or not phase shifts occur in gravitational soliton interactions.
A Scenario Simulation Model of Stock's Volatility Based on a Stationary Markovian Process
In this paper we discuss univariate statistical properties of volatility. We present a parsimonious univariate model that well reproduces two stylized facts of volatility: the power-law decay of the volatility probability density function with exponent α and the power-law decay of the autocorrelation function with exponent β. Such model also reproduces, at least qualitatively, the empirical observation than when the probability density function decays faster, then the autocorrelation decays slower. Another important feature investigated within the model is the mean First Passage Time (mFPT) Tx0 (Λ) of volatility time-series. We show that the proposed model allows to obtain the mFPT in terms…
Statistical characterization of deviations from planned flight trajectories in air traffic management
Understanding the relation between planned and realized flight trajectories and the determinants of flight deviations is of great importance in air traffic management. In this paper we perform an in depth investigation of the statistical properties of planned and realized air traffic on the German airspace during a 28 day periods, corresponding to an AIRAC cycle. We find that realized trajectories are on average shorter than planned ones and this effect is stronger during night-time than daytime. Flights are more frequently deviated close to the departure airport and at a relatively large angle to destination. Moreover, the probability of a deviation is higher in low traffic phases. All the…
Degree stability of a minimum spanning tree of price return and volatility
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time window of fixed length $T$. We find that the minimum spanning tree of asset return is characterized by stock degree values, which are more stable in time than the ones obtained by analyzing a minimum spanning tree computed starting from volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time-scale of several years in both cases.
Using network community detection to investigate psychological and social features of individuals condemned for mafia crimes
Objective: Only few studies have investigated social and personality characteristics of members of Italian organized criminal groups: Mafia, Camorra, ‘Ndrangheta, and Sacra Corona Unita. This study aimed to explore the most relevant social and clinical features of Mafia criminals and their psychopathic traits. Method: The Psychopathy Check List-Revised (PCL-R) and a socio-demographic questionnaire were administered to 30 condemned for Mafia crimes and imprisoned in the “Pagliarelli” district prison of Palermo (Italy). The results were investigated applying the methods of Network Theory. Results: The study identified two communities, which were statistically different in terms of history of …
Infra-Red Asymptotic Dynamics of Gauge Invariant Charged Fields: QED versus QCD
The freedom one has in constructing locally gauge invariant charged fields in gauge theories is analyzed in full detail and exploited to construct, in QED, an electron field whose two-point function W(p), up to the fourth order in the coupling constant, is normalized with on-shell normalization conditions and is, nonetheless, infra-red finite; as a consequence the radiative corrections vanish on the mass shell $p^2=\mu^2$ and the free field singularity is dominant, although, in contrast to quantum field theories with mass gap, the eigenvalue $\mu^2$ of the mass operator is not isolated. The same construction, carried out for the quark in QCD, is not sufficient for cancellation of infra-red …
First passage time distribution of stationary Markovian processes
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary distribution. When the process includes an infinite set of time-scales bounded from above, the FPT…
THE ROLE OF UNBOUNDED TIME-SCALES IN GENERATING LONG-RANGE MEMORY IN ADDITIVE MARKOVIAN PROCESSES
Any additive stationary and continuous Markovian process described by a Fokker–Planck equation can also be described in terms of a Schrödinger equation with an appropriate quantum potential. By using such analogy, it has been proved that a power-law correlated stationary Markovian process can stem from a quantum potential that (i) shows an x-2 decay for large x values and (ii) whose eigenvalue spectrum admits a null eigenvalue and a continuum part of positive eigenvalues attached to it. In this paper we show that such two features are both necessary. Specifically, we show that a potential with tails decaying like x-μ with μ < 2 gives rise to a stationary Markovian process which is not p…
Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at t…
Inverted Repeats in Viral Genomes
We investigate 738 complete genomes of viruses to detect the presence of short inverted repeats. The number of inverted repeats found is compared with the prediction obtained for a Bernoullian and for a Markovian control model. We find as a statistical regularity that the number of observed inverted repeats is often greater than the one expected in terms of a Bernoullian or Markovian model in several of the viruses and in almost all those with a genome longer than 30,000 bp.
