A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales – the so-called Epps effect. This provides a characterization of stochastic models of stock price...

A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank’s processes, the spontaneous generation of losses via a noise term and the...

A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into account in a simple and realistic way the correlations...

A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank and takes into account in a simple and realistic way the correlations among different processes of...

We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against variations of these parameters. We unveil the presence of limit cycles and scrutinize the...

We study the properties of the growth probabilities for diffusion limited aggregation and the dielectric breakdown model in the steady state regime of the cylinder geometry. The results show a rather unambiguous picture with the following properties: The projection of the growth probability...

We analyze the dynamics of a forecasting game that exhibits the phenomenon of information cascades. Each agent aims at correctly predicting a binary variable and he/she can either look for independent information or herd on the choice of others. We show that dynamics can be analytically...

We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to 0.5, but that it differs qualitatively from that of a simple random walk. Indeed price variations cannot be considered as independent variables and subtle...

The separation of the properties of the growth probability distribution in two different contributions, as discussed in the previous paper, corresponds naturally to the approximation scheme of the fixed scale transformation (FST) method. The growth probabilities used to compute the FST matrix...