http://http://dspace.unitus.it:80 The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material. Fri, 24 May 2013 05:36:08 GMT 2013-05-24T05:36:08Z http://hdl.handle.net/2067/1506 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1506 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1515 Title: 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. Sun, 31 Dec 2006 23:00:00 GMT http://hdl.handle.net/2067/1515 2006-12-31T23:00:00Z http://hdl.handle.net/2067/1507 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1507 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1508 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1508 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1509 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1509 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1510 Title: 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. Wed, 31 Dec 2008 23:00:00 GMT http://hdl.handle.net/2067/1510 2008-12-31T23:00:00Z 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. Mon, 31 Dec 2007 23:00:00 GMT http://hdl.handle.net/2067/1511 2007-12-31T23:00:00Z http://hdl.handle.net/2067/1512 Title: 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. Sun, 31 Dec 2006 23:00:00 GMT http://hdl.handle.net/2067/1512 2006-12-31T23:00:00Z 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. Sun, 31 Dec 2006 23:00:00 GMT http://hdl.handle.net/2067/1513 2006-12-31T23:00:00Z http://hdl.handle.net/2067/1514 Title: 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. Sun, 31 Dec 2006 23:00:00 GMT http://hdl.handle.net/2067/1514 2006-12-31T23:00:00Z http://hdl.handle.net/2067/1517 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1517 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1518 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1518 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1519 Title: Co-evolutive models for firms dynamics Authors: Rotundo, Giulia; Scozzari, Andrea Abstract: This paper considers the Bak-Sneppen (B􀀀S) 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 B􀀀S 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.com Mon, 31 Dec 2007 23:00:00 GMT http://hdl.handle.net/2067/1519 2007-12-31T23:00:00Z http://hdl.handle.net/2067/1516 Title: 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. Thu, 31 Dec 2009 23:00:00 GMT http://hdl.handle.net/2067/1516 2009-12-31T23:00:00Z http://hdl.handle.net/2067/1520 Title: 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. Sun, 31 Dec 2006 23:00:00 GMT http://hdl.handle.net/2067/1520 2006-12-31T23:00:00Z http://hdl.handle.net/2067/1521 Title: 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. Mon, 31 Dec 2007 23:00:00 GMT http://hdl.handle.net/2067/1521 2007-12-31T23:00:00Z http://hdl.handle.net/2067/1522 Title: 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. Wed, 31 Dec 2008 23:00:00 GMT http://hdl.handle.net/2067/1522 2008-12-31T23:00:00Z