1,721,036 research outputs found
Network Modularity based Clustering for Portfolio Allocation: a Monte-Carlo Simulation Study
No full textThe need for effective simulation techniques, when studying the performance of portfolio investments in financial applications, was recognized since it was observed that backtesting typically introduces significant bias. However, while Monte Carlo simulations are commonly used in this application scenario, up to now no general frameworks have been proposed. This paper describes a general modeling and simulation framework that is used to study how allocation schemes perform when different synthetic time series generation models are employed. Moreover, we devised a novel portfolio allocation scheme where assets are nodes of a complex network and communities of correlated assets are detected and measured by means of modularity. Allocation is than obtained by equally distributing weights among different communities. We compare this novel scheme against state-of-the-art approaches in various scenarios, under Gaussian, Geometric Brownian motion and ARFIMA generation models. Results show that the proposed scheme outperforms the others in many scenarios
Agent-based Modelling in Multicellular Systems Biology
No full textThis chapter aims at discussing the content of multi-agent based simulation (MABS) applied to computational biology i.e., to modelling and simulating biological systems by means of computational models, methodologies, and frameworks. In particular, the adoption of agent-based modelling (ABM) in the field of multicellular systems biology is explored, focussing on the challenging scenarios of developmental biology. After motivating why agent-based abstractions are critical in representing multicellular systems behaviour, MABS is discussed as the source of the most natural and appropriate mechanism for analysing the self-organising behaviour of systems of cells. As a case study, an application of MABS to the development of Drosophila Melanogaster is finally presented, which exploits the ALCHEMIST platform for agent-based simulation
Spatial coordination of pervasive systems through chemical-inspired tuple spaces
No full textPervasive computing calls for developing distributed infrastructures featuring large-scale distribution, opennes, context-awareness, self-organisation and self-adaptation. There, it is quite natural to see services (software functionality, data, knowledge, signals) as spatial concepts: they are naturally diffused in the network, and in each location they are sensitive to the context and compete with each other - as such, they can be active in one or multiple regions (niches) of the network. To support and engineer this scenario, we propose a nature-inspired coordination model of chemical-inspired tuple spaces. They extend standard tuple spaces with the ability of evolving the "weight" of a tuple just as it represented the concentration of a chemical substance in a biochemical system, namely, in terms of reaction and diffusion rules that adaptively apply to tuples modulo semantic match. We show that this model can be used to enact self-* properties in pervasive systems, through typical spatial patterns involving computational fields, paths, and segregation. © 2010 IEEE
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
Employment study methodologies of Italian graduates through the data linkage of administrative archives and sample surveys
No full textBayesian isotonic logistic regression via constrained splines: an application to estimating the serve advantage in professional tennis
Full text linkIn professional tennis, it is often acknowledged that the server has an initial advantage. Indeed, the majority of points are won by the server, making the serve one of the most important elements in this sport. In this paper, we focus on the role of the serve advantage in winning a point as a function of the rally length. We propose a Bayesian isotonic logistic regression model for the probability of winning a point on serve. In particular, we decompose the logit of the probability of winning via a linear combination of B-splines basis functions, with athlete-specific basis function coefficients. Further, we ensure the serve advantage decreases with rally length by imposing constraints on the spline coefficients. We also consider the rally ability of each player, and study how the different types of court may impact on the player’s rally ability. We apply our methodology to a Grand Slam singles matches dataset
Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods
Full text linkLongitudinal analysis of Italian graduates employment paths through integration among different administrative sources
No full textVariations 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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