arXiv subjects

Christoly Biely

Publications and source records attributed to Christoly Biely.

4 recordsLinked to original sources

arXiv2008

Socio-economical dynamics as a solvable spin system on co-evolving networks

We consider social systems in which agents are not only characterized by their states but also have the freedom to choose their interaction partners to maximize their utility. We map such systems onto an Ising model in which spins are dynamically coupled by links in a dynamical network. In this model there are two dynamical quantities which arrange towards a minimum energy state in the canonical framework: the spins, s_i, and the adjacency matrix elements, c_{ij}. The model is exactly solvable because microcanonical partition functions reduce to products of binomial factors as a direct consequence of the c_{ij} minimizing energy. We solve the system for finite sizes and for the two possible thermodynamic limits and discuss the phase diagrams.

cond-mat.stat-mech↗

arXiv2006

Prisoner's dilemma on dynamic networks under perfect rationality

We consider the prisoner's dilemma being played repeatedly on a dynamic network, where agents may choose their actions as well as their co-players. This leads to co-evolution of network structure and strategy patterns of the players. Individual decisions are made fully rationally and are based on local information only. They are made such that links to defecting agents are resolved and that cooperating agents build up new links. The exact form of the updating scheme is motivated by profit maximization and not by imitation. If players update their decisions in a synchronized way the system exhibits oscillatory dynamics: Periods of growing cooperation (and total linkage) alternate with periods of increasing defection. The cyclical behavior is reduced and the system stabilizes at significant total cooperation levels when players are less synchronized. In this regime we find emergent network structures resembling 'complex' and hierarchical topology. The exponent of the power-law degree distribution ($γ\sim8.6$) perfectly matches empirical results of human communication networks.

physics.soc-ph↗

arXiv2006

Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series

We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special structure superimposed due to the time-shift. We demonstrate that the associated eigenvalue spectrum is circular symmetric in the complex plane for large matrices. This fact allows us to exactly compute the eigenvalue density via an inverse Abel-transform of the density of the symmetrized problem. We demonstrate the validity of this approach by numerically computing eigenvalue spectra of lagged correlation matrices based on uncorrelated, Gaussian distributed time-series. We then compare our theoretical findings with eigenvalue densities obtained from actual high frequency (5 min) data of the S&P500 and discuss the observed deviations. We identify various non-trivial, non-random patterns and find asymmetric dependencies associated with eigenvalues departing strongly from the Gaussian prediction in the imaginary part. For the same time-series, with the market contribution removed, we observe strong clustering of stocks, i.e. causal sectors. We finally comment on the time-stability of the observed patterns.

physics.soc-ph↗

arXiv2005

Statistical mechanics of scale-free networks at a critical point: Complexity without irreversibility?

Based on a rigorous extension of classical statistical mechanics to networks, we study a specific microscopic network Hamiltonian. The form of this Hamiltonian is derived from the assumption that individual nodes increase/decrease their utility by linking to nodes with a higher/lower degree than their own. We interpret utility as an equivalent to energy in physical systems and discuss the temperature dependence of the emerging networks. We observe the existence of a critical temperature $T_c$ where total energy (utility) and network-architecture undergo radical changes. Along this topological transition we obtain scale-free networks with complex hierarchical topology. In contrast to models for scale-free networks introduced so far, the scale-free nature emerges within equilibrium, with a clearly defined microcanonical ensemble and the principle of detailed balance strictly fulfilled. This provides clear evidence that 'complex' networks may arise without irreversibility. The results presented here should find a wide variety of applications in socio-economic statistical systems.

cond-mat.stat-mech↗