Unitus DSpaceThe DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material.http://http://dspace.unitus.it:802016-07-01T04:29:56Z2016-07-01T04:29:56ZOrganization of networks with tagged nodes and biased links: A priori distinct communities. The case of intelligent design proponents and Darwinian evolution defendersRotundo, GiuliaAusloos, Marcelhttp://hdl.handle.net/2067/15062011-03-25T01:30:44Z2009-12-31T23:00:00ZTitle: Organization of networks with tagged nodes and biased links: A priori distinct communities. The case of intelligent design proponents and Darwinian evolution defenders
Authors: Rotundo, Giulia; Ausloos, Marcel
Abstract: Among the topics of opinion formation it is of interest to observe the characteristics of networks with a priori distinct communities. The citation network(s) between selected members of the Neocreationist and Intelligent Design and the Darwinian Evolution communities are unfolded through the available internet citations. The resulting adjacency matrix is not symmetric. A generalization of considerations pertaining to the case of networks with tagged nodes and biased links, directed or undirected, is presented. The main characteristic coefficients describing the structure of such networks are outlined. The structural features are discussed searching for statistical aspects of the communities. The degree distributions, each network’s assortativity, specific global and local clustering coefficients and the Average Overlap Indices are especially calculated since the distribution of elements in the rectangular submatrices represent inter-community connections. The various closed and open triangles made from nodes, distinguishing the community, are listed. The z-scores of patterns are calculated. One can distinguish between opinion leaders, followers and main rivals and briefly interpret their relationships through intuitively expected behavior in defence of an opinion. Suggestions for more elaborate models describing such communities and their subsequent structures are found in conclusions.2009-12-31T23:00:00ZMicroeconomic co-evolution model for financial technical analysis signalsRotundo, GiuliaAusloos, Marcelhttp://hdl.handle.net/2067/15152011-03-25T01:30:13Z2006-12-31T23:00:00ZTitle: Microeconomic co-evolution model for financial technical analysis signals
Authors: Rotundo, Giulia; Ausloos, Marcel
Abstract: Technical analysis (TA) has been used for a long time before the availability of more sophisticated instruments for
financial forecasting in order to suggest decisions on the basis of the occurrence of data patterns. Many mathematical and statistical tools for quantitative analysis of financial markets have experienced a fast and wide growth and have the power for overcoming classical TA methods. This paper aims to give a measure of the reliability of some information used in TA by exploring the probability of their occurrence within a particular microeconomic agent-based model of markets, i.e., the
co-evolution Bak–Sneppen model originally invented for describing species population evolutions. After having proved
the practical interest of such a model in describing financial index so-called avalanches, in the prebursting bubble time rise, the attention focuses on the occurrence of trend line detection crossing of meaningful barriers, those that give rise to some usual TA strategies. The case of the NASDAQ crash of April 2000 serves as an illustration.2006-12-31T23:00:00ZOwnership and control in shareholding networksRotundo, GiuliaD'Arcangelis, Anna Mariahttp://hdl.handle.net/2067/15072011-03-25T01:30:53Z2009-12-31T23:00:00ZTitle: Ownership and control in shareholding networks
Authors: Rotundo, Giulia; D'Arcangelis, Anna Maria
Abstract: This paper aims to provide a network analysis of the relationships of shareholders in the Italian stock market for understanding the relevance of portfolio diversification in integrated ownership and firms control. The analysis combines both a complex network and an operational research approach. The former is used for statistical analyses on portfolio diversification. The latter estimates integrated ownership considering the paths on the network, and it emphasizes the difference between ownership and control. The dataset consists of nearly 300 companies traded on the Italian Stock Market. Data were retrieved through CONSOB and AIDA database, and they are adjourned at 2008. The dataset is completed with information on banks and insurance companies. Such data were retrieved through BANKSCOPE and ISIS databases.2009-12-31T23:00:00ZNetwork analysis of ownership and control structure in the Italian Stock marketRotundo, GiuliaD'Arcangelis, Anna Mariahttp://hdl.handle.net/2067/15082011-03-25T01:30:53Z2009-12-31T23:00:00ZTitle: Network analysis of ownership and control structure in the Italian Stock market
Authors: Rotundo, Giulia; D'Arcangelis, Anna Maria
Abstract: This work has two targets. First, we gather data on the board of directors of companies traded on the Italian Stock Market, and we analyze the structure of the related network. Second, we measure the overlap among the network of the board of directors and the shareholding network, and we evaluate the relevance of the board of directors on control, effective control, and cross-ownership relationships. In fact, shareholding data, that we have already analyzed in a previous work, capture a part only of the dependence structure, while the companies that are on the market since many years interact most through social means and common directors. Thus, such approach is a first step towards the merge of social interaction information into the analysis of ties of companies. Although we are aware that a complete analysis of social interaction and families would reveal extra complex interactions, we show how public available information changes the set of controller and controlled companies.
