Seminars

Prof. Esteban Moro Egido

Mesoscopics of the stock market

Departamento de Matematicas
Universidad Carlos III de Madrid

Il seminario si terrà Martedì 18 Maggio 2004 alle ore 11.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative Viale delle Scienze, Edificio 18, Palermo

Abstract

During the last years much attention has been devoted to unravel the so called "stylized" facts of the stock market fluctuations. On the other hand, microscopic modellization in terms of collectivities of agents has become a potential approach in understanding the origin of those stylized facts. However no empirical study of the behavior of actual stock market agents exists that could validate the basic assumptions of those models. Here, we present the first study of a stock market (the Spanish IBEX35) in terms of the actions of firms and brokers that trade in that market. Our study allow us to identify the two new and basic ingredients of the mesoscopic description of the stock market, namely, the distribution of wealth in the society and the network of market relationships among the set of agents. The importance of these findings when explaining the stylized facts of the stock market and its possible modellization as the aggregate outcome of the agents actions is is discussed.


Prof. J. Doyne Farmer

The statistical physics approach to
price formation

Santa Fe Institute
Santa Fe, NM (USA)

Il seminario si terrà Lunedí 29 Marzo 2004 alle ore 12.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative Viale delle Scienze, Edificio 18, Palermo

Abstract

While strategic interactions are surely essential to understand price formation, many of the statistical properties of prices can be understood using simple models based on agents who make decisions more or less at random. A simple model of the continuous double auction produces predictions for properties such as price volatility and the average price interval between the best buying and selling prices that are in good agreement with data from the London Stock Exchange. In addition, I will discuss several other interesting properties, such as long-memory, that this model does not explain, and sketch ongoing work based on the
hypothesis of an "ecology of arbitrage".


Prof. J. Doyne Farmer

Beyond Equilibrium and Efficiency

McKinsey Research Professor
Santa Fe Institute,
Santa Fe NM (USA)

Il seminario si terrà Martedì 30 Marzo 2004 alle ore 12.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative Viale delle Scienze, Edificio 7, Palermo

Abstract

Equilibrium and its corollary, arbitrage efficiency, are the cornerstone assumptions of traditional financial economics. I will survey the successes, failures, and necessary limitations of these ideas, and sketch some alternatives. This lecture will be a summary of a synthesis arrived at after a discussion and debate of several years' duration between me (a physicist) and my friend and colleague John Geanakoplos (a Yale economist and expert in equilibrium theory)

 


Prof. Francesco Sciortino

Se mi leghi diffondo ... ovvero ... un liquido con due vetri


Dipartimento di Fisica
Università La Sapienza, Roma
INFM-CRS for Statistical mechanics and Complexity

Il seminario si terrà Lunedi 22 Dicembre 2003 alle ore 11.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative, Viale delle Scienze, Edificio 18, Palermo.

ABSTRACT: Discutero` la peculiare dinamica che caratterizza i sistemi colloidali nei quali il range di interazione tra due particelle e` piccolo rispetto alla dimensione delle particelle medesime. In questi sistemi, e` possibile rallentare la dinamica (sino a formare strutture disordinate solide) sia abbassando che alzando la temperatura. Risultati di esperimenti e simulazioni e previsioni teoriche verranno presentati e discussi.

 


Dr. Hans Hennig von Gruenberg


Fachbereich Physik,
Universitat Konstanz
Konstanz (DE)

Il seminario si terra' Venerdi 20 Giugno 2003 alle ore 11.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative, Viale delle Scienze, Edificio 18, Palermo.

Electrostatic effects in soft condensed matter systems


Prof. Werner Ebeling


Institute of Physics,
Humboldt-University

Berlin (DE)


Il seminario si terra' Lunedi 26 Maggio 2003 alle ore 12.00 presso l' Aula Consiglio del Dipartimento di Fisica e Tecnologie Relative, Viale delle Scienze, Edificio 18, Palermo.


ACTIVE BROWNIAN MOTION IN PHYSICS AND IN BIOLOGY.

