Search results for "quantitative"
showing 10 items of 2409 documents
Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
2007
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…
Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance
2007
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the underlying correlation matrix when the variables are described by a multivariate Gaussian distribution. Here we use the Kullback-Leibler distance to investigate the performance of filtering methods based on Random Matrix Theory and on the shrinkage technique. We also present some results on the application of the Kullback-Leibler distance to multivariate data which are non Gaussian distributed.
Volatility Effects on the Escape Time in Financial Market Models
2008
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.
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 …
The non-random walk of stock prices: The long-term correlation between signs and sizes
2007
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…
Correlation based networks of equity returns sampled at different time horizons
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
Blue Moon: Is This a Property of Background Aerosol?
2010
Stellar extinction measurements made at three astronomical observatories showed that on ~50% of the nights the extinction due to aerosol light scattering increased rather than decreased with increasing wavelength (anomalous extinction) for wavelengths close to 500 nm. This extinction behavior is analyzed in this paper and limits are established for the aerosol characteristics necessary for this phenomenon to exist, including geometric standard deviations, imaginary part of refractive index, mean radius, and gaseous NO(2).
Bifurcation of traveling waves in a Keller–Segel type free boundary model of cell motility
2018
We study a two-dimensional free boundary problem that models motility of eukaryotic cells on substrates. This problem consists of an elliptic equation describing the flow of cytoskeleton gel coupled with a convection-diffusion PDE for the density of myosin motors. The two key properties of this problem are (i) presence of the cross diffusion as in the classical Keller-Segel problem in chemotaxis and (ii) nonlinear nonlocal free boundary condition that involves curvature of the boundary. We establish the bifurcation of the traveling waves from a family of radially symmetric steady states. The traveling waves describe persistent motion without external cues or stimuli which is a signature of …
Axisymmetric solutions for a chemotaxis model of Multiple Sclerosis
2018
In this paper we study radially symmetric solutions for our recently proposed reaction–diffusion–chemotaxis model of Multiple Sclerosis. Through a weakly nonlinear expansion we classify the bifurcation at the onset and derive the amplitude equations ruling the formation of concentric demyelinating patterns which reproduce the concentric layers observed in Balò sclerosis and in the early phase of Multiple Sclerosis. We present numerical simulations which illustrate and fit the analytical results.
Linear inverse filtering improves spatial separation of nonlinear brain dynamics: a simulation study.
2000
We examined topographic variations in nonlinear measures based on scalp voltages, which were generated by two simulated current dipoles each placed in a different hemisphere of a spherical volume conductor (three-shell model). Dipole dynamics were that of a three-torus and the x-component of the Lorenz-system and scalp voltage were calculated for a configuration of 29 electrode positions. Although estimates for correlation dimension D2 and Lyapunov exponent L1 were close to the theoretical values for the original time series, the simulated scalp voltage data showed almost no topographic resolution of dipole positions. In order to enhance topographic differentiation, we constructed linear in…