arXiv subjects

Didier Sornette

Publications and source records attributed to Didier Sornette.

At least 73 records · Page 4Linked to original sources

arXiv2021

Is seismicity operating at a critical point?

Seismicity and faulting within the Earth crust are characterized by many scaling laws that are usually interpreted as qualifying the existence of underlying physical mechanisms associated with some kind of criticality in the sense of phase transitions. Using an augmented Epidemic-Type Aftershock Sequence (ETAS) model that accounts for the spatial variability of the background rates $μ(x,y)$, we present a direct quantitative test of criticality. We calibrate the model to the ANSS catalog of the entire globe, the region around California, and the Geonet catalog for the region around New Zealand using an extended Expectation-Maximization (EM) algorithm including the determination of $μ(x,y)$. We demonstrate that the criticality reported in previous studies is spurious and can be attributed to a systematic upward bias in the calibration of the branching ratio of the ETAS model, when not accounting correctly for spatial variability. We validate the version of the ETAS model which possesses a space varying background rate $μ(x,y)$ by performing pseudo prospective forecasting tests. The non-criticality of seismicity has major implications for the prediction of large events.

physics.geo-ph↗

arXiv2021

Anderson localization and reentrant delocalization of tensorial elastic waves in two-dimensional fractured media

We study two-dimensional tensorial elastic wave transport in densely fractured media and document transitions from propagation to diffusion and to localization/delocalization. For large fracture stiffness, waves are propagative at the scale of the system. For small stiffness, multiple scattering prevails, such that waves are diffusive in disconnected fracture networks, and localized in connected ones with a strong multifractality of the intensity field. A reentrant delocalization is found in well-connected networks due to energy leakage via evanescent waves and cascades of mode conversion.

physics.geo-ph↗

arXiv2021

Comparing electricity generation technologies based on multiple criteria scores from an expert group

Multi criteria decision analysis (MCDA) has been used to provide a holistic evaluation of the quality of 13 electricity generation technologies in use today. A group of 19 energy experts cast scores on a scale of 1 to 10 using 12 quality criteria, based around the pillars of sustainability (society, environment and economy), with the aim of quantifying each criterion for each technology. The total mean score is employed as a holistic measure of system quality. The top three technologies to emerge in rank order are nuclear, combined cycle gas and hydroelectric. The bottom three are solar PV, biomass and tidal lagoon. All seven new renewable technologies fared badly, perceived to be expensive, unreliable, and not as environmentally friendly as is often assumed. We validate our approach by 1) comparing scores for pairs of criteria where we expect a correlation to exist; 2) comparing our qualitative scores with quantitative data; and; 3) comparing our qualitative scores with NEEDS project baseline costs. In many cases, R2>0.8 suggests that the structured hierarchy of our approach has led to scores that may be used in a semi-quantitative way. Adopting the results of this survey would lead to a very different set of energy policy priorities in the OECD and throughout the world.

physics.soc-ph↗

arXiv2020

Generalized logistic growth modeling of the COVID-19 outbreak: comparing the dynamics in the 29 provinces in China and in the rest of the world

Started in Wuhan, China, the COVID-19 has been spreading all over the world. We calibrate the logistic growth model, the generalized logistic growth model, the generalized Richards model and the generalized growth model to the reported number of infected cases for the whole of China, 29 provinces in China, and 33 countries and regions that have been or are undergoing major outbreaks. We dissect the development of the epidemics in China and the impact of the drastic control measures both at the aggregate level and within each province. We quantitatively document four phases of the outbreak in China with a detailed analysis on the heterogeneous situations across provinces. The extreme containment measures implemented by China were very effective with some instructive variations across provinces. Borrowing from the experience of China, we made scenario projections on the development of the outbreak in other countries. We identified that outbreaks in 14 countries (mostly in western Europe) have ended, while resurgences of cases have been identified in several among them. The modeling results clearly show longer after-peak trajectories in western countries, in contrast to most provinces in China where the after-peak trajectory is characterized by a much faster decay. We identified three groups of countries in different level of outbreak progress, and provide informative implications for the current global pandemic.

q-bio.PE↗

arXiv2020

Prediction and Prevention of Disproportionally Dominant Agents in Complex Networks

