Luciano Pietronero

Luciano Pietronero
Sapienza University of Rome | la sapienza · Department of Physics

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381
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Publications

Publications (381)
Article
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Models developed for gross domestic product (GDP) growth forecasting tend to be extremely complex, relying on a large number of variables and parameters. Such complexity is not always to the benefit of the accuracy of the forecast. Economic complexity constitutes a framework that builds on methods developed for the study of complex systems to const...
Chapter
INTRODUCTION: The industrialization of a country is an impressive process, deeply changing the population and the institutions of the country while new and old resources are tapped to achieve growth. During this transition, the growth rate of the economy is much higher than the global average and much higher than the past and future growth rates of...
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Diversity is a fundamental feature of ecosystems, even when the concept of ecosystem is extended to sociology or economics. Diversity can be intended as the count of different items, animals, or, more generally, interactions. There are two classes of stylized facts that emerge when diversity is taken into account. The first are Diversity explosions...
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We analyze the decisive role played by the complexity of economic systems at the onset of the industrialization process of countries over the past 50 years. Our analysis of the input growth dynamics, based on a recently introduced measure of economic complexity, reveals that more differentiated and more complex economies face a lower barrier (in te...
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Few attempts have been proposed in order to describe the statistical features and historical evolution of the export bipartite matrix countries/products. An important standpoint is the introduction of a products network, namely a hierarchical forest of products that models the formation and the evolution of commodities. In the present article, we p...
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We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of market and limit orders: in ot...
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What will be the growth of the Gross Domestic Product (GDP) or the competitiveness of China, United States, and Vietnam in the next 3, 5 or 10 years? Despite this kind of questions has a large societal impact and an extreme value for economic policy making, providing a scientific basis for economic predictability is still a very challenging problem...
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We present a new approach for the economic analysis of countries, which we apply to the case of the Netherlands. Our study is based on a novel way to quantify exported products’ complexity and countries’ fitness which has been recently introduced in the literature. Adopting a framework in which products are clustered in sectors, we compare the diff...
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By analyzing the distribution of revenues across the production sectors of quoted firms we suggest a novel dimension that drives the firms diversification process at country level. Data show a non trivial macro regional clustering of the diversification process, which underlines the relevance of geopolitical environments in determining the microsco...
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We investigate the convergence properties of an algorithm which has been recently proposed to measure the competitiveness of countries and the quality of their exported products. These quantities are called respectively Fitness F and Complexity Q. The algorithm was originally based on the adjacency matrix M of the bipartite network connecting count...
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We introduce an algorithm able to reconstruct the relevant network structure on which the time evolution of country-product bipartite networks takes place. The significant links are obtained by selecting the largest values of the projected matrix. We first perform a number of tests of this filtering procedure on synthetic cases and a toy model. The...
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Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns in price time series. According standard economical theories these strategies should not be used because they cannot be profitable. On the contrary, it is well-known that technical traders exist and operate on d...
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The fundamental idea developed throughout this short overview on Economic Complexity is that a revolution of the revolution of Economics is needed to turn this field into a mature discipline. The first revolution of Economic Complexity (Bouchaud in Nature 455:1181, 2008) led to a conceptual paradigm shift and agent-based models have shown, from a q...
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We investigate a recent methodology we have proposed to extract valuable information on the competitiveness of countries and complexity of products from trade data. Standard economic theories predict a high level of specialization of countries in specific industrial sectors. However, a direct analysis of the official databases of exported products...
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Auxiliary results and definitions. Sec. 1 Revealed Comparative Advantage, Sec. 2 Further considerations on the weighted matrix M, Sec. 3 Further considerations on the triangularity of the country-product matrix, Sec. 4 Algebraic approach to the Method of Refections and convergence to trivial fixed points and Sec. 5 Comparison of Fitness with the Gl...
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The availability of data corresponding to the products exported by all countries provides an excellent dataset to test economic ideas and extracts new information about the process of economic development. The matrix of countries and exported products shows a marked triangular structure instead of the block-diagonal structure expected from Ricardia...
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We prove that the harmonic measure is stationary, unique and invariant on the interface of DLA growing on a cylinder surface. We provide a detailed theoretical analysis puzzling together multiscaling, multifractality and conformal invariance, supported by extensive numerical simulations of clusters built using conformal mappings and on lattice. The...
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We consider the issue of the overreaction of financial markets to a sudden price change. In particular, we focus on the price and the population dynamics which follows a large fluctuation. In order to investigate these aspects from different perspectives we discuss the known results for empirical data, the Lux-Marchesi model and a minimal agent bas...
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We address local inelastic scattering from vibrational impurity adsorbed onto graphene and the evolution of the local density of electron states near the impurity from weak to strong coupling regime. For weak coupling the local electronic structure is distorted by inelastic scattering developing peaks/dips and steps. These features should be detect...
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The largest cities, the most frequently used words, the income of the richest countries, and the most wealthy billionaires, can be all described in terms of Zipf's Law, a rank-size rule capturing the relation between the frequency of a set of objects or events and their size. It is assumed to be one of many manifestations of an underlying power law...
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In this paper we analyze the bipartite network of countries and products from UN data on country production. We define the country-country and product-product projected networks and introduce a novel method of filtering information based on elements' similarity. As a result we find that country clustering reveals unexpected socio-geographic links a...
Article
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Classical economic theories prescribe specialization of countries industrial production. Inspection of the country databases of exported products shows that this is not the case: successful countries are extremely diversified, in analogy with biosystems evolving in a competitive dynamical environment. The challenge is assessing quantitatively the n...
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In this paper we use Complex Network Theory to quantitatively characterize and synthetically describe the complexity of trade between nations. In particular, we focus our attention on export fluxes. Starting from the bipartite countries-products network defined by export fluxes, we define two complementary graphs projecting the original network on...
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We introduce a statistical agent based model to describe the phenomenon of drug abuse and its dynamical evolution at the individual and global level. The agents are heterogeneous with respect to their intrinsic inclination to drugs, to their budget attitude and social environment. The various levels of drug use were inspired by the professional des...
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We identify an important correlation between skewness and kurtosis for a broad class of complex dynamic systems and present a specific analysis of earthquake and financial time series. Two regimes of non-Gaussianity can be identified: a parabolic one, which is common in various fields of physics, and a power law one, with exponent 4/3, which at the...
Article
Irreversible fractal growth models like DLA and DBM have confronted us with theoretical problems of a new type that cannot be described in terms of the standard concepts like field theory and the renormalization group. The Fixed Scale Transformation is a theoretical scheme of a new type that is able to treat these problems in a reasonably systemati...
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We discuss the compatibility of the most accurate experimental data with the ordinary Migdal-Eliashberg theory of superconductivity in the fullerene compound Rb3C60. By using different model phonon spectra we conclude that the experimental data can be fitted only by invoking an electron-phonon coupling of order λ ≃ 3. This exceedingly high value is...
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We consider the problem of the universality and general structure of the scale invariant dynamics in Laplacian fractal growth models. In particular, we show that growth having sticking probability not equal to one is renormalized asymptotically into effective growth rules with unit sticking probability (standard growth rule). This result shows why...
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There is nowadays a general agreement on a key role of the σ bands in the superconducting properties of MgB2. We show that peculiar characteristics of the σ bands give rise to nonadiabatic and anharmonic effects which break the conventional Migdal-Eliashberg framework. Both these features are governed by the small value of the Fermi energy due to t...
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The new theoretical framework for fractal growth named Fixed Scale Transformation allows the first analytical study of the process of Cluster-Cluster Aggregation. Detailed results are presented for two dimensions and the value of the fractal dimension computed analytically is in good agreement with the values of the simulations. It is interesting t...
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In this paper we discuss a general theoretical scheme, that we have recently proposed, for a class of phenomena characterized by extremal dynamics with quenched disorder. The approach is based on a transformation of the quenched dynamics into a stochastic dynamics with cognitive memory. This transformation, together with other concepts, permits a m...
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We investigate the time evolution of financial cross-correlation coefficients during financial crises and compare them to what is observed in periods of stability. We choose three main events, the Dot.Com Bubble, the market crisis which followed the attacks at the Twin Towers in 2001 and the recent subprime crisis. Each of them has a different natu...
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Irreversible dynamics in media with quenched disorder seems to be the essential mechanism for a variety of phenomena like fracture propagation or displacement of immiscible fluids in disordered porous media. This problem does not seem to be treatable along the standard theoretical schemes. Recently a new approach has been introduced that allows map...
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We discuss the properties of irreversible growth models that lead to self-organized fractal structures or to scale invariant distributions. In particular we compare these models with the usual critical phenomena and point out that the irreversible dynamics represents the major conceptual difference with respect to phase transition. This situation r...
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We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some spe...
Chapter
In the past years several Agents Based Models (ABMs) have been introduced to reproduce and interpret the main features of financial markets [7,14]. The ABMs go beyond simple differential equations with the aim of being able to address the complex phenomenology of a dynamics. This phenomenology is usually interpreted in terms of the Stylized Facts (...
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In this paper we analyze the network of countries and products from UN data on country production. We define the country-country and product-product networks and we introduce a novel method of community detection based on elements similarity. As a result we find that country clustering reveals unexpected socio-geographic links among the most compet...
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The large scale distribution of galaxies in the universe displays a complex pattern of clusters, super-clusters, filaments and voids with sizes limited only by the boundaries of the available samples. A quantitative statistical characterization of these structures shows that galaxy distribution is inhomogeneous in these samples, being characterized...
