Information measure for financial time series: quantifying short-term market heterogeneity

A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to their size to form a probability distribution function and finally fed in the expression of the Shannon entropy. In this work, such entropy measure is implemented on the time series of prices and volatilities of six financial markets. The analysis has been performed, on tick-by-tick data sampled every minute for six years of data from 1999 to 2004, for a broad range of moving average windows and volatility horizons. The study shows that the entropy of the volatility series depends on the individual market, while the entropy of the price series is practically a market-invariant for the six markets. Finally, a cumulative information measure - the `Market Heterogeneity Index'- is derived from the integral of the proposed entropy measure. The values of the Market Heterogeneity Index are discussed as possible tools for optimal portfolio construction and compared with those obtained by using the Sharpe ratio a traditional risk diversity measure

The European Policy for Food Quality and the Fischlers Reform

Fischlers Reform of the Cap has introduced economic support to reinforce the range of instruments aimed at promoting food quality. Before the Reform, European Union market intervention for food quality was confined to the regulatory ground. The paper discusses the economic justifications for financial aid in the case of quality improvement and in the case of information circulation and provision of assurance to consumers. The possibility to add new Quality Schemes at the existing ones is criticized because of the information overcrowding. Furthermore, it is argued that a race to the bottom mechanism could be enforced as a result of the introduction of the possibility to settle Quality Schemes on a national basis. The paper also shows that the unsatisfactory functioning of existing Quality Schemes could be better faced by simplification of the whole quality certification system; by a communication effort at a general level and not only for single Quality Schemes; and by a better coordination of the different strategies of the different stakeholders in the food chains.Quality Schemes, Cap Reform, Information, Reputation, Economic Support, Agricultural and Food Policy, Food Consumption/Nutrition/Food Safety,

THE GENERATIONAL TURNOVER IN AGRICULTURE: THE AGEING DYNAMICS AND THE EU SUPPORT POLICIES TO YOUNG FARMERS

The scarce presence of young farmers is commonly considered one of the main weak points in the competitiveness of European agriculture. Firstly, the lack of young farmers puts under risk the survival of the sector itself, given that the main effect of an inadequate rate of generational turnover is that the exit of farms from the sector for ageing is not balanced by the entry of new farms run by young farmers. Secondly, the competitiveness of the sector suffer from the lower investment and innovation propensity of elder farmers. For these reasons, and also to slow down the pace of depopulation in most remote rural areas, the EU has always support the entry of young entrepreneurs in the primary sector. With the more recent CAP reforms, the main effort in this matter has been that of stressing the ties between the economic incentives for young farmers and the process of farm diversification and structural change within the more general framework of rural development, according to which is the rural area vitality as a whole that requires a positive demographic trend. In spite of the evident effort of the EU to this end, the effectiveness of the policy tools on the table is still quite debatable. In particular, it is questioned whether the “new” farms that benefitted by the aid can be really considered as the “outcome” of the financial support. The paper opens with a comparative description of the ageing process in the primary sector of the main EU Member States, with the double goal of showing its evolution and offering an updated picture of the issue. The dynamic of the process is caught by the construction of the migratory balances calculated for 5 age brackets. The second step is to show the available data on the implementation of the measure in favour of young farmers included in the Rural Development Programmes for the 2000-2006 planning period with a specific focus on the Italian case. This provides some evidences and hints of reflection about the effectiveness of this policy in the light of which the novelties of Reg. 1783/03 are discussed. Furthermore, the paper provides a short summary of the main contents of the resolution approved by the European Parliament on the 5th June 2008. The document, while acknowledging the persistent problem within European agriculture, moves an open and specific criticism not only to the scarce efficacy displayed by the CAP in counteracting the problem, but also points out the role that the CAP actively played in contributing to cause this situation. Some concluding remarks are given in the last section.Young farmers, generational turnover, Rural Development, CAP, Agricultural and Food Policy, Community/Rural/Urban Development, Q18,