ABSTRACT:Brownian motion is denoted as active, if the particles have access to an energy supply. Starting with the history of the concept we give then a survey of examples in physics, chemistry and biology. A basic model is developed which is based on partially negative friction. Velocity-dependent friction functions are derived from energy depot models assuming that internal energy of the depot may be converted into acceleration. We analyse the basic modes of the dynamics as translation and rotations. The influence of noise is analyzed and several special solutions of the Fokker-Planck equations for free and for confined particles are presented. Furtheron we study the role of interactions in particular Coulomb forces and give applications to dusty plasmas. Finally in an application to swarms we analyse the basic collective modes of the dynamics as e.g. translations, global rotations, fluctuating shapes and clustering.


Dr. Giulia Iori

Department of Mathematics
King's College, London

Il seminario si terra' MERCOLEDI 15 Gennaio alle ore 17.00 presso le Aule Satellite della Presidenza di Ingegneria, Viale delle Scienze, Edificio 7, Palermo.

MODELLING LIMIT ORDER TRADING

Abstract

The aim of this talk is to illustrate simple auction market models introduced to investigate how the placement of limit orders contributes to market liquidity and to the price formation mechanism. We analyze how different trading strategies affect the dynamics of prices, bid-ask spreads, trading volume and volatility. We also analyze the impact of trades of different size on prices and compare the results of our simulations with real market data.


Prof. Tito Arecchi

Dipartimento di Fisica, Universita' of Firenze 
e
Istituto Nazionale di Ottica Applicata
Largo E. Fermi 6, 50125 Firenze, Italia

Venerdi' 25 Ottobre, ore 16.00 Aula Seminari

CONTROLLO E SINCRONIZZAZIONE DI CAOS OMOCLINICO: DAI LASER ALLA NEURODINAMICA

Abstract

Homoclinic spike trains have been intensively investigated for single mode CO2 lasers [1]; however, their occurrence has a more general significance insofar as this scenario fits the main aspects of action potentials in neurons. Stabilizing homoclinic trains has therefore a relevance for neural communication and synchronization, which seems to be the universal time code for perceptions. The core dynamics of homoclinic chaos is represented by the passage through a saddle point, in which neighbourhood the system susceptibility (response to an external perturbation) is very high [2] and hence it is very easy to apply a control [3]. A few aspects of regularization of homoclinic chaos are covered, such as, synchronization by an external pace-maker [4], DSS (delayed self-synchronization) [5], bursting [6], and NIS (noise induced synchronization) [7]. Such a general scenario is compared with specific neurodynamic models; moreover its impact on communicating with chaos is discussed [8].

Bibliografia:

[1] F.T. Arecchi,  R. Meucci, W. Gadomski , "Laser dynamics with competing instabilities", Phys. Rev. Lett. 58, 2205-2208 (1987).
[2] F.T. Arecchi, "Chaos, metrology and fundamental constants" in Recent advances in metrology and fundamental constants, T.J. Quinn, S. Leschiutta and P. Tavella, ed. (IOS, Amsterdam 2001).
[3] R. Meucci and F.T. Arecchi , "Experiments on chaos control in lasers" in  Space-time chaos  characterization, control and synchronization, S. Boccaletti et al., ed.  (World Scientific Publishing, Singapore 2001).
[4] E. Allaria, F.T. Arecchi, A. Di Garbo and R. Meucci "Synchronization of Homoclinic Chaos ", Phys. Rev. Lett. 86, 791-794 (2001); A.N. Pisarchik, F. T. Arecchi, R. Meucci and A. Di Garbo "Synchronization of Shilnikov Chaos in a CO2 Laser with Feedback" Laser Physics 11, 1235 (2001).
[5] F.T. Arecchi, R. Meucci, E. Allaria, A. DiGarbo, L.S. Tsimring, "Delayed self-synchronization in homoclinic chaos", Phys.Rev. E 65, 046237 (2002).
[6] R. Meucci, A. Di Garbo, E. Allaria and F.T. Arecchi, "Autonomous bursting in a homoclinic system"" Phys. Rev. Lett 88, 4101 (2002). 
[7] C.S. Zhou, E. Allaria, F.T. Arecchi, S. Boccaletti, R. Meucci and J. Kurths, "Noise-induced  synchronization and coherence resonance of  homoclinic chaos" sub. to Phys. Rev. Lett.