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Band shifts are systematically observed in pnictides using de Hass-van Alphen and ARPES techniques. Most interesting, such shifts result to be band-sensitive, so that hole-like bands are shifted downwards while electron-like ones are shifted upwards. In this contribution we present a comprehensive explanation for the origin of such band shifts. Usi...
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The community of statistical physicists meets every three years on a different continent at the series of STATPHYS conferences to define the state-of-the-art in the field and to outline its possible evolution.
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We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the New York Stock Exchange (NYSE) order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the fr...
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In this paper we present two simple mathematical models to describe human behavior in reaction to deadlines. When a real commitment (e.g. money) is involved, as in the case of a payment deadline, the expected reaction is to postpone it as close as possible to the deadline to minimize the risk of loosing the value. For low risk commitments this tend...
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Recent measurements of the Fermi surface with de Haas-van Alphen oscillations in LaFePO showed a shrinking of the Fermi pockets with respect to first-principle calculations, suggesting an energy shift of the hole and electrons bands with respect to local-density approximations. We show that this shift is a natural consequence of the strong particle...
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We propose a mechanism to understand the phenomenon of self-organization of the stylized facts in financial markets. This question is addressed within a workable agent-based model which is particularly simple and mathematically well posed. A key element is the non-stationarity of the number of agents, that can enter or exit the market depending on...
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We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume ω and g. The dependence on the volume (averaged over the gra...
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We introduce a minimal agent based model for financial markets to understand the nature and self-organization of the stylized facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the most important deviations of price time series from a random walk behavior. We focus on four essential ingredients:...
Article
We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By introducing the possibility that agents can enter or leave the market depending on the behavior of the price, it is...
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We experimentally investigate the response of a sheared granular medium in a Couette geometry. The apparatus exhibits the expected stick-slip motion and we probe it in the very intermittent regime resulting from low driving. Statistical analysis of the dynamic fluctuations reveals notable regularities. We observe a possible stability property for t...
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We analyze the complex phenomenology of the nonclassical rotational inertia (NCRI) observed at low temperature in solid 4He within the context of a two-dimensional Berezinskii-Kosterlitz-Thouless transition in a premelted 4He film at the grain boundaries. We show that both the temperature and 3He doping dependence of the NCRI fraction (NCRIF) can b...
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We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized Facts and their Self-Organization. The key elements are fundamentalist agents, chartist agents, herdi...
Article
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We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed understanding of the origin of fat tails and volatility clustering and we propose a mechanism for the self-organizatio...
Article
Seismicity is a complex process featuring non-trivial space–time correlations in which several forms of scale invariance have been identified. A frequently used method to detect scale-invariant features is the correlation integral, which leads to the definition of a correlation dimension separately in space and time. In this paper, we generalize th...
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The properties of the galaxy distribution at large scales are usually studied using statistics which are assumed to be self-averaging inside a given sample. We present a new analysis able to quantitatively map galaxy large scale structures while testing for the stability of average statistical quantities in different sample regions. We find that th...
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We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts deployed by agents in group formation. Agents, on their side, have to share their effort between contributing to thei...
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Recently a series of experiments in Scanning Tunneling Spectroscopy, angle-resolved photoemission spectroscopy (ARPES) and isotope effects have provided a great deal of information about the nature of the superconducting state, even thought many questions are still open. In this paper we present a discussion of the various theoretical frameworks in...
Article
Surface melting is a well known phenomenon in classical solids, and it can be related to a local instability of the solid phase close to the surface truncation. In this contriibution we employ a self-consistent harmonic approximation to investigate surface melting and local melting close to quantum impurities in quantum solids. We show that surface...
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We show that the reproducible ``Non-Classical Rotational Inertia'' signals in solid Helium four are completely ascribable to a Kosterlitz-Thouless transition of liquid ^4He at the grain boundaries. Despite our toy model, we obtain a surprisingly good agreement with the experimental data when comparing the drop of the momentum of inertia. Within our...
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Galaxy structures form a complex irregular pattern, characterized by clusters of galaxies which are organized in filaments around large voids. Recently the Sloan Digital Sky Survey project is extending our knowledge of the galaxy distribution, by discovering new and larger structures. It is becoming more and more clear than galaxy structures are...
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In this paper we employ a self-consistent harmonic approximation to investigate surface melting and local melting close to quantum impurities in quantum solids. We show that surface melting can occur at temperatures much lower than the critical temperature $T_c$ of the solid phase instability in the bulk. Similar effects are driven by the presence...
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The investigation of the electron–phonon properties in MgB2 has attracted a huge interest after the discovery of superconductivity with Tc=39K in this compound. Although superconductivity is often described in terms of the conventional Eliashberg theory, properly generalized in the multiband/multigap scenario, important features distinguish MgB2 fr...