The results point out a cause of structural risk of the market that is not considered by usual econometric models for time series of returns, and it provides a basis for the development of new indicators for risk that overcome the standard approaches most based on the time series analysis of raw return time series.
Methods used in the present analysis involve statistical analyses most proper of the field of complex networks and graph flow analysis typical of operations research approach.
The dataset reports the board of directors (CONSOB database), and the shareholdings of nearly 300 companies traded on the Italian Stock Market. Data, adjourned at May 2008, were retrieved through the AIDA database, integrated by the Bureau van Dijk databases BANKSCOPE, ISIS, and cross-validated through CONSOB and MEDIOBANCA reports.2009-12-31T23:00:00ZOptions with underlying asset driven by a fractional brownian motion: crossing barriers estimatesCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15092011-03-25T01:30:53Z2009-12-31T23:00:00ZTitle: Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: This paper aims at supplying a decision support system tool to investors having options written on an underlying asset driven by a fractional Brownian motion (fBm). The results presented here rely on the theory of nonlinear transformations of fBm and provide the calculus of the probability estimate that the underlying asset crosses nonlinear barriers. Recent results stating a Black and Scholes-like pricing formula for fBm monitor the expected behaviour of options on the basis of the dynamics of the underlying asset. We rely on the results drawn for plain vanilla options, leaving their extension to barrier options for future work. The theory of speculative bubbles due to endogenous causes provides a useful suggestion for the detection of periods in which these results should be used. The application of the above results is shown through the NASDAQ case study.2009-12-31T23:00:00ZCompanies’ Decisions for Profit Maximization: A Structural ModelCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15102011-06-27T11:17:31Z2008-12-31T23:00:00ZTitle: Companies’ Decisions for Profit Maximization: A Structural Model
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: Huge analyses on firms data selected from public available databases
accomplished the task to describe the size and growth of firms through
interpolating functions. The structure and internal firms organization
that lead to the optimal profit is a main matter of business studies
and must take carefully into account internal work distribution and
the subsequent productivity. Moreover factors external to firms, like
as the evolution of markets and the availability of new technologies
show their immediate bias on the wealth of the firms. In this paper
a model is developed for a set of firms producing a single commodity.
The shape of the productivity that leads to profit optimization is drawn
and discussed. Furthermore the optimal time for the firm to renew
its technology is established and consequences on the productivity are
examined.2008-12-31T23:00:00ZEffectiveness of measures of performance during speculative bubblesPetroni, FilippoRotundo, Giuliahttp://hdl.handle.net/2067/15112011-03-25T01:30:55Z2007-12-31T23:00:00ZTitle: Effectiveness of measures of performance during speculative bubbles
Authors: Petroni, Filippo; Rotundo, Giulia
Abstract: Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives.
We analyze the behavior of performance measures based on maximum drawdown movements (MDD(T )), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported.2007-12-31T23:00:00ZProductivity and costs for firms in presence of technology renewal processesCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15122011-03-25T01:30:55Z2006-12-31T23:00:00ZTitle: Productivity and costs for firms in presence of technology renewal processes
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: Wide empirical analyses investigated the size and growth rate distribution of business firms, providing a
relevant empirical support to economic theory. We rely on such analyses and on studies on technology
renewal costs and productivity, in order to draw sufficient conditions for the optimality of firms’ profit with
respect to time. The relationships that hold among productivity, costs of renewal and growth rates of the
companies at the optimal profit time are shown, and suggestions for firms’ policies are proposed.2006-12-31T23:00:00ZGenerating synthetic time series from Bak-Sneppen coevolution modelsPetroni, FilippoAusloos, MarcelRotundo, Giuliahttp://hdl.handle.net/2067/15132011-03-25T01:30:12Z2006-12-31T23:00:00ZTitle: Generating synthetic time series from Bak-Sneppen coevolution models
Authors: Petroni, Filippo; Ausloos, Marcel; Rotundo, Giulia
Abstract: The Bak–Sneppen model of co-evolution is used to derive synthetic time series with a priori specified fractal dimension
(or Hurst exponent) through a mixing of processes in various lattice dimensions. Both theoretical and numerical analyses
concern the avalanches at the critical threshold and provide a model for time series reconstruction that can be tested as an alternative to the classical fractional Brownian motion (fBm) because of differences in properties. New results on critical
threshold and avalanche structure are obtained up to Euclidean dimension d ¼ 6. The method involves a lattice-based
structure and therefore is suitable for the application of parallel computing.2006-12-31T23:00:00ZOn the maximum drawdown during speculative bubblesNavarra, MauroRotundo, Giuliahttp://hdl.handle.net/2067/15142011-03-25T01:30:14Z2006-12-31T23:00:00ZTitle: On the maximum drawdown during speculative bubbles
Authors: Navarra, Mauro; Rotundo, Giulia
Abstract: A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to
endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with
respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further