[8] I.P. Mariño, E. Allaria, R. Meucci, S. Boccaletti, F.T.  Arecchi, "Information encoding in homoclinic chaotic systems" CHAOS, Sep 2002.


 

Dr. Stefano Ruffo,Dipartimento di Energetica "S. Stecco", Universita' di Firenze, INFM and INFN Firenze, 
Inequivalenza degli insiemi in modelli di campo medio, Giovedi' 3 Ottobre 2002 ore 17.00 

Abstract

Discutero' il problema della ``inequivalenza degli insiemi": il disaccordo nelle predizioni dei valori medi (energia, temperatura, ecc.) in diversi insiemi statistici (canonico, microcanonico), che persiste al limite termodinamico.
Cio' si verifica quando l'interazione e' a lungo raggio, cioe' decade a grandi distanze con una potenza inferiore alla dimensione Euclidea dello spazio. Una tale classe di sistemi, spesso studiati in meccanica statistica, e' quella dei modelli di campo medio.
Abbiamo ottenuto la soluzione esatta di alcuni modelli di campo medio (per esempio il modello di Blume-Emery-Griffiths) nell'insieme microcanonico ed abbiamo mostrato che le predizioni sono diverse da quelle dell'insieme canonico, perfino al limite termodinamico. Ci 
siamo concentrati sullo studio del comportamento vicino a transizioni di fase del primo ordine, dove il disaccordo e' piu' evidente.
In particolare, abbamo mostrato che nella regione della transizione del prim'ordine canonica, si verificano due fenomeni sorprendenti nell'insieme microcanonico: la presenza di ``calore specifico negativo" e di ``salti in temperatura". Entrambi questi fenomeni sono 
potenzialmente osservabili in natura: di recente segnali della presenza di calore specifico negativo sono stati evidenziati nel processo di fusione di cluster atomici, dove la taglia del sistema (che e' finita) e' dell'ordine di quella dell'interazione, mimando l'effetto del lungo raggio. Abbiamo anche analizzato queste proprieta' dei modelli di campo medio da un punto di vista formale, evidenziando che e' la struttura intima di tali modelli a produrre questi effetti peculiari nell'insieme microcanonico. Infine, discutero' in breve l'apparizione, nella dinamica dei modelli di campo medio, di strutture coerenti che sopravvivono per tempi che crescono con la taglia del sistema.

 


 


Dr. Makoto Nirei Santa Fe Institute, Santa Fe, NM, U.S.A., Sectoral Propagation in Business Cycles, Venerdi' 14 Giugno,ore 16.00

Download Thesis

Abstract

This paper proposes the propagation mechanism in which idiosyncratic sectoral technological shocks give rise to aggregate fluctuations in production of realistic magnitude.  A sectoral business cycles model is considered when some production inputs exhibit indivisibility. Asymptotic moments of the growth rates of aggregate production are derived when the number of sectors is taken to infinity.  In particular, the variance of the growth rates when the indivisibility is present is greater than when it is absent, by the factor of the number of sectors. This contrasts the conventional argument against technology-driven business cycles that the highly disaggregated models cannot exhibit propagations that induce big enough fluctuations in aggregate due to a mechanism analogous to the law of large numbers.  This model shows a break of the law of large numbers and
that the indivisibility of inputs can induce a non-Gaussian, leptokurtic distribution of the propagation size and thus large fluctuations in growth rates.  The distribution function of growth rates is also explicitly derived
in a particular case.  The tail of the distribution exhibits a mixture of exponential and power decay, whose transition point is characterized by the strength of strategic complementarity among sectors.  The paper also discusses that the propagation mechanism is analogous to self-organized criticality and percolation models.