Trapping-detrapping fluctuations in organic space-charge layers

A trapping-detrapping model is proposed for explaining the current fluctuation behavior in organic semiconductors (polyacenes) operating under current-injection conditions. The fraction of ionized traps obtained from the current-voltage characteristics, is related to the relative current noise spectral density at the trap-filling transition. The agreement between theory and experiments validates the model and provides an estimate of the concentration and energy level of deep traps

Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach

A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving average cluster entropy}. An extensive analysis has evidenced market and horizon dependence of the \textit{moving average cluster entropy} in real world financial assets. The origin of the behavior is scrutinized by applying the \textit{moving average cluster entropy} approach to long-range correlated stochastic processes as the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Fractional Brownian motion (FBM). To that end, an extensive set of series is generated with a broad range of values of the Hurst exponent $H$ and of the autoregressive, differencing and moving average parameters $p,d,q$. A systematic relation between \textit{moving average cluster entropy}, \textit{Market Dynamic Index} and long-range correlation parameters $H$, $d$ is observed. This study shows that the characteristic behaviour exhibited by the horizon dependence of the cluster entropy is related to long-range positive correlation in financial markets. Specifically, long range positively correlated ARFIMA processes with differencing parameter $d\simeq 0.05$, $d\simeq 0.15$ and $d\simeq 0.25$ are consistent with \textit{moving average cluster entropy} results obtained in time series of DJIA, S\&P500 and NASDAQ

Fractal Heterogeneous Media

A method is proposed for generating compact fractal disordered media, by generalizing the random midpoint displacement algorithm. The obtained structures are invasive stochastic fractals, with the Hurst exponent varying as a continuous parameter, as opposed to lacunar deterministic fractals, such as the Menger sponge. By employing the Detrending Moving Average algorithm [Phys. Rev. E 76, 056703 (2007)], the Hurst exponent of the generated structure can be subsequently checked. The fractality of such a structure is referred to a property defined over a three dimensional topology rather than to the topology itself. Consequently, in this framework, the Hurst exponent should be intended as an estimator of compactness rather than of roughness. Applications can be envisaged for simulating and quantifying complex systems characterized by self-similar heterogeneity across space. For example, exploitation areas range from the design and control of multifunctional self-assembled artificial nano and micro structures, to the analysis and modelling of complex pattern formation in biology, environmental sciences, geomorphological sciences, etc

Agri-food exports and the enlarged european union

This paper explores agri-food export dynamics in New Member States (NMS) and Old Member States (OMS) of the European Union during the enlargement process. A quality-oriented survey is conducted by developing an original analytical framework which combines information from trade similarity analysis with elements from the sophistication literature. Country and sector specific features seem to emerge, revealing a more complex picture than that produced by aggregated trade analysis. While for some NMS agri-food exports, patterns converge towards OMS with regard to size, competitiveness and quality improvement process, for other NMS, a low-quality trap seems to prevail.Agri-food sector, export dynamics, EU enlargement, quality upgrading

Array of Josephson junctions with a non-sinusoidal current-phase relation as a model of the resistive transition of unconventional superconductors

An array of resistively and capacitively shunted Josephson junctions with nonsinusoidal current-phase relation is considered for modelling the transition in high-T$_c$ superconductors. The emergence of higher harmonics, besides the simple sinusoid $I_{c}\sin\phi$, is expected for dominant \emph{d}-wave symmetry of the Cooper pairs, random distribution of potential drops, dirty grains, or nonstationary conditions. We show that additional cosine and sine terms act respectively by modulating the global resistance and by changing the Josephson coupling of the mixed superconductive-normal states. First, the approach is applied to simulate the transition in disordered granular superconductors with the weak-links characterized by nonsinusoidal current-phase relation. In granular superconductors, the emergence of higher-order harmonics affects the slope of the transition. Then, arrays of intrinsic Josephson junctions, naturally formed by the CuO$_2$ planes in cuprates, are considered. The critical temperature suppression, observed at values of hole doping close to $p=1/8$, is investigated. Such suppression, related to the sign change and modulation of the Josephson coupling across the array, is quantified in terms of the intensities of the first and second sinusoids of the current-phase relation. Applications are envisaged for the design and control of quantum devices based on stacks of intrinsic Josephson junctions.Comment: Added: comparison with experiments; reference