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …
Adaptative air traffic network: Statistical regularities in air traffic management
Starting from traffic data on flights trajectories-planned and actual ones-in Europe, we build a navigation point network. We study this network which exhibits different features for different European countries. In particular, some countries uses a high number of navpoints, facilitating the planning of the flight plan by air companies at the cost of higher concentrations of traffic in few nodes. Making use of the deviations from the planned trajectories, we find that once again different countries have different control procedures with respect to traffic management. Interestingly, we find that some countries tend to make more deviations when the traffic conditions are low. Moreover, they t…
Distribution of Heavy Metals in Marine Sediments of Palermo Gulf (Sicily, Italy)
Concentrations of Cr, Cu, Hg, Pb and Zn have been measured, by atomic absorption spectrophotometry, in the fine fraction (<63 μm) of surface sediments collected in 30 sites in the Palermo Gulf (Sicily, Italy) in order to assess the levels and the spatial distribution of these elements. Enrichment factors calculated with respect to clean areas have been considered to discriminate between levels due to background or to pollution contributions. The sampling stations, which form a grid inside these areas, are characterized by geographic proximity and by the presence of pollution sources. Ratio matching technique along with hierarchical clustering, minimum spanning tree and principal component a…
ELSA Project: Toward a complex network approach to ATM delays analysis
The paper presents the preliminary results delivered by the WPE project ELSA. After some introductory notes about the project aims and structure, the paper shows how tools borrowed by the Complex Network Theory can be used to study the issue of delays in the air traffic system.
The extensions of gravitational soliton solutions with real poles
We analyse vacuum gravitational "soliton" solutions with real poles in the cosmological context. It is well known that these solutions contain singularities on certain null hypersurfaces. Using a Kasner seed solution, we demonstrate that these may contain thin sheets of null matter or may be simple coordinate singularities, and we describe a number of possible extensions through them.
Community characterization of heterogeneous complex systems
We introduce an analytical statistical method to characterize the communities detected in heterogeneous complex systems. By posing a suitable null hypothesis, our method makes use of the hypergeometric distribution to assess the probability that a given property is over-expressed in the elements of a community with respect to all the elements of the investigated set. We apply our method to two specific complex networks, namely a network of world movies and a network of physics preprints. The characterization of the elements and of the communities is done in terms of languages and countries for the movie network and of journals and subject categories for papers. We find that our method is ab…
Correlation based hierarchical clustering in financial time series
We review a correlation based clustering procedure applied to a portfolio of assets synchronously traded in a financial market. The portfolio considered consists of the set of 500 highly capitalized stocks traded at the New York Stock Exchange during the time period 1987-1998. We show that meaningful economic information can be extracted from correlation matrices.