 



Dr. Matteo Pardo, INFM Unità di Brescia and Dipartimento di Fisica e Chimica, Università di Brescia, Italy Learning from data, Lunedi' 27 Maggio, ore 17.00
Abstract 

 


Prof. Hans C. Fogedby, Institute of Physics and Astronomy, University of Aarhus, DK-8000, Aarhus C, Denmark and NORDITA Blegdamsvej 17 DK-2100 Copenhagen, Denmark Phase Space Approach to Stocastic Processes: Application to the KPZ Equation for Growth Lunedi' 22 Aprile, ore 16.00

Abstract

We present a canonical phase space approach to stochastic systems described by Langevin equations driven by white noise. Mapping the associated Fokker-Planck equation to a Hamilton-Jacobi equation in the nonperturbative weak noise limit we invoke a principle of least action for the determination of the probability distributions. We apply the scheme to the noisy Burgers and KPZ equations in one spatial dimension and discuss the growth in terms of a gas of solitons. We also discuss the extension to higher dimensions.


 


Dr. Andreas Buchleitner,
Max Planck Institute for the Physics of Complex Systems , Dresden - Germany

Quantum State Control in Cavity QED ,Mercoledi' 10 Aprile, ore 16.00 Aula Seminari

Complex Dynamics in Simple Atoms, Giovedi' 11 Aprile, ore 17.00 Aula Seminari


 

Dr. Vito Latora, Dipartimento di Fisica e Astronomia e INFN, Universita' of Catania, Efficient Behavior of Small-World Networks, Giovedi' 17 Gennaio ore 12.15 Aula Seminari

Abstract

The connection topology of many biological, technological and social networks is neither completely regular nor completely random. These networks named small-worlds are in fact highly clustered, like regular lattices, yet having small characteristics path lengths, like random graphs. The first mathematical formalization of the small-world phenomenon in TOPOLOGICAL networks appeared in Nature 393(1998)440 and is due to Watts and Strogatz. We have formulated a new theory of small-worlds based on the definition of a simple quantity, the EFFICIENCY of a network, which measures how efficiently the nodes of the network exchange information. By using this simple measure small-world networks result as systems that are both globally and locally efficient. In this way: we give a clear physical meaning to the concept of small-world [1], we extend the idea of the small-world to a wider class of graph, topological (unweighted) but also WEIGHTED, connected but also unconnected [2], and we perform a precise quantitative analysis of NEURAL NETWORKS and man-made COMMUNICATION (the World Wide Web and the Internet) and TRANSPORTATION SYSTEMS (the Boston underground transportation system, a case in which the weight is given by the space distances between two stations), and we show that the underlying general principle of their construction is in fact a small-world principle of high efficiency [3].

[1] www.ct.infn.it/~latora/networks.html
[2] Harmony in the Small World, M. Marchiori and V. Latora, 
    Physica A 285 (2000) 539.
[3] Efficient Behavior of Small-World Networks, V. Latora and
    M. Marchiori, Phys. Rev. Lett. 87 (2001) 198701.



 

Prof. Andrea Rapisarda,Dipartimento di Fisica e Astronomia e INFN,Universita' of Catania, Non-Gaussian Equilibrium in  a Long-Range Hamiltonian System, Giovedi' 17 Gennaio ore 11.30 Aula Seminari

Abstract

We consider a simple model of classical spins with infinite range interactions, and we show that, when the thermodynamic limit is performed before the infinite time limit, the system does not relax to the Boltzmann-Gibbs (BG) equilibrium, but exhibits different equilibrium-like properties characterized by non-Gaussian velocity distributions, Levy walks and  correlation in phase-space. Our results show some  consistency  with the predictions of a generalized non-extensive thermodynamics [1].

[1] V. Latora, A. Rapisarda and C. Tsallis,  Phys. Rev. E 64  (2001) 
    and Physica A (2002) in press (cond-mat/0109056)



 

Dr. Tiziana Di Matteo INFM-Dipartimento di Fisica "E. R. Caianiello", Università degli Studi di Salerno An interest rates cluster analysis Giovedi' 15 Novembre Ore 16.00

Abstract

An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of  34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time-series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure. 



