showing 12 related works from this author
Backbone of credit relationships in the Japanese credit market
2016
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
2015
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 …
Bootstrap validation of links of a minimum spanning tree
2018
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…
Long-term ecology of investors in a financial market
2018
AbstractThe cornerstone of modern finance is the efficient market hypothesis. Under this hypothesis all information available about a financial asset is immediately incorporated into its price dynamics by fully rational investors. In contrast to this hypothesis many studies have pointed out behavioral biases in investors. Recently it has become possible to access databases that track the trading decisions of investors. Studies of such databases have shown that investors acting in a financial market are highly heterogeneous among them, and that heterogeneity is a common characteristic of many financial markets. The article describes an empirical study of the daily trading decisions of all Fi…
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach.
2016
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…
A variational method from the variance of energy
2005
A variational method is studied based on the minimum of energy variance. The method is tested on exactly soluble problems in quantum mechanics, and is shown to be a useful tool whenever the properties of states are more relevant than the eigenvalues. In quantum field theory the method provides a consistent second order extension of the gaussian effective potential.
Nonperturbative effective model for the Higgs sector of the standard model
2010
A nonperturbative effective model is derived for the Higgs sector of the Standard Model which is described by a simple scalar theory. The renormalized couplings are determined by the derivatives of the Gaussian effective potential that are known to be the sum of infinite bubble graphs contributing to the vertex functions. A good agreement has been found with strong coupling lattice simulations when a comparison can be made.
General interpolation scheme for thermal fluctuations in superconductors
2006
We present a general interpolation theory for the phenomenological effects of thermal fluctuations in superconductors. Fluctuations are described by a simple gauge invariant extension of the gaussian effective potential for the Ginzburg-Landau static model. The approach is shown to be a genuine variational method, and to be stationary for infinitesimal gauge variations around the Landau gauge. Correlation and penetration lengths are shown to depart from the mean field behaviour in a more or less wide range of temperature below the critical regime, depending on the class of material considered. The method is quite general and yields a very good interpolation of the experimental data for very…
Networked relationships in the e-MID Interbank market: A trading model with memory
2014
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…
GAUSSIAN EFFECTIVE POTENTIAL AND ANTIFERROMAGNETISM IN THE HUBBARD MODEL
2012
The Gaussian Effective Potential (GEP) is shown to be a useful variational tool for the study of the magnetic properties of strongly correlated electronic systems. The GEP is derived for a single band Hubbard model on a two-dimensional bi-partite square lattice in the strong coupling regime. At half-filling the antiferromagnetic order parameter emerges as the minimum of the effective potential with an accuracy which improves over RPA calculations and is very close to that achieved by Monte Carlo simulations. Extensions to other magnetic systems are discussed.
Self-consistent variational approach to the minimal left-right symmetric model of electroweak interactions
2006
The problem of mass generation is addressed by a Gaussian variational method for the minimal left-right symmetric model of electroweak interactions. Without any scalar bidoublet, the Gaussian effective potential is shown to have a minimum for a broken symmetry vacuum with a finite expectation value for both the scalar Higgs doublets. The symmetry is broken by the fermionic coupling that destabilizes the symmetric vacuum, yielding a self consistent fermionic mass. In this framework a light Higgs is only compatible with the existence of a new high energy mass scale below 2 TeV.
Gaussian effective potential for the standard model SU(2)×U(1) electroweak theory
2008
The Gaussian effective potential is derived for the non-Abelian SU(2)×U(1) gauge theory of electroweak interactions. At variance with naive derivations, the Gaussian effective potential is proven to be a genuine variational tool in any gauge. The role of ghosts is discussed and the unitarity gauge is shown to be the only choice which allows calculability without insertion of further approximations. The full non-Abelian calculation confirms the existence of a light Higgs boson in the nonperturbative strong coupling regime of the Higgs sector.