arXiv subjects

Filippo Petroni

Publications and source records attributed to Filippo Petroni.

33 records · Page 2Linked to original sources

arXiv2013

Reliability measures of second order semi-Markov chain applied to wind energy production

In this paper we consider the problem of wind energy production by using a second order semi-Markov chain in state and duration as a model of wind speed. The model used in this paper is based on our previous work where we have showed the ability of second order semi-Markov process in reproducing statistical features of wind speed. Here we briefly present the mathematical model and describe the data and technical characteristics of a commercial wind turbine (Aircon HAWT-10kW). We show how, by using our model, it is possible to compute some of the main dependability measures such as reliability, availability and maintainability functions. We compare, by means of Monte Carlo simulations, the results of the model with real energy production obtained from data available in the Lastem station (Italy) and sampled every 10 minutes. The computation of the dependability measures is a crucial point in the planning and development of a wind farm. Through our model, we show how the values of this quantity can be obtained both analytically and computationally.

physics.data-an↗

arXiv2012

First and second order semi-Markov chains for wind speed modeling

The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are needed to reproduce the statistical properties of wind speed data. We downloaded a database, freely available from the web, in which are included wind speed data taken from L.S.I. -Lastem station (Italy) and sampled every 10 minutes. With the aim of reproducing the statistical properties of this data we propose the use of three semi-Markov models. We generate synthetic time series for wind speed by means of Monte Carlo simulations. The time lagged autocorrelation is then used to compare statistical properties of the proposed models with those of real data and also with a synthetic time series generated though a simple Markov chain.

physics.data-an↗

arXiv2012

Wind speed modeled as an indexed semi-Markov process

The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are needed to reproduce the statistical properties of wind speed data. In a previous paper we showed that semi-Markov processes are more appropriate for this purpose but to reach an accurate reproduction of real data features high order model should be used. In this work we introduce an indexed semi-Markov process that is able to fit real data. We downloaded a database, freely available from the web, in which are included wind speed data taken from L.S.I. -Lastem station (Italy) and sampled every 10 minutes. We then generate synthetic time series for wind speed by means of Monte Carlo simulations. The time lagged autocorrelation is then used to compare statistical properties of the proposed model with those of real data and also with a synthetic time series generated though a simple semi-Markov process.

physics.data-an↗

arXiv2012

Weighted-indexed semi-Markov models for modeling financial returns

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series as the first passage time distributions and the persistence of volatility. The model is applied to data from Italian and German stock market from first of January 2007 until end of December 2010.

q-fin.ST↗

arXiv2011

A semi-Markov model with memory for price changes

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010.

q-fin.ST↗

arXiv2011

A semi-Markov model for price returns

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on this assumptions we derived the equations for the first passage time distribution and the volatility autocorreletion function. Theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010. The semi-Markov hypothesis is also tested through a nonparametric test of hypothesis.

q-fin.ST↗

arXiv2009

Measures of lexical distance between languages

The idea of measuring distance between languages seems to have its roots in the work of the French explorer Dumont D'Urville \cite{Urv}. He collected comparative words lists of various languages during his voyages aboard the Astrolabe from 1826 to 1829 and, in his work about the geographical division of the Pacific, he proposed a method to measure the degree of relation among languages. The method used by modern glottochronology, developed by Morris Swadesh in the 1950s, measures distances from the percentage of shared cognates, which are words with a common historical origin. Recently, we proposed a new automated method which uses normalized Levenshtein distance among words with the same meaning and averages on the words contained in a list. Recently another group of scholars \cite{Bak, Hol} proposed a refined of our definition including a second normalization. In this paper we compare the information content of our definition with the refined version in order to decide which of the two can be applied with greater success to resolve relationships among languages.

cs.CL↗

arXiv2009

Lexical evolution rates by automated stability measure

Phylogenetic trees can be reconstructed from the matrix which contains the distances between all pairs of languages in a family. Recently, we proposed a new method which uses normalized Levenshtein distances among words with same meaning and averages on all the items of a given list. Decisions about the number of items in the input lists for language comparison have been debated since the beginning of glottochronology. The point is that words associated to some of the meanings have a rapid lexical evolution. Therefore, a large vocabulary comparison is only apparently more accurate then a smaller one since many of the words do not carry any useful information. In principle, one should find the optimal length of the input lists studying the stability of the different items. In this paper we tackle the problem with an automated methodology only based on our normalized Levenshtein distance. With this approach, the program of an automated reconstruction of languages relationships is completed.

cs.CL↗

arXiv2009

Automated words stability and languages phylogeny

The idea of measuring distance between languages seems to have its roots in the work of the French explorer Dumont D'Urville (D'Urville 1832). He collected comparative words lists of various languages during his voyages aboard the Astrolabe from 1826 to1829 and, in his work about the geographical division of the Pacific, he proposed a method to measure the degree of relation among languages. The method used by modern glottochronology, developed by Morris Swadesh in the 1950s (Swadesh 1952), measures distances from the percentage of shared cognates, which are words with a common historical origin. Recently, we proposed a new automated method which uses normalized Levenshtein distance among words with the same meaning and averages on the words contained in a list. Another classical problem in glottochronology is the study of the stability of words corresponding to different meanings. Words, in fact, evolve because of lexical changes, borrowings and replacement at a rate which is not the same for all of them. The speed of lexical evolution is different for different meanings and it is probably related to the frequency of use of the associated words (Pagel et al. 2007). This problem is tackled here by an automated methodology only based on normalized Levenshtein distance.