We develop an early warning system and subsequent optimal intervention policy to avoid the formation of disproportional dominance (`winner-takes-all') in growing complex networks. This is modeled as a system of interacting agents, whereby the rate at which an agent establishes connections to others is proportional to its already existing number of connections and its intrinsic fitness. We derive an exact 4-dimensional phase diagram that separates the growing system into two regimes: one where the `fit-get-richer' (FGR) and one where, eventually, the `winner-takes-all' (WTA). By calibrating the system's parameters with maximum likelihood, its distance from the WTA regime can be monitored in real time. This is demonstrated by applying the theory to the eToro social trading platform where users mimic each others trades. If the system state is within or close to the WTA regime, we show how to efficiently control the system back into a more stable state along a geodesic path in the space of fitness distributions. It turns out that the common measure of penalizing the most dominant agents does not solve sustainably the problem of drastic inequity. Instead, interventions that first create a critical mass of high-fitness individuals followed by pushing the relatively low-fitness individuals upward is the best way to avoid swelling inequity and escalating fragility.

physics.soc-ph↗

arXiv2020

The dynamics of entropy in the COVID-19 outbreaks

With the unfolding of the COVID-19 pandemic, mathematical modeling of epidemics has been perceived and used as a central element in understanding, predicting, and governing the pandemic event. However, soon it became clear that long term predictions were extremely challenging to address. Moreover, it is still unclear which metric shall be used for a global description of the evolution of the outbreaks. Yet a robust modeling of pandemic dynamics and a consistent choice of the transmission metric is crucial for an in-depth understanding of the macroscopic phenomenology and better-informed mitigation strategies. In this study, we propose a Markovian stochastic framework designed to describe the evolution of entropy during the COVID-19 pandemic and the instantaneous reproductive ratio. We then introduce and use entropy-based metrics of global transmission to measure the impact and temporal evolution of a pandemic event. In the formulation of the model, the temporal evolution of the outbreak is modeled by the master equation of a nonlinear Markov process for a statistically averaged individual, leading to a clear physical interpretation. We also provide a full Bayesian inversion scheme for calibration. The time evolution of the entropy rate, the absolute change in the system entropy, and the instantaneous reproductive ratio are natural and transparent outputs of this framework. The framework has the appealing property of being applicable to any compartmental epidemic model. As an illustration, we apply the proposed approach to a simple modification of the Susceptible-Exposed-Infected-Removed (SEIR) model. Applying the model to the Hubei region, South Korean, Italian, Spanish, German, and French COVID-19 data-sets, we discover a significant difference in the absolute change of entropy but highly regular trends for both the entropy evolution and the instantaneous reproductive ratio.

q-bio.PE↗

arXiv2020

Non-universal power law distribution of intensities of the self-excited Hawkes process: a field-theoretical approach

The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time (called "intensity"), say of an earthquake, as a sum over all past events of (possibly) long-memory kernels, the Hawkes model is non-Markovian. By mapping the Hawkes model onto stochastic partial differential equations that are Markovian, we develop a field theoretical approach in terms of probability density functionals. Solving the steady-state equations, we predict a power law scaling of the probability density function (PDF) of the intensities close to the critical point $n=1$ of the Hawkes process, with a non-universal exponent, function of the background intensity $ν_0$ of the Hawkes intensity, the average time scale of the memory kernel and the branching ratio $n$. Our theoretical predictions are confirmed by numerical simulations.

cond-mat.stat-mech↗

arXiv2020

Field master equation theory of the self-excited Hawkes process

A field theoretical framework is developed for the Hawkes self-excited point process with arbitrary memory kernels by embedding the original non-Markovian one-dimensional dynamics onto a Markovian infinite-dimensional one. The corresponding Langevin dynamics of the field variables is given by stochastic partial differential equations that are Markovian. This is in contrast to the Hawkes process, which is non-Markovian (in general) by construction as a result of its (long) memory kernel. We derive the exact solutions of the Lagrange-Charpit equations for the hyperbolic master equations in the Laplace representation in the steady state, close to the critical point of the Hawkes process. The critical condition of the original Hawkes process is found to correspond to a transcritical bifurcation in the Lagrange-Charpit equations. We predict a power law scaling of the PDF of the intensities in an intermediate asymptotics regime, which crosses over to an asymptotic exponential function beyond a characteristic intensity that diverges as the critical condition is approached. We also discuss the formal relationship between quantum field theories and our formulation. Our field theoretical framework provides a way to tackle complex generalisation of the Hawkes process, such as nonlinear Hawkes processes previously proposed to describe the multifractal properties of earthquake seismicity and of financial volatility.

