Maria I. Loffredo

Patterns of Link Reciprocity in Directed Networks

We address the problem of link reciprocity, the nonrandom presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation between mutual links. We find that real networks are always either correlated or anticorrelated, and that networks of the same type (economic, social, cellular, financial, ecological, etc.) display similar values of the reciprocity. The observed patterns are not reproduced by current models. This leads us to introduce a more general framework where mutual links occur with a conditional connection probability. In some of the studied networks we discuss the form of the conditional connection probability and the size dependence of the reciprocity.

Structure and Evolution of the World Trade Network

The World Trade Web (WTW), the network defined by the international import/export trade relationships, has been recently shown to display some important topological properties which are tightly related to the Gross Domestic Product of world countries. While our previous analysis focused on the static, undirected version of the WTW, here we address its full evolving, directed description. This is accomplished by exploiting the peculiar reciprocity structure of the WTW to recover the directed nature of international trade channels, and by studying the temporal dependence of the parameters describing the WTW topology.

Fitness-dependent topological properties of the World Trade Web

Among the proposed network models, the hidden variable (or good get richer) one is particularly interesting, even if an explicit empirical test of its hypotheses has not yet been performed on a real network. Here we provide the first empirical test of this mechanism on the world trade web, the network defined by the trade relationships between world countries. We find that the power-law distributed gross domestic product can be successfully identified with the hidden variable (or fitness) determining the topology of the world trade web: all previously studied properties up to third-order correlation structure (degree distribution, degree correlations, and hierarchy) are found to be in excellent agreement with the predictions of the model. The choice of the connection probability is such that all realizations of the network with the same degree sequence are equiprobable.

Generalized Bose-Fermi statistics and structural correlations in weighted networks.

We derive a class of generalized statistics, unifying the Bose and Fermi ones, that describe any system where the first-occupation energies or probabilities are different from subsequent ones, as in the presence of thresholds, saturation, or aging. The statistics completely describe the structural correlations of weighted networks, which turn out to be stronger than expected and to determine significant topological biases. Our results show that the null behavior of weighted networks is different from what was previously believed, and that a systematic redefinition of weighted properties is necessary.

Wealth dynamics on complex networks

We study a model of wealth dynamics (Physica A 282 (2000) 536) which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of the underlying transaction network. The extreme cases of a fully connected and a fully disconnected network yield power-law and log-normal forms of the wealth distribution, respectively. We perform numerical simulations in order to test the model on more complex network topologies. We show that the mixed form of most empirical distributions (displaying a non-smooth transition from a log-normal to a power-law form) can be traced back to a heterogeneous topology with varying link density, which on the other hand is a recently observed property of real networks.

Lagrangian variational principle in stochastic mechanics: Gauge structure and stability

The Lagrangian variational principle with the classical action leads, in stochastic mechanics, to Madelung’s fluid equations, if only irrotational velocity fields are allowed, while new dynamical equations arise if rotational velocity fields are also taken into account. The new equations are shown to be equivalent to the (gauge invariant) system of a Schrodinger equation involving a four‐vector potential (A,Φ) and the coupled evolution equation (of magnetohydrodynamical type) for the vector field A. A general energy theorem can be proved and the stability properties of irrotational and rotational solutions investigated.

Stochastic quantization for a system of N identical interacting Bose particles

We apply stochastic quantization to a system of N interacting identical bosons in an external potential Φ, by means of a general stationary-action principle. The collective motion is described in terms of a Markovian diffusion on , with joint density and entangled current velocity field , in principle of non-gradient form, related to one another by the continuity equation. Dynamical equations relax to those of canonical quantization, in some analogy with Parisi–Wu stochastic quantization. Thanks to the identity of particles, the one-particle marginal densities ρ, in the physical space , are all the same and it is possible to give, under mild conditions, a natural definition of the single-particle current velocity, which is related to ρ by the continuity equation in . The motion of single particles in the physical space comes to be described in terms of a non-Markovian three-dimensional diffusion with common density ρ and, at least at dynamical equilibrium, common current velocity v. The three-dimensional drift is perturbed by zero-mean terms depending on the whole configuration of the N-boson interacting system. Finally, we discuss in detail under which conditions the one-particle dynamical equations, which in their general form allow rotational perturbations, can be particularized, up to a change of variables, to the Gross–Pitaevskii equations.

Detecting spatial homogeneity in the world trade web with Detrended Fluctuation Analysis

In a spatially embedded network, that is a network where nodes can be uniquely determined in a system of coordinates, links’ weights might be affected by metric distances coupling every pair of nodes (dyads). In order to assess to what extent metric distances affect relationships (link’s weights) in a spatially embedded network, we propose a methodology based on DFA (Detrended Fluctuation Analysis). DFA is a well developed methodology to evaluate autocorrelations and estimate long-range behavior in time series. We argue it can be further extended to spatially ordered series in order to assess autocorrelations in values. A scaling exponent of 0.5 (uncorrelated data) would thereby signal a perfect homogeneous space embedding the network. We apply the proposed methodology to the World Trade Web (WTW) during the years 1949–2000 and we find, in some contrast with predictions of gravity models, a declining influence of distances on trading relationships.

ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE

A short review is given of some research topics recently developed in the framework of quantitative finance and which can be referred to the effort of adapting methods and technologies of statistical physics to the analysis of economic systems. In particular we emphasize the role of a different, new perspective, in approaching financial problems, originated within the theory of complex systems and based on concepts like universality, scaling and correlation properties. Once applied to the time evolution of prices and volatility, this approach allows for the recognition of long-range and nonlinear effects in financial time series.

The correspondence between stochastic mechanics and quantum mechanics on multiply connected configuration spaces

Abstract We show how to obtain a complete correspondence between stochastic and quantum mechanics on multiply connected spaces. We do this by introducing a stochastic mechanical analog of the hydrodynamical circulation, relating it to the topological properties of the configuration space, and using it to constrain the stochastic mechanical variational principles.