 

Dr. Tommaso Aste INFM-Dipartimento di Fisica, Università di Genova, Statistical Properties of froths and other disordered networks Giovadi' 15 Novembre Ore 17.00

Abstract

Disordered patterns are widespread in nature and they often appear in completely different contests as for example in the analysis of the structure of financial data or the geography of the web.  In an ordered structure, one must constrain the elementary bricks to satisfy the local rotational symmetry compatible with translational invariance. By contrast, a disordered structure is free of any local symmetry constraint, and only subjected to the inescapable topological and geometrical conditions imposed by the embedding space. In this seminar the two following questions are addressed: How much these geometrical-topological conditions constraint the statistical properties of such disordered structures?  Which are -on the contrary- the properties that characterize statistically these systems?



 

Prof. Andrea Consiglio, Istituto di Matematica per la Ricerca Operativa, Università di Palermo, Households, banks and insurances: takea walk on the (wild) financial side, Martedi' 23 Ottobre ore 16.00


 

Dr. Eric Lutz, Dipartimento di Fisica, Università di Ginevra , Random-Matrix Approach to Anomalous Diffusion, Mercoledi' 19 Settembre 2001 ore 16.00

Abstract

We consider two forms of anomalous diffusion: (i) fractional Brownian motion, a process which is non-local in time, and (ii) Levy stable motion, which is non-local in space. We give an overview of the recent application of random-matrix theory in the description of these processes. In particular, we show how these microscopic models lead to fractional kinetic equations: fractional Langevin equation for fractional Brownian motion and fractional Klein-Kramers equation for Levy stable motion. 

 


 

Prof. Antonio Coniglio, Dipartimento di Scienze Fisiche, Universita` di Napoli
Frustrated Percolation: Theory and Applications, Mercoledi' 13/06/2001 ore 12.00

Abstract

The properties of the frustrated percolation model are reviewed[1,2]. This model, which contains frustration and connectivity as an essential ingredient, exhibits a large degree of complexity in both static and dynamics. The bond version of the model maps on the spin glass model[1], while the site version can be applied to a large variety of frustrated systems such as glasses[2-5] and granular materials[2,6,7].

[1] A. Coniglio F. di Liberto, G. Monroy and F. Peruggi Phys Rev B 44, 12605 (1991).
[2] A. Coniglio Proceedings of the International School of Physics "Enrico Fermi" Course CXXXIV F. Mallamace and H.E. Stanley (Eds.), IOS Press Amsterdam 1997, p. 491. 
[3] A. Coniglio, A. de Candia, A. Fierro and M. Nicodemi J.Phys.:Cond Matt 11, A 167 (1999).
[4] A. Fierro, G. Franzese, A de Candia and A. Coniglio Phys Rev E 59, 60 (1999). 
[5] A. Fierro, A. de Candia and A. Coniglio Phys Rev E 62,7715 (2000).
[6] M. Nicodemi and A.Coniglio, Phys. Rev. Lett. 82,916 (1999).
[7] A.Coniglio and M. Nicodemi J.Phys.:Cond Matt 12, 6601 (2000).

 


 

Dr. Tiziana Castrignanò, CASPUR,
Molecular dynamics of protein-RNA interactions: the recognition of an RNA stem-loop by a Staufen double-stranded RNA-binding domain, Lunedì 23 Aprile 2001 ore 16.00

Abstract

RNA-protein interaction play a central role in a wide range of biological processes. One of the most common RNA-binding motifs is the double-stranded RNA-binding domain (dsRBD), found in many eukaryotic and procaryotic proteins involved in RNA processing maturation and localization. In this work we report 2ns molecular dynamics simulations in aqueous solution of three molecular systems:

1. the complex between the third dsRBD (dsRBD3) from Drosophila Staufen and a RNA stem-loop
2. the free protein dsRBD3
3.the free RNA stem-loop.

All the systems have been simulated using the AMBER force field and the Ewald summation methods to treat the electrostatic interactions. Analysis of the trajectories has permitted us to highlight the regions involved in the recognition process and to compare the difference in flexibility between the free and the bound macromolecules. These data are also compared to the experimental NMR structures and the experimental mutational studies to provide a description of the residues crucial for the binding affinity and specificity.

