Risk bubbles and market instability

We discuss a simple model of correlated assets capturing the feedback effects induced by portfolio investment in the covariance dynamics. This model predicts an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. Maximum likelihood estimates of the model’s parameter for empirical data indeed confirms this conclusion. We show that this picture is confirmed by the empirical analysis for different choices of the time horizon

Dynamic instability in a phenomenological model of correlated assets

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that correlations determine the optimal portfolio but are affected by investment based on it. We show that such a feedback on correlations gives rise to an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. Maximum likelihood estimates of the model’s parameter for empirical data indeed confirm this conclusion, thus suggesting that real markets operate close to a dynamically unstable point

Facing Non-Stationary Conditions with a New Indicator of Entropy Increase: The Cassandra Algorithm

We address the problem of detecting non-stationary effects in time series (in particular fractal time series) by means of the Diffusion Entropy Method (DEM). This means that the experimental sequence under study, of size $N$, is explored with a window of size $L << N$. The DEM makes a wise use of the statistical information available and, consequently, in spite of the modest size of the window used, does succeed in revealing local statistical properties, and it shows how they change upon moving the windows along the experimental sequence. The method is expected to work also to predict catastrophic events before their occurrence.Comment: FRACTAL 2002 (Spain

Independent Orbiter Assessment (IOA): Assessment of the extravehicular mobility unit, volume 1

The results of the Independent Orbiter Assessment (IOA) of the Failure Modes and Effects Analysis (FMEA) and Critical Items List (CIL) are presented. The IOA effort performed an independent analysis of the Extravehicular Mobility Unit (EMU) hardware and system, generating draft failure modes criticalities and potential critical items. To preserve independence, this analysis was accomplished without reliance upon the results contained within the NASA FMEA/CIL documentation. The IOA results were than compared to the most recent proposed Post 51-L NASA FMEA/CIL baseline. A resolution of each discrepancy from the comparison was provided through additional analysis as required. This report documents the results of that comparison for the Orbiter EMU hardware

Independent Orbiter Assessment (IOA): Assessment of the extravehicular mobility unit, volume 2

The results of the Independent Orbiter Assessment (IOA) of the Failure Modes and Effects Analysis (FMEA) and Critical Items List (CIL) are presented. The IOA effort performed an independent analysis of the Extravehicular Mobility Unit (EMU) hardware and system, generating draft failure modes criticalities and potential critical items. To preserve independence, this analysis was accomplished without reliance upon the results contained within the NASA FMEA/CIL documentation. The IOA results were then compared to the most recent proposed Post 51-L NASA FMEA/CIL baseline. A resolution of each discrepancy from the comparison was provided through additional analysis as required. This report documents the results of that comparison for the Orbiter EMU hardware. Volume 2 continues the presentation of IOA analysis worksheets and contains the potential critical items list and NASA FMEA to IOA worksheet cross references and recommendations

Independent Orbiter Assessment (IOA): Analysis of the extravehicular mobility unit

The results of the Independent Orbiter Assessment (IOA) of the Failure Modes and Effects Analysis (FMEA) and Critical Items List (CIL) are presented. The IOA approach features a top-down analysis of the hardware to determine failure modes, criticality, and potential critical items (PCIs). To preserve independence, this analysis was accomplished without reliance upon the results contained within the NASA FMEA/CIL documentation. This report documents the independent analysis results corresponding to the Extravehicular Mobility Unit (EMU) hardware. The EMU is an independent anthropomorphic system that provides environmental protection, mobility, life support, and communications for the Shuttle crewmember to perform Extravehicular Activity (EVA) in Earth orbit. Two EMUs are included on each baseline Orbiter mission, and consumables are provided for three two-man EVAs. The EMU consists of the Life Support System (LSS), Caution and Warning System (CWS), and the Space Suit Assembly (SSA). Each level of hardware was evaluated and analyzed for possible failure modes and effects. The majority of these PCIs are resultant from failures which cause loss of one or more primary functions: pressurization, oxygen delivery, environmental maintenance, and thermal maintenance. It should also be noted that the quantity of PCIs would significantly increase if the SOP were to be treated as an emergency system rather than as an unlike redundant element

