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Maurizio Serva

Publications and source records attributed to Maurizio Serva.

33 records · Page 2Linked to original sources
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↗
arXiv2009

Genealogical trees from genetic distances

In a population with haploid reproduction any individual has a single parent in the previous generation. If all genealogical distances among pairs of individuals (generations from the closest common ancestor) are known it is possible to exactly reconstruct their genealogical tree. Unfortunately, in most cases, genealogical distances are unknown and only genetic distances are available. The genetic distance between two individuals is measurable from differences in mtDNA (mitochondrial DNA) in the case of humans or other complex organisms while an analogous distance can be also given for languages where it is measured from lexical differences. Assuming a constant rate of mutation, these genetic distances are random and proportional only on average to genealogical ones. The reconstruction of the genealogical tree from the available genetic distances is forceful imprecise. In this paper we try to quantify the error one may commit in the reconstruction of the tree for different degrees of randomness. The errors may concern both topology of the tree (the branching hierarchy) and, in case of correct topology, the proportions of the tree (length of various branches).

q-bio.PE↗
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

Mitochondrial Dna Replacement Versus Nuclear Dna Persistence

In this paper we consider two populations whose generations are not overlapping and whose size is large. The number of males and females in both populations is constant. Any generation is replaced by a new one and any individual has two parents for what concerns nuclear DNA and a single one (the mother) for what concerns mtDNA. Moreover, at any generation some individuals migrate from the first population to the second. In a finite random time $T$, the mtDNA of the second population is completely replaced by the mtDNA of the first. In the same time, the nuclear DNA is not completely replaced and a fraction $F$ of the ancient nuclear DNA persists. We compute both $T$ and $F$. Since this study shows that complete replacement of mtDNA in a population is compatible with the persistence of a large fraction of nuclear DNA, it may have some relevance for the Out of Africa/Multiregional debate in Paleoanthropology.

q-bio.PE↗
arXiv2005

Time and foreign exchange markets

The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given quotes are discrete samples of this underlying dynamics. On the contrary, if one takes the business time point of view, price dynamics is a discrete random process, and time is simply the ordering according which prices are quoted in the market. In this paper we suggest that the business time approach is perhaps a better way of modeling price dynamics than calendar time. This conclusion comes out from testing probability densities and conditional variances predicted by the two models against the experimental ones. The data set we use contains the DEM/USD exchange quotes provided to us by Olsen & Associates during a period of one year from January to December 1998. In this period 1,620,843 quotes entries in the EFX system were recorded.

physics.soc-ph↗
arXiv2005

On the Genealogy of Populations: Trees, Branches and Offsprings

We consider a neutral haploid population whose generations are not overlapping and whose size is large and constantly of $N$ individuals. Any generation is replaced by a new one and any individual has a single parent. We do not choose the stochastic rule which assigns the number of offsprings to any individual since results do not depend on the details of the dynamics, and, as a consequence, the model is parameter free. The genealogical tree is very complex, and distances between individuals (number of generations from the common ancestor) are distributed according to probability density which remains random in the thermodynamic limit (large population). We give a theoretical and numerical description of this distribution and we also consider the dynamical aspects of the problem describing the time evolution of the maximum and mean distances in a single population.

q-bio.PE↗
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↗
arXiv2002

The human family tree and the Neandertal branch

We consider a large population of asexually reproducing individuals in absence of selective pressure. The population size is maintained constant by the environment. We find out that distances between individuals (time from the last common ancestor) exhibit highly non trivial properties. In particular their distribution in a single population is random even in the thermodynamical limit. As a result, not only distances are different for different pairs of individuals but also the mean distance of the individuals of a given population is different at different times. All computed quantities are parameters free and only scale linearly with the population size. Results in this paper may have some relevance in the 'Out of Africa/ Multi-regional' debate about the origin of modern man. In fact, the recovery of mitochondrial DNA (mtDNA) from Neandertal fossils in three different loci: Feldhofer (Germany), Mezmaiskaya (Northern Caucaso), Vinjia (Croatia), permitted to compare Neandertal/Neandertal distances with Neandertal/modern and modern/modern ones.

cond-mat.stat-mech↗
arXiv1999

Growth Optimal Investment and Pricing of Derivatives

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. We compare our result with other alternative pricing procedures in the literature, and discuss the limits of validity of the lognormal approximation. We also generalize the pricing method to a market with correlated stocks. The expected estimation error of the optimal investment fraction is derived in a closed form, and its validity is checked with a small-scale empirical test.

cond-mat.stat-mech↗
arXiv1999

Random dynamical systems, entropies and information

Prediction of events is the challenge in many different disciplines, from meteorology to finance; the more this task is difficult, the more a system is {\it complex}. Nevertheless, even according to this restricted definition, a general consensus on what should be the correct indicator for complexity is still not reached. In particular, this characterization is still lacking for systems whose time evolution is influenced by factors which are not under control and appear as random parameters or random noise. We show in this paper how to find the correct indicators for complexity in the information theory context. The crucial point is that the answer is twofold depending on the fact that the random parameters are measurable or not. The content of this apparently trivial observation has been often ignored in literature leading to paradoxical results. Predictability is obviously larger when the random parameters are measurable, nevertheless, in the contrary case, predictability improves when the unknown random parameters are time correlated.

chao-dyn↗
arXiv1999

Indeterminacy in foreign exchange market

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time scales, leads to indeterminacy principle in finance. Furthermore, dynamics does not allow for a scheme based on independent probability distributions, since volatility exhibits a strong correlation even at the shortest time scales.

cond-mat.stat-mech↗
arXiv1999

Clustering of volatility as a multiscale phenomenon

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well known is that absolute returns have memory on a long time range, this phenomenon is known as clustering of volatility. In this paper we show that volatility correlations are power-laws with a non-unique scaling exponent. This kind of multiscale phenomenology, which is well known to physicists since it is relevant in fully developed turbulence and in disordered systems, is recently pointed out for financial series. Starting from historical returns series, we have also derived the volatility distribution, and the results are in agreement with a log-normal shape. In our study we consider the New York Stock Exchange (NYSE) daily composite index closes (January 1966 to June 1998) and the US Dollar/Deutsch Mark (USD-DM) noon buying rates certified by the Federal Reserve Bank of New York (October 1989 to September 1998).

cond-mat.stat-mech↗
arXiv1997

Exact solution of a 2d random Ising model

The model considered is a d=2 layered random Ising system on a square lattice with nearest neighbours interaction. It is assumed that all the vertical couplings are equal and take the positive value J while the horizontal couplings are quenched random variables which are equal in the same row but can take the two possible values J and J-K in different rows. The exact solution is obtained in the limit case of infinite K for any distribution of the horizontal couplings. The model which corresponds to this limit can be seen as an ordinary Ising system where the spins of some rows, chosen at random, are frozen in an antiferromagnetic order. No phase transition is found if the horizontal couplings are independent random variables while for correlated disorder one finds a low temperature phase with some glassy properties.

cond-mat.dis-nn↗