1,721,082 research outputs found
Malagasy Dialects and the Peopling of Madagascar
No full textServa M, Petroni F, Volchenkov D, Wichmann S. Malagasy Dialects and the Peopling of Madagascar. Interface. Journal of the Royal Society. 2012;9(66):54-67
Generating synthetic time series from Bak-Sneppen co-evolution model mixtures
No full textThe Bak-Sneppen model of co-evolution is used to derive synthetic time series with a priori specified fractal dimension (or Hurst exponent) through a mixing of processes in various lattice dimensions. Both theoretical and numerical analyses concern the avalanches at the critical threshold and provide a model for time series reconstruction that can be tested as an alternative to the classical fractional Brownian motion (fBm) because of differences in properties. New results on critical threshold and avalanche structure are obtained up to Euclidean dimension d = 6. The method involves a lattice-based structure and therefore is suitable for the application of parallel computing
A model for the elaboration of information on financial markets with information asymmetry
No full textSpot foreign exchange market and time series
No full textWe investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Olsen and Associates). In our-analysis we show that a naive approach to the definition of price (for example using the spot mid price) may lead to wrong conclusions on price behavior as for example the presence of short term correlations for returns. For this purpose we introduce an algorithm which only uses the non arbitrage principle to estimate real prices from the spot ones. The new definition leads to returns which are not affected by spurious correlations. Furthermore, any apparent information (defined by using Shannon entropy) contained in the data disappears
Information asymmetry in banks and insurances. XXIX Convegno AMASES, Palermo, Settembre 2005
No full text
Statistical dynamics of religion evolutions
No full textA religion affiliation can be considered as a "degree of freedom" of an agent on the human genre network. A brief review is given on the state of the art in data analysis and modelization of religious "questions" in order to suggest and if possible initiate further research, after using a "statistical physics filter". We present a discussion of the evolution of 18 so-called religions, as measured through their number of adherents between 1900 and 2000. Some emphasis is made on a few cases presenting a minimum or a maximum in the investigated time range-thereby suggesting a competitive ingredient to be considered, besides the well accepted "at birth" attachment effect. The importance of the "external field" is still stressed through an Avrami late stage crystal growth-like parameter. The observed features and some intuitive interpretations point to opinion based models with vector, rather than scalar, like agents. © 2009 Elsevier B.V. All rights reserved
A micro-to-macro approach to returns, volumes and waiting times
Full text linkModelling stock prices has been a research topic for many decades and it is still an open question. Different approaches have been used in the literature, the majority of which can be classified within the so-called econometric framework and sometimes also referred to as the macro-to-micro approach. Another strand of literature relies on the modelling of directly observable quantities, the so-called micro-to-macro approach. Based on this second line of research, we propose a new multivariate stochastic process to model simultaneously price returns, trading volumes and the time interval between changes in trades, price and volume. The proposed model is based on a generalization of semi-Markov chain models and copulas and is motivated by empirical evidence that the three mentioned variables are correlated and long-range autocorrelated. Utilizing Monte Carlo simulations, we compared our model with real data from the Italian stock market and show that it can reproduce many empirical pieces of evidence. The proposed model can be used in the field of portfolio optimization, development of risk measure and volatility forecasting
Language distance and tree reconstruction
No full textLanguages evolve over time according to a process in which reproduction, mutation and extinction are all possible. This is very similar to haploid evolution for asexual organisms and for the mitochondrial DNA of complex ones. Exploiting this similarity, it is possible, in principle, to verify hypotheses concerning the relationship among languages and to reconstruct their family tree. The key point is the definition of the distances among pairs of languages in analogy with the genetic distances among pairs of organisms. Distances can be evaluated by comparing grammar and/ or vocabulary, but while it is difficult, if not impossible, to quantify grammar distance, it is possible to measure a distance from vocabulary differences. The method used by glottochronology computes distances from the percentage of shared ' cognates', which are words with a common historical origin. The weak point of this method is that subjective judgment plays a significant role. Here we de. ne the distance of two languages by considering a renormalized edit distance among words with the same meaning and averaging over the two hundred words contained in a Swadesh list. In our approach the vocabulary of a language is the analogue of DNA for organisms. The advantage is that we avoid subjectivity and, furthermore, reproducibility of results is guaranteed. We apply our method to the Indo- European and the Austronesian groups, considering, in both cases,fifty different languages. The two trees obtained are, in many respects, similar to those found by glottochronologists, with some important differences as regards the positions of a few languages. In order to support these different results we separately analyze the structure of the distances of these languages with respect to all the others
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