Dissecting financial markets: Sectors and states

By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be identified with market states. The distribution of frequencies of market states shows scale-free properties and the memory of the market state process extends to long times ($\sim 50$ days). Assets in the same sector behave similarly across states. We characterize market efficiency by analyzing market's predictability and find that indeed the market is close to being efficient. We find evidence of the existence of a dynamic pattern after market's crashes.Comment: 6 pages 4 figures. Additional information available at http://www.sissa.it/dataclustering/fin

Hydrological post-processing based on approximate Bayesian computation (ABC)

[EN] This study introduces a method to quantify the conditional predictive uncertainty in hydrological post-processing contexts when it is cumbersome to calculate the likelihood (intractable likelihood). Sometimes, it can be difficult to calculate the likelihood itself in hydrological modelling, specially working with complex models or with ungauged catchments. Therefore, we propose the ABC post-processor that exchanges the requirement of calculating the likelihood function by the use of some sufficient summary statistics and synthetic datasets. The aim is to show that the conditional predictive distribution is qualitatively similar produced by the exact predictive (MCMC post-processor) or the approximate predictive (ABC post-processor). We also use MCMC post-processor as a benchmark to make results more comparable with the proposed method. We test the ABC post-processor in two scenarios: (1) the Aipe catchment with tropical climate and a spatially-lumped hydrological model (Colombia) and (2) the Oria catchment with oceanic climate and a spatially-distributed hydrological model (Spain). The main finding of the study is that the approximate (ABC post-processor) conditional predictive uncertainty is almost equivalent to the exact predictive (MCMC post-processor) in both scenarios.This study was partially supported by the Departamento del Huila Scholarship Program No. 677 (Colombia) and Colciencias, by the Spanish Research Project TETIS-MED (ref. CGL2014-58127-C3-3-R) and TETIS-CHANGE (ref.RTI2018-093717-B-I00). Also, G. Adelfio's research has been supported by the national grant of the Italian Ministry of Education University and Research (MIUR) for the PRIN-2015 program, "Complex space-time modelling and functional analysis for probabilistic forecast of seismic events'. 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A momentum conserving model with anomalous thermal conductivity in low dimension

Anomalous large thermal conductivity has been observed numerically and experimentally in one and two dimensional systems. All explicitly solvable microscopic models proposed to date did not explain this phenomenon and there is an open debate about the role of conservation of momentum. We introduce a model whose thermal conductivity diverges in dimension 1 and 2 if momentum is conserved, while it remains finite in dimension $d\ge 3$. We consider a system of harmonic oscillators perturbed by a non-linear stochastic dynamics conserving momentum and energy. We compute explicitly the time correlation function of the energy current $C\_J(t)$, and we find that it behaves, for large time, like $t^{-d/2}$ in the unpinned cases, and like $t^{-d/2-1}$ when an on site harmonic potential is present. Consequently thermal conductivity is finite if $d\ge 3$ or if an on-site potential is present, while it is infinite in the other cases. This result clarifies the role of conservation of momentum in the anomalous thermal conductivity in low dimensions

Fire behaviour of non-load bearing double stud cold-formed steel frame walls

This work investigates the behaviour of Double stud Light Steel Frame (LSF) walls under ISO834 standard fire through a series of experimental tests. The walls were covered on both sides with one or two fire-resistant gypsum plasterboards (Type F), and the cavity of the steel frame was either empty, partially or fully insulated with ceramic fibre. The fire resistance of the assemblies is improved due to the existence of a wider cavity, the employment of additional gypsum plasterboard layers and the use of ceramic fibre cavity insulation. In partially insulated assemblies, significantly higher fire resistance is achieved when the ceramic fibre is placed towards the fire-exposed gypsum plasterboard. Moreover, the number of studs in contact with the unexposed gypsum plasterboard affects the fire resistance of the specimens. The experimental data acquired is useful to conduct further numerical analyses and experimental studies, as well as to understand the unique thermal behaviour of different configurations of double stud LSF walls at elevated temperatures.info:eu-repo/semantics/publishedVersio

Feature detection in point processes on linear networks using nearest neighbour volumes

We consider the feature detection problem in the presence of clutter in point processes on linear networks. We extend the classification method developed in previous studies to this more complex geometric context, where the classical properties of a point process change and data visualization are not intuitive. We use the K-th nearest neighbour volumes distribution in linear networks for this approach. As a result, our method is suitable for analysing point patterns consisting of features and clutter as two superimposed Poisson processes on the same linear network. To illustrate the method, we present simulations and examples of road traffic accidents that resulted in injuries or deaths in two cities in Colombia

