arXiv subjects

Janusz A. Holyst

Publications and source records attributed to Janusz A. Holyst.

At least 55 records · Page 3Linked to original sources

arXiv2005

How individuals learn to take turns: Emergence of alternating cooperation in a congestion game and the prisoner's dilemma

In many social dilemmas, individuals tend to generate a situation with low payoffs instead of a system optimum ("tragedy of the commons"). Is the routing of traffic a similar problem? In order to address this question, we present experimental results on humans playing a route choice game in a computer laboratory, which allow one to study decision behavior in repeated games beyond the Prisoner's Dilemma. We will focus on whether individuals manage to find a cooperative and fair solution compatible with the system-optimal road usage. We find that individuals tend towards a user equilibrium with equal travel times in the beginning. However, after many iterations, they often establish a coherent oscillatory behavior, as taking turns performs better than applying pure or mixed strategies. The resulting behavior is fair and compatible with system-optimal road usage. In spite of the complex dynamics leading to coordinated oscillations, we have identified mathematical relationships quantifying the observed transition process. Our main experimental discoveries for 2- and 4-person games can be explained with a novel reinforcement learning model for an arbitrary number of persons, which is based on past experience and trial-and-error behavior. Gains in the average payoff seem to be an important driving force for the innovation of time-dependent response patterns, i.e. the evolution of more complex strategies. Our findings are relevant for decision support systems and routing in traffic or data networks.

physics.soc-ph↗

arXiv2005

Application of noise level estimation for portfolio optimization

Time changes of noise level at Warsaw Stock Market are analyzed using a recently developed method basing on properties of the coarse grained entropy. The condition of the minimal noise level is used to build an efficient portfolio. Our noise level approach seems to be a much better tool for risk estimations than standard volatility parameters. Implementation of a corresponding threshold investment strategy gives positive returns for historical data.

physics.soc-ph↗

arXiv2005

Log-periodic oscillations in degree distributions of hierarchical scale-free networks

Hierarchical models of scale free networks are introduced where numbers of nodes in clusters of a given hierarchy are stochastic variables. Our models show periodic oscillations of degree distribution P(k) in the log-log scale. Periods and amplitudes of such oscillations depend on network parameters. Numerical simulations are in a good agreement to analytical calculations.

cond-mat.dis-nn↗

arXiv2005

Public transport systems in Poland: from Bialystok to Zielona Gora by bus and tram using universal statistics of complex networks

We have examined a topology of 21 public transport networks in Poland. Our data exhibit several universal features in considered systems when they are analyzed from the point of view of evolving networks. Depending on the assumed definition of a network topology the degree distribution can follow a power law p(k) ~ k^(-γ) or can be described by an exponential function p(k) exp(-αk). In the first case one observes that mean distances between two nodes are a linear function of logarithms of their degrees product.

physics.soc-ph↗

arXiv2005

How to calculate the main characteristics of random uncorrelated networks

We present an analytic formalism describing structural properties of random uncorrelated networks with arbitrary degree distributions. The formalism allows to calculate the main network characteristics like: the position of the phase transition at which a giant component first forms, the mean component size below the phase transition, the size of the giant component and the average path length above the phase transition. We apply the approach to classical random graphs of Erdos and Renyi, single-scale networks with exponential degree distributions and scale-free networks with arbitrary scaling exponents and structural cut-offs. In all the cases we obtain a very good agreement between results of numerical simulations and our analytical predictions.

cond-mat.dis-nn↗

arXiv2004

Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Using a recently developed method of noise level estimation that makes use of properties of the coarse grained-entropy we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40 to 80 percent of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that implementation of a corresponding threshold investment strategy leads to positive returns for historical data.

cond-mat.stat-mech↗

arXiv2004

Noise estimation by use of neighboring distances in Takens space and its applications to stock market data

We present a method that uses distances between nearest neighbors in Takens space to evaluate a level of noise. The method is valid even for high noise levels. The method has been verified by estimation of noise levels in several chaotic systems. We have analyzed the noise level for Dow Jones and DAX indexes and we have found that the noise level ranges from 25 to 80 percent of the signal variance.

cond-mat.other↗

arXiv2004

Anti-deterministic behavior of discrete systems that are less predictable than noise

We present a new type of deterministic dynamical behaviour that is less predictable than white noise. We call it anti-deterministic (AD) because time series corresponding to the dynamics of such systems do not generate deterministic lines in Recurrence Plots for small thresholds. We show that although the dynamics is chaotic in the sense of exponential divergence of nearby initial conditions and although some properties of AD data are similar to white noise, the AD dynamics is in fact less predictable than noise and hence is different from pseudo-random number generators.