cond-mat.stat-mech↗

arXiv2020

Boom, Bust, and Bitcoin: Bitcoin-Bubbles As Innovation Accelerators

Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by analyzing its social dynamics. We trace Bitcoin's genesis and dissect the nature of its techno-economic innovation. In particular, we present an analysis of the techno-economic feedback loops that drive Bitcoin's price and network effects. Based on our analysis of Bitcoin, we test and further refine the Social Bubble Hypothesis, which holds that bubbles constitute an essential component in the process of technological innovation. We argue that a hierarchy of repeating and exponentially increasing series of bubbles and hype cycles, which has occurred over the past decade since its inception, has bootstrapped Bitcoin into existence.

cs.CY↗

arXiv2020

Awareness of crash risk improves Kelly strategies in simulated financial time series

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles. The key ingredient of the model is to assume that the sizes of the jumps are proportional to the bubble size. Thus, the jumps tend to efficiently bring back excess bubble prices close to a normal or fundamental value (efficient crashes). This is different from existing processes studied that assume jumps that are independent of the mispricing. The present model is simplified compared to Kreuser and Sornette (2018) in that we ignore the possibility of a change of the probability of a crash as the price accelerates above the normal price. We study the behaviour of investment strategies that maximize the expected log of wealth (Kelly criterion) for the risky asset and a risk-free asset. We show that the method behaves similarly to Kelly on Geometric Brownian Motion in that it outperforms other methods in the long-term and it beats classical Kelly. As a primary source of outperformance, we determine knowledge about the presence of crashes, but interestingly find that knowledge of only the size, and not the time of occurrence, already provides a significant and robust edge. We then perform an error analysis to show that the method is robust with respect to variations in the parameters. The method is most sensitive to errors in the expected return.

econ.EM↗

arXiv2020

Revisiting the predictability of the Haicheng and Tangshan earthquakes

We analyse the compiled set of precursory data that were reported to be available in real time before the Ms 7.5 Haicheng earthquake in Feb. 1975 and the Ms 7.6-7.8 Tangshan earthquake in July 1976. We propose a robust and simple coarse-graining method consisting in aggregating and counting how all the anomalies together (geodesy, levelling, geomagnetism, soil resistivity, Earth currents, gravity, Earth stress, well water radon, well water level) develop as a function of time. We demonstrate a strong evidence for the existence of an acceleration of the number of anomalies leading up to the major Haicheng and Tangshan earthquakes. In particular for the Tangshan earthquake, the frequency of occurrence of anomalies is found to be well described by the log-periodic power law singularity (LPPLS) model, previously proposed for the prediction of engineering failures and later adapted to the prediction of financial crashes. Based on a mock real-time prediction experiment, and simulation study, we show the potential for an early warning system with lead-time of a few days, based on this methodology of monitoring accelerated rates of anomalies.

physics.geo-ph↗

arXiv2019

Prediction of ESG Compliance using a Heterogeneous Information Network

Negative screening is one method to avoid interactions with inappropriate entities. For example, financial institutions keep investment exclusion lists of inappropriate firms that have environmental, social, and government (ESG) problems. They create their investment exclusion lists by gathering information from various news sources to keep their portfolios profitable as well as green. International organizations also maintain smart sanctions lists that are used to prohibit trade with entities that are involved in illegal activities. In the present paper, we focus on the prediction of investment exclusion lists in the finance domain. We construct a vast heterogeneous information network that covers the necessary information surrounding each firm, which is assembled using seven professionally curated datasets and two open datasets, which results in approximately 50 million nodes and 400 million edges in total. Exploiting these vast datasets and motivated by how professional investigators and journalists undertake their daily investigations, we propose a model that can learn to predict firms that are more likely to be added to an investment exclusion list in the near future. Our approach is tested using the negative news investment exclusion list data of more than 35,000 firms worldwide from January 2012 to May 2018. Comparing with the state-of-the-art methods with and without using the network, we show that the predictive accuracy is substantially improved when using the vast information stored in the heterogeneous information network. This work suggests new ways to consolidate the diffuse information contained in big data to monitor dominant firms on a global scale for better risk management and more socially responsible investment.

cs.SI↗

arXiv2019

Coupled mechano-electrokinetic Burridge-Knopoff model of fault sliding events and transient geoelectric signals

We introduce the first fully self-consistent model combining the seismic micro-ruptures occurring within a generalized Burridge-Knopoff spring-block model with the nucleation and propagation of electric charge pulses within a coupled mechano-electrokinetic system. This model provides a general theoretical framework for modeling and analyzing geoelectric precursors to earthquakes. In particular, it can reproduce the unipolar pulses that have often been reported before large seismic events, as well as various observed anomalies in the statistical moments of the ambient electric fields and the power-law exponent transition of the power spectra of electric fields.

physics.geo-ph↗

arXiv2019

A paradigm for developing earthquake probability forecasts based on geoelectric data

