arXiv subjects

Janos Kertesz

Publications and source records attributed to Janos Kertesz.

At least 37 records · Page 2Linked to original sources

arXiv2009

Accurate estimator of correlations between asynchronous signals

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary efforts of calculations both in real and computer experiments.

physics.data-an↗

arXiv2008

Diffusive behavior and the modeling of characteristic times in limit order executions

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution of the first passage time and orders are canceled randomly with lifetimes that are asymptotically power law distributed with an exponent lambda_LT. In spite of the simplifying assumptions of the model, the inclusion of cancellations is enough to account for the above observations and enables one to estimate characteristics of the cancellation strategies from empirical data.

physics.soc-ph↗

arXiv2008

Unjamming due to local perturbations in granular packings with and without gravity

We investigate the unjamming response of disordered packings of frictional hard disks with the help of computer simulations. First, we generate jammed configurations of the disks and then force them to move again by local perturbations. We study the spatial distribution of the stress and displacement response and find long range effects of the perturbation in both cases. We record the penetration depth of the displacements and the critical force that is needed to make the system yield. These quantities are tested in two types of systems: in ideal homogeneous packings in zero gravity and in packings settled under gravity. The penetration depth and the critical force are sensitive to the interparticle friction coefficient. Qualitatively, the same nonmonotonic friction dependence is found both with and without gravity, however the location of the extrema are at different friction values. We discuss the role of the connectivity of the contact network and of the pressure gradient in the unjamming response.

cond-mat.soft↗

arXiv2008

The Epps effect revisited

We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed on daily data. The former description implies that changing trading frequency should alter the characteristic time of the phenomenon. This is not true for the empirical data: The Epps curves do not scale with market activity. The latter result indicates that the time scale of the phenomenon is connected to the reaction time of market participants (this we denote as human time scale), independent of market activity. In this paper we give a new description of the Epps effect through the decomposition of cross-correlations. After testing our method on a model of generated random walk price changes we justify our analytical results by fitting the Epps curves of real world data.

q-fin.ST↗

arXiv2008

Note on the equivalence of the label propagation method of community detection and a Potts model approach

We show that the recently introduced label propagation method for detecting communities in complex networks is equivalent to find the local minima of a simple Potts model. Applying to empirical data, the number of such local minima was found to be very high, much larger than the number of nodes in the graph. The aggregation method for combining information from more local minima shows a tendency to fragment the communities into very small pieces.

physics.soc-ph↗

arXiv2007

Fluctuation scaling in complex systems: Taylor's law and beyond

Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average activity. This relationship is often of the form "$fluctuations \approx const.\times average^α$", where the exponent $α$ is predominantly in the range $[1/2, 1]$. This power law has been observed in a very wide range of disciplines, ranging from population dynamics through the Internet to the stock market and it is often treated under the names \emph{Taylor's law} or \emph{fluctuation scaling}. This review attempts to show how general the above scaling relationship is by surveying the literature, as well as by reporting some new empirical data and model calculations. We also show some basic principles that can underlie the generality of the phenomenon. This is followed by a mean-field framework based on sums of random variables. In this context the emergence of fluctuation scaling is equivalent to some corresponding limit theorems. In certain physical systems fluctuation scaling can be related to finite size scaling.

physics.soc-ph↗

arXiv2007

Spectral methods and cluster structure in correlation-based networks

We investigate how in complex systems the eigenpairs of the matrices derived from the correlations of multichannel observations reflect the cluster structure of the underlying networks. For this we use daily return data from the NYSE and focus specifically on the spectral properties of weight W_{ij} = |C|_{ij} - δ_{ij} and diffusion matrices D_{ij} = W_{ij}/s_j- δ_{ij}, where C_{ij} is the correlation matrix and s_i = \sum_j W_{ij} the strength of node j. The eigenvalues (and corresponding eigenvectors) of the weight matrix are ranked in descending order. In accord with the earlier observations the first eigenvector stands for a measure of the market correlations. Its components are to first approximation equal to the strengths of the nodes and there is a second order, roughly linear, correction. The high ranking eigenvectors, excluding the highest ranking one, are usually assigned to market sectors and industrial branches. Our study shows that both for weight and diffusion matrices the eigenpair analysis is not capable of easily deducing the cluster structure of the network without a priori knowledge. In addition we have studied the clustering of stocks using the asset graph approach with and without spectrum based noise filtering. It turns out that asset graphs are quite insensitive to noise and there is no sharp percolation transition as a function of the ratio of bonds included, thus no natural threshold value for that ratio seems to exist. We suggest that these observations can be of use for other correlation based networks as well.

physics.soc-ph↗

arXiv2007

Unjamming of Granular Packings due to Local Perturbations: Stability and Decay of Displacements

