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Search Results: 1 - 10 of 2925 matches for " Matteo Marsili "
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On high dimensional directed polymer in random media
Matteo Marsili
Physics , 1995,
Abstract: Directed polymers in random media are studied using results of the asymptotic theory of extreme statistics. Despite the strong correlation, one can recover the behavior of independent random variables for high dimensions, using a result which requires only a control of pairwise correlation, and focussing on ensembles of low energy directed polymers.
Dissecting financial markets: Sectors and states
Matteo Marsili
Quantitative Finance , 2002,
Abstract: By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be identified with market states. The distribution of frequencies of market states shows scale-free properties and the memory of the market state process extends to long times ($\sim 50$ days). Assets in the same sector behave similarly across states. We characterize market efficiency by analyzing market's predictability and find that indeed the market is close to being efficient. We find evidence of the existence of a dynamic pattern after market's crashes.
Spiraling toward market completeness and financial instability
Matteo Marsili
Quantitative Finance , 2009,
Abstract: I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect competition, where full information is available to all market participants, the equilibrium develops a marked vulnerability (or susceptibility) to market imperfections, as markets approach completeness and transaction costs vanish. The decrease in transaction costs arises because financial institutions exploit trading instruments to hedge other instruments. This entails trading volumes in the interbank market which diverge in the limit of complete markets. These results suggest that the proliferation of financial instruments exacerbates the effects of market imperfections, calling for theories of market as interacting systems. From a different perspective, in order to prevent an escalation of perverse effects, markets may necessitate institutional structures which are more and more conspicuous as their complexity expands.
What Do Leaders Know?
Giacomo Livan,Matteo Marsili
Entropy , 2013, DOI: 10.3390/e15083031
Abstract: The ability of a society to make the right decisions on relevant matters relies on its capability to properly aggregate the noisy information spread across the individuals of which it is made. In this paper, we study the information aggregation performance of a stylized model of a society, whose most influential individuals—the leaders—are highly connected among themselves and uninformed. Agents update their state of knowledge in a Bayesian manner by listening to their neighbors. We find analytical and numerical evidence of a transition, as a function of the noise level in the information initially available to agents, from a regime where information is correctly aggregated, to one where the population reaches consensus on the wrong outcome with finite probability. Furthermore, information aggregation depends in a non-trivial manner on the relative size of the clique of leaders, with the limit of a vanishingly small clique being singular.
Diffusion in disordered media as a process with memory
Michele Vendruscolo,Matteo Marsili
Physics , 1996, DOI: 10.1103/PhysRevE.54.R1021
Abstract: The problem of a random walk in a disordered media is mapped into a model of a random walk with memory. The latter model, as opposed to the former one, does not make reference to a particular realization of the disorder. The equivalence of the two models implies that the new model retrieves dynamically a realization of disorder; the only one which is consistent with its dynamics. In this new approach to the dynamics in disordered media, effects of memory, aging and the peculiar localization properties of the random walker, appear quite natural.
Phase Transition and Symmetry Breaking in the Minority Game
Damien Challet,Matteo Marsili
Physics , 1999, DOI: 10.1103/PhysRevE.60.R6271
Abstract: We show that the Minority Game, a model of interacting heterogeneous agents, can be described as a spin systems and it displays a phase transition between a symmetric phase and a symmetry broken phase where the games outcome is predicable. As a result a ``spontaneous magnetization'' arises in the spin formalism.
Emergence of large cliques in random scale-free network
Ginestra Bianconi,Matteo Marsili
Physics , 2005, DOI: 10.1209/epl/i2005-10574-3
Abstract: In a network cliques are fully connected subgraphs that reveal which are the tight communities present in it. Cliques of size c>3 are present in random Erdos and Renyi graphs only in the limit of diverging average connectivity. Starting from the finding that real scale free graphs have large cliques, we study the clique number in uncorrelated scale-free networks finding both upper and lower bounds. Interesting we find that in scale-free networks large cliques appear also when the average degree is finite, i.e. even for networks with power-law degree distribution exponents gamma in the interval (2,3). Moreover as long as gamma<3 scale-free networks have a maximal clique which diverges with the system size.
Memory and Self Organization
Matteo Marsili,Guido Caldarelli
Physics , 1994,
Abstract: The main result of this letter is that SOC naturally arises as a result of memory effects. We show that memory effects provide the mechanism for self organization. A general procedure to investigate this issue in models that display self organized critical behaviour is proposed and applied to some example. The simplest class of models exhibiting self organized criticality through this mechanism is introduced and discussed in some detail. PACS: 02.50-r, 05.40+j, 05.40jk
A statistical mechanics model for the emergence of consensus
Giacomo Raffaelli,Matteo Marsili
Physics , 2004, DOI: 10.1103/PhysRevE.72.016114
Abstract: The statistical properties of pairwise majority voting over S alternatives is analyzed in an infinite random population. We first compute the probability that the majority is transitive (i.e. that if it prefers A to B to C, then it prefers A to C) and then study the case of an interacting population. This is described by a constrained multi-component random field Ising model whose ferromagnetic phase describes the emergence of a strong transitive majority. We derive the phase diagram, which is characterized by a tri-critical point and show that, contrary to intuition, it may be more likely for an interacting population to reach consensus on a number S of alternatives when S increases. This effect is due to the constraint imposed by transitivity on voting behavior. Indeed if agents are allowed to express non transitive votes, the agents' interaction may decrease considerably the probability of a transitive majority.
Number of cliques in random scale-free network ensembles
Ginestra Bianconi,Matteo Marsili
Physics , 2006, DOI: 10.1016/j.physd.2006.09.013
Abstract: In this paper we calculate the average number of cliques in random scale-free networks. We consider first the hidden variable ensemble and subsequently the Molloy Reed ensemble. In both cases we find that cliques, i.e. fully connected subgraphs, appear also when the average degree is finite. This is in contrast to what happens in Erd\"os and Renyi graphs in which diverging average degree is required to observe cliques of size $c>3$. Moreover we show that in random scale-free networks the clique number, i.e. the size of the largest clique present in the network diverges with the system size.
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