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