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Pier Paolo Peirano

Publications and source records attributed to Pier Paolo Peirano.

9 recordsLinked to original sources
arXiv2010

Prediction accuracy and sloppiness of log-periodic functions

We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give an estimate of the day of the crash belongs to the latter category. We discuss in detail why and how the fitting procedure must take into account the sloppy nature of this kind of model. We then test the reliability of LPPLs on synthetic AR(1) data replicating the Hang Seng 1987 crash and show that even this case is borderline regarding predictability of divergence time. We finally argue that current methods used to estimate a probabilistic time window for the divergence time are likely to be over-optimistic.

q-fin.ST↗
arXiv2009

The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Lévy distributions; we also show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions; more generally, the stochastic processes arising in this framework are representable as mixtures of Wiener processes. The Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately.

physics.data-an↗
arXiv1996

Functional integration on Regge geometries

We adopt the standard definition of diffeomorphism for Regge gravity in D=2 and give an exact expression of the Liouville action in the discretized case. We also give the exact form of the integration measure for the conformal factor. In D>2 we extend the approach to any family of geometries described by a finite number of parameters. The ensuing measure is a geometric invariant and it is also invariant in form under an arbitrary change of parameters.

hep-lat↗
arXiv1996

Diffeomorphism invariant measure for finite dimensional geometries

We consider families of geometries of D--dimensional space, described by a finite number of parameters. Starting from the De Witt metric we extract a unique integration measure which turns out to be a geometric invariant, i.e. independent of the gauge fixed metric used for describing the geometries. The measure is also invariant in form under an arbitrary change of parameters describing the geometries. We prove the existence of geometries for which there are no related gauge fixing surfaces orthogonal to the gauge fibers. The additional functional integration on the conformal factor makes the measure independent of the free parameter intervening in the De Witt metric. The determinants appearing in the measure are mathematically well defined even though technically difficult to compute.

hep-th↗
arXiv1996

Functional integration on two dimensional Regge geometries

By adopting the standard definition of diffeomorphisms for a Regge surface we give an exact expression of the Liouville action both for the sphere and the torus topology in the discretized case. The results are obtained in a general way by choosing the unique self--adjoint extension of the Lichnerowicz operator satisfying the Riemann--Roch relation. We also give the explicit form of the integration measure for the conformal factor. For the sphere topology the theory is exactly invariant under the $SL(2,C)$ transformations, while for the torus topology we have exact translational and modular invariance. In the continuum limit the results flow into the well known expressions.

hep-th↗
arXiv1995

Conformal gauge fixing and Faddeev-Popov determinant in 2-dimensional Regge gravity

By regularizing the conical singularities by means of a segment of a sphere or pseudosphere and then taking the regulator to zero, we compute exactly the Faddeev--Popov determinant related to the conformal gauge fixing for a piece-wise flat surface with the topology of the sphere. The result is analytic in the opening angles of the conical singularities in the interval ($π$, $4π$) and in the smooth limit goes over to the continuum expression. The Riemann-Roch relation on the dimensions of ker$(L^†L)$ and ker$(LL^†)$ is satisfied.

hep-th↗
arXiv1995

2-dimensional Regge gravity in the conformal gauge

By restricting the functional integration to the Regge geometries, we give the discretized version of the well known path integral formulation of 2--dimensional quantum gravity in the conformal gauge. We analyze the role played by diffeomorphisms in the Regge framework and we give an exact expression for the Faddeev--Popov determinant related to a Regge surface; such an expression in the smooth limit goes over to the correct continuum result.

hep-lat↗
arXiv1995

Faddeev-Popov determinant in 2-dimensional Regge gravity.

By regularizing the singularities appearing in the two dimensional Regge calculus by means of a segment of a sphere or pseudo-sphere and then taking the regulator to zero, we obtain a simple formula for the gauge volume which appears in the functional integral. Such a formula is an analytic function of the opening of the conic singularity in the interval from $π$ to $4π$ and in the continuum limit it goes over to the correct result.

hep-th↗