 


 

Dr. Andrea Cosentini, Servizio di Risk Management, Banca Intesa S.p.A., Milano,
Introduzione alle problematiche quantitative nei mercati finanziari, Venerdì 6 Aprile 2001 ore 12.00 

Abstract

Nel seminario si tentera' di spiegare chi e' e cosa fa il "quantitativo" nella realta' che ruota attorna ai mercati finanziari: Risk Management, Front Office. Attraverso esempi di prodotti scambiati in tali mercati verranno introdotte alcune delle metodologie quantitative che consentono di ottenere dei prezzi "operativi". 

 


 


Dr. Emilio d' Emilio,Dipartimento di Fisica, Università degli Studi di Pisa,
Test di Precisione di QED al 2000,Mercoledì 4 Aprile 2001 ore 16.00

Abstract

Scopo del seminario è dare un' idea degli sviluppi teorici degli ultimi anni e dello stato del confronto fra teoria ed esperimenti in Elettrodinamica Quantistica (QED).
Recenti misure dell' anomalia del muone sono fuori di 2 - 3 s.d. dalla più accurata previsione teorica (modello elettrodebole + forte) e c' è consenso generale sul fatto che la discrepanza vada spiegata in termini di "New Physics" .
Recenti e non recenti misure della larghezza di annichilazione dell' orto-positronio in tre fotoni sono fuori di 4 - 8 s.d. dalle predizioni teoriche che, grazie all'affermarsi di un nuovo schema di calcolo, hanno ripreso - dopo un periodo di quiescenza - a raffinarsi notevolmente.
Analoga situazione (3 - 4 s.d.) sulla separazione iperfina fra orto- e para-positronio.
Nel caso del positronio, tuttavia, quasi nessuno invoca la "New Physics".

 


 

Dr. Maria Loffredo, Dipartimento di Matematica, Università degli Studi di Siena
Meccanica Stocastica  e sue Applicazioni,Martedì 3 Aprile 2001 ore 16.00

Abstract

La meccanica stocastica, attraverso l'introduzione di diffusioni nello spazio delle configurazioni, può essere intesa come un approccio alternativo alla quantizzazione di sistemi dinamici, basato su concetti puramente classici connessi alla teoria delle equazioni differenziali stocastiche.

Dopo una breve introduzione, saranno esaminate alcune conseguenze dei principi variazionali della meccanica stocastica, specie in relazione alla descrizione idrodinamica del superfluido, inteso come sistema di molte particelle quantistiche. In particolare sarà discusso il problema dell' esistenza di soluzioni singolari caratterizzate da linee di vortice quantizzato.
 


 

Dr. Roberto Renó, Scuola Normale Superiore, Pisa,
Measuring volatility via Fourier Analysis, Mercoledí 28 Febbraio 2001 ore 16.00

Abstract

We analyze a recently proposed method to estimate the volatility of a diffusion process with high frequency data. The method is based on Fourier analysis,  all observations are included in the computation without any data manipulation. By Monte Carlo experiments, we evaluate its performance in measuring volatility under the assumption that the asset price evolves according to models belonging to the SR-SARV(1) class, which includes GARCH(1,1) as a particular case. We compare the performance of the method to that associated with the cumulative squared intra-day returns. The forecasting capability of the models is also evaluated. These results are confirmed by the analysis of exchange rate high frequency time series in a GARCH setting. The method allows us to identify microstructure effects on the asset price dynamics. We applied it to the evaluation of the forecasting  performance of the daily volatility with a  GARCH(1,1) model using intra-day returns.


 

Dr.Guido Caldarelli, INFM and Dipartimento di Fisica, Università "La Sapienza",Roma, 
The Fractal Properties of Internet

Abstract

In this seminar we show that the Internet web, from a user's perspective, manifests robust scaling properties of the type P(n) proportional to n^{-t} connected to a given point, P represents the density of probability of finding n points downhill and t=1.9 ± 0.1 is a characteristic universal exponent. This scale-free structure is a result of the pontaneous growth of the web, but is not necessarily the optimal one for efficient transport. We introduce an appropriate figure of merit and suggest that a planning of few big links, acting as information highways, may noticeably increase the efficiency of the net without affecting its robustness.