characterization of the rising part of such selected bubbles through the examination of drawdown and maximum
drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk
measure estimated here.2006-12-31T23:00:00ZMemory Property in Heterogeneously Populated MarketsCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15172011-03-25T01:30:13Z2009-12-31T23:00:00ZTitle: Memory Property in Heterogeneously Populated Markets
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: This paper focuses on the long memory of prices and returns of an asset traded in a _nancial market.We consider a microeconomic model of the market, and we prove theoretical conditions on the parameters of the model that give rise to long memory. In particular, the long memory property is detected in an agents' aggregation framework under some distributional hypotheses on the market's parameters.2009-12-31T23:00:00ZFirms clustering in presence of technological renewal processesCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15182011-03-25T01:30:13Z2009-12-31T23:00:00ZTitle: Firms clustering in presence of technological renewal processes
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: This chapter aims at exploring companies’ profit maximization in presence of a
hierarchical organization among firms and when technological renewal processes take
place. The introduction of a hierarchical structure among firms allows us to describe
the reality of the industrial districts. In this respect, some policies for the management
of the renewal process in the district are derived.2009-12-31T23:00:00ZCo-evolutive models for firms dynamicsRotundo, GiuliaScozzari, Andreahttp://hdl.handle.net/2067/15192011-06-30T20:15:13Z2007-12-31T23:00:00ZTitle: Co-evolutive models for firms dynamics
Authors: Rotundo, Giulia; Scozzari, Andrea
Abstract: This paper considers the Bak-Sneppen (BS) Self-Organized Criticality
model originally developed for species co-evolution.We focus both on the original
application of the model on a lattice, and on scale-free networks. Stylized facts
on firms size distribution are also considered for the application of the model to
the analysis of firms size dynamics. Thus, the BS dynamics under the uniform,
Normal, lognormal, Pareto, andWeibull distributions is studied. The original model
is also extended by introducing weights on links connecting species, and examining
the topology of the resulting Minimum Spanning Tree (MST) of the underlying
network. In a system of firms a MST may evidence the template of the strongest
interactions among firms. Conditions that lead to particular configurations of a MST
are investigated.
Description: L'articolo è disponibile sul sito dell'editore: http://www.springerlink.com2007-12-31T23:00:00ZNeural Networks for Non-independent LotteriesRotundo, Giuliahttp://hdl.handle.net/2067/15162011-03-25T01:30:55Z2009-12-31T23:00:00ZTitle: Neural Networks for Non-independent Lotteries
Authors: Rotundo, Giulia
Abstract: The von Neuman-Morgenstern utility functions play a relevant role in
the set of utility functions. This paper shows the density of the set von Neuman-
Morgenstern utility functions on the set of utility utility function that can represent
arbitrarily well a given continuous but not independent preference relation over
monetary lotteries. The main result is that without independence it is possible to
approximate utility functions over monetary lotteries by von Neuman-Morgenstern
ones with arbitrary precision. The approach used is a constructive one. Neural networks
are used for their approximation properties in order to get the result, and their
functional form provides both the von Neumann-Morgenstern representation and
the necessary change of variables over the set of lotteries.2009-12-31T23:00:00ZProcessi di rinnovamento nei cluster di impreseCerqueti, RoyRotundo, Giuliahttp://hdl.handle.net/2067/15202011-03-25T01:30:13Z2006-12-31T23:00:00ZTitle: Processi di rinnovamento nei cluster di imprese
Authors: Cerqueti, Roy; Rotundo, Giulia
Abstract: I distretti industriali sono cluster di imprese che intrattengono rapporti di cooperazione finalizzati alla produzione di un bene e che operano in base a dinamiche sociali ben radicate in una determinata area geografica. Lo scopo di questo saggio è proporre delle politiche di gestione del rinnovamento tecnologico per i distretti industriali. In primo luogo, viene riportata un’analisi della distribuzione delle imprese per dimensione e analizzati i tratti tipici del caso italiano. Quindi, la trattazione viene estesa a comprendere le strutture aziendali alternative all’organizzazione gestionale gerarchica, che costituisce, com’è osservabile nella realtà empirica, la forma più comune di organizzazione delle attività umane, e che richiede la cooperazione ed il coordinamento di un gran numero di individui. Viene poi esaminato il processo di rinnovamento tecnologico entro tale struttura gerarchica di imprese ed indicato il tempo ottimale per l’introduzione dell’innovazione tecnologica.2006-12-31T23:00:00ZDynamical correlations in financial systemsPozzi, FrancescoAste, TomasoRotundo, GiuliaDi Matteo, Tizianahttp://hdl.handle.net/2067/15212011-03-25T01:30:19Z2007-12-31T23:00:00ZTitle: Dynamical correlations in financial systems
Authors: Pozzi, Francesco; Aste, Tomaso; Rotundo, Giulia; Di Matteo, Tiziana
Abstract: One of the main goals in the field of complex systems is the selection and extraction of relevant and meaningful
information about the properties of the underlying system from large datasets. In the last years different methods
have been proposed for filtering financial data by extracting a structure of interactions from cross-correlation
matrices where only few entries are selected by means of criteria borrowed from network theory. We discuss and
compare the stability and robustness of two methods: the Minimum Spanning Tree and the Planar Maximally
Filtered Graph. We construct such graphs dynamically by considering running windows of the whole dataset.
