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Pierluigi Vellucci

Publications and source records attributed to Pierluigi Vellucci.

At least 19 recordsLinked to original sources

Chirp-Induced Non-Separable Gabor Windows on $\mathbb{R}^d$

We construct an explicit class of non-separable Gabor windows on $L^2(\R^d)$ by applying chirp deformations to tensor-product dual pairs on separable lattices. Starting from one-dimensional dual Gabor frames, we first obtain separable higher-dimensional dual pairs by tensorization. We then transport these systems through the unitary chirp operator $U_C f(x)=e^{πi x^T Cx}f(x)$ and the associated phase-space shear, obtaining Gabor systems on lower block-triangular lattices of the form $ Λ_{A,B,C}=\{(Ak,CAk+B\ell):k,\ell\in\Z^d\}. $ {The construction is governed by a single unitary conjugacy identity for the mixed Gabor reconstruction operator. As consequences, compact support, smoothness, frame bounds, exact duality, canonical duals, and approximate-duality errors are transported without loss.} {We also record a covariance-level diagnostic, depending on a chosen STFT reference window, which describes the second-order time--frequency tilt induced by the chirp. This diagnostic is separated from the unchanged frame stability constants and is not used here to claim improved sparsity, denoising, conditioning, or computational complexity.}

math.FA

Symmetry, Scaling, and Optimal Time-Frequency Concentration: Minimising the Heisenberg Uncertainty in Piecewise-Polynomial and Wavelet Dictionaries

In this work, we introduce a hierarchy of function classes defined on a fixed compact interval, along with tailored uncertainty operators. We establish key properties of the associated uncertainty product, showing that it is invariant under scale and translation transformations. Notably, we prove that the infimum of the uncertainty within the asymmetric class is attained in the even subclass. Within two specific wavelet dictionaries, we identify the tent function as the unique minimiser of the time-frequency uncertainty, achieving a value of $U = \frac{3}{10}$. Additionally, we analyse the family of $p$-fold self-convolutions of the rectangle function, $\operatorname{rect}^{\{p\}}$, demonstrating that the uncertainty decreases monotonically towards the Heisenberg bound $ \frac{1}{4} $ as $p \to \infty$. These findings unify and explain various empirical observations from the literature on adaptive wavelet design and Gabor frame stability, and suggest a principled approach to constructing dictionaries with provably optimal joint localisation properties.

math.FA

Applications of Lax-Milgram theorem to problems in frame theory

We apply Lax-Milgram theorem to characterize scalable and piecewise scalable frame in finite and infinite-dimensional Hilbert spaces. We also introduce a method for approximating the inverse frame operator using finite-dimensional linear algebra which, to the best of our knowledge, is new in the literature.

math.FA

Network analysis and Eurozone trade imbalances

European Monetary Union continues to be characterised by significant macroeconomic imbalances. Germany has shown increasing current account surpluses at the expense of the other member states (especially the European periphery). Since the creation of a single currency has implied the impossibility of implementing competitive devaluations, trade imbalances within a monetary union can be considered unfair behaviour. We have modelled Eurozone trade flows in goods through a weighted network from 1995 to 2019. To the best of our knowledge, this is the first work that applies this methodology to this kind of data. Network analysis has allowed us to estimate a series of important centrality measures. A polarisation phenomenon emerges in relation to the growth of German dominance. The common currency has then not been capable to remove trade asymmetry, increasing the distance between surplus and deficit countries. This situation should be addressed with expansionary policies on the demand side at national and supranational level.

econ.GN

A Solution for the Greedy Approximation of a Step Function with a Waveform Dictionary

In this paper we consider a step function characterized by an arbitrary sequence of real-valued scalars and approximate it with a matching pursuit (MP) algorithm. We utilize a waveform dictionary with rectangular window functions as part of this algorithm. We show that the waveform dictionary is not necessary when all of the scalars are either non positive or non negative and the parameters of a wavelet dictionary on an integer lattice yields a closed-form solution for the initial optimization problem as part of the MP. Additionally, for any real-valued scalar sequence, we provide a solution with a related wavelet dictionary at each iteration of the algorithm. This allows for practical calculation of the approximating function, which we use to provide examples on simulated and real univariate time series data that display discontinuities in its underlying structure where the step function can be thought of as a sample from a signal of interest.

math.FA

Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect

In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency movements which correspond, respectively, to short and long run dynamics. We show that the significant local correlation between food and oil is only apparent and this is mainly due both to the activity of commodity index investments and, to a lesser extent, to a growing demand from emerging economies. Moreover, the activity of commodity index investments gives evidence of the overall financialisation process. In addition, we employ wavelet entropy to assess the predictability of the time series under consideration at different frequencies. We find that some variables share a similar predictability structure with food and oil. These variables are the ones that move the most along with oil and food. We also introduce a novel measure, the Cross Wavelet Energy Entropy Measure (CWEEM), based on wavelet transformation and information entropy, with the aim of quantifying the intrinsic predictability of food and oil given demand from emerging economies, commodity index investments, financial stress, and global economic activity. The results show that these dynamics are best predicted by global economic activity at all frequencies and by demand from emerging economies and commodity index investments at high frequencies only.

q-fin.CP

Contrarian effect in opinion forming: insights from Greta Thunberg phenomenon

In recent months the figure of Greta Thunberg and the theme of climate changings quickly became the focus of the debate. This has lead to a polarization effect in opinion forming about the climate subject. Starting from the analysis of this phenomenon, we develop an opinion dynamics model in which several types of contrarians agents are considered. Each agent is supposed to have an opinion on several topics related to each other, thus the opinions being formed on these topics are also mutually dependent. The aim of the paper is to investigate the indirect effects of contrarians agents on the collective opinion about these topics. Several numerical tests are presented in order to highlight the main features of the model.

physics.soc-ph

Personal Finance Decisions with Untruthful Advisors: an Agent-Based Model

Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in the past, the media and regulators blamed biased advisors for manipulating the expectations of naive investors. In order to give an analytic formulation of the problem, we present an Agent-Based Model formed by individual investors and a financial advisor. We parametrize the games by considering a compromise for the financial advisor (between a sufficient reward by bank and to keep his/her reputation), and a compromise for the customers (between the desired return and the proposed return by advisor). Then we obtain the Nash equilibria and the best response functions of the resulting game. We also describe the parameter regions in which these points result acceptable equilibria and the greediness/naivety of the customers emerge naturally from the model. Finally, we focus on the efficiency of the best Nash equilibrium.

q-fin.CP

$π$-formulas and Gray code

In previous papers we introduced a class of polynomials which follow the same recursive formula as the Lucas-Lehmer numbers, studying the distribution of their zeros and remarking that this distribution follows a sequence related to the binary Gray code. It allowed us to give an order for all the zeros of every polynomial $L_n$. In this paper, the zeros, expressed in terms of nested radicals, are used to obtain two formulas for $π$: the first can be seen as a generalization of the known formula $$π=\lim_{n\rightarrow \infty} 2^{n+1}\cdot \sqrt{2-\underbrace{\sqrt{2+\sqrt{2+\sqrt{2+...+\sqrt{2}}}}}_{n}} \ ,$$ related to the smallest positive zero of $L_n$; the second is an exact formula for $π$ achieved thanks to some identities valid for $L_n$.

math.NT

Stability results for Gabor frames and the p-order hold models

We prove stability results for a class of Gabor frames in $ L^2(\R)$. We consider window functions in the Sobolev spaces $H^1_0(\R)$ and B-splines of order $p\ge 1$. Our results can be used to describe the effect of the timing jitters in the $p$-order hold models of signal reconstruction.

math.FA

"Chaos" in energy and commodity markets: a controversial matter

We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and a determinism test, both based on the reconstruction of the phase space. In particular, employing a recent methodology, we estimate a coefficient $κ$ that describes the determinism rate of the analyzed time series. We find that the underlying system for futures prices shows a reliability level $κ$ near to $1$ while the MLE is positive for all commodity futures series. Thus, the empirical evidence suggests that commodity and energy futures prices are the measured footprint of a nonlinear deterministic, rather than a stochastic, system.

q-fin.ST

Microscopic modeling and analysis of collective decision making: equality bias leads suboptimal solutions

We discuss a novel microscopic model for collective decision-making interacting multi-agent systems. In particular we are interested in modeling a well known phenomena in the experimental literature called equality bias, where agents tend to behave in the same way as if they were as good, or as bad, as their partner. We analyze the introduced problem and we prove the suboptimality of the collective decision-making in the presence of equality bias. Numerical experiments are addressed in the last section.

physics.soc-ph

Dynamical aspects of the total QSSA in Enzyme Kinetics

In this paper we prove that the well-known quasi-steady state approximations, commonly used in enzyme kinetics, which can be interpreted as the reduced system of a differential system depending on a perturbative parameter, according to Tihonov theory, are asymptotically equivalent to the center manifold of the system. This allows to give a mathematical foundation for the application of a mechanistic method to determine the center manifold of (at this moment, still simple) enzyme reactions.

math.DS

"Butterfly Effect" vs Chaos in Energy Futures Markets

In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the determinism of those series. This paper is distinguished from previous studies in the following points: first, we reread existent works in the literature on energy markets, enlightening the role of \emph{butterfly effect} in chaos definition (introduced by Devaney), using this definition to prevent us from misleading results about ostensible chaoticity of the price series. Second, we test for the time series for sensitive dependence on initial conditions, introducing a coefficient that describes the determinism rate of the series and that represents its reliability level (in percentage). The introduction of this reliability level is motivated by the fact that time series generated from stochastic systems also might show sensitive dependence on initial conditions. According to this perspective, the maximum reliability level obtained here is too low to be able to ensure that there is strong evidence of sensitive The maximum reliability level obtained here was been $\simeq 56\% $, too low to ensure strong evidence of sensitive dependence on initial conditions.

q-fin.ST

Kinetic models of collective decision-making in the presence of equality bias

We introduce and discuss kinetic models describing the influence of the competence in the evolution of decisions in a multi-agent system. The original exchange mechanism, which is based on the human tendency to compromise and change opinion through self-thinking, is here modified to include the role of the agents' competence. In particular, we take into account the agents' tendency to behave in the same way as if they were as good, or as bad, as their partner: the so-called equality bias. This occurred in a situation where a wide gap separated the competence of group members. We discuss the main properties of the kinetic models and numerically investigate some examples of collective decision under the influence of the equality bias. The results confirm that the equality bias leads the group to suboptimal decisions.

physics.soc-ph

Ordering of nested square roots of 2 according to Gray code

In this paper we discuss some relations between zeros of Lucas-Lehmer polynomials and Gray code. We study nested square roots of 2 applying a "binary code" that associates bits $0$ and $1$ to $\oplus$ and $\ominus$ signs in the nested form. This gives the possibility to obtain an ordering for the zeros of Lucas-Lehmer polynomials, which assume the form of nested square roots of 2.

math.NT