cs.CL↗

arXiv2008

Statistical dynamics of religion evolutions

A religion affiliation can be considered as a "degree of freedom" of an agent on the human genre network. A brief review is given on the state of the art in data analysis and modelization of religious "questions" in order to suggest and if possible initiate further research, ... after using a "statistical physics filter". We present a discussion of the evolution of 18 so called religions, as measured through their number of adherents between 1900 and 2000. Some emphasis is made on a few cases presenting a minimum or a maximum in the investigated time range, - thereby suggesting a competitive ingredient to be considered, beside the well accepted "at birth" attachement effect. The importance of the "external field" is still stressed through an Avrami late stage crystal growth-like parameter. The observed features and some intuitive interpretations point to opinion based models with vector, rather than scalar, like agents.

physics.soc-ph↗

arXiv2008

High frequency intrinsic modes in El Niño Southern Oscillation Index

Recent $daily$ data of the Southern Oscillation Index have been analyzed. The power spectrum indicates major intrinsic geophysical short periods. We find interesting ``high frequency'' oscillations at 24, 27, 37, 76, 100 and 365 days. In particular the 24 days peaks may correspond to the Branstator-Kushnir wave, the 27 days may be due to the moon effect rotation, the 37 days peaks is most probably related to the Madden and Julian Oscillation. It is not yet clear the explanations for the 76 days which may be associated with interseasonal oscillation in the tropical atmosphere; the 100 days could be resulting from a mere beat between the 37 and 27 periods, or the 76 and 365 days. Next these periods are used to reconstruct the signal and to produce a forecast for the next 9 months, at the time of writing. After cleansing the signal of those periodicities a detrended fluctuation analysis is performed to reveal the nature of the stochastic structures in the signal and whether specific correlation can be found. We study the evolution of the distribution of first return times, in particular between $extreme$ $events$. A markedly significant difference from the expected distribution for uncorrelated events is found.

physics.data-an↗

arXiv2007

Effectiveness of Measures of Performance During Speculative Bubbles

Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on maximum drawdown movements (MDD), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported.

q-fin.ST↗

arXiv2007

Indo-European languages tree by Levenshtein distance

The evolution of languages closely resembles the evolution of haploid organisms. This similarity has been recently exploited \cite{GA,GJ} to construct language trees. The key point is the definition of a distance among all pairs of languages which is the analogous of a genetic distance. Many methods have been proposed to define these distances, one of this, used by glottochronology, compute distance from the percentage of shared ``cognates''. Cognates are words inferred to have a common historical origin, and subjective judgment plays a relevant role in the identification process. Here we push closer the analogy with evolutionary biology and we introduce a genetic distance among language pairs by considering a renormalized Levenshtein distance among words with same meaning and averaging on all the words contained in a Swadesh list \cite{Sw}. The subjectivity of process is consistently reduced and the reproducibility is highly facilitated. We test our method against the Indo-European group considering fifty different languages and the two hundred words of the Swadesh list for any of them. We find out a tree which closely resembles the one published in \cite{GA} with some significant differences.

physics.soc-ph↗

arXiv2006

Statistical Dynamics of Religions and Adherents

Religiosity is one of the most important sociological aspects of populations. All religions may evolve in their beliefs and adapt to the society developments. A religion is a social variable, like a language or wealth, to be studied like any other organizational parameter. Several questions can be raised, as considered in this study: e.g. (i) from a ``macroscopic'' point of view : How many religions exist at a given time? (ii) from a ``microscopic'' view point: How many adherents belong to one religion? Does the number of adherents increase or not, and how? No need to say that if quantitative answers and mathematical laws are found, agent based models can be imagined to describe such non-equilibrium processes. It is found that empirical laws can be deduced and related to preferential attachment processes, like on evolving network; we propose two different algorithmic models reproducing as well the data. Moreover, a population growth-death equation is shown to be a plausible modeling of evolution dynamics in a continuous time framework. Differences with language dynamic competition is emphasized.

physics.soc-ph↗

arXiv2003

Spot foreign exchange market and time series

We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Ols en & Associates). In our analysis we show that a naïve approach to the definition of price (for example using the spot midprice) may lead to wrong conclusions on price behavior as for example the presence of short term covariances for returns. For this purpose we introduce an algorithm which only uses the non arbitrage principle to estimate real prices from the spot ones. The new definition leads to returns which are i.i.d. variables and therefore are not affected by spurious correlations. Furthermore, any apparent information (defined by using Shannon entropy) contained in the data disappears.

cond-mat↗