We study their stability and their edges’s persistence and we come to the conclusion that the Planar Maximally
Filtered Graph offers a richer and more significant structure with respect to the Minimum Spanning Tree, showing
also a stronger stability in the long run.2007-12-31T23:00:00ZNetwork of firms: an analysis of the relevance of integrated ownership in market concentrationRotundo, GiuliaD'Arcangelis, Anna Mariahttp://hdl.handle.net/2067/15222011-03-25T01:30:21Z2008-12-31T23:00:00ZTitle: Network of firms: an analysis of the relevance of integrated ownership in market concentration
Authors: Rotundo, Giulia; D'Arcangelis, Anna Maria
Abstract: This paper aims to provide an analysis the structure of ownership and control of firms whose
shares are traded on the Italian Stock Market. The work is relevant for adding knowledge on the
diversification of risk and ultimately to work for the development of risk indicators beyond the
standard approaches most based on the time series analysis of raw price time series. The dataset
reports the shareholdings of 247 companies traded on the Italian stock market. Data, adjourned at
May 2008, were retrieved through the AIDA database, integrated by the Bureau van Dijk
databases BANKSCOPE, ISIS, and cross-validated through CONSOB and MEDIOBANCA
reports. Therefore, this dataset allows to consider a sampling larger than the one examined in [2],
even considering the difference in the companies traded in the Italian stock market due to the
different sampling date. Fig. 1 shows the most connected nodes of the shareholding network.
We are most interested in understanding the role of portfolio diversification and portfolio size in
the structure of ownership and control.
Methods used in the present analysis involve statistical analyses most proper of the field of
complex networks [3] and graph flow analysis typical of operations research approach [1, 4].
We start our analysis building a network from data. Each company corresponds to a node and a
link from node i to node j exists if i owns shares of j. Therefore, we obtain a directed graph and
the direction of our links is the opposite of the ones of [2], but the same used in [4].
Therefore, in our network construction, the number of links exiting from a node, kout, measures
portfolio diversification. The number of links entering in a node, kin, shows the number of
shareholders, but this data is biased due to the sample, like it happens in [2].
We are most interested in outlining the difference between ownership, control, and the overlap
between ownership and control paths and portfolio diversification. Portfolio diversification is
measured through mere statistical analysis, assortativity, and hierarchical paths estimate, in
accord with the measure introduced in [5]. We both estimate the probability distribution and the
relationship between kout of network nodes. We remark the absence of power laws, although a
comparison with the results of [2] allows to detect the tendency to lower the diversification.
We consider also the correlation of kout between different nodes. Having detected a low positive
degree of assortativity (0.17), we deepen the analysis by estimating the percentage of
hierarchical paths. Two nodes i and j are in a hierarchical path if an “up” path exists from node i
through nodes with higher kout, followed by a “down” path where nodes on the path have a
decreasing kout. Therefore, a hierarchical path exists if node i is in the portfolio of a larger
investor, in which also the smaller j is investing.
Capitalization is introduced and the analysis is carried on the portfolio size as well. This allows
to measure the overlap between portfolio diversification and capitalization, and to answer to
questions on the possibility to diversify portfolios for companies having a smaller capitalization.
Given the distribution of nodes, we determine its distance form the maximum (minimum)
hierarchical ones, and provide ranges for possible scenarios.
We compare this data with the results of the analysis of ownership/control, based on techniques
of operational research [1, 4]. The method shown in [4] deals with directed acyclic graph (DAG),
whilst [1] considers connected components. The entire network becomes DAG only whether
links corresponding to more 10% share ownerships are considered. Hence, cycles cannot be
eliminated without cutting relevant information. The results emphasize that companies traded on
the Italian stock market most use direct control.2008-12-31T23:00:00Z