 

Dr. Salvatore Micciche', Observatory of Complex Systems, Unità I.N.F.M. di Palermo,  An Introduction to Capital Asset Pricing models, Martedi' 19 Dicembre 2000 ore 16.00

 


 

Dr. Fabrizio Lillo, Observatory of Complex Systems, Unità I.N.F.M. di Palermo Elementi di Teoria del Portafoglio, Martedi' 12 Dicembre 2000 ore 17.00

 

Dr. Giovanni Bonanno, Observatory of Complex Systems, Unità I.N.F.M. di Palermo, 
Introduzione alle Simulazioni di Dinamica Molecolare, Martedi' 12 Dicembre 2000 ore 16.00

 


 


Prof. Derek Abbot, Director of the Centre for Biomedical Engineering, University of Adelaide 
Parrondo's Paradox: When Losing Strategies Cooperate to Win, Mercoledi' 29-11-2000 ore 16.00

Abstract

It is well known that chess pieces can be sacrificed in order to win the overall game. In population genetics, the fitness of an animal species ometimes declines first before evolving to a higher level of survival fitness. Engineers know that unstable control systems paradoxically stabilize if combined in the right way. However, can losing gambling games be constructed so they become winning, when they are played one after each other? The answer is yes. Game A and game B are constructed to be losing if played individually, but if A and B are played in any random sequence we get a winning expectation! This strikingly counterintuitive result is called Parrondo's Paradox and has appeared in Nature, Vol. 402, Dec. 1999, p. 864.  We will take a look at some simple examples and show that this effect is in fact a discrete-time manifestation of a Brownian ratchet. Game theory is strongly linked to economics, social networks/dynamics and evolutionary biology. Future development of Parrondian strategies that can help to model cases where declining birth-death processes combine in a beneficial way are thus of great interest. In this talk, there will be something of interest to virtually all scientific disciplines: physicists, biologists, engineers, mathematicians and economists will all be catered for.

 


 

Dr. Giovanni Bonanno, Observatory of Complex Systems, Unità I.N.F.M. di Palermo, Tassonomia degli stocks dell'indice S&P100, Martedi' 7 Novembre 2000 ore 17.00

 

Dr. Salvatore Micciche', Observatory of Complex Systems, Unità I.N.F.M. di Palermo, Formulazione non locale di Funzioni di Green, Martedi' 7 Novembre 2000 ore 16.00


 


Dr. Fabrizio Lillo, Observatory of Complex Systems, Unità I.N.F.M. di Palermo Symmetry alteration of ensemble return distribution in crash and rally days of financial market, Venerdi' 3 Novembre 2000 ore 17.00

 

Dr. Tiziana Di Matteo, Dipartimento di Fisica - Universita' di Salerno,
How does the Eurodollar interest rate behave?, Venerdi' 3 Novembre 2000 ore 16.00


 


Dr. Enrico Scalas, Università del Piemonte Orientale, 
Cammini aleatori a tempo continuo e calcolo frazionario in finanza, Lunedi' 9 Ottobre 2000 ore 11.30

 

Prof. Ferdinando De Pasquale, Università "La Sapienza" di Roma, 
Coerenza quantistica e transizioni di fase Lunedi' 9 Ottobre 2000 ore 12.30

 

Prof. Fortunato Tito Arecchi, Università di Firenze ed Istituto Nazionale di Ottica, 
Scienza e realtà: il ruolo della complessità Lunedi' 9 Ottobre 2000 ore 16.00

 


 

Ing. Fabrizio Patti, Group of Interdisciplinary Physics, Unita' I.N.F.M. di Palermo, Stochastic Approach to Noise Modelling of Microwave Bipolar Transistors, Martedi' 16 Maggio 2000 ore 15.30

 


 

Dr. ing. Flavio Di Prima, Laboratorio di Elettronica delle Microonde, Dipartimento di Ingegneria Elettrica, Universita' di Palermo, 
Progettazione di Amplificatori per Microonde a Basso Rumore Giovedi' 11 Maggio ore 16.30

