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

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

Alarm guard systems for the prevention of damage produced by ungulates in a chestnut grove of Middle Italy

ArticleWildlife populations, in particular ungulates and carnivores, have had a significant increase in most Italian regions over the last decades and for this reason ecosystems and agricultural and forest productions are threatened by damage produced by wildlife. In order to evaluate effective met hodologies and technologies to mitigate the impact of this phenomenon, innovative protection systems, such as electronic acoustic alarm guard sensors, were tested. These devices are able to randomly produce a significant number of sounds and light projecti ons. At the same time, camera traps were used, as a support instrument to show the presence or absence of wild fauna. Video analysis has provided information on the effectiveness of security systems, on the most suitable methods of installation and managem ent of devices and their ecological impact. Experimental trials were carried out in a chestnut grove located in an Apennine area of the Middle Italy during the harvesting period (autumn). The results obtained have shown that these technologies seem to be particularly suitable for crops that concentrate production in a short time (e.g. vine and chestnut) and in areas not excessively large. Widespread use of devices could mitigate the conflict between public bodies involved in the management of wildlife and farmers

Complex Systems: From Nuclear Physics to Financial Markets

We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financial empirical correlation matrix of the DAX and Dow Jones. We will show, that if the time-zone delay is properly accounted for, the two distinct markets largely merge into one. This is reflected by the largest eigenvalue that develops a gap relative to the remaining, chaotic eigenvalues. By extending investigations of the specific character of financial collectivity we also discuss the criticality-analog phenomenon of the financial log-periodicity and show specific examples.Comment: 6 pages, 10 figures, elsarticle clas