cond-mat.stat-mech↗

arXiv2004

Average path length in random networks

Analytic solution for the average path length in a large class of random graphs is found. We apply the approach to classical random graphs of Erdös and Rényi (ER) and to scale-free networks of Barabási and Albert (BA). In both cases our results confirm previous observations: small world behavior in classical random graphs $l_{ER} \sim \ln N$ and ultra small world effect characterizing scale-free BA networks $l_{BA} \sim \ln N/\ln\ln N$. In the case of scale-free random graphs with power law degree distributions we observed the saturation of the average path length in the limit of $N\to\infty$ for systems with the scaling exponent $2< α<3$ and the small-world behaviour for systems with $α>3$.

cond-mat.dis-nn↗

arXiv2004

Estimation of a Noise Level Using Coarse-Grained Entropy of Experimental Time Series of Internal Pressure in a Combustion Engine

We report our results on non-periodic experimental time series of pressure in a single cylinder spark ignition engine. The experiments were performed for different levels of loading. We estimate the noise level in internal pressure calculating the coarse-grained entropy from variations of maximal pressures in successive cycles. The results show that the dynamics of the combustion is a nonlinear multidimensional process mediated by noise. Our results show that so defined level of noise in internal pressure is not monotonous function of loading.

nlin.CD↗

arXiv2004

Noise reduction in chaotic time series by a local projection with nonlinear constraints

On the basis of a local-projective (LP) approach we develop a method of noise reduction in time series that makes use of nonlinear constraints appearing due to the deterministic character of the underlying dynamical system. The Delaunay triangulation approach is used to find the optimal nearest neighboring points in time series. The efficiency of our method is comparable to standard LP methods but our method is more robust to the input parameter estimation. The approach has been successfully applied for separating a signal from noise in the chaotic Henon and Lorenz models as well as for noisy experimental data obtained from an electronic Chua circuit. The method works properly for a mixture of additive and dynamical noise and can be used for the noise-level detection.

cond-mat.stat-mech↗

arXiv2003

How to calculate the main characteristics of random graphs - a new approach

The poster presents an analytic formalism describing metric properties of undirected random graphs with arbitrary degree distributions and statistically uncorrelated (i.e. randomly connected) vertices. The formalism allows to calculate the main network characteristics like: the position of the phase transition at which a giant component first forms, the mean component size below the phase transition, the size of the giant component and the average path length above the phase transition. Although most of the enumerated properties were previously calculated by means of generating functions, we think that our derivations are conceptually much simpler.

cond-mat.stat-mech↗

arXiv2003

Supremacy distribution in evolving networks

We study a supremacy distribution in evolving Barabasi-Albert networks. The supremacy $s_i$ of a node $i$ is defined as a total number of all nodes that are younger than $i$ and can be connected to it by a directed path. For a network with a characteristic parameter $m=1,2,3,...$ the supremacy of an individual node increases with the network age as $t^{(1+m)/2}$ in an appropriate scaling region. It follows that there is a relation $s(k) \sim k^{m+1}$ between a node degree $k$ and its supremacy $s$ and the supremacy distribution $P(s)$ scales as $s^{-1-2/(1+m)}$. Analytic calculations basing on a continuum theory of supremacy evolution and on a corresponding rate equation have been confirmed by numerical simulations.

cond-mat.stat-mech↗

arXiv2003

Mean-field theory for clustering coefficients in Barabasi-Albert networks

We applied a mean field approach to study clustering coefficients in Barabasi-Albert networks. We found that the local clustering in BA networks depends on the node degree. Analytic results have been compared to extensive numerical simulations finding a very good agreement for nodes with low degrees. Clustering coefficient of a whole network calculated from our approach perfectly fits numerical data.

cond-mat.stat-mech↗

arXiv2002

Higher order clustering coefficients in Barabasi-Albert networks

Higher order clustering coefficients $C(x)$ are introduced for random networks. The coefficients express probabilities that the shortest distance between any two nearest neighbours of a certain vertex $i$ equals $x$, when one neglects all paths crossing the node $i$. Using $C(x)$ we found that in the Barabási-Albert (BA) model the average shortest path length in a node's neighbourhood is smaller than the equivalent quantity of the whole network and the remainder depends only on the network parameter $m$. Our results show that small values of the standard clustering coefficient in large BA networks are due to random character of the nearest neighbourhood of vertices in such networks.

cond-mat.dis-nn↗

arXiv2002

Volatility clustering and scaling for financial time series due to attractor bubbling

A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change randomly in time. In the thermodynamic limit the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on-off intermittency, resembling the empirical financial time series with volatility clustering. For a proper choice of the model parameters the probability distributions of returns exhibit power-