Fractal Profit Landscape of the Stock Market

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.Comment: 12 pages, 4 figure

Statistical Laws Governing Fluctuations in Word Use from Word Birth to Word Death

We analyze the dynamic properties of 10^7 words recorded in English, Spanish and Hebrew over the period 1800--2008 in order to gain insight into the coevolution of language and culture. We report language independent patterns useful as benchmarks for theoretical models of language evolution. A significantly decreasing (increasing) trend in the birth (death) rate of words indicates a recent shift in the selection laws governing word use. For new words, we observe a peak in the growth-rate fluctuations around 40 years after introduction, consistent with the typical entry time into standard dictionaries and the human generational timescale. Pronounced changes in the dynamics of language during periods of war shows that word correlations, occurring across time and between words, are largely influenced by coevolutionary social, technological, and political factors. We quantify cultural memory by analyzing the long-term correlations in the use of individual words using detrended fluctuation analysis.Comment: Version 1: 31 pages, 17 figures, 3 tables. Version 2 is streamlined, eliminates substantial material and incorporates referee comments: 19 pages, 14 figures, 3 table

The International-Trade Network: Gravity Equations and Topological Properties

This paper begins to explore the determinants of the topological properties of the international - trade network (ITN). We fit bilateral-trade flows using a standard gravity equation to build a "residual" ITN where trade-link weights are depurated from geographical distance, size, border effects, trade agreements, and so on. We then compare the topological properties of the original and residual ITNs. We find that the residual ITN displays, unlike the original one, marked signatures of a complex system, and is characterized by a very different topological architecture. Whereas the original ITN is geographically clustered and organized around a few large-sized hubs, the residual ITN displays many small-sized but trade-oriented countries that, independently of their geographical position, either play the role of local hubs or attract large and rich countries in relatively complex trade-interaction patterns

Languages cool as they expand: Allometric scaling and the decreasing need for new words

We analyze the occurrence frequencies of over 15 million words recorded in millions of books published during the past two centuries in seven different languages. For all languages and chronological subsets of the data we confirm that two scaling regimes characterize the word frequency distributions, with only the more common words obeying the classic Zipf law. Using corpora of unprecedented size, we test the allometric scaling relation between the corpus size and the vocabulary size of growing languages to demonstrate a decreasing marginal need for new words, a feature that is likely related to the underlying correlations between words. We calculate the annual growth fluctuations of word use which has a decreasing trend as the corpus size increases, indicating a slowdown in linguistic evolution following language expansion. This ‘‘cooling pattern’’ forms the basis of a third statistical regularity, which unlike the Zipf and the Heaps law, is dynamical in nature

Dynamical Patterns of Cattle Trade Movements

Despite their importance for the spread of zoonotic diseases, our understanding of the dynamical aspects characterizing the movements of farmed animal populations remains limited as these systems are traditionally studied as static objects and through simplified approximations. By leveraging on the network science approach, here we are able for the first time to fully analyze the longitudinal dataset of Italian cattle movements that reports the mobility of individual animals among farms on a daily basis. The complexity and inter-relations between topology, function and dynamical nature of the system are characterized at different spatial and time resolutions, in order to uncover patterns and vulnerabilities fundamental for the definition of targeted prevention and control measures for zoonotic diseases. Results show how the stationarity of statistical distributions coexists with a strong and non-trivial evolutionary dynamics at the node and link levels, on all timescales. Traditional static views of the displacement network hide important patterns of structural changes affecting nodes' centrality and farms' spreading potential, thus limiting the efficiency of interventions based on partial longitudinal information. By fully taking into account the longitudinal dimension, we propose a novel definition of dynamical motifs that is able to uncover the presence of a temporal arrow describing the evolution of the system and the causality patterns of its displacements, shedding light on mechanisms that may play a crucial role in the definition of preventive actions

Dynamical Patterns of Cattle Trade Movements

Despite their importance for the spread of zoonotic diseases, our understanding of the dynamical aspects characterizing the movements of farmed animal populations remains limited as these systems are traditionally studied as static objects and through simplified approximations. By leveraging on the network science approach, here we are able for the first time to fully analyze the longitudinal dataset of Italian cattle movements that reports the mobility of individual animals among farms on a daily basis. The complexity and inter-relations between topology, function and dynamical nature of the system are characterized at different spatial and time resolutions, in order to uncover patterns and vulnerabilities fundamental for the definition of targeted prevention and control measures for zoonotic diseases. Results show how the stationarity of statistical distributions coexists with a strong and non-trivial evolutionary dynamics at the node and link levels, on all timescales. Traditional static views of the displacement network hide important patterns of structural changes affecting nodes' centrality and farms' spreading potential, thus limiting the efficiency of interventions based on partial longitudinal information. By fully taking into account the longitudinal dimension, we propose a novel definition of dynamical motifs that is able to uncover the presence of a temporal arrow describing the evolution of the system and the causality patterns of its displacements, shedding light on mechanisms that may play a crucial role in the definition of preventive actions

Predicting new venture survival and growth: does the fog lift?

This paper investigates whether new venture performance becomes easier to predict as the venture ages: does the fog lift? To address this question we primarily draw upon a theoretical framework, initially formulated in a managerial context by Levinthal (Adm Sci Q 36(3):397–420, 1991) that sees new venture sales as a random walk but survival being determined by the stock of available resources (proxied by size). We derive theoretical predictions that are tested with a 10-year cohort of 6579 UK new ventures in the UK. We observe that our ability to predict firm growth deteriorates in the years after entry—in terms of the selection environment, the ‘fog’ seems to thicken. However, our survival predictions improve with time—implying that the ‘fog’ does lift

‘Better late than never’: the interplay between green technology and age for firm growth

This paper investigates the relationship between green/non-green technologies and firm growth. By combining the literature on eco-innovations, industrial organisation and entrepreneurial studies, we examine the dependence of this relationship on the pace at which firms grow and the age of the firm. From a dataset of 5498 manufacturing firms in Italy for the period of 2000–2008, longitudinal fixed effects quantile models are estimated, in which the firm’s age is set to moderate the effects of green and non-green patents on employment growth. We find that the positive effect of green technologies on growth is greater than that of non-green technologies. However, this result does not apply to struggling and rapidly growing firms. With fast-growing (above the median) firms, age moderates the growth effect of green technologies. Inconsistent with the extant literature, this moderation effect is positive: firm experience appears important for the growth benefits of green technologies, possibly relative to the complexity of their management