1,721,031 research outputs found
On the Statistical Physics Contribution to Quantitative Finance
No full textA short review is given of some research topics recently developed in the framework of quantitative finance and which can be referred to the effort of adapting methods and technologies of statistical physics to the analysis of economic systems. In particular we emphasize the role of a different, new perspective, in approaching financial problems, originated within the theory of complex systems and based on concepts like universality, scaling and correlation properties. Once applied to the time evolution of prices and volatility, this approach allows for the recognition of long-range and nonlinear effects in financial time series
Multispecies grand-canonical models for networks with reciprocity
No full textReciprocity is a second-order correlation that has been recently detected in all real directed networks and shown to have a crucial effect on the dynamical processes taking place on them. However, no current theoretical model generates networks with this nontrivial property. Here we propose a grand-canonical class of models reproducing the observed patterns of reciprocity by regarding single and double links as Fermi particles of different “chemical species” governed by the corresponding chemical potentials. Within this framework we find interesting special cases such as the extensions of random graphs, the configuration model, and hidden-variable models. Our theoretical predictions are also in excellent agreement with the empirical results for networks with well-studied reciprocity
Wealth dynamics on complex networks
No full textWe study a model of wealthdynamics (Physica A 282 (2000) 536) which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of the underlying transaction network. The extreme cases of a fully connected and a fully disconnected network yield power-law and log-normal forms of the wealth distribution, respectively. We perform numerical simulations in order to test the model on more complexnetwork topologies. We show that the mixed form of most empirical distributions (displaying a non-smooth transition from a log-normal to a power-law form) can be traced back to a heterogeneous topology with varying link density, which on the other hand is a recently observed property of real networks
Fitness-dependent topological properties of the World Trade Web
No full textThe all relevant topological properties of the world trade web (WTW) formed by the trade relationhips between all world countries were discussed. The gross domestic product (GDP) was identified with the fitness variable once a form of the connection probability was introduced. Properties upto third-order correlation structure were found to be in excellent agreement with the predictions of the network model. The network connection probability was such that all realizations of the network with the same degree sequence were equiprobable
Patterns of link reciprocity in directed networks
No full textWe address the problem of link reciprocity, the nonrandom presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation between mutual links. We find that real networks are always either correlated or anticorrelated, and that networks of the same type (economic, social, cellular, financial, ecological, etc.) display similar values of the reciprocity. The observed patterns are not reproduced by current models. This leads us to introduce a more general framework where mutual links occur with a conditional connection probability. In some of the studied networks we discuss the form of the conditional connection probability and the size dependence of the reciprocity
Detecting spatial homogeneity in the World Trade Web with Detrended Fluctuation Analysis
No full textIn a spatially embedded network, that is a network where nodes can be uniquely determined in a system of coordinates, links’ weights might be affected by metric distances coupling every pair of nodes (dyads). In order to assess to what extent metric distances affect relationships (link’s weights) in a spatially embedded network, we propose a methodology based on DFA (Detrended Fluctuation Analysis). DFA is a well developed methodology to evaluate autocorrelations and estimate long-range behavior in time series. We argue it can be further extended to spatially ordered series in order to assess autocorrelations in values. A scaling exponent of 0.5 (uncorrelated data) would thereby signal a perfect homogeneous space embedding the network. We apply the proposed methodology to the World Trade Web (WTW) during the years 1949–2000 and we find, in some contrast with predictions of gravity models, a declining influence of distances on trading relationships
On the creation of quantized vortex lines in rotating He II
No full textIn this paper we present some hydrodynamical consequences of a previously proposed stochastic model for superfluid4He. We discuss in particular the possibility of time-dependent evolutions which, starting from a rotational initial state, lead to asymptotic stationary solutions where the vorticity is concentrated in singular regions. An example of such asymptotic stationary solutions is the quantized vortex line solution. We also recall the concept of quantum critical slipping velocity and investigate some possible consequences on the spin-up problem and on the creation of systems of vortex lines
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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