1,721,053 research outputs found
Fractional differo-integral calculus: Towards a theory of fractal financial laws
No full textIn this work we determine the financial laws according to which the risk-less component of a risky portfolio must evolve in order to avoid possibility of arbitrages when the dynamics of the stochastic component of the same portfolio is driven by a fractional Brownian motion. In order to deal with this problem, we specify a deterministic fractional differential equation and we solve it by using the Liouville's second method
Gut microbiome investigation in celiac disease: from methods to its pathogenetic role
No full textOur body is inhabited by a variety of microbes (microbiota), mainly bacteria, that outnumber our own cells. Until recently, most of what we knew about the human microbiota was based on culture methods, whereas a large part of the microbiota is uncultivable, and consequently previous information was limited. The advent of culture-independent methods and, particularly, of next-generation sequencing (NGS) methodology, marked a turning point in studies of the microbiota in terms of its composition and of the genes encoded by these microbes (microbiome). The microbiome is influenced predominantly by environmental factors that cause a large inter-individual variability (~20%) being its heritability only 1.9%. The gut microbiome plays a relevant role in human physiology, and its alteration ("dysbiosis") has been linked to a variety of inflammatory gut diseases, including celiac disease (CD). CD is a chronic, immune-mediated disorder that is triggered by both genetic (mainly HLA-DQ2/DQ8 haplotypes) and environmental factors (gluten), but, in recent years, a large body of experimental evidence suggested that the gut microbiome is an additional contributing factor to the pathogenesis of CD. In this review, we summarize the literature that has investigated the gut microbiome associated with CD, the methods and biological samples usually employed in CD microbiome investigations and the putative pathogenetic role of specific microbial alterations in CD. In conclusion, both gluten-microbe and host-microbe interactions drive the gluten-mediated immune response. However, it remains to be established whether the CD-associated dysbiosis is the consequence of the disease, a simple concomitant association or a concurring causative factor
Analisi della struttura frattale del mercato finanziario italiano
No full textThe standard hypothesis on Normal (or Log-normal) distribution of the variations of the stock returns seems to be not verified in empirical works. In particular, many outliers, unstationarity in the variance level and asymmetry suggest the use of a Pareto-Lévy stable probability distribution. In our work, we have estimated the four parameters of this distribution for some time series concerning both stock market indexes and securities of the Italian stock market. These estimates lead to formulate the conjecture that the stochastic process generating the analysed stock returns be characterized by a fractal structure. In order to check this conjecture, we have empirically verified that the random variable concerning stock returns shows the property of statistical self-similarity, that is one of the properties of the fractal objects. Finally, we have empirically verified the property of invariance with respect to the sum (under the hypothesis of independence of the random variables), property characterizing only this family of distributions
Un approccio deterministico non lineare complesso alla valutazione delle opzioni finanziarie
No full textIn this paper, a formula for valuating the equilibrium price of an European call option is determined by assuming that the process underlying the returns is a complex nonlinear deterministic dynamics. In particular, this formula is obtained by solving a first order partial differential equation; it is possible to show that this ordinary differential equation and its solution can be obtained as a limit of the classic Black and Scholes stochastic approach
Analisi intervallare per modelli di selezione del portafoglio
Full text linkRapporto del Dipartimento di Matematica Applicata dell'Università di Venezi
Fractional differo-integral calculus for finance: some results
No full textIn this work we determine the financial laws accordin to which the riskless component of a random immunized portfolio must evolve in order to avoid the possibility of arbitrages, under the assumption following which the dynamics of the stochastic component of the same portfolio is describable by means of a fractional Brownian motion
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