Waiting-times and returns in high-frequency financial data: an empirical study

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.Duration; Continuous-time random walk; Fractional calculus; Statistical finance.

Fractional calculus and continuous-time finance II: the waiting-time distribution

We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.Comment: Revised version, 17 pages, 4 figures. Physica A, Vol. 287, No 3-4, 468--481 (2000). Proceedings of the International Workshop on "Economic Dynamics from the Physics Point of View", Bad-Honnef (Germany), 27-30 March 200

Revisiting the derivation of the fractional diffusion equation

The fractional diffusion equation is derived from the master equation of continuous-time random walks (CTRWs) via a straightforward application of the Gnedenko-Kolmogorov limit theorem. The Cauchy problem for the fractional diffusion equation is solved in various important and general cases. The meaning of the proper diffusion limit for CTRWs is discussed.Comment: Paper presented at the International Workshop on Scaling and Disordered Systems, Paris, France, 13-14 April 200

Ruolo dei proteoglicani condroitin-solfato nella plasticità della corteccia visiva del ratto adulto: effetti anatomici

Condizioni di alterata esperienza sensoriale come lo strabismo, l’anisometropia o la cataratta, causano ambliopia, ossia perdita di acuità visiva a carico di uno dei due occhi; nel caso di una correzione chirurgica di tali problemi, il recupero funzionale è completo soltanto se l’operazione viene effettuata nei primi anni di vita. Questo fenomeno testimonia l’esistenza di meccanismi plastici nel sistema nervoso centrale, ristretti a particolari “periodi critici”, entro i quali i circuiti nervosi presentano la massima capacità di adattarsi al cambiamento degli stimoli ricevuti, siano essi sensoriali o propriocettivi. Tale finestra temporale, ha una durata variabile a seconda del sistema sensoriale e della specie considerati. Un sistema paradigmatico per lo studio della plasticità nervosa è rappresentato da quello visivo del roditore. In questo modello, un’alterazione dell’esperienza visiva si può ottenere suturando la rima palpebrale di un occhio all’inizio del periodo critico per la plasticità visiva -che si estende tra il ventunesimo e il quarantacinquesimo giorno di vita postnatale- tramite deprivazione monoculare. Questo comporta riduzione dell’acuità visiva a carico dell’occhio chiuso e spostamento della risposta dei neuroni corticali verso l’occhio rimasto aperto, riproducendo nel modello sperimentale l’ambliopia. Il recupero dagli effetti dell’ambliopia rappresenta un problema di sicuro interesse clinico. Se l’animale subisce una deprivazione monoculare a lungo termine e, in seguito, l’occhio prima chiuso è riaperto mentre si suturano le palpebre dell’altro, il recupero dell’acuità visiva e della risposta dei neuroni corticali è conseguito solo se la sutura inversa si svolge entro il periodo critico per la plasticità corticale, mentre nell’adulto l’effetto è estremamente ridotto. Una delle ragioni alla base del declino della plasticità, potrebbe essere la formazione delle “reti perineuronali” (PNN) costituite dai proteoglicani condroitin solfato (CSPG), una delle componenti più abbondanti nella matrice extracellulare del sistema nervoso centrale. In questo laboratorio è stato visto che la digestione delle PNN tramite l’enzima batterico condroitinasi ABC (ChABC), che taglia le catene glucidiche laterali dei CSPG, lasciandone intatto il solo core proteico, permette la riapertura della plasticità nel ratto adulto. Scopo del presente lavoro di tesi è di indagare se la riattivazione della plasticità osservata a livello fisiologico si possa osservare anche a livello anatomico. I dati ottenuti indicano che il trattamento con condroitinasi causa, nel ratto adulto, modificazioni esperienza-dipendenti delle spine dendritiche dei neuroni eccitatori della corteccia visiva binoculare, che, com’è già noto in letteratura, rappresentano un importante mediatore della plasticità corticale

Waiting-times and returns in high-frequency financial data: an empirical study

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.Comment: 8 pages, 4 figure, presented at the International Workshop "Horizons in Complex Systems", Messina, Italy, December 200

Web Site and Knowledge Management Platform of EU Water and Energy Initiatives (EUWI - EUEI)

The EU Water and Energy Knowledge Management Platforms, respectively www.euwi.net, www.euei.net , have been developed by the JRC in the framework of an Administrative Arrangement with the DG AIDCO (EuropeAid/ENV/2007/147693/TPS). The EUWI � EUEI core system was designed in a modular way, this web-based information system can easily be up-graded and up-dated at a minor cost. The system was though as re-usable and therefore EUEI � EUWI websites are replications of the same core system that has been customized differently for these two thematic platforms where the interaction between an expert community is requested. In details, the use of this system allows in a general way a specialised community to work in a virtual network. EUWi/EUEI members can share information, data, documents, news, special events, meetings, establish e-conferences in a dynamic manner in order to improve the communication in the thematic community. These platforms also offer more visibility through web dissemination of the activities, results of the EU initiatives and thus facilitate involvement of additional members willing to contribute to these initiatives.JRC.DDG.H.3 - Global environement monitorin

Development of a new expendable probe for the study of pelagic ecosystems from voluntary observing ships

Physical and biological processes of the marine ecosystem have a high spatial and temporal variability, whose study is possible only through high resolution and synoptic observations. The Temperature and Fluorescence Launchable Probe was charted in order to answer to the claim of a cost effective temperature and fluorescence expendable profiler, to be used in ships of opportunity. The development of the expendable fluorometer has followed similar concepts of the XBT (a wire conducting the signal to a computer card), but differently from the latter it was developed with an electronic system which can be improved and adapted to several variables measure channels. To reach the aim of a low-cost probe, were utilized commercial components:a glass bulb temperature resistor for the temperature measurement, blue LEDs, a photodiode and available selective glass filters, for the fluorescence measurement. The measurement principle employed to detect phytoplankton’s biomass is the active fluorescence. This method is an in vivo chlorophyll estimation, that can get the immediate biophysical reaction of phytoplankton inside the aquatic environment; it is a non-disruptive method which gives real time estimation and avoids the implicit errors due to the manipulation of samples. The possibility of using a continuous profiling probe, with an active fluorescence measurement, is very important in real time phytoplankton’s study; it is the best way to follow the variability of sea productivity. In fact, because of the high time and space variability of phytoplankton, due to its capability to answer in a relatively short time to ecological variations in its environment and because of its characteristic patchiness, there isn’t a precise quantitative estimation of the biomass present in the Mediterranean Sea.L'articolo è disponibile sul sito dell'editore http://publications.copernicus.org

Software description: Regional frequency analysis of climate variables

This document provides the technical description of a software to be developed in the context of the EUROCLIMA project. EUROCLIMA is a cooperation program between the European Union and Latin America with a special focus in knowledge sharing on topics related to socio-environmental problems associated with climate change. The objective of the project is to improve knowledge of Latin American decision-makers and the scientific community on problems and consequences of climate change, particularly in view of integrating these issues into sustainable development strategies. The software described in this document will have as a general objective to process time series of data from ground stations (initially precipitation and temperature) in order to generate products in the form of spatially-explicit maps. The software will also be able to process any other time series of environmental spatial data. The main aspect characterizing this software is the use of statistics called L-moments to estimate the probability distribution function of climate variables. The L-moments are similar to other statistical moments, but with the advantage of being less susceptible to the presence of outliers and performing better with smaller sample sizes.JRC.H.5-Land Resources Managemen