arXiv subjects

Janusz A. Hołyst

Publications and source records attributed to Janusz A. Hołyst.

31 records · Page 2Linked to original sources

arXiv2012

Dynamical phase transition due to preferential cluster growth of collective emotions in online communities

We consider a preferential cluster growth in a one-dimensional stochastic model describing the dynamics of a binary chain with long-range memory. The model is driven by data corresponding to emotional patterns observed during online communities' discussions. The system undergoes a dynamical phase transition. For low values of the preference exponent, both states are observed during the string evolution in the majority of simulated discussion threads. When the exponent crosses a critical value, in the majority of threads an ordered phase emerges, i.e. from a certain time moment only one state is represented. The transition becomes discontinuous in the thermodynamical limit when the discussions are infinitely long and even an infinitely small preference exponent leads to the ordering behavior in every discussion thread. Numerical simulations are in a good agreement with approximated analytical formula.

physics.soc-ph↗

arXiv2012

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $Δt$.

q-fin.ST↗

arXiv2011

The Lehman Brothers Effect and Bankruptcy Cascades

Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized description, all properties of a given firm are captured by its effective credit rating, which follows a simple dynamics of co-evolution with the credit ratings of the other firms in our economic network. The dynamics resembles the evolution of Potts spin-glass with external global field corresponding to a panic effect in the economy. The existence of a global phase transition, between paramagnetic and ferromagnetic phases, explains the large susceptibility of the system to negative shocks. We show that bailing out the first few defaulting firms does not solve the problem, but does have the effect of alleviating considerably the global shock, as measured by the fraction of firms that are not defaulting as a consequence. This beneficial effect is the counterpart of the large vulnerability of the system of coupled firms, which are both the direct consequences of the collective self-organized endogenous behaviors of the credit ratings of the firms in our economic network.

q-fin.RM↗

arXiv2011

Analytical approach to model of scientific revolutions

The model of scientific paradigms spreading throughout the community of agents with memory is analyzed using the master equation. The case of two competing ideas is considered for various networks of interactions, including agents placed at Erdős-Rényi graphs or complete graphs. The pace of adopting a new idea by a community is analyzed, along with the distribution of periods after which a new idea replaces the old one. The approach is extended for the chain topology onto the more general case when more than two ideas compete. Our analytical results are in agreement with numerical simulations.

physics.soc-ph↗

arXiv2011

Emotional Analysis of Blogs and Forums Data

We perform a statistical analysis of emotionally annotated comments in two large online datasets, examining chains of consecutive posts in the discussions. Using comparisons with randomised data we show that there is a high level of correlation for the emotional content of messages.

cs.CL↗

arXiv2011

Collective emotions online and their influence on community life

E-communities, social groups interacting online, have recently become an object of interdisciplinary research. As with face-to-face meetings, Internet exchanges may not only include factual information but also emotional information - how participants feel about the subject discussed or other group members. Emotions are known to be important in affecting interaction partners in offline communication in many ways. Could emotions in Internet exchanges affect others and systematically influence quantitative and qualitative aspects of the trajectory of e-communities? The development of automatic sentiment analysis has made large scale emotion detection and analysis possible using text messages collected from the web. It is not clear if emotions in e-communities primarily derive from individual group members' personalities or if they result from intra-group interactions, and whether they influence group activities. We show the collective character of affective phenomena on a large scale as observed in 4 million posts downloaded from Blogs, Digg and BBC forums. To test whether the emotions of a community member may influence the emotions of others, posts were grouped into clusters of messages with similar emotional valences. The frequency of long clusters was much higher than it would be if emotions occurred at random. Distributions for cluster lengths can be explained by preferential processes because conditional probabilities for consecutive messages grow as a power law with cluster length. For BBC forum threads, average discussion lengths were higher for larger values of absolute average emotional valence in the first ten comments and the average amount of emotion in messages fell during discussions. Our results prove that collective emotional states can be created and modulated via Internet communication and that emotional expressiveness is the fuel that sustains some e-communities.

physics.soc-ph↗

arXiv2011

Model of communities isolation at hierarchical modular networks

The model of community isolation was extended to the case when individuals are randomly placed at nodes of hierarchical modular networks. It was shown that the average number of blocked nodes (individuals) increases in time as a power function, with the exponent depending on network parameters. The distribution of time when the first isolated cluster appears is unimodal, non-gaussian. The developed analytical approach is in a good agreement with the simulation data.

physics.soc-ph↗

arXiv2009

Collective firm bankruptcies and phase transition in rating dynamics

We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. The existence of the collective phase depends on the mean interaction strength. For small interaction strength parameters, there are many independent bankruptcies of individual companies. For large parameters, there are giant collective defaults of firm clusters. In the case when the individual firm dynamics favors dumping of rating changes, there is an optimal strength of the firm's interactions from the systemic risk point of view.

q-fin.RM↗

arXiv2009

Correlations in commodity markets

In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamical properties of commodity dependencies. It turned out that the market was constantly getting more correlated within the investigated period, although the increase of correlation was distributed nonuniformly among all contracts, and depended on contracts branches.

q-fin.ST↗

arXiv2008

A threshold model of financial markets

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.

q-fin.ST↗

arXiv2007

Statistical properties of short term price trends in high frequency stock market data

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.

physics.soc-ph↗

arXiv2007

Phase transitions in social networks

We study a model of network with clustering and desired node degree. The original purpose of the model was to describe optimal structures of scientific collaboration in the European Union. The model belongs to the family of exponential random graphs. We show by numerical simulations and analytical considerations how a very simple Hamiltonian can lead to surprisingly complicated and eventful phase diagram.

physics.soc-ph↗

arXiv2006

Ferromagnetic fluid as a model of social impact

The paper proposes a new model of spin dynamics which can be treated as a model of sociological coupling between individuals. Our approach takes into account two different human features: gregariousness and individuality. We will show how they affect a psychological distance between individuals and how the distance changes the opinion formation in a social group. Apart from its sociological aplications the model displays the variety of other interesting phenomena like self-organizing ferromagnetic state or a second order phase transition and can be studied from different points of view, e.g. as a model of ferromagnetic fluid, complex evolving network or multiplicative random process.

physics.soc-ph↗