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

DYNAMIC ANALYSIS OF VEHICLE SYSTEMS Development of a driving simulator Analysis and design of an automatic transmission for motor-scooters

In this work, two researches in the field of dynamic analysis of vehicle systems are presented. The first part of the thesis deals with the development of a driving simulator. This activity was carried out in the framework of a research project co-funded by the Italian Ministry of Education, Universities and Research (MIUR). It aimed at developing a driving simulator for the analysis of the driving style, in order to identify potentially dangerous conditions coming from a non proper interaction between driver, vehicle and environment, especially those related to low driver’s attention. As core part of the driving simulator, a vehicle simulation model, which reproduces the behaviour of the main vehicle systems, was developed. The simulator is made of a fixed driving platform, a single channel visual system and allows to acquire all driver’s inputs and vehicle motion signals. The system was involved in experimental campaigns which allowed the development of the driving style analysis techniques and demonstrated the reliability and the capability of the system. The second part of the thesis treats the dynamic analysis and design of a high efficiency automatic transmission for motor-scooters and was carried out in the framework of the Italian MUSS project funded by the Italian Ministry of Economic Development. Motor-scooters are currently almost always equipped with CVT transmission with rubber belt. This transmission can be very cheap to manufacture, it has good comfort performance but low mechanical efficiency. An alternative automatic transmission was analysed and different architectures were studied. The system is based on a discrete ratio gear box with mechanical control of the gear shit by means of centrifugal clutches and free wheels. A dynamic model of the transmission was developed and its behaviour was investigated by means of results of simulated manoeuvres, highlighting the positive and negative aspects of the system. Finally, a preliminary design was also carried out with reference to an application of the transmission in a hybrid powertrain

Identification of vehicle model parameters based on experimental test drives

La presente tesi è il risultato dell'esperienza svolta presso il Dipartimento di Veicoli (Lehrstuhl für Fahrzeugtechnik) dell'Università di Monaco di Baviera (Technische Universität München). Il lavoro realizzato si colloca all'interno del più vasto progetto Handling Monitor. Il fine di tale attività è lo sviluppo di un metodo di valutazione soggettiva del comportamento dinamico di un autoveicolo, attraverso l'analisi di dati sperimentali ottenuti da misurazioni specifiche durante la guida. Le sensazioni soggettive vengono associate, attraverso la costruzione di un database da parte di collaudatori professionisti, a valori di alcuni parametri fondamentali tipici dei modelli matematici di veicolo presenti in letteratura. Il lavoro di tesi ha riguardato lo sviluppo di una metodologia per l'identificazione dei parametri del modello di veicolo. Più precisamente, si è posta particolare attenzione nell'identificare i cosiddetti parametri "dinamici" del modello, ovvero le quantità che influenzano il comportamento dinamico del veicolo in condizioni di guida non riconducibili allo stato stazionario (transitorio e risposta a regime). Il classico modello monotraccia è stato utilizzato in questa attività, sia per la semplicità necessaria allo sviluppo della metodologia di identificazione, ma soprattutto anche per la presenza di pochi, ma fondamentali, parametri che si è supposto avere una influenza notevole nelle risposte del modello. Come strategia generale di identificazione, le uscite del modello sono state confrontate, con varie metodologie, con i dati ottenuti da misurazioni a bordo di un'automobile durante dei test di guida. Tali prove sperimentali, svolte durante il periodo dell'attività, hanno riguardato fondamentalmente test specifici come la guida su percorsi circolari (steering pad) , il colpo di sterzo (step steer) e l'input sinusoidale di sterzo (sine sweep), ma anche, in alcune occasioni, la guida su strade normali aperte al traffico

Scale-free networks in complex systems

In the past few years, several studies have explored the topology of interactions in different complex systems. Areas of investigation span from biology to engineering, physics and the social sciences. Although having different microscopic dynamics, the results demonstrate that most systems under consideration tend to self-organize into structures that share common features. In particular, the networks of interaction are characterized by a power law distribution, $P(k)\sim k^{-\alpha}$, in the number of connections per node, $k$, over several orders of magnitude. Networks that fulfill this propriety of scale-invariance are referred to as ``scale-free''. In the present work we explore the implication of scale-free topologies in the antiferromagnetic (AF) Ising model and in a stochastic model of opinion formation. In the first case we show that the implicit disorder and frustration lead to a spin-glass phase transition not observed for the AF Ising model on standard lattices. We further illustrate that the opinion formation model produces a coherent, turbulent-like dynamics for a certain range of parameters. The influence, of random or targeted exclusion of nodes is studied.Comment: 9 pages, 4 figures. Proceeding to "SPIE International Symposium Microelectronics, MEMS, and Nanotechnology", 11-15 December 2005, Brisbane, Australi

Independent Motion Detection with Event-driven Cameras

Unlike standard cameras that send intensity images at a constant frame rate, event-driven cameras asynchronously report pixel-level brightness changes, offering low latency and high temporal resolution (both in the order of micro-seconds). As such, they have great potential for fast and low power vision algorithms for robots. Visual tracking, for example, is easily achieved even for very fast stimuli, as only moving objects cause brightness changes. However, cameras mounted on a moving robot are typically non-stationary and the same tracking problem becomes confounded by background clutter events due to the robot ego-motion. In this paper, we propose a method for segmenting the motion of an independently moving object for event-driven cameras. Our method detects and tracks corners in the event stream and learns the statistics of their motion as a function of the robot's joint velocities when no independently moving objects are present. During robot operation, independently moving objects are identified by discrepancies between the predicted corner velocities from ego-motion and the measured corner velocities. We validate the algorithm on data collected from the neuromorphic iCub robot. We achieve a precision of ~ 90 % and show that the method is robust to changes in speed of both the head and the target.Comment: 7 pages, 6 figure

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