14 research outputs found
On Financial Markets Trading
Starting from the observation of the real trading activity, we propose a
model of a stockmarket simulating all the typical phases taking place in a
stock exchange. We show that there is no need of several classes of agents once
one has introduced realistic constraints in order to confine money, time, gain
and loss within an appropriate range. The main ingredients are local and global
coupling, randomness, Zipf distribution of resources and price formation when
inserting an order. The simulation starts with the initial public offer and
comprises the broadcasting of news/advertisements and the building of the book,
where all the selling and buying orders are stored. The model is able to
reproduce fat tails and clustered volatility, the two most significant
characteristics of a real stockmarket, being driven by very intuitive
parameters.Comment: 18 pages, submitte
Software Corrections of Vocal Disorders
We discuss how vocal disorders can be post-corrected via a simple nonlinear
noise reduction scheme. This work is motivated by the need of a better
understanding of voice dysfunctions. This would entail a twofold advantage for
affected patients: Physicians can perform better surgical interventions and on
the other hand researchers can try to build up devices that can help to improve
voice quality, i.e. in a phone conversation, avoiding any surgigal treatment.
As a first step, a proper signal classification is performed, through the idea
of geometric signal separation in a feature space. Then through the analysis of
the different regions populated by the samples coming from healthy people and
from patients affected by T1A glottis cancer, one is able to understand which
kind of interventions are necessary in order to correct the illness, i.e. to
move the corresponding feature vector from the sick region to the healthy one.
We discuss such a filter and show its performance.Comment: Computer Methods and Programs in Biomedicine, accepted for
publicatio
Financial markets as a complex system: A short time scale perspective
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special emphasize on temporal correlations. These analysis are performed by using both linear and nonlinear tools. Multivariate correlations are also tested for, which leads to the identification of a global coupling mechanism between the considered stock markets. The application of a new formalism, called transfer entropy, allows to measure the information flow between some financial time series. We then discuss some key aspects of recent attemps to model financial markets from a microscopic point of view. One model, that is based on the simulation of the order book, is described more in detail, and the results of its practical implementation are presented. We finally address some general aspects of forecasting and modeling, in particular the role of stochastic and nonlinear deterministic processes. --time series analysis,econophysics,simulated markets,temporal correlations,high-frequency data
Analysis of Vocal Disorders in a Feature Space
This paper provides a way to classify vocal disorders for clinical
applications. This goal is achieved by means of geometric signal separation in
a feature space. Typical quantities from chaos theory (like entropy,
correlation dimension and first lyapunov exponent) and some conventional ones
(like autocorrelation and spectral factor) are analysed and evaluated, in order
to provide entries for the feature vectors. A way of quantifying the amount of
disorder is proposed by means of an healthy index that measures the distance of
a voice sample from the centre of mass of both healthy and sick clusters in the
feature space. A successful application of the geometrical signal separation is
reported, concerning distinction between normal and disordered phonation.Comment: 12 pages, 3 figures, accepted for publication in Medical Engineering
& Physic
How Traders enter the Market through the Book
Simulation of the trading activity based on the implementation of the book.