Computer Stuff

Scaling and multiscaling in financial series

In collaboration with A. Andreoli, P. Dai Pra and G. Posta, we have studied a stochastic process for time series, both from a theoretical and a numerical viewpoint. The results are described in the following article:

A. Andreoli, F. Caravenna, P. Dai Pra and G. Posta
Scaling and multiscaling in financial series: a simple model
Adv. in Appl. Probab. (to appear) [PDF - arXiv].

We have compared our model with the time series of the Dow Jones Industrial Average (DJIA) over a period of 75 years, taking the opening prices from 2 Jan 1935 to 31 Dec 2009, for a total of 18849 daily data.

The data analysis, the simulations and the plots have been obtained with the software R. The code we have used is contained in this file.

The DJIA time series can be obtained from several web sites (such as Dow Jones Indexes or Yahoo! Finance).

Here is some additional downloadable material:

  • Alessandro Andreoli, Scaling and Multiscaling in Financial Indexes: a Simple Model, Ph.D. Thesis, University of Padova (2011) [PDF].
  • Mario Bonino, Portfolio allocation and monitoring under volatility shocks, Master's Thesis, University of Padova (2011) [PDF].
  • Paolo Pigato, A multivariate model for financial indexes subject to volatility shocks, Master's Thesis, University of Padova (2011) [PDF].

Polymer and pinning models

In collaboration with G. Giacomin and M. Gubinelli, we have performed a numerical study of a random polymer model ("copolymer near a selectivie interface"). The results we have obtained are described in the following article:

F. Caravenna, G. Giacomin and M. Gubinelli
A numerical approach to copolymers at selective interfaces
J. Stat. Phys. 122 (2006), 799-832. [PDF - arXiv - published version]

The C program we have used for the simulation (zeta-copolymer) is available here, together with another program (zeta-pinning) to simulate pinning models.

A photo of me - by Noemi Kurt