arXiv subjects

G. Caldarelli

Publications and source records attributed to G. Caldarelli.

26 records · Page 2Linked to original sources

arXiv2000

A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the market, traders who either ``believe'' in CAPM and use it as a rule of thumb for their portfolio decisions, or are endowed with genuine mean-variance preferences, vanish in the long run. Our analysis provides further insights and extends these results. We simulate a sequence of trades in a financial market and: first, we address the issue of how long is the long run in different parametric settings; second, we study the effect of heterogeneous savings behaviour on asymptotic wealth shares. We find that CAPM is particularly ``unfit'' for highly risky environments.

cond-mat.stat-mech↗

arXiv2000

The Fractal Properties of Internet

In this paper we show that the Internet web, from a user's perspective, manifests robust scaling properties of the type $P(n)\propto n^{-τ}$ where n is the size of the basin connected to a given point, $P$ represents the density of probability of finding n points downhill and $τ=1.9 \pm 0.1$ s a characteristic universal exponent. This scale-free structure is a result of the spontaneous growth of the web, but is not necessarily the optimal one for efficient transport. We introduce an appropriate figure of merit and suggest that a planning of few big links, acting as information highways, may noticeably increase the efficiency of the net without affecting its robustness.

cond-mat.stat-mech↗

arXiv2000

Beauty and Distance in the Stable Marriage Problem

The stable marriage problem has been introduced in order to describe a complex system where individuals attempt to optimise their own satisfaction, subject to mutually conflicting constraints. Due to the potential large applicability of such model to describe all the situation where different objects has to be matched pairwise, the statistical properties of this model have been extensively studied. In this paper we present a generalization of this model, introduced in order to take into account the presence of correlations in the lists and the effects of distance when the player are supposed to be represented by a position in space.

cond-mat.stat-mech↗

arXiv1999

Statistical properties of fractures in damaged materials

We introduce a model for the dynamics of mud cracking in the limit of of extremely thin layers. In this model the growth of fracture proceeds by selecting the part of the material with the smallest (quenched) breaking threshold. In addition, weakening affects the area of the sample neighbour to the crack. Due to the simplicity of the model, it is possible to derive some analytical results. In particular, we find that the total time to break down the sample grows with the dimension L of the lattice as L^2 even though the percolating cluster has a non trivial fractal dimension. Furthermore, we obtain a formula for the mean weakening with time of the whole sample.

cond-mat↗

arXiv1998

Theory of Boundary Effects in Invasion Percolation

We study the boundary effects in invasion percolation with and without trapping. We find that the presence of boundaries introduces a new set of surface critical exponents, as in the case of standard percolation. Numerical simulations show a fractal dimension, for the region of the percolating cluster near the boundary, remarkably different from the bulk one. We find a logarithmic cross-over from surface to bulk fractal properties, as one would expect from the finite-size theory of critical systems. The distribution of the quenched variables on the growing interface near the boundary self-organises into an asymptotic shape characterized by a discontinuity at a value $x_c=0.5$, which coincides with the bulk critical threshold. The exponent $τ^{sur}$ of the boundary avalanche distribution for IP without trapping is $τ^{sur}=1.56\pm0.05$; this value is very near to the bulk one. Then we conclude that only the geometrical properties (fractal dimension) of the model are affected by the presence of a boundary, while other statistical and dynamical properties are unchanged. Furthermore, we are able to present a theoretical computation of the relevant critical exponents near the boundary. This analysis combines two recently introduced theoretical tools, the Fixed Scale Transformation (FST) and the Run Time Statistics (RTS), which are particularly suited for the study of irreversible self-organised growth models with quenched disorder. Our theoretical results are in rather good agreement with numerical data.

cond-mat↗

arXiv1998

Dynamics of Fractures in Quenched Disordered Media

We introduce a model for fractures in quenched disordered media. This model has a deterministic extremal dynamics, driven by the energy function of a network of springs (Born Hamiltonian). The breakdown is the result of the cooperation between the external field and the quenched disorder. This model can be considered as describing the low temperature limit for crack propagation in solids. To describe the memory effects in this dynamics, and then to study the resistance properties of the system we realized some numerical simulations of the model. The model exhibits interesting geometric and dynamical properties, with a strong reduction of the fractal dimension of the clusters and of their backbone, with respect to the case in which thermal fluctuations dominate. This result can be explained by a recently introduced theoretical tool as a screening enhancement due to memory effects induced by the quenched disorder.

cond-mat.stat-mech↗

arXiv1997

A Prototype Model of Stock Exchange

A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate his assets by speculating on the price's fluctuations which are produced by themselves. The model reproduced rather realistic price histories whose statistical properties are also similar to those observed in real markets.

cond-mat.stat-mech↗

arXiv1996

Branching Processes and Evolution at the Ends of a Food Chain

In a critically self--organized model of punctuated equilibrium, boundaries determine peculiar scaling of the size distribution of evolutionary avalanches. This is derived by an inhomogeneous generalization of standard branching processes, extending previous mean field descriptions and yielding $ν=1/2$ together with $τ'=7/4$, as distribution exponent of avalanches starting from species at the ends of a food chain. For the nearest neighbor chain one obtains numerically $τ'=1.25 \pm 0.01$, and $τ'_{first}=1.35 \pm 0.01$ for the first return times of activity, again distinct from bulk exponents.

cond-mat↗