Compression and diffusion: a joint approach to detect complexity

The adoption of the Kolmogorov-Sinai (KS) entropy is becoming a popular research tool among physicists, especially when applied to a dynamical system fitting the conditions of validity of the Pesin theorem. The study of time series that are a manifestation of system dynamics whose rules are either unknown or too complex for a mathematical treatment, is still a challenge since the KS entropy is not computable, in general, in that case. Here we present a plan of action based on the joint action of two procedures, both related to the KS entropy, but compatible with computer implementation through fast and efficient programs. The former procedure, called Compression Algorithm Sensitive To Regularity (CASToRe), establishes the amount of order by the numerical evaluation of algorithmic compressibility. The latter, called Complex Analysis of Sequences via Scaling AND Randomness Assessment (CASSANDRA), establishes the complexity degree through the numerical evaluation of the strength of an anomalous effect. This is the departure, of the diffusion process generated by the observed fluctuations, from ordinary Brownian motion. The CASSANDRA algorithm shares with CASToRe a connection with the Kolmogorov complexity. This makes both algorithms especially suitable to study the transition from dynamics to thermodynamics, and the case of non-stationary time series as well. The benefit of the joint action of these two methods is proven by the analysis of artificial sequences with the same main properties as the real time series to which the joint use of these two methods will be applied in future research work.Comment: 27 pages, 9 figure

Clodronate combined with a surfactant (Tween 20) does not improve osseointegration: a rabbit immunohistomorphometric study.

Biphosphonates are compounds that inhibit bone reabsorption mediated by osteoclasts or the progression of periodontal disease independent on the host response to pathogenic bacteria that colonize the tooth surface. The use of biphosphonates in oral implantology is still in the experimental stage. The aim of this study is to evaluate the efficacy of a non-aminobiphosphonate combined with a surfactant to increase the ability of the drug to link to the implant and bone surfaces in the development of osseointegration in rabbits. Smooth titanium implants were devised to be used on rabbit femurs. A topical administration of clodronate combined with the surfactant (Tween 20) at different concentrations was made on the implant surface and in the implant site to increase the bone and implant adhesiveness. Placebo was given to the control group. New Zealand rabbits were used and sacrificed by CO2 after 8 weeks from the implantations. A histologic and histo-morphometric analysis was carried out. Results did not show significant difference between the tests and the placebo groups. Our data are different from other similar studies obtaining statistically significant differences. These differences could depend on the efficacy of the drug used and on the procedure of application of the drug on the implant. This study demonstrates poor efficacy of clodronate applied topically to the implant and implant site during surgery to increase the percentage of osseointegration in the implant. Further studies using different fixation techniques of the drug may be necessary to confirm the present data

Commissioning of the MEG II tracker system

The MEG experiment at the Paul Scherrer Institut (PSI) represents the state of the art in the search for the charged Lepton Flavour Violating (cLFV) $\mu^+ \rightarrow e^+ \gamma$ decay. With the phase 1, MEG set the new world best upper limit on the \mbox{BR}(\mu^+ \rightarrow e^+ \gamma) < 4.2 \times 10^{-13} (90% C.L.). With the phase 2, MEG II, the experiment aims at reaching a sensitivity enhancement of about one order of magnitude compared to the previous MEG result. The new Cylindrical Drift CHamber (CDCH) is a key detector for MEG II. CDCH is a low-mass single volume detector with high granularity: 9 layers of 192 drift cells, few mm wide, defined by $\sim 12000$ wires in a stereo configuration for longitudinal hit localization. The filling gas mixture is Helium:Isobutane (90:10). The total radiation length is $1.5 \times 10^{-3}$ \mbox{X}_0, thus minimizing the Multiple Coulomb Scattering (MCS) contribution and allowing for a single-hit resolution $< 120$ $\mu$m and an angular and momentum resolutions of 6 mrad and 90 keV/c respectively. This article presents the CDCH commissioning activities at PSI after the wiring phase at INFN Lecce and the assembly phase at INFN Pisa. The endcaps preparation, HV tests and conditioning of the chamber are described, aiming at reaching the final stable working point. The integration into the MEG II experimental apparatus is described, in view of the first data taking with cosmic rays and $\mu^+$ beam during the 2018 and 2019 engineering runs. The first gas gain results are also shown. A full engineering run with all the upgraded detectors and the complete DAQ electronics is expected to start in 2020, followed by three years of physics data taking.Comment: 10 pages, 12 figures, 1 table, proceeding at INSTR'20 conference, accepted for publication in JINS