Complex Networks in Air Transport
The application of CNT to air traffic management has seen significant growth in recent years. This is partly because air traffic can be seen as the superposition of different networks, including the networks of airports, sectors and navigation points. Moreover each of these networks can be seen as a multiplex – for example, by associating each layer with a different airline. The study of the topology of these networks is important for several reasons related to understanding, monitoring, controlling, and optimising the air traffic system. The topological properties of air traffic networks are useful: (i) for studying how the air traffic has changed in recent years; (ii) for identifying the …
Networks of equities in financial markets
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Alexithymia and personality traits of patients with inflammatory bowel disease
AbstractPsychological factors, specific lifestyles and environmental stressors may influence etiopathogenesis and evolution of chronic diseases. We investigate the association between Chronic Inflammatory Bowel Diseases (IBD) and psychological dimensions such as personality traits, defence mechanisms, and Alexithymia, i.e. deficits of emotional awareness with inability to give a name to emotional states. We analyzed a survey of 100 patients with IBD and a control group of 66 healthy individuals. The survey involved filling out clinical and anamnestic forms and administering five psychological tests. These were then analyzed by using a network representation of the system by considering it a…
Economic Sector Identification in a Set of Stocks Traded at the New York Stock Exchange: A Comparative Analysis
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that th…
Modeling long-range memory with stationary Markovian processes
In this paper we give explicit examples of power-law correlated stationary Markovian processes y(t) where the stationary pdf shows tails which are gaussian or exponential. These processes are obtained by simply performing a coordinate transformation of a specific power-law correlated additive process x(t), already known in the literature, whose pdf shows power-law tails 1/x^a. We give analytical and numerical evidence that although the new processes (i) are Markovian and (ii) have gaussian or exponential tails their autocorrelation function still shows a power-law decay =1/T^b where b grows with a with a law which is compatible with b=a/2-c, where c is a numerical constant. When a<2(1+c) th…
Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election
By analyzing a database of a questionnaire answered by a large majority of candidates and elected in a parliamentary election, we quantitatively verify that (i) female candidates on average present political profiles which are more compassionate and more concerned with social welfare issues than male candidates and (ii) the voting procedure acts as a process of information aggregation. Our results show that information aggregation proceeds with at least two distinct paths. In the first case candidates characterize themselves with a political profile aiming to describe the profile of the majority of voters. This is typically the case of candidates of political parties which are competing for…
How news affect the trading behavior of different categories of investors in a financial market
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic variable based on a sentiment analysis of news. Linear regression and partial correlation analysis of data show that different categories of investors are differently correlated to these factors. Governmental and non profit organizations are weakly sensitive to news and returns or volatility, and, typica…
Spanning Trees and bootstrap reliability estimation in correlation based networks
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300 most capitalized stocks traded at New York Stock Exchange during the time period 2001-2003. We show that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimum Spanning Tree does. We also show that the average reliability of links in the Minimum …
Exon deletions of the phenylalanine hydroxylase gene in Italian hyperphenylalaninemics
A consistent finding of many studies describing the spectrum of mutant phenylalanine hydroxylase (PAH) alleles underlying hyperphenylalaninemia is the impossibility of achieving a 100% mutation ascertainment rate using conventional gene-scanning methods. These methods include denaturing gradient gel electrophoresis (DGGE), denaturing high performance liquid chromatography (DHPLC), and direct sequencing. In recent years, it has been shown that a significant proportion of undetermined alleles consist of large deletions overlapping one or more exons. These deletions have been difficult to detect in compound heterozygotes using gene-scanning methods due to a masking effect of the non-deleted al…
High-Frequency Data
We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade and quote data, order book data, and market member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high-frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial varia…
Gene-based and semantic structure of the Gene Ontology as a complex network
The last decade has seen the advent and consolidation of ontology based tools for the identification and biological interpretation of classes of genes, such as the Gene Ontology. The information accumulated time-by-time and included in the GO is encoded in the definition of terms and in the setting up of semantic relations amongst terms. This approach might be usefully complemented by a bottom-up approach based on the knowledge of relationships amongst genes. To this end, we investigate the Gene Ontology from a complex network perspective. We consider the semantic network of terms naturally associated with the semantic relationships provided by the Gene Ontology consortium and a gene-based …
Analysis of the Structure and Dynamics of European Flight Networks
We analyze structure and dynamics of flight networks of 50 airlines active in the European airspace in 2017. Our analysis shows that the concentration of the degree of nodes of different flight networks of airlines is markedly heterogeneous among airlines reflecting heterogeneity of the airline business models. We obtain an unsupervised classification of airlines by performing a hierarchical clustering that uses a correlation coefficient computed between the average occurrence profiles of 4-motifs of airline networks as similarity measure. The hierarchical tree is highly informative with respect to properties of the different airlines (for example, the number of main hubs, airline participa…
Volatility in Financial Markets: Stochastic Models and Empirical Results
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.
