The Swiss Board Directors Network in 2009

We study the networks formed by the directors of the most important Swiss boards and the boards themselves for the year 2009. The networks are obtained by projection from the original bipartite graph. We highlight a number of important statistical features of those networks such as degree distribution, weight distribution, and several centrality measures as well as their interrelationships. While similar statistics were already known for other board systems, and are comparable here, we have extended the study with a careful investigation of director and board centrality, a k-core analysis, and a simulation of the speed of information propagation and its relationships with the topological aspects of the network such as clustering and link weight and betweenness. The overall picture that emerges is one in which the topological structure of the Swiss board and director networks has evolved in such a way that special actors and links between actors play a fundamental role in the flow of information among distant parts of the network. This is shown in particular by the centrality measures and by the simulation of a simple epidemic process on the directors network.Comment: Submitted to The European Physical Journal

Tick size and price diffusion

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties of prices. The second part presents original results obtained by investigating the tick size changes occurring at the New York Stock Exchange (NYSE). We show that tick size change has three effects on price diffusion. First, as already shown in the literature, tick size affects price return distribution at an aggregate time scale. Second, reducing the tick size typically leads to an increase of volatility clustering. We give a possible mechanistic explanation for this effect, but clearly more investigation is needed to understand the origin of this relation. Third, we explicitly show that the ability of the subordination hypothesis in explaining fat tails of returns and volatility clustering is strongly dependent on tick size. While for large tick sizes the subordination hypothesis has significant explanatory power, for small tick sizes we show that subordination is not the main driver of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V International Workshop on "Econophysics of Order-driven Markets" March 9-13, 2010, The New Economic Windows series of Springer-Verlag Italia

Structure comparison of binary and weighted niche-overlap graphs

In ecological networks, niche-overlap graphs are considered as complex systems. They represent the competition between two predators that share common resources. The purpose of this paper is to investigate the structural properties of these graphs considered as weighted networks and compare their measures with the ones calculated for the binary networks. To conduct this study, we select four classical network measures : the degree of nodes, the clustering coefficient, the assortativity, and the betweenness centrality. These measures were used to analyse different type of networks such as social networks, biological networks, world wide web, etc. Interestingly, we identify significant differences between the structure of the binary and the weighted niche-overlap graphs. This study indicates that weight information reveals different features that may provide other implications on the dynamics of these networks

U.S. stock market interaction network as learned by the Boltzmann Machine

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning framework for statistical inference, we analyze historical behavior of the parameters inferred using exact and approximate learning algorithms. Since the model and inference methods require use of binary variables, effect of this mapping of continuous returns to the discrete domain is studied. The presented analysis shows that binarization preserves market correlation structure. Properties of distributions of external fields and couplings as well as industry sector clustering structure are studied for different historical dates and moving window sizes. We found that a heavy positive tail in the distribution of couplings is responsible for the sparse market clustering structure. We also show that discrepancies between the model parameters might be used as a precursor of financial instabilities.Comment: 15 pages, 17 figures, 1 tabl

Manifesto of computational social science

The increasing integration of technology into our lives has created unprecedented volumes of data on society's everyday behaviour. Such data opens up exciting new opportunities to work towards a quantitative understanding of our complex social systems, within the realms of a new discipline known as Computational Social Science. Against a background of financial crises, riots and international epidemics, the urgent need for a greater comprehension of the complexity of our interconnected global society and an ability to apply such insights in policy decisions is clear. This manifesto outlines the objectives of this new scientific direction, considering the challenges involved in it, and the extensive impact on science, technology and society that the success of this endeavour is likely to bring about.The publication of this work was partially supported by the European Union’s Seventh Framework Programme (FP7/2007–2013) under grant agreement No. 284709, a Coordination and Support Action in the Information and Communication Technologies activity area (‘FuturICT’ FET Flagship Pilot Project). We are grateful to the anonymous reviewers for the insightful comments.Publicad

Test beam performance measurements for the Phase I upgrade of the CMS pixel detector

A new pixel detector for the CMS experiment was built in order to cope with the instantaneous luminosities anticipated for the Phase I Upgrade of the LHC. The new CMS pixel detector provides four-hit tracking with a reduced material budget as well as new cooling and powering schemes. A new front-end readout chip mitigates buffering and bandwidth limitations, and allows operation at low comparator thresholds. In this paper, comprehensive test beam studies are presented, which have been conducted to verify the design and to quantify the performance of the new detector assemblies in terms of tracking efficiency and spatial resolution. Under optimal conditions, the tracking efficiency is (99.95 ± 0.05) %, while the intrinsic spatial resolutions are (4.80 ± 0.25) μm and (7.99 ± 0.21) μm along the 100 μm and 150 μm pixel pitch, respectively. The findings are compared to a detailed Monte Carlo simulation of the pixel detector and good agreement is found.Peer reviewe

Analyzing and Modeling Real-World Phenomena with Complex Networks: A Survey of Applications

The success of new scientific areas can be assessed by their potential for contributing to new theoretical approaches and in applications to real-world problems. Complex networks have fared extremely well in both of these aspects, with their sound theoretical basis developed over the years and with a variety of applications. In this survey, we analyze the applications of complex networks to real-world problems and data, with emphasis in representation, analysis and modeling, after an introduction to the main concepts and models. A diversity of phenomena are surveyed, which may be classified into no less than 22 areas, providing a clear indication of the impact of the field of complex networks.Comment: 103 pages, 3 figures and 7 tables. A working manuscript, suggestions are welcome

Alignment of the CMS silicon tracker during commissioning with cosmic rays

This is the Pre-print version of the Article. The official published version of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe CMS silicon tracker, consisting of 1440 silicon pixel and 15 148 silicon strip detector modules, has been aligned using more than three million cosmic ray charged particles, with additional information from optical surveys. The positions of the modules were determined with respect to cosmic ray trajectories to an average precision of 3–4 microns RMS in the barrel and 3–14 microns RMS in the endcap in the most sensitive coordinate. The results have been validated by several studies, including laser beam cross-checks, track fit self-consistency, track residuals in overlapping module regions, and track parameter resolution, and are compared with predictions obtained from simulation. Correlated systematic effects have been investigated. The track parameter resolutions obtained with this alignment are close to the design performance.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

Commissioning and performance of the CMS pixel tracker with cosmic ray muons

This is the Pre-print version of the Article. The official published verion of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe pixel detector of the Compact Muon Solenoid experiment consists of three barrel layers and two disks for each endcap. The detector was installed in summer 2008, commissioned with charge injections, and operated in the 3.8 T magnetic field during cosmic ray data taking. This paper reports on the first running experience and presents results on the pixel tracker performance, which are found to be in line with the design specifications of this detector. The transverse impact parameter resolution measured in a sample of high momentum muons is 18 microns.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

Performance of the CMS drift-tube chamber local trigger with cosmic rays

The performance of the Local Trigger based on the drift-tube system of the CMS experiment has been studied using muons from cosmic ray events collected during the commissioning of the detector in 2008. The properties of the system are extensively tested and compared with the simulation. The effect of the random arrival time of the cosmic rays on the trigger performance is reported, and the results are compared with the design expectations for proton-proton collisions and with previous measurements obtained with muon beams