13 research outputs found

    Aftershock prediction for high-frequency financial markets' dynamics

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    The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predictive power in this phenomenological approach and present a stochastic model, based on the scaling symmetry of financial assets, which is potentially capable to predict aftershocks occurrence, given the main shock magnitude. Comparisons with S&P high-frequency data confirm this predictive potential.Comment: Contribution to the proceedings of the Econophysics Kolkata VI International Workshop, 12 pages, 4 figures. Added references and minor correction

    Aftershock Prediction for High-Frequency Financial Markets\u2019 Dynamics

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    The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predictive power in this phenomenological approach and present a stochastic model, based on the scaling symmetry of financial assets, which is potentially capable to predict aftershocks occurrence, given the main shock magnitude. Comparisons with S&P high-frequency data confirm this predictive potential

    Modeling the non-Markovian, non-stationary scaling dynamics of financial markets

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    A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our records. In order to give statistical significance to such a comparison, assumptions of stationarity for some quantities extracted from the single historical time series, like the distribution of the returns over a given time interval, cannot be avoided. Such assumptions entail the risk of masking or misrepresenting non-stationarities of the underlying process, and of giving an incorrect account of its correlations. Here we overcome this difficulty by showing that five years of daily Euro/US-Dollar trading records in the about three hours following the New York market opening, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators are in agreement with the predictions of this model, which is constructed on the basis of the time-inhomogeneous, anomalous scaling obeyed by the return distribution.

    Design of Functional Pluronic-Based Precursors for Tailoring Hydrogel Thermoresponsiveness and Cell-Adhesive Properties

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    In this study, functional Pluronic F127 precursors were designed and synthesized for the preparation of thermosensitive hydrogels. Using linear Pluronic thioacetate and Pluronic multi-acrylate precursors, F127-based hydrogels were prepared through thioacetate deprotection-mediated Michael-type addition. The properties of these gels were compared to those obtained through free radical crosslinking of F127 diacrylate. Temperature was found to have a clear influence on gel swelling as a result of F127 thermoresponsiveness. The macromolecular architecture and functionality of the precursors were also optimized and characterized in terms of gelation kinetics and drug diffusion. In vitro tests were conducted on fibroblasts and endothelial cells to assess their response to cellular adhesion with Pluronic gels that were functionalized with an RGD peptide or pretreated with serum proteins to promote cell adhesion. This study provides a method for creating tailored hydrogels suitable for various biomedical applications, such as soft-tissue engineering, cell encapsulation, wound healing, and sustained delivery of therapeutic molecules
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