Happy Aged People Are All Alike, While Every Unhappy Aged Person Is Unhappy in Its Own Way
Aging of the world’s population represents one of the most remarkable success stories of medicine and of humankind, but it is also a source of various challenges. The aim of the collaborative cross-cultural European study of adult well being (ESAW) is to frame the concept of aging successfully within a causal model that embraces physical health and functional status, cognitive efficacy, material security, social support resources, and life activity. Within the framework of this project, we show here that the degree of heterogeneity among people who view aging in a positive light is significantly lower than the degree of heterogeneity of those who hold a negative perception of aging. We base…
How News Affect the Trading Behavior of Different Categories of Investors in a Financial Market
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic variable based on a sentiment analysis of news. Linear regression and partial correlation analysis of data show that different categories of investors are differently correlated to these factors. Governmental and non profit organizations are weakly sensitive to news and returns or volatility, and, typica…
Role of conditional probability in multiscale stationary markovian processes.
The aim of the paper is to understand how the inclusion of more and more time-scales into a stochastic stationary Markovian process affects its conditional probability. To this end, we consider two Gaussian processes: (i) a short-range correlated process with an infinite set of time-scales bounded from below, and (ii) a power-law correlated process with an infinite and unbounded set of time-scales. For these processes we investigate the equal position conditional probability P(x,t|x,0) and the mean First Passage Time T(L). The function P(x,t|x,0) can be considered as a proxy of the persistence, i.e. the fact that when a process reaches a position x then it spends some time around that posit…
Core of communities in bipartite networks
We use the information present in a bipartite network to detect cores of communities of each set of the bipartite system. Cores of communities are found by investigating statistically validated projected networks obtained using information present in the bipartite network. Cores of communities are highly informative and robust with respect to the presence of errors or missing entries in the bipartite network. We assess the statistical robustness of cores by investigating an artificial benchmark network, the co-authorship network, and the actor-movie network. The accuracy and precision of the partition obtained with respect to the reference partition are measured in terms of the adjusted Ran…
Networked relationships in the e-MID Interbank market: A trading model with memory
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to other borrowers, with which the lender has never (or has in- frequently) interacted. The core of the model depends on only one parameter representing the initial attractiven…
Effective strategies for targeted attacks to the network of Cosa Nostra affiliates
AbstractNetwork dismantling has recently gained interest in the fields of intelligence agencies, anti-corruption analysts and criminal investigators due to its efficiency in disrupting the activity of malicious agents. Here, we apply this approach to detect effective strategies for targeted attacks to Cosa Nostra by analysing the collaboration network of affiliates that participate to the same crimes. We preliminarily detect statistically significant homophily patterns induced by being member of the same mafia syndicate. We also find that links between members belonging to different mafia syndicates play a crucial role in connecting the network into a unique component, confirming the releva…
Statistically validated hierarchical clustering: Nested partitions in hierarchical trees
We develop an algorithm that is fast and scalable in the detection of a nested partition extracted from a dendrogram that is obtained from hierarchical clustering of a multivariate series. Our algorithm provides a -value for each clade observed in the hierarchical tree. The -value is obtained by computing many bootstrap replicas of the dissimilarity matrix and by performing a statistical test on each difference between the dissimilarity associated with a given clade and the dissimilarity of the clade of its parent node. We prove the efficacy of our algorithm with a set of benchmarks generated by a hierarchically nested factor model. We compare results obtained by our algorithm with those of…
Scaling and data collapse for the mean exit time of asset prices
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …
Do Firms Share the Same Functional Form of Their Growth Rate Distribution? A New Statistical Test
We propose a hypothesis testing procedure to investigate whether the same growth rate distribution is shared by all the firms in a balanced panel or, more generally, whether they share the same functional form for this distribution, without necessarily sharing the same parameters. We apply the test to panels of US and European Union publicly quoted manufacturing firms, both at the sectoral and at the subsectoral NAICS levels. We consider the following null hypotheses about the growth rate distribution of the individual firms: i) an unknown shape common to all firms, with all the firms sharing also the same parameters, or with the firm variance related to its firm size through a scaling rela…
