arXiv subjects

Leone Leonida

Publications and source records attributed to Leone Leonida.

4 recordsLinked to original sources

arXiv2026

Detecting Network Instability via Multiscale Detrended Cross-Correlations and MST Topology

We introduce a multiscale measure of network instability based on the joint use of Detrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST) filtering. The proposed metric, the Elastic Detrended Cross-Correlation Ratio (Elastic DCCR), is defined as a finite-difference measure of the logarithmic sensitivity of the average MST length to the observation scale. It captures how the structure of cross-correlation networks deforms across different investment horizons. When applied to a network of global equity indices, the Elastic DCCR rises sharply during episodes of financial stress, reflecting increased short-term coordination among investors and a contraction of correlation distances. The measure reveals scale-dependent reconfigurations in network topology that are not visible in single-scale analyses, and highlights clear differences between stressed and stable market regimes. The approach does not assume covariance stationarity and relies only on scale-dependent detrended correlations; as a result, it is broadly applicable to other complex systems in which interaction strength varies with scale.

physics.soc-ph↗

arXiv2025

From classical to active particles: mathematical tools for social dynamics and behavioural economics

This essay provides a critical overview of the mathematical kinetic theory of active particles, which is used to model and study collective systems consisting of interacting living entities, such as those involved in behavior and evolution. The main objective is to study the interactions of large systems of living entities mathematically. More specifically, the study relates to the complex features of living systems and the mathematical tools inspired by statistical physics. The focus is on the mathematical description of these interactions and their role in deriving differential systems that describe the aforementioned dynamics. The paper demonstrates that studying these interactions naturally yields new mathematical insights into systems in the natural sciences and behavioral economics.

physics.soc-ph↗

arXiv2024

Investor behavior and multiscale cross-correlations: Unveiling regime shifts in global financial markets

We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale properties and cross-correlations are considered, particularly during stress conditions such as the COVID-19 pandemic, the invasion of Ukraine by Russia in 2022, and Brexit. We investigate whether significant disruptions reflect an imbalance in investment horizons among investors, and we propose a measure based on this imbalance to depict the impact on global financial markets. The detrended cross-correlation cost (DCCC), which is derived from detrended cross-correlation analysis, uses cross-correlations at different timescales to capture variations in investment horizons amid financial uncertainties. Our algorithm, which combines DCCC analysis and the minimum-spanning-tree filtering approach, tracks system interconnectedness and investor imbalances. We tested the DCCC indicator using daily price series of G7, Russian, and Chinese markets over the past decade and found that it increases sharply during ``crash'' periods compared to ``business as usual'' periods. Our empirical results confirm that short-term investment horizons dominate during financial instabilities; this validates our hypothesis and indicates that the DCCC can serve as a leading indicator of shifts in financial-market regimes.

econ.GN↗

arXiv2015

Escaping the trap of 'blocking': a kinetic model linking economic development and political competition

In this paper we present a kinetic model with stochastic game-type interactions, analyzing the relationship between the level of political competition in a society and the degree of economic liberalization. The above issue regards the complex interactions between economy and institutional policies intended to introduce technological innovations in a society, where technological innovations are intended in a broad sense comprehending reforms critical to production. A special focus is placed on the political replacement effect described in a macroscopic model by Acemoglu and Robinson (AR-model, henceforth), which can determine the phenomenon of innovation 'blocking', possibly leading to economic backwardness. One of the goals of our modelization is to obtain a mesoscopic dynamical model whose macroscopic outputs are qualitatively comparable with stylized facts of the AR-model. A set of numerical solutions is presented showing the non monotonous relationship between economic liberization and political competition, which can be considered as an emergent phenomenon of the complex socio-economic interaction dynamic.

q-fin.GN↗