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.

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

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

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

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

Environmental enrichment and visual system: thalamocortical and crossmodal plasticity

It has been demonstrated that the complex sensorimotor and social stimulation achieved by rearing animals in an enriched environment (EE) can reinstate juvenile-like plasticity in the adult cortex. However, it is not known whether EE can affect thalamocortical transmission. In the first part of this work, I investigated this problem by recording in vivo field potentials from the visual cortex evoked by electrical stimulation of the dorsal lateral geniculate nucleus (dLGN) in anaesthetized rats. I found that a period of EE during adulthood shifted the input-output curves and increased paired-pulse depression, suggesting an enhanced synaptic strength at thalamocortical terminals. Accordingly, EE animals showed an increased expression of the vesicular glutamate transporter 2 (vGluT-2) in geniculocortical afferents to layer IV. Rats reared in EE also showed an enhancement of thalamocortical long-term potentiation (LTP) triggered by theta-burst stimulation (TBS) of the dLGN. To monitor the functional consequences of increased LTP in EE rats, I recorded visual evoked potentials (VEPs) before and after application of TBS to the geniculocortical pathway. I found that responses to visual stimulation were enhanced across a range of contrasts in EE animals. This was accompanied by an upregulation of the intracortical excitatory synaptic marker vGluT-1 and a decrease in the expression of the vesicular GABA transporter (vGAT), indicating a shift in the excitation/inhibition ratio. Thus, in the adult rat, EE enhances synaptic strength and plasticity of the thalamocortical pathway associated with specific changes in glutamatergic and GABAergic neurotransmission. Another interesting problem connected to EE, is the possibility that the multimodal sensory stimulation provided by this rearing protocol can affect functional relationships among different cortical areas, thus contributing to the effect observed on visual cortical plasticity. In the second part of my work, I explored this problem by looking for cortical areas monosynaptically connected with primary visual cortex (V1), using stererotaxic injections of cholera toxin \u3b2 subunit. I found that primary visual cortex is connected with secondary motor cortex (M2, also known as frontal eye field), primary somatosensory cortex (S1) and primary auditory cortex (A1). These connections could explain how the sensorimotor stimulation provided by EE, which does not have a specific \u201cvisual\u201d component, can affect visual function. Functional interactions between V1 and M2 or A1 were investigated using multichannel local field potential recordings in awake, freely moving mice, subjected to EE since birth. Quantitative analysis of LFP signals revealed that EE has opposite effects on V1-M2 and V1-A1 activity correlation, resulting in a decrease of functional coupling in the first case and in an increase in the second case. These data provide novel insights into the mechanisms by which EE shapes the adult brain