Stories from different worlds in the universe of complex systems: A journey through microstructural dynamics and emergent behaviours in the human heart and financial markets

A physical system is said to be complex if it exhibits unpredictable structures, patterns or regularities emerging from microstructural dynamics involving a large number of components. The study of complex systems, known as complexity science, is maturing into an independent and multidisciplinary area of research seeking to understand microscopic interactions and macroscopic emergence across a broad spectrum systems, such as the human brain and the economy, by combining specific modelling techniques, data analytics, statistics and computer simulations. In this dissertation we examine two different complex systems, the human heart and financial markets, and present various research projects addressing specific problems in these areas. Cardiac fibrillation is a diffuse pathology in which the periodic planar electrical conduction across the cardiac tissue is disrupted and replaced by fast and disorganised electrical waves. In spite of a century-long history of research, numerous debates and disputes on the mechanisms of cardiac fibrillation are still unresolved while the outcomes of clinical treatments remain far from satisfactory. In this dissertation we use cellular automata and mean-field models to qualitatively replicate the onset and maintenance of cardiac fibrillation from the interactions among neighboring cells and the underlying topology of the cardiac tissue. We use these models to study the transition from paroxysmal to persistent atrial fibrillation, the mechanisms through which the gap-junction enhancer drug Rotigaptide terminates cardiac fibrillation and how focal and circuital drivers of fibrillation may co-exist as projections of transmural electrical activities. Financial markets are hubs in which heterogeneous participants, such as humans and algorithms, adopt different strategic behaviors to exchange financial assets. In recent decades the widespread adoption of algorithmic trading, the electronification of financial transactions, the increased competition among trading venues and the use of sophisticated financial instruments drove the transformation of financial markets into a global and interconnected complex system. In this thesis we introduce agent-based and state-space models to describe specific microstructural dynamics in the stock and foreign exchange markets. We use these models to replicate the emergence of cross-currency correlations from the interactions between heterogeneous participants in the currency market and to disentangle the relationships between price fluctuations, market liquidity and demand/supply imbalances in the stock market.Open Acces

The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an abrupt price swing occurring on a given market is immediately followed by anomalous movements in several related foreign exchange rates. Although a deep understanding of cross-currency correlations would be clearly beneficial for conceiving more stable and safer foreign exchange markets, the microscopic origins of these interdependencies have not been extensively investigated. We introduce an agent-based model which describes the emergence of cross-currency correlations from the interactions between market makers and an arbitrager. Our model qualitatively replicates the time-scale vs. cross-correlation diagrams observed in real trading data, suggesting that triangular arbitrage plays a primary role in the entanglement of the dynamics of different foreign exchange rates. Furthermore, the model shows how the features of the cross-correlation function between two foreign exchange rates, such as its sign and value, emerge from the interplay between triangular arbitrage and trend-following strategies.Comment: Research articl

Oxidative stress and gut-derived lipopolysaccharides in children affected by paediatric autoimmune neuropsychiatric disorders associated with streptococcal infections

BACKGROUND: Paediatric autoimmune neuropsychiatric disorders associated with streptococcal infections syndrome (PANDAS) identifies patients with acute onset of obsessive-compulsive and tic disorders. The objective of this study was to evaluate serum NOX2 levels, as well as 8-iso-prostaglandin F2α (8-iso-PGF2α) and lipopolysaccharide (LPS) of PANDAS patients. METHODS: In this study we wanted to compare serum levels of soluble NOX2-dp (sNOX-2-dp), iso-PGF2α and LPS in 60 consecutive subjects, including 30 children affected by PANDAS and 30 controls (CT) matched for age and gender. Serum zonulin was used as intestinal permeability assay. RESULTS: Compared with CT, PANDAS children had increased serum levels of sNOX-2-dp, 8-iso-PGF2α and LPS. Bivariate analysis showed that serum sNOX2-dp was significantly correlated with LPS (Rs = 0.359; p = 0.005), zonulin (Rs = 0.444; p < 0.001) and 8-iso-PGF2α (Rs = 0.704; p < 0.001). Serum LPS significantly correlated with zonulin (Rs = 0.610; p < 0.001), and 8-iso-PGF2α (Rs = 0.591; p = 0.001). Finally, a multiple linear regression analysis showed that serum 8-iso-PGF2α and zonulin were the only independent variables associated with sNOX2-dp (R2 = 68%). CONCLUSION: This study shows that children affected by PANDAS have high circulating levels of sNOX2-dp, isoprostanes and of LPS that could be involved in the process of neuroinflammation

The Risk of Contracting COVID-19 Is Not Increased in Patients With Celiac Disease

The World Health Organization declared coronavirus disease-2019 (COVID-19) a global pandemic in March 2020. Since then, there are more than 34 million cases of COVID-19 leading to more than 1 million deaths worldwide. Numerous studies suggest that celiac disease (CeD), a chronic immune-mediated gastrointestinal condition triggered by gluten, is associated with an increased risk of respiratory infections.1-3 However, how it relates to the risk of COVID-19 is unknown. To address this gap, we conducted a cross-sectional study to evaluate whether patients with self-reported CeD are at an increased risk of contracting COVID-19

Bio-physical characteristics of gastrointestinal mucosa of celiac patients: comparison with control subjects and effect of gluten free diet-

<p>Abstract</p> <p>Background</p> <p>Intestinal mucosa is leaky in celiac disease (CD), and this alteration may involve changes in hydrophobicity of the mucus surface barrier in addition to alteration of the epithelial barrier. The aims of our study were i) to compare duodenal hydrophobicity as an index of mucus barrier integrity in CD patients studied before (n = 38) and during gluten- free diet (GFD, n = 68), and in control subjects (n = 90), and ii) to check for regional differences of hydrophobicity in the gastro-intestinal tract.</p> <p>Methods</p> <p>Hydrophobicity was assessed by measurement of contact angle (CA) (Rame Hart 100/10 goniometer) generated by a drop of water placed on intestinal mucosal biopsies.</p> <p>Results</p> <p>CA (mean ± SD) of distal duodenum was significantly lower in CD patients (56° ± 10°)) than in control subjects (69° ± 9°, p < 0.0001), and persisted abnormal in patients studied during gluten free diet (56° ± 9°; p < 0.005). CA was significantly higher (62° ± 9°) in histologically normal duodenal biopsies than in biopsies with Marsh 1-2 (58° ± 10°; p < 0.02) and Marsh 3 lesions (57° ± 10°; p < 0.02) in pooled results of all patients and controls studied. The order of hydrofobicity along the gastrointestinal tract in control subjects follows the pattern: gastric antrum > corpus > rectum > duodenum > oesophagus > ileum.</p> <p>Conclusions</p> <p>We conclude that the hydrophobicity of duodenal mucous layer is reduced in CD patients, and that the resulting decreased capacity to repel luminal contents may contribute to the increased intestinal permeability of CD. This alteration mirrors the severity of the mucosal lesions and is not completely reverted by gluten-free diet. Intestinal hydrophobicity exhibits regional differences in the human intestinal tract.</p

Insights into the innate immunity of the Mediterranean mussel Mytilus galloprovincialis

<p>Abstract</p> <p>Background</p> <p>Sessile bivalves of the genus <it>Mytilus </it>are suspension feeders relatively tolerant to a wide range of environmental changes, used as sentinels in ecotoxicological investigations and marketed worldwide as seafood. Mortality events caused by infective agents and parasites apparently occur less in mussels than in other bivalves but the molecular basis of such evidence is unknown. The arrangement of Mytibase, interactive catalogue of 7,112 transcripts of <it>M. galloprovincialis</it>, offered us the opportunity to look for gene sequences relevant to the host defences, in particular the innate immunity related genes.</p> <p>Results</p> <p>We have explored and described the Mytibase sequence clusters and singletons having a putative role in recognition, intracellular signalling, and neutralization of potential pathogens in <it>M. galloprovincialis</it>. Automatically assisted searches of protein signatures and manually cured sequence analysis confirmed the molecular diversity of recognition/effector molecules such as the antimicrobial peptides and many carbohydrate binding proteins. Molecular motifs identifying complement C1q, C-type lectins and fibrinogen-like transcripts emerged as the most abundant in the Mytibase collection whereas, conversely, sequence motifs denoting the regulatory cytokine MIF and cytokine-related transcripts represent singular and unexpected findings. Using a cross-search strategy, 1,820 putatively immune-related sequences were selected to design oligonucleotide probes and define a species-specific Immunochip (DNA microarray). The Immunochip performance was tested with hemolymph RNAs from mussels injected with <it>Vibrio splendidus </it>at 3 and 48 hours post-treatment. A total of 143 and 262 differentially expressed genes exemplify the early and late hemocyte response of the <it>Vibrio</it>-challenged mussels, respectively, with AMP trends confirmed by qPCR and clear modulation of interrelated signalling pathways.</p> <p>Conclusions</p> <p>The Mytibase collection is rich in gene transcripts modulated in response to antigenic stimuli and represents an interesting window for looking at the mussel immunome (transcriptomes mediating the mussel response to non-self or abnormal antigens). On this basis, we have defined a new microarray platform, a mussel Immunochip, as a flexible tool for the experimental validation of immune-candidate sequences, and tested its performance on <it>Vibrio</it>-activated mussel hemocytes. The microarray platform and related expression data can be regarded as a step forward in the study of the adaptive response of the <it>Mytilus </it>species to an evolving microbial world.</p

Liquidity fluctuations and the latent dynamics of price impact

none4siMarket liquidity is a latent and dynamic variable. We propose a dynamical linear price impact model at high frequency in which the price impact coefficient is a product of a daily, a diurnal, and an auto-regressive stochastic intraday component. We estimate the model using a Kalman filter on order book data for stocks traded on the NASDAQ in 2016. We show that our price changes estimates, conditional on order flow imbalance, on average (Formula presented.) of real price changes variance. Evidence is also provided on the fact that the conditioning on filtered information improves the estimate of the LOB liquidity with respect to the one obtained from a static estimation of the price impact. In addition, an out-of-sample analysis shows that our model provides a superior out-of-sample forecast of price impact with respect to historical estimates.noneMertens L.P.; Ciacci A.; Lillo F.; Livieri G.Mertens L.P.; Ciacci A.; Lillo F.; Livieri G

Le fornaci del Trebbio (Sansepolcro, AR): aspetti tecnologici

The site of Trebbio is situated in the southern valley of Sansepolcro (in the province of Arezzo), near the river Tiber (Tevere),which was one of the main routes of communication in ancient times. The presence of the river and of the numerous passes over the Apennine Mountains made this area accessible to different cultures and populations, as it lays at the crossroads where roads and trails from the Po Valley and the Middle Adriatic area meet. The excavations at Trebbio described in this paper were carried out between 2001 and 2005 by the University of Siena, in collaboration with the Soprintendenza per i Beni Archeologici della Toscana. During the excavation three pottery kilns, dating back to the VII-VI century BC, were investigated. These kilns differ in the diameters and shapes of their combustion chambers but show some common features. The most important of which is the use of rims of dolia as mouthpieces between the combustion chambers and the fuel channels. An archaeometric analysis was carried out on pottery vessels, slags and day samples found in the site and along the banks of the Tiber. Results suggest that clay from the site had been employed and that pottery was fired at 600°-700°