Posidonia oceanica as a Historical Monitor Device of Lead Concentration in Marine Environment
We show that Posidonia oceanica is able to reliably monitor the variability of environmental lead (Pb). We analyze lead concentration measured in the scales and rhizomes of Posidonia oceanica collected in seven sites along the coasts of the Sicily island and subsequently fractioned them according to a lepidochronological analysis. We measure lead concentration in Posidonia oceanica tissues by using the flame atomic absorption spectrophotometry technique. We compare the measured lead concentration with the estimated lead emission in air due to the gasoline sold and used for combustion in car engines in Sicily. By computation of the Pearson cross-correlation coefficient, we show that lead con…
Statistical Regularities in ATM: network properties, trajectory deviations and delays
One of the key enabler to the productivity and efficiency shift foreseen by SESAR will be the business-trajectory concept. The path to a deep understanding of how this new concept impacts on the future SESAR Air Traffic Management scenario goes through a better understanding of the actual air traffic network, and this will be done in the present paper by analyzing traffic data within the framework of complex network analysis. In this paper we will consider flights trajectory data from the Data Demand Repository database. In a first investigation, we perform a network study of the air traffic infrastructure starting from the airports and then refining our analysis at the level of navigation …
Understanding the determinants of volatility clustering in terms of stationary Markovian processes
Abstract Volatility is a key variable in the modeling of financial markets. The most striking feature of volatility is that it is a long-range correlated stochastic variable, i.e. its autocorrelation function decays like a power-law τ − β for large time lags. In the present work we investigate the determinants of such feature, starting from the empirical observation that the exponent β of a certain stock’s volatility is a linear function of the average correlation of such stock’s volatility with all other volatilities. We propose a simple approach consisting in diagonalizing the cross-correlation matrix of volatilities and investigating whether or not the diagonalized volatilities still kee…
An empirically grounded agent based simulator for the air traffic management in the SESAR scenario
In this paper we present a simulator allowing to perform policy experiments relative to the air traffic management. Different SESAR solutions can be implemented in the model to see the reaction of the different stakeholders as well as other relevant metrics (delay, safety, etc). The model describes both the strategic phase associated to the planning of the flight trajectories and the tactical modifications occurring in the en-route phase. An implementation of the model is available as an open-source software and is freely accessible by any user. More specifically, different procedures related to business trajectories and free-routing are tested and we illustrate the capabilities of the mode…
Anagraphical relationships and crime specialization within Cosa Nostra
Abstract The aim of the present work is to investigate the relationships established within Cosa Nostra, by making use of networks and complex-systems methods. The analysis is performed at three different levels, that is, individuals, groups within mafia syndicates, and relationships amongst mafia syndicates. The reported empirical analysis is based on the criminal records of 632 affiliates to Cosa Nostra selected from a set of 125 judgements emitted by the Palermo courts from 2000 to 2014. According to the criminal records of the Palermo Prosecutor Office, such a dataset includes approximately 10% of the whole population of Cosa Nostra affiliates in western Sicily. Furthermore, the vital s…
Quantifying preferential trading in the e-MID interbank market
Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…
Using Network Community Detection to Investigate the Psychopathy Levels of Subjects Condemned for Mafia Crimes
The main objective of this study is to understand what are the psychopathy levels of subjects condemned for Mafia crimes. To this end we will investigate a set of 30 subjects condemned for Mafia crimes and imprisoned in the “Pagliarelli” jail of Palermo (Italy). We will test their psychopathy level by using the PCL-R test. Additionally we will also investigate some other sociological feature of these subjects. This will allow us to characterize these criminals in terms of some psychiatric or sociological features. Such statistical characterization will be performed by using tools and methodologies of Statistical Physics and Network Theory. We believe that the importance of our study is twof…