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Tomaso Aste

Publications and source records attributed to Tomaso Aste.

At least 91 records · Page 5Linked to original sources
arXiv2013

Non stationary multifractality in stock returns

We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via Multifractal Random Walk (MRW) by Bacry \textit{et al.} [\textit{E.Bacry, J.Delour and J.Muzy, Phys.Rev.E \,{\bf 64} 026103, 2001}]. While dynamical wGHE computed on synthetic MRW series is consistent with a scenario where multifractality is constant over time, fluctuations in the dynamical wGHE observed in empirical data are not in agreement with a MRW with constant intermittency parameter. We test these hypotheses of constant multifractality considering different specifications of MRW model with fatter tails: in all cases considered, although the thickness of the tails accounts for most of anomalous fluctuations of multifractality, still cannot fully explain the observed fluctuations.

q-fin.ST↗
arXiv2012

Exploring complex networks via topological embedding on surfaces

We demonstrate that graphs embedded on surfaces are a powerful and practical tool to generate, characterize and simulate networks with a broad range of properties. Remarkably, the study of topologically embedded graphs is non-restrictive because any network can be embedded on a surface with sufficiently high genus. The local properties of the network are affected by the surface genus which, for example, produces significant changes in the degree distribution and in the clustering coefficient. The global properties of the graph are also strongly affected by the surface genus which is constraining the degree of interwoveness, changing the scaling properties from large-world-kind (small genus) to small- and ultra-small-world-kind (large genus). Two elementary moves allow the exploration of all networks embeddable on a given surface and naturally introduce a tool to develop a statistical mechanics description. Within such a framework, we study the properties of topologically-embedded graphs at high and low `temperatures' observing the formation of increasingly regular structures by cooling the system. We show that the cooling dynamics is strongly affected by the surface genus with the manifestation of a glassy-like freezing transitions occurring when the amount of topological disorder is low.

cond-mat.other↗
arXiv2012

Understanding the source of multifractality in financial markets

In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal (MSM) model, autoregressive fractionally integrated moving average (ARFIMA) processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the characteristic fat-tailed distribution of the returns and time-correlations have the effect to decrease the measured multifractality.

q-fin.ST↗
arXiv2011

Hierarchical information clustering by means of topologically embedded graphs

We introduce a graph-theoretic approach to extract clusters and hierarchies in complex data-sets in an unsupervised and deterministic manner, without the use of any prior information. This is achieved by building topologically embedded networks containing the subset of most significant links and analyzing the network structure. For a planar embedding, this method provides both the intra-cluster hierarchy, which describes the way clusters are composed, and the inter-cluster hierarchy which describes how clusters gather together. We discuss performance, robustness and reliability of this method by first investigating several artificial data-sets, finding that it can outperform significantly other established approaches. Then we show that our method can successfully differentiate meaningful clusters and hierarchies in a variety of real data-sets. In particular, we find that the application to gene expression patterns of lymphoma samples uncovers biologically significant groups of genes which play key-roles in diagnosis, prognosis and treatment of some of the most relevant human lymphoid malignancies.

physics.data-an↗
arXiv2011

Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series

We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show a neat increase with time of the generalized Hurst exponent in the period preceding the unfolding of the crisis. Conversely, firms belonging to other market sectors, which suffered the least throughout the crisis, show opposite behaviors. These findings suggest the possibility of using the scaling behavior as a tool to track the level of stability of a firm. In this paper, we introduce a method to compute the generalized Hurst exponent which assigns larger weights to more recent events with respect to older ones. In this way large fluctuations in the remote past are less likely to influence the recent past. We also investigate the scaling associated with the tails of the log-returns distributions and compare this scaling with the scaling associated with the Hurst exponent, observing that the processes underlying the price dynamics of these firms are truly multi-scaling.

q-fin.ST↗
arXiv2009

Microstructures and Mechanical Properties of Dense Particle Gels: Microstructural Characterization

The macroscopic mechanical properties of densely packed coagulated colloidal particle gels strongly depend on the local arrangement of the powder particles on length scales of a few particle diameters. Heterogeneous microstructures exhibit up to one order of magnitude higher elastic properties and yield strengths than their homogeneous counterparts. The microstructures of these gels are analyzed by the straight path method quantifying quasi-linear particle arrangements of particles. They show similar characteristics than force chains bearing the mechanical load in granular material. Applying this concept to gels revealed that heterogeneous colloidal microstructures show a significantly higher straight paths density and exhibit longer straight paths than their homogeneous counterparts.

cond-mat.soft↗
arXiv2009

Quantification of the Heterogeneity of Particle Packings

The microstructure of coagulated colloidal particles, for which the inter-particle potential is described by the DLVO theory, is strongly influenced by the particles' surface potential. Depending on its value, the resulting microstructures are either more "homogeneous" or more "heterogeneous", at equal volume fractions. An adequate quantification of a structure's degree of heterogeneity (DOH) however does not yet exist. In this work, methods to quantify and thus classify the DOH of microstructures are investigated and compared. Three methods are evaluated using particle packings generated by Brownian dynamics simulations: (1) the pore size distribution, (2) the density fluctuation method and (3) the Voronoi volume distribution. Each method provides a scalar measure, either via a parameter in a fit function or an integral, which correlates with the heterogeneity of the microstructure and which thus allows for the first time to quantitatively capture the DOH of a granular material. An analysis of the differences in the density fluctuations between two structures additionally allows for a detailed determination of the length scale on which differences in heterogeneity are most pronounced.

cond-mat.soft↗
arXiv2009

Nested hierarchies in planar graphs

We construct a partial order relation which acts on the set of 3-cliques of a maximal planar graph G and defines a unique hierarchy. We demonstrate that G is the union of a set of special subgraphs, named `bubbles', that are themselves maximal planar graphs. The graph G is retrieved by connecting these bubbles in a tree structure where neighboring bubbles are joined together by a 3-clique. Bubbles naturally provide the subdivision of G into communities and the tree structure defines the hierarchical relations between these communities.

math.GT↗
arXiv2008

Onset of mechanical stability in random packings of frictional spheres

Using sedimentation to obtain precisely controlled packings of noncohesive spheres, we find that the volume fraction $ϕ_{\rm RLP}$ of the loosest mechanically stable packing is in an operational sense well defined by a limit process. This random loose packing volume fraction decreases with decreasing pressure $p$ and increasing interparticle friction coefficient $μ$. Using X-ray tomography to correct for a container boundary effect that depends on particle size, we find for rough particles in the limit $p \to 0$ a new lower bound, $ϕ_{\rm RLP} = 0.550 \pm 0.001$.

cond-mat.soft↗
arXiv2005

Volume fluctuations and geometrical constraints in granular packs

Structural organization and correlations are studied in very large packings of equally sized acrylic spheres, reconstructed in three-dimensions by means of X-ray computed tomography. A novel technique, devised to analyze correlations among more than two spheres, shows that the structural organization can be conveniently studied in terms of a space-filling packing of irregular tetrahedra. The study of the volume distribution of such tetrahedra reveals an exponential decay in the region of large volumes; a behavior that is in very good quantitative agreement with theoretical prediction. I argue that the system's structure can be described as constituted of two phases: 1) an `unconstrained' phase which freely shares the volume; 2) a `constrained' phase which assumes configurations accordingly with the geometrical constraints imposed by the condition of non-overlapping between spheres and mechanical stability. The granular system exploits heterogeneity maximizing freedom and entropy while constraining mechanical stability.

cond-mat.soft↗
arXiv2001

Stress transmission in granular matter

The transmission of forces through a disordered granular system is studied by means of a geometrical-topological approach that reduces the granular packing into a set of layers. This layered structure constitutes the skeleton through which the force chains set up. Given the granular packing, and the region where the force is applied, such a skeleton is uniquely defined. Within this framework, we write an equation for the transmission of the vertical forces that can be solved recursively layer by layer. We find that a special class of analytical solutions for this equation are Lévi-stable distributions. We discuss the link between criticality and fragility and we show how the disordered packing naturally induces the formation of force-chains and arches. We point out that critical regimes, with power law distributions, are associated with the roughness of the topological layers. Whereas, fragility is associated with local changes in the force network induced by local granular rearrangements or by changes in the applied force. The results are compared with recent experimental observations in particulate matter and with computer simulations.

cond-mat.soft↗
arXiv2001

How does the Eurodollar Interest Rate behave?

An empirical analysis on Eurodollar interest rates daily data in the time period 1990-1996, is performed and compared with Libor data in the time period 1984-1998. The complementary cumulative distributions for the daily fluctuations at different maturity dates and the Power Spectral Density are computed. We find that the probability distribution shows `fat' tails with non-Gaussian behaviours. Moreover, we study the correlations among Eurodollar interest rates fluctuations with different maturity dates. By using an original clustering linkage, we show how the collective motion of the interest rates curve can be analyzed in sub-groups of maturity dates with similar behaviours.

cond-mat↗
arXiv1999

Glass transition in self organizing cellular patterns

We have considered the dynamical evolution of cellular patterns controlled by a stochastic Glauber process determined by the deviations of local cell topology from that of a crystalline structure. Above a critical temperature evolution is towards a common equilibrium state from any initial configuration, but beneath this temperature there is a dynamical phase transition, with a start from a quasi-random state leading to non-equilibrium glassy freezing whereas an ordered start rests almost unchanged. A temporal persistence function decays exponentially in the high temperature equilibrating state but has a characteristic slow non-equilibrium aging-like behaviour in the low temperature glassy phase.

cond-mat.dis-nn↗
arXiv1998

Dynamical partitions of space in any dimension

Topologically stable cellular partitions of D dimensional spaces are studied. A complete statistical description of the average structural properties of such partition is given in term of a sequence of D/2-1 (or (D-1)/2) variables for D even (or odd). These variables are the average coordination numbers of the 2k-dimensional polytopes (2k < D) which make the cellular structure. A procedure to built D dimensional space partitions trough cell-division and cell-coalescence transformations is presented. Classes of structures which are invariant under these transformations are found and the average properties of such structures are illustrated. Homogeneous partitions are constructed and compared with the known structures obtained by Voronoi partitions and sphere packings in high dimensions.

cond-mat.dis-nn↗
arXiv1998

THE SHELL MAP: The structure of froths through a dynamical map

The shell map is a very simple representation of the structure of foams, combining the geometrical (random tiling) and dynamical (loss of information from an arbitrary cell out) aspects of disorder. The structure is built from the central cell outward like an ever expanding jigsaw puzzle without boundary. The radial map, from one spherical layer of cells to the next, is the logistic map, and the geometrical tiling is expressed mathematically as a dynamical system. The isotropy of the disordered structure is expressed locally by averaging over each layer. The over-all translational invariance is manifest in the independence of the structure and properties on the choice of the central cell. The radial map from one layer to the next includes both effects of disorder and of space curvature. We will illustrate it and give several examples, including a few arising from discussions in Cargese.

cond-mat.dis-nn↗
arXiv1997

Circles, Spheres and Drops Packings

We studied the geometrical and topological rules underlying the dispositions and the size distribution of non-overlapping, polydisperse circle-packings. We found that the size distribution of circles that densely cover a plane follows the power law: $N(R) \propto R^{-α}$. We obtained an approximate expression which relates the exponent $α$ to the average coordination number and to the packing strategy. In the case of disordered packings (where the circles have random sizes and positions) we found the upper bound $α_{Max} = 2$. The results obtained for circles-packing was extended to packing of spheres and hyper-spheres in spaces of arbitrary dimension D. We found that the size distribution of dense packed polydisperse $D$-spheres, follows -as in the two dimensional case- a power law, where the exponent $α$ depends on the packing strategy. In particular, in the case of disordered packing, we obtained the upper bound $α_{Max}=D$. Circle-covering generated by computer simulations, gives size distributions that are in agreement with these analytical predictions. Tin drops generated by vapour deposition on a hot substrate form breath figures where the drop-size distributions are power laws with exponent $α\simeq 2$. We pointed out the similarity between these structures and the circle-packings. Despite the complicated mechanism of formation of these structures, we showed that it is possible to describe the drops arrangements, the size distribution and the evolution at constant coverage, in term of maximum packing of circles regulated by coalescence.

cond-mat.mtrl-sci↗
arXiv1996

From one cell to the whole froth: a dynamical map

We investigate two and three-dimensional shell-structured-inflatable froths, which can be constructed by a recursion procedure adding successive layers of cells around a germ cell. We prove that any froth can be reduced into a system of concentric shells. There is only a restricted set of local configurations for which the recursive inflation transformation is not applicable. These configurations are inclusions between successive layers and can be treated as vertices and edges decorations of a shell-structure-inflatable skeleton. The recursion procedure is described by a logistic map, which provides a natural classification into Euclidean, hyperbolic and elliptic froths. Froths tiling manifolds with different curvature can be classified simply by distinguishing between those with a bounded or unbounded number of elements per shell, without any a-priori knowledge on their curvature. A new result, associated with maximal orientational entropy, is obtained on topological properties of natural cellular systems. The topological characteristics of all experimentally known tetrahedrally close-packed structures are retrieved.

cond-mat.dis-nn↗