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- Michele Tumminello, Salvatore Miccichè, Fabrizio Lillo, Jyrki Piilo, Rosario N. Mantegna
- PloS one
- 2011

Many complex systems present an intrinsic bipartite structure where elements of one set link to elements of the second set. In these complex systems, such as the system of actors and movies, elements of one set are qualitatively different than elements of the other set. The properties of these complex systems are typically investigated by constructing and… (More)

Abstract. We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify… (More)

- Christian Borghesi, Matteo Marsili, Salvatore Miccichè
- Physical review. E, Statistical, nonlinear, and…
- 2007

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. In addition to the usual correlations, we also analyze those… (More)

- Michele Tumminello, Claudia Coronnello, Fabrizio Lillo, Salvatore Miccichè, Rosario N. Mantegna
- I. J. Bifurcation and Chaos
- 2007

We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300… (More)

We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time window of fixed length T . We find that the… (More)

Michele Tumminello, 2 Salvatore Miccichè, Fabrizio Lillo, 3 Jan Varho, Jyrki Piilo, and Rosario N. Mantegna Department of Social and Decision Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA. Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, viale delle Scienze Ed.18, I-90128 Palermo, Italia Santa Fe Institute, 1399 Hyde… (More)

We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of… (More)

- Gérald Gurtner, Stefania Vitali, +4 authors Simone Pozzi
- PloS one
- 2014

We show that the European airspace can be represented as a multi-scale traffic network whose nodes are airports, sectors, or navigation points and links are defined and weighted according to the traffic of flights between the nodes. By using a unique database of the air traffic in the European airspace, we investigate the architecture of these networks with… (More)

We investigate 738 complete genomes of viruses to detect the presence of short inverted repeats. The number of inverted repeats found is compared with the prediction obtained for a Bernoullian and for a Markovian control model. We find as a statistical regularity that the number of observed inverted repeats is often greater than the one expected in terms of… (More)

- Francesco Cali, Giuseppa Ruggeri, +9 authors Valentinox Romano
- Experimental & molecular medicine
- 2010

A consistent finding of many studies describing the spectrum of mutant phenylalanine hydroxylase (PAH) alleles underlying hyperphenylalaninemia is the impossibility of achieving a 100% mutation ascertainment rate using conventional gene-scanning methods. These methods include denaturing gradient gel electrophoresis (DGGE), denaturing high performance liquid… (More)