 


 

Dr. Bernardo Spagnolo, Group of Interdisciplinary Physics, Unita' I.N.F.M. di Palermo, Noise Enhanced Stability Martedi' 9 Maggio 2000 ore 15.30


 

Dr. Markus Cirone, Group of Interdisciplinary Physics, Unita' I.N.F.M. di Palermo, Dinamica di Popolazioni Martedi' 2 Maggio 2000 ore 15.30

 


 

Dr. Ivo Grosse, Freie Universität Berlin, 
Applications of Information Theory for distinguishing coding and non-coding DNA Mercoledi' 26 Aprile 2000 ore 16.00

 


 

Dr. Fabrizio Lillo, Observatory of Complex Systems, Unita' I.N.F.M. di Palermo Entropia e Teoria dell'informazione Martedi' 18 Aprile 2000 ore 15.30

 


 

Dr. Fabio Bagarello,Universita' di Palermo 
Wavelets, frames e qualche applicazione alla Meccanica Quantistica Martedi' 11 Aprile 2000 ore 15.30

 


 


Dr.Marco Trapanese, C.N.R. - C.E.R.I.S.E.P.  Palermo, 
Effetti non Lineari nella Risonanza Stocastica Palermo Martedi' 28-Marzo-2000 ore 15.30

 


 

Dr. Giovanni Bonanno Observatory of Complex Systems Unita' I.N.F.M. di Palermo Taxonomia degli Indici di Mercati Borsistici Mondiali Martedi' 14-Marzo-2000 ore 15.30

 


 


Dr. Salvatore Mazzola, C.N.R. - I.R.M.A. Mazara del Vallo (TP), 
Ricerche Interdisciplinari nell'Ambiente Marino, Martedi' 07-Marzo-2000 ore 15.30

 


 


Ing. Fabrizio Patti, Group of Interdisciplinary Physics, Unita' I.N.F.M. di Palermo, Characterisation and Modelling of Microwave Bipolar Transistors


    parte 1 Martedi' 21-12-1999 ore 15.30
    parte 2 Martedi' 29-02-2000 ore 15.30

 


 


Dr. Fabrizio Lillo, Observatory of Complex Systems, Unita' I.N.F.M. di Palermo, Spreading Anomalo di Pacchetti d'Onda Quantistici con Code a Legge di Potenza Palermo 22-Febbraio-2000 ore 15.30

 


 

Dr. Markus Cirone, Group of Interdisciplinary Physics, Unita' I.N.F.M. di Palermo, Il Concetto di Vuoto in Elettrodinamica Quantistica e il suo Ruolo nei Processi Fisici, Martedi' 15-Febbraio-2000 ore 15.30

 


 


Dr. Giovanni Bonanno, Observatory of Complex Systems, Unita' I.N.F.M. di Palermo Introduzione al Sistema Operativo UNIX/LINUX see report section


      parte 1 Venerdi' 19-11-1999  ore 15.00
      parte 2 Martedi' 14-12-1999 ore 15.00

 


 


Prof. Angelo Vulpiani Dipartimento di Fisica dell'Universita' degli Studi  La Sapienza  di Roma
Introduzione alla Turbolenza Sviluppata, Mercoledi' 17-11-1999  ore  16.30
                                                               

        Abstract

Dopo una breve presentazione dei principali risultati sperimentali ad alti numeri di Reynolds, saranno discussi alcuni aspetti teorici e computazionali dell'approccio statistico. In particolare saranno discussi i problemi dell'invarianza di scala e l'intermittenza.

 


 


Dr. Fabrizio Lillo, Observatory of Complex Systems, Unita' I.N.F.M.  di Palermo Aspetti Fondamentali dell'Interferometria a Uno e a Due Fotoni 


      parte 1 Giovedi' 11-11-1999  ore 16.00
     parte 2 Martedi' 07-12-1999  ore 15.00

 


 


Dr. Giovanni Bonanno, Observatory of Complex Systems, Unita' I.N.F.M. di Palermo Introduction to Option Pricing and Simulative Methods, Giovedi' Palermo 21-10-1999 ore 16.00