Evolution of Li, Be and B in the Galaxy

In this paper we study the production of Li, Be and B nuclei by Galactic cosmic ray spallation processes. We include three kinds of processes: (i) spallation by light cosmic rays impinging on interstellar CNO nuclei (direct processes); (ii) spallation by CNO cosmic ray nuclei impinging on interstellar p and 4He (inverse processes); and (iii) alpha-alpha fusion reactions. The latter dominate the production of 6Li and 7Li. We calculate production rates for a closed-box Galactic model, verifying the quadratic dependence of the Be and B abundances for low values of Z. These are quite general results and are known to disagree with observations. We then show that the multi-zone multi-population model we used previously for other aspects of Galactic evolution produces quite good agreement with the linear trend observed at low metallicities without fine tuning. We argue that reported discrepancies between theory and observations do not represent a nucleosynthetic problem, but instead are the consequences of inaccurate treatments of Galactic evolution.Comment: 26 pages, 5 figures, LaTeX. The Astrophysical Journal, in pres

Finding the Needles in the Haystacks: High-Fidelity Models of the Modern and Archean Solar System for Simulating Exoplanet Observations

We present two state-of-the-art models of the solar system, one corresponding to the present day and one to the Archean Eon 3.5 billion years ago. Each model contains spatial and spectral information for the star, the planets, and the interplanetary dust, extending to 50 AU from the sun and covering the wavelength range 0.3 to 2.5 micron. In addition, we created a spectral image cube representative of the astronomical backgrounds that will be seen behind deep observations of extrasolar planetary systems, including galaxies and Milky Way stars. These models are intended as inputs to high-fidelity simulations of direct observations of exoplanetary systems using telescopes equipped with high-contrast capability. They will help improve the realism of observation and instrument parameters that are required inputs to statistical observatory yield calculations, as well as guide development of post-processing algorithms for telescopes capable of directly imaging Earth-like planets.Comment: Accepted for publication in PAS

Generic two-phase coexistence in nonequilibrium systems

Gibbs' phase rule states that two-phase coexistence of a single-component system, characterized by an n-dimensional parameter-space, may occur in an n-1-dimensional region. For example, the two equilibrium phases of the Ising model coexist on a line in the temperature-magnetic-field phase diagram. Nonequilibrium systems may violate this rule and several models, where phase coexistence occurs over a finite (n-dimensional) region of the parameter space, have been reported. The first example of this behaviour was found in Toom's model [Toom,Geoff,GG], that exhibits generic bistability, i.e. two-phase coexistence over a finite region of its two-dimensional parameter space (see Section 1). In addition to its interest as a genuine nonequilibrium property, generic multistability, defined as a generalization of bistability, is both of practical and theoretical relevance. In particular, it has been used recently to argue that some complex structures appearing in nature could be truly stable rather than metastable (with important applications in theoretical biology), and as the theoretical basis for an error-correction method in computer science (see [GG,Gacs] for an illuminating and pedagogical discussion of these ideas).Comment: 7 pages, 6 figures, to appear in Eur. Phys. J. B, svjour.cls and svepj.clo neede

Nonequilibrium wetting transitions with short range forces

We analyze within mean-field theory as well as numerically a KPZ equation that describes nonequilibrium wetting. Both complete and critical wettitng transitions were found and characterized in detail. For one-dimensional substrates the critical wetting temperature is depressed by fluctuations. In addition, we have investigated a region in the space of parameters (temperature and chemical potential) where the wet and nonwet phases coexist. Finite-size scaling analysis of the interfacial detaching times indicates that the finite coexistence region survives in the thermodynamic limit. Within this region we have observed (stable or very long-lived) structures related to spatio-temporal intermittency in other systems. In the interfacial representation these structures exhibit perfect triangular (pyramidal) patterns in one (two dimensions), that are characterized by their slope and size distribution.Comment: 11 pages, 5 figures. To appear in Physical Review

Different FDG-PET metabolic patterns at single-subject level in the behavioral variant of fronto-temporal dementia.

BACKGROUND: The diagnosis of probable behavioral variant of fronto-temporal dementia (bvFTD) according to current criteria requires the imaging evidence of frontal and/or anterior temporal atrophy or hypoperfusion/hypometabolism. Different variants of this pattern of brain involvement may, however, be found in individual cases, supporting the presence of heterogeneous phenotypes. OBJECTIVE: We examined in a case-by-case approach the FDG-PET metabolic patterns of patients fulfilling clinical criteria for probable bvFTD, assessing the presence and frequency of specific FDG-PET features. MATERIALS AND METHODS: Fifty two FDG-PET scans of probable bvFTD patients were retrospectively analyzed together with clinical and neuropsychological data. Neuroimaging experts rated the FDG-PET hypometabolism maps obtained at the single-subject level with optimized voxel-based Statistical Parametric Mapping (SPM). The functional metabolic heterogeneity was further tested by hierarchical cluster analysis and principal component analysis (PCA). RESULTS: Both the SPM maps and cluster analysis identified two major variants of cerebral hypometabolism, namely the "frontal" and the "temporo-limbic", which were correlated with different cognitive profiles. Executive and language deficits were the cognitive hallmark in the "frontal" subgroup, while poor encoding and recall on long-term memory tasks was typical of the "temporo-limbic" subgroup. DISCUSSION: SPM single-subject analysis indicates distinct patterns of brain dysfunction in bvFTD, coupled with specific clinical features, suggesting different profiles of neurodegenerative vulnerability. These findings have important implications for the early diagnosis of bvFTD and for the application of the recent international consensus criteria