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The two-dimensional negative-U Hubbard model is studied by means of the composite operator approach. In a generalized mean-field approximation we calculate different quantities, as the chemical potential, the double occupancy, the static... more
The two-dimensional negative-U Hubbard model is studied by means of the composite operator approach. In a generalized mean-field approximation we calculate different quantities, as the chemical potential, the double occupancy, the static uniform spin magnetic susceptibility and the density of states for various values of the particle density, attractive on-site interaction and temperature. Comparison with the results obtained by numerical analysis on finite size lattices shows a good agreement.
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We introduce a deductive statistical mechanics approach for granular materials which is formally built from few realistic physical assumptions. The main finding is an universal behavior for the distribution of the density fluctuations.... more
We introduce a deductive statistical mechanics approach for granular materials which is formally built from few realistic physical assumptions. The main finding is an universal behavior for the distribution of the density fluctuations. Such a distribution is the equivalent of the Maxwell-Boltzmann's distribution in the kinetic theory of gasses. The comparison with a very extensive set of experimental and simulation data for packings of monosized spherical grains, reveals a remarkably good quantitative agreement with the theoretical predictions for the density fluctuations both at the grain level and at the global system level. Such agreement is robust over a broad range of packing fractions and it is observed in several distinct systems prepared by using different methods. The equilibrium distributions are characterized by only one parameter ($k$) which is a quantity very sensitive to changes in the structural organization. The thermodynamical equivalent of $k$ and its relation...
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We introduce a technique to filter out complex data sets by extracting a subgraph of representative links. Such a filtering can be tuned up to any desired level by controlling the genus of the resulting graph. We show that this technique... more
We introduce a technique to filter out complex data sets by extracting a subgraph of representative links. Such a filtering can be tuned up to any desired level by controlling the genus of the resulting graph. We show that this technique is especially suitable for correlation-based graphs, giving filtered graphs that preserve the hierarchical organization of the minimum spanning tree but containing a larger amount of information in their internal structure. In particular in the case of planar filtered graphs (genus equal to 0), triangular loops and four-element cliques are formed. The application of this filtering procedure to 100 stocks in the U.S. equity markets shows that such loops and cliques have important and significant relationships with the market structure and properties.
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We study the problem of the time decay of magnetic states in type-II superconductors by starting from the general expression of the Arrhenius formula as derived from classical stochastic mechanics. By appropriately writing the potential... more
We study the problem of the time decay of magnetic states in type-II superconductors by starting from the general expression of the Arrhenius formula as derived from classical stochastic mechanics. By appropriately writing the potential energy for a fluxon in the presence of a pinning center, we find that the attempt frequency in the Arrhenius formula depends on the current
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Research Interests: Mathematical Physics, Physics, Quantum Physics, Economics, Derivative Pricing, and 7 moreQa, Key words, TP, Interest Rate, Jc, Ey, and Gh
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Research Interests: Applied Mathematics, Physics, Statistical Mechanics, Economics, Monte Carlo, and 13 moreStock Market, Time series analysis, Emerging Market, Foreign Exchange, Empirical Study, Scaling, Financial Market, Foreign Exchange Rate and Gold Dinar, Long Term Memory, Banking finance, Frequency Domain, Scaling Exponent, and Finance and Investment Banking
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Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the... more
Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic sectors differently populate the various regions of these graphs. We find that the financial sector is always at the center whereas the periphery is shared among different sectors. Four extremes are observed: stocks well-connected and central; stocks well-connected but at the same time peripheral; stocks poorly-connected but central; stocks poorly-connected and peripheral. Two principal components of centrality measures are individuated. The economic meaning of this hierarchical disposition is discussed.
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In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM)... more
In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.
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The relationship between physics and economics has a long and interesting history. Outstanding economists of the past explicitly inspired their work to the principles of Newtonian physics and statistical mechanics, attracted by the... more
The relationship between physics and economics has a long and interesting history. Outstanding economists of the past explicitly inspired their work to the principles of Newtonian physics and statistical mechanics, attracted by the success of these theories. However, despite the existence of many problems of common interest, the interaction between statistical physicists and economists has never been strong. The situation changed only recently, in the late nineties, when physicists and economists started talking to each ...