http://http://dspace.unitus.it:80 The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material. 2013-05-21T17:44:51Z http://hdl.handle.net/2067/1511 Title: 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. 2007-12-31T23:00:00Z http://hdl.handle.net/2067/1513 Title: 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. 2006-12-31T23:00:00Z