We examine the precursory behavior of geoelectric signals before large earthquakes by means of an algorithm including an alarm-based model and binary classification. This algorithm, introduced originally by Chen and Chen [Nat. Hazards., 84, 2016], is improved by removing a time parameter for coarse-graining of earthquake occurrences, as well as by extending the single station method into a joint stations method. We also determine the optimal frequency bands of earthquake-related geoelectric signals with the highest signal-to-noise ratio. Using significance tests, we also provide evidence of an underlying seismoelectric relationship. It is appropriate for machine learning to extract this underlying relationship, which could be used to quantify probabilistic forecasts of impending earthquakes, and to get closer to operational earthquake prediction.

physics.geo-ph↗

arXiv2019

Comparative analysis of layered structures in empirical investor networks and cellphone communication networks

Empirical investor networks (EIN) proposed by \cite{Ozsoylev-Walden-Yavuz-Bildik-2014-RFS} are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis between the EIN and the cellphone communication networks (CN) to test whether EIN is an information exchanging network from the perspective of the layer structures of ego networks. We employ two clustering algorithms ($k$-means algorithm and $H/T$ break algorithm) to detect the layer structures for each node in both networks. We find that the nodes in both networks can be clustered into two groups, one that has a layer structure similar to the theoretical Dunbar Circle corresponding to that the alters in ego networks exhibit a four-layer hierarchical structure with the cumulative number of 5, 15, 50 and 150 from the inner layer to the outer layer, and the other one having an additional inner layer with about 2 alters compared with the Dunbar Circle. We also find that the scale ratios, which are estimated based on the unique parameters in the theoretical model of layer structures \citep{Tamarit-Cuesta-Dunbar-Sanchez-2018-PNAS}, conform to a log-normal distribution for both networks. Our results not only deepen our understanding on the topological structures of EIN, but also provide empirical evidence of the channels of information diffusion among investors.

q-fin.ST↗

arXiv2019

Statistical witchhunts: Science, justice & the p-value crisis

We provide accessible insight into the current 'replication crisis' in 'statistical science', by revisiting the old metaphor of 'court trial as hypothesis test'. Inter alia, we define and diagnose harmful statistical witch-hunting both in justice and science, which extends to the replication crisis itself, where a hunt on p-values is currently underway.

stat.OT↗

arXiv2019

Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market decrease (drawdowns). In combination with the Lagrange Regularisation Method for detecting the beginning of a new market regime, we identify 3 major peaks and 10 additional smaller peaks, that have punctuated the dynamics of Bitcoin price during the analyzed time period. We explain this classification of long and short bubbles by a number of quantitative metrics and graphs to understand the main socio-economic drivers behind the ascent of Bitcoin over this period. Then, a detailed analysis of the growing risks associated with the three long bubbles using the Log-Periodic Power Law Singularity (LPPLS) model is based on the LPPLS Confidence Indicators, defined as the fraction of qualified fits of the LPPLS model over multiple time windows. Furthermore, for various fictitious 'present' times $t_2$ before the crashes, we employ a clustering method to group the predicted critical times $t_c$ of the LPPLS fits over different time scales, where $t_c$ is the most probable time for the ending of the bubble. Each cluster is proposed as a plausible scenario for the subsequent Bitcoin price evolution. We present these predictions for the three long bubbles and the four short bubbles that our time scale of analysis was able to resolve. Overall, our predictive scheme provides useful information to warn of an imminent crash risk.

econ.EM↗

arXiv2019

Data breaches in the catastrophe framework & beyond

Development of sustainable insurance for cyber risks, with associated benefits, inter alia requires reduction of ambiguity of the risk. Considering cyber risk, and data breaches in particular, as a man-made catastrophe clarifies the actuarial need for multiple levels of analysis - going beyond claims-driven loss statistics alone to include exposure, hazard, breach size, and so on - and necessitating specific advances in scope, quality, and standards of both data and models. The prominent human element, as well as dynamic, networked, and multi-type nature, of cyber risk makes it perhaps uniquely challenging. Complementary top-down statistical, and bottom-up analytical approaches are discussed. Focusing on data breach severity, measured in private information items ('ids') extracted, we exploit relatively mature open data for U.S. data breaches. We show that this extremely heavy-tailed risk is worsening for external attacker ('hack') events - both in frequency and severity. Writing in Q2-2018, the median predicted number of ids breached in the U.S. due to hacking, for the last 6 months of 2018, is 0.5 billion. But with a 5% chance that the figure exceeds 7 billion - doubling the historical total. 'Fortunately' the total breach in that period turned out to be near the median.

stat.AP↗