Effects of diversification among assets in an agent-based market model

We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.Comment: 12 pages, 5 figures, accepted for publication in the Proceedings of the Complex Systems II Conference at the Australian National University, 4-7 December 2007, Canberra, ACT Australi

Applications of physical methods in high-frequency futures markets

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit order book the relaxation times of an imbalanced book state with more demand or supply can be described by stretched exponential laws analogous to those seen in many physical systems.Comment: 14 Pages and 10 figures. Proceeding to the SPIE conference, 4 - 7 December 2007 Australian National Univ. Canberra, ACT, Australi

Event-driven visual attention for the humanoid robot iCub.

Fast reaction to sudden and potentially interesting stimuli is a crucial feature for safe and reliable interaction with the environment. Here we present a biologically inspired attention system developed for the humanoid robot iCub. It is based on input from unconventional event-driven vision sensors and an efficient computational method. The resulting system shows low-latency and fast determination of the location of the focus of attention. The performance is benchmarked against an instance of the state of the art in robotics artificial attention system used in robotics. Results show that the proposed system is two orders of magnitude faster that the benchmark in selecting a new stimulus to attend

Applying neuromorphic vision sensors to planetary landing tasks

Recently there has been an increasing interest in application of bio-mimetic controller s and neuromorphic vision sensor s to planetary landing tasks. Within this context, we present combined low-level (SPICE) and high-level (behavioral) simulations of a novel neuromorphic VLSI vision sensor in a realistic planetary landing scenar io. We use results from low level simulations to build an abstr act descr iption of the chip which can be used in higher level simulations which include closed-loop control of the cr aft

A Multi Agent Model for the Limit Order Book Dynamics

In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a stochastic variable, "the market sentiment", which we define as a mixture of public and private information. The model, despite making just few basic assumptions over the trading strategies of the agents, is able to reproduce several empirical features of the high-frequency dynamics of the market microstructure not only related to the price movements but also to the deposition of the orders in the book.Comment: 20 pages, 11 figures, in press European Physical Journal B (EPJB

Study of semi-synthetic plastic objects of historic interest using non-invasive total reflectance FT-IR

A significant proportion of modern and contemporary artifacts and objects of historical interest, are composed of materials in the form of synthetic, semi-synthetic, and natural polymers. Each class of polymer and corresponding composite plastics are subject to different degradation processes. This means that conservators and curators of 20th century collections are faced with varied, nontrivial preservation issues. An unresolved problem is the identification of early plastics based on semi-synthetic polymers such as cellulose nitrate, cellulose acetate, and casein formaldehyde, which were often used to imitate the more valuable natural materials such as ivory, tortoiseshell, ebony, and bone. This exemplifies the need for non-invasive methods specifically tailored for identification of plastic materials in collections, so as to provide conservators with a means of materials classification to support preventive conservation strategies and interventive treatments. The present work is aimed at evaluating the effectiveness of non-invasive Total Reflectance (TR) FT-IR spectroscopy, coupled with a custom reference spectral TR FT-IR library, for the identification of materials comprising a series of unknown objects. A set of ten heritage objects made from early semi-synthetic materials was used as a training test set to validate the proposed methodological approach. The FT-IR data acquired on the test objects were pre-processed and finally classified using commercial software tools used for the automatic classification of spectra in FT-IR spectroscopy. The procedure was successfully applied to several cases, although residual uncertainties remained in a few examples. The results obtained are critically analyzed and discussed in the perspective of proposing a robust method for in-field prescreening of the chemical composition of plastic artistic and historical objects

Neuromorphic decoding of spinal motor neuron behaviour during natural hand movements for a new generation of wearable neural interfaces

We propose a neuromorphic framework to process the activity of human spinal motor neurons for movement intention recognition. This framework is integrated into a non-invasive interface that decodes the activity of motor neurons innervating intrinsic and extrinsic hand muscles. One of the main limitations of current neural interfaces is that machine learning models cannot exploit the efficiency of the spike encoding operated by the nervous system. Spiking-based pattern recognition would detect the spatio-temporal sparse activity of a neuronal pool and lead to adaptive and compact implementations, eventually running locally in embedded systems. Emergent Spiking Neural Networks (SNN) have not yet been used for processing the activity of in-vivo human neurons. Here we developed a convolutional SNN to process a total of 467 spinal motor neurons whose activity was identified in 5 participants while executing 10 hand movements. The classification accuracy approached 0.95 ±0.14 for both isometric and non-isometric contractions. These results show for the first time the potential of highly accurate motion intent detection by combining non-invasive neural interfaces and SNN