We study the mechanical response generated by local deformations in jammed packings of rigid disks. Based on discrete element simulations we determine the critical force of the local perturbation that is needed to break the mechanical equilibrium and examine the generated displacement field. Displacements decay as a power law of the distance from the perturbation point. The decay exponent and the critical force exhibit nontrivial dependence on the friction: Both quantities are nonmonotonic and have a sharp maximum at the friction coefficient 0.1. We find that the mechanical response properties are closely related to the problem of force-indeterminacy where similar nonmonotonic behavior was observed previously. We establish direct connection between the critical force and the ensemble of static force networks.

cond-mat.soft↗

arXiv2007

The limit order book on different time scales

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

q-fin.TR↗

arXiv2007

Limited resolution in complex network community detection with Potts model approach

According to Fortunato and Barthelemy, modularity-based community detection algorithms have a resolution threshold such that small communities in a large network are invisible. Here we generalize their work and show that the q-state Potts community detection method introduced by Reichardt and Bornholdt also has a resolution threshold. The model contains a parameter by which this threshold can be tuned, but no a priori principle is known to select the proper value. Single global optimization criteria do not seem capable for detecting all communities if their size distribution is broad.

cond-mat.dis-nn↗

arXiv2007

Modeling the Epps effect of cross correlations in asset prices

We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Epps effect). Through a toy model of random walk/Brownian motion and memoryless renewal process (i.e. Poisson point process) of observation times we show that in case of analytical treatability, by decomposing the correlations we get the exact result for the frequency dependence. We also demonstrate that our approach produces reasonable fitting of the dependence of correlations on the data resolution in case of empirical data. Our results indicate that the Epps phenomenon is a product of the finite time decay of lagged correlations of high resolution data, which does not scale with activity. The characteristic time is due to a human time scale, the time needed to react to news.

q-fin.ST↗

arXiv2007

Fluctuation scaling versus gap scaling

Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{σ^2|n}\propto \ev{n|A}^{2α}$ with $1/2\geq α\geq 1$ when a parameter $A$ (usually the system size) is varied. $A$ can be the strength of the node, the capitalization of the firm or the area of the habitat. On the other hand, quantities often obey gap scaling meaning that their density function depends on, say, the system size $A$ as $P(n|A) = n^{-1}F(n/A^Φ)$. This note describes that these two notions cannot coexist except when $α= 1$. In this way one can empirically exclude the possibility of gap scaling in many complex systems including population dynamics, stock market fluctuations and Internet router traffic, where $α< 1$.

physics.soc-ph↗

arXiv2007

The dynamics of traded value revisited

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $σ_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from weakly to strongly correlated behavior around the time scale of 1 day. The persistence in the strongly correlated regime increases with the average trading activity $\ev{f_i}$ as $H_i=H_0+γ\log\ev{f_i}$, which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that $σ_i\propto\ev{f_i}^α$, where $α$ is a non-trivial, time scale dependent exponent.

physics.soc-ph↗

arXiv2007

On the origin of the Epps effect

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.

physics.soc-ph↗

arXiv2007

Analysis of a large-scale weighted network of one-to-one human communication

We construct a connected network of 3.9 million nodes from mobile phone call records, which can be regarded as a proxy for the underlying human communication network at the societal level. We assign two weights on each edge to reflect the strength of social interaction, which are the aggregate call duration and the cumulative number of calls placed between the individuals over a period of 18 weeks. We present a detailed analysis of this weighted network by examining its degree, strength, and weight distributions, as well as its topological assortativity and weighted assortativity, clustering and weighted clustering, together with correlations between these quantities. We give an account of motif intensity and coherence distributions and compare them to a randomized reference system. We also use the concept of link overlap to measure the number of common neighbors any two adjacent nodes have, which serves as a useful local measure for identifying the interconnectedness of communities. We report a positive correlation between the overlap and weight of a link, thus providing strong quantitative evidence for the weak ties hypothesis, a central concept in social network analysis. The percolation properties of the network are found to depend on the type and order of removed links, and they can help understand how the local structure of the network manifests itself at the global level. We hope that our results will contribute to modeling weighted large-scale social networks, and believe that the systematic approach followed here can be adopted to study other weighted networks.

physics.soc-ph↗

arXiv2006

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.

physics.soc-ph↗

arXiv2006

Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks

Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The non-trivial (i.e., neither 0.5 nor 1) value of alpha may have different origins and provides information about the microscopic dynamics. We present a set of recently discovered stylized facts, and then show their connection to such behavior. The functional form alpha(dt) originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages, and also display stronger correlations of traded value.

physics.soc-ph↗

arXiv2006

Size matters: some stylized facts of the stock market revisited

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence grows with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling.

physics.soc-ph↗