Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

We investigate the use of the Hurst exponent, dynamically computed over a weighted moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007–2008 credit crisis show a neat increase with time of the generalized Hurst exponent in the period preceding the unfolding of the crisis. Conversely, firms belonging to other market sectors, which suffered the least throughout the crisis, show opposite behaviors. We find that the multifractality of the bailed-out firms increase at the crisis suggesting that the multi fractal properties of the time series are changing. These findings suggest the possibility of using the scaling behavior as a tool to track the level of stability of a firm. In this paper, we introduce a method to compute the generalized Hurst exponent which assigns larger weights to more recent events with respect to older ones. In this way large fluctuations in the remote past are less likely to influence the recent past. We also investigate the scaling associated with the tails of the log-returns distributions and compare this scaling with the scaling associated with the Hurst exponent, observing that the processes underlying the price dynamics of these firms are truly multi-scaling.     

Prediction of retention values in linear temperature programming of narrow and mega-bore capillary columns

Retention times in linear temperature programmed gas chromatography on narrow bore and megabore capillary columns have been calculated from experimental retention times measured at three isothermal temperatures: an iterative procedure performed by BASIC programs was used to obtain the values of the constants enabling the calculation of the programmed temperature retention times. Different methods of calculation have been compared.     

Prediction of programmed temperature retention times on linked capillary columns of different polarity

Systems formed by serial connection of capillary columns of different polarity were studied with methods previously used to predict the behavior of linked capillary columns under isothermal conditions and to obtain programmed temperature gas chromatography (PTGC) retention times of the individual columns starting from isothermal data. The two calculation methods were simultaneously applied in order to predict PTGC retention times of the series system starting from isothermal data obtained on the two individual columns. Experimental retention values measured using different temperature programs on the individual columns and on the series systems were found to agree with those calculated.     

Innovation flow through social networks: productivity distribution in France and Italy

From a detailed empirical analysis of the productivity of non financial firms across several countries and years we show that productivity follows a non-Gaussian distribution with `fat tails' in the large productivity region which are well mimicked by power law behaviors. We discuss how these empirical findings can be linked to a mechanism of exchanges in a social network where firms improve their productivity by direct innovation and/or by imitation of other firm's technological and organizational solutions. The type of network-connectivity determines how fast and how efficiently information can diffuse and how quickly innovation will permeate or behaviors will be imitated. From a model for innovation flow through a complex network we show that the expectation values of the productivity of each firm are proportional to its connectivity in the network of links between firms. The comparison with the empirical distributions in France and Italy reveals that in this model, such a network must be of a scale-free type with a power-law degree distribution in the large connectivity range.     

Tailoring the mobility of a 3D molecule adsorbed on a metal surface

Because of its tetrahedral structure, spirobifluorene is an innovative molecule for molecular mechanics studies by means of scanning tunneling microscopy. On Cu(100), it was observed only anchored at defects because of its mobility at room temperature. To frustrate its diffusion, it was functionalized with phenyl and thiophene groups. Tetraphenylspirobifluorene is also mobile on Cu(100), whereas tetrathienylspirobifluorene is fixed in the middle of the terraces. This very different behavior is an original and unexpected result because both benzene and thiophene are reported to be weakly bound to Cu(100) with almost the same adsorption energy.     

Unified molecular picture of the surfaces of aqueous acid, base, and salt solutions

The molecular structure of the interfacial regions of aqueous electrolytes is poorly understood, despite its crucial importance in many biological, technological, and atmospheric processes. A long-term controversy pertains between the standard picture of an ion-free surface layer and the strongly ion specific behavior indicating in many cases significant propensities of simple inorganic ions for the interface. Here, we present a unified and consistent view of the structure of the air/solution interface of aqueous electrolytes containing monovalent inorganic ions. Molecular dynamics calculations show that in salt solutions and bases the positively charged ions, such as alkali cations, are repelled from the interface, whereas the anions, such as halides or hydroxide, exhibit a varying surface propensity, correlated primarily with the ion polarizability and size. The behavior of acids is different due to a significant propensity of hydronium cations for the air/solution interface. Therefore, both cations and anions exhibit enhanced concentrations at the surface and, consequently, these acids (unlike bases and salts) reduce the surface tension of water. The results of the simulations are supported by surface selective nonlinear vibrational spectroscopy, which reveals among other things that the hydronium cations are present at the air/solution interface. The ion specific propensities for the air/solution interface have important implications for a whole range of heterogeneous physical and chemical processes, including atmospheric chemistry of aerosols, corrosion processes, and bubble coalescence.     

Information Theoretic Causality Detection between Financial and Sentiment Data

The interaction between the flow of sentiment expressed on blogs and media and the dynamics of the stock market prices are analyzed through an information-theoretic measure, the transfer entropy, to quantify causality relations. We analyzed daily stock price and daily social media sentiment for the top 50 companies in the Standard & Poor (S&P) index during the period from November 2018 to November 2020. We also analyzed news mentioning these companies during the same period. We found that there is a causal flux of information that links those companies. The largest fraction of significant causal links is between prices and between sentiments, but there is also significant causal information which goes both ways from sentiment to prices and from prices to sentiment. We observe that the strongest causal signal between sentiment and prices is associated with the Tech sector.     

Structural transitions in granular packs: statistical mechanics and statistical geometry investigations

We investigate equal spheres packings generated from several experiments and from a large number of different numerical simulations. The structural organization of these disordered packings is studied in terms of the network of common neighbours. This geometrical analysis reveals sharp changes in the network’s clustering occurring at the packing fractions (fraction of volume occupied by the spheres respect to the total volume, ρ) corresponding to the so called Random Loose Packing limit (RLP, ρ ～ 0.555) and Random Close Packing limit (RCP, ρ ～ 0.645). At these packing fractions we also observe abrupt changes in the fluctuations of the portion of free volume around each sphere. We analyze such fluctuations by means of a statistical mechanics approach and we show that these anomalies are associated to sharp variations in a generalized thermodynamical variable which is the analogous for these a-thermal systems to the specific heat in thermal systems.