Modelization of high frequency financial data based on ensembles and scaling

I provide a model for financial data,built by focusing on the empirical features of the S&P 500 index but capable to describe also different assets. My formulation is based on the exploitation of the self-similarity of the data,inside an ensemble approach. Moreover,evidence of the opportunity of unification of intraday and interday formalism is provided. A trading strategy is introduced to test the effects of linear correlations on the structure of the model, and its application is extended to different assets and values of frequency.ope

Effective strategies for targeted attacks to the network of Cosa Nostra affiliates

Network dismantling has recently gained interest in the fields of intelligence agencies, anti-corruption analysts and criminal investigators due to its efficiency in disrupting the activity of malicious agents. Here, we apply this approach to detect effective strategies for targeted attacks to Cosa Nostra by analysing the collaboration network of affiliates that participate to the same crimes. We preliminarily detect statistically significant homophily patterns induced by being member of the same mafia syndicate. We also find that links between members belonging to different mafia syndicates play a crucial role in connecting the network into a unique component, confirming the relevance of weak ties. Inspired by this result we investigate the resilience properties of the network under random and targeted attacks with a percolation based toy model. Random removal of nodes results to be quite inefficient in dismantling the network. Conversely, targeted attacks where nodes are removed according to ranked network centralities are significantly more effective. A strategy based on a removal of nodes that takes into account how much a member collaborates with different mafia syndicates has an efficiency similar to the one where nodes are removed according to their degree. The advantage of such a strategy is that it does not require a complete knowledge of the underlying network to be operationally effective

Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach

We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way.Comment: 25 pages, 8 figure

Long-term ecology of investors in a financial market

The cornerstone of modern finance is the efficient market hypothesis. Under this hypothesis all information available about a financial asset is immediately incorporated into its price dynamics by fully rational investors. In contrast to this hypothesis many studies have pointed out behavioral biases in investors. Recently it has become possible to access databases that track the trading decisions of investors. Studies of such databases have shown that investors acting in a financial market are highly heterogeneous among them, and that heterogeneity is a common characteristic of many financial markets. The article describes an empirical study of the daily trading decisions of all Finnish investors investing Nokia stock over a time period of 15 years. The investigation is performed by adapting and using methods and tools in network science. By investigating daily trading decisions, and by constructing the time-evolution of statistically validated networks of investors, clusters of investors\u2014and their time evolution\u2014 which are characterized by similar trading profiles are detected. These clusters are performing distinct trading decisions on time scales ranging from several months to twelve years. These empirical observations show the presence of an ecology of groups of investors characterized by different attributes and by various investment styles over many years. Some of the detected clusters present a persistent over-expression of specific investor categories. The study shows that the logarithm of the ratio of pairs of statistically validated trading decisions is different for different values of the market volatility. These findings suggest that an ecology of investors is present in financial markets and that groups of traders are always competing, adopting, using and eventually discarding new investment strategies. This adaptation process is observed over a multiplicity of time scales, and is compatible with several conclusions of behavioral finance and with the assumptions of the so-called adaptive market hypothesis

Analysis of the Structure and Dynamics of European Flight Networks

We analyze structure and dynamics of flight networks of 50 airlines active in the European airspace in 2017. Our analysis shows that the concentration of the degree of nodes of different flight networks of airlines is markedly heterogeneous among airlines reflecting heterogeneity of the airline business models. We obtain an unsupervised classification of airlines by performing a hierarchical clustering that uses a correlation coefficient computed between the average occurrence profiles of 4-motifs of airline networks as similarity measure. The hierarchical tree is highly informative with respect to properties of the different airlines (for example, the number of main hubs, airline participation to intercontinental flights, regional coverage, nature of commercial, cargo, leisure or rental airline). The 4-motif patterns are therefore distinctive of each airline and reflect information about the main determinants of different airlines. This information is different from what can be found looking at the overlap of directed links

Long-term ecology of investors in a financial market

The cornerstone of modern finance is the efficient market hypothesis. Under this hypothesis all information available about a financial asset is immediately incorporated into its price dynamics by fully rational investors. In contrast to this hypothesis many studies have pointed out behavioral biases in investors. Recently it has become possible to access databases that track the trading decisions of investors. Studies of such databases have shown that investors acting in a financial market are highly heterogeneous among them, and that heterogeneity is a common characteristic of many financial markets. The article describes an empirical study of the daily trading decisions of all Finnish investors investing Nokia stock over a time period of 15 years. The investigation is performed by adapting and using methods and tools in network science. By investigating daily trading decisions, and by constructing the time-evolution of statistically validated networks of investors, clusters of investors-and their time evolution- which are characterized by similar trading profiles are detected. These clusters are performing distinct trading decisions on time scales ranging from several months to twelve years. These empirical observations show the presence of an ecology of groups of investors characterized by different attributes and by various investment styles over many years. Some of the detected clusters present a persistent over-expression of specific investor categories. The study shows that the logarithm of the ratio of pairs of statistically validated trading decisions is different for different values of the market volatility. These findings suggest that an ecology of investors is present in financial markets and that groups of traders are always competing, adopting, using and eventually discarding new investment strategies. This adaptation process is observed over a multiplicity of time scales, and is compatible with several conclusions of behavioral finance and with the assumptions of the so-called adaptive market hypothesis

Hypergraphx: a library for higher-order network analysis

From social to biological systems, many real-world systems are characterized by higher-order, non-dyadic interactions. Such systems are conveniently described by hypergraphs, where hyperedges encode interactions among an arbitrary number of units. Here, we present an open-source python library, hypergraphx (HGX), providing a comprehensive collection of algorithms and functions for the analysis of higher-order networks. These include different ways to convert data across distinct higher-order representations, a large variety of measures of higher-order organization at the local and the mesoscale, statistical filters to sparsify higher-order data, a wide array of static and dynamic generative models, and an implementation of different dynamical processes with higher-order interactions. Our computational framework is general, and allows to analyse hypergraphs with weighted, directed, signed, temporal and multiplex group interactions. We provide visual insights on higher-order data through a variety of different visualization tools. We accompany our code with an extended higher-order data repository, and demonstrate the ability of HGX to analyse real-world systems through a systematic analysis of a social network with higher-order interactions. The library is conceived as an evolving, community-based effort, which will further extend its functionalities over the years. Our software is available at https://github.com/HGX-Team/hypergraph

The making of the oral microbiome in Agta hunter–gatherers

Ecological and genetic factors have influenced the composition of the human microbiome during our evolutionary history. We analysed the oral microbiota of the Agta, a hunter–gatherer population where some members have adopted an agricultural diet. We show that age is the strongest factor modulating the microbiome, probably through immunosenescence since we identified an increase in the number of species classified as pathogens with age. We also characterised biological and cultural processes generating sexual dimorphism in the oral microbiome. A small subset of oral bacteria is influenced by the host genome, linking host collagen genes to bacterial biofilm formation. Our data also suggest that shifting from a fish/meat diet to a rice-rich diet transforms their microbiome, mirroring the Neolithic transition. All of these factors have implications in the epidemiology of oral diseases. Thus, the human oral microbiome is multifactorial and shaped by various ecological and social factors that modify the oral environment

Agta hunter–gatherer oral microbiomes are shaped by contact network structure

Here we investigate the effects of extensive sociality and mobility on the oral microbiome of 138 Agta hunter–gatherers from the Philippines. Our comparisons of microbiome composition showed that the Agta are more similar to Central African BaYaka hunter–gatherers than to neighbouring farmers. We also defined the Agta social microbiome as a set of 137 oral bacteria (only 7% of 1980 amplicon sequence variants) significantly influenced by social contact (quantified through wireless sensors of short-range interactions). We show that large interaction networks including strong links between close kin, spouses and even unrelated friends can significantly predict bacterial transmission networks across Agta camps. Finally, we show that more central individuals to social networks are also bacterial supersharers. We conclude that hunter–gatherer social microbiomes are predominantly pathogenic and were shaped by evolutionary tradeoffs between extensive sociality and disease spread

Agta hunter–gatherer oral microbiomes are shaped by contact network structure

Here we investigate the effects of extensive sociality and mobility on the oral microbiome of 138 Agta hunter–gatherers from the Philippines. Our comparisons of microbiome composition showed that the Agta are more similar to Central African BaYaka hunter–gatherers than to neighbouring farmers. We also defined the Agta social microbiome as a set of 137 oral bacteria (only 7% of 1980 amplicon sequence variants) significantly influenced by social contact (quantified through wireless sensors of short-range interactions). We show that large interaction networks including strong links between close kin, spouses and even unrelated friends can significantly predict bacterial transmission networks across Agta camps. Finally, we show that more central individuals to social networks are also bacterial supersharers. We conclude that hunter–gatherer social microbiomes are predominantly pathogenic and were shaped by evolutionary tradeoffs between extensive sociality and disease spread