A method for upscaling the transport equation for flow in porous media is presented. This is a new application of the wavelet-based renormalization method for absolute permeability in Darcy’s elliptic equation for flow in porous media, described in Pancaldi et al. [V. Pancaldi, K....

In critical phenomena, many of the characteristic features encountered in higher dimensions such as scaling, data collapse and associated critical exponents are also present in one dimension. Likewise for systems displaying self-organised criticality. We show that the one-dimensional...

We study the unconditional volatility distribution of the Italian futures market, measuring it via Fourier analysis. Our data set consists of all tick-by-tick transactions in 2000 and 2001, a period characterized by unusually high volatility levels in its final part, because of the dramatic...

Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method to compute the variance–covariance matrix of trading strategies. Our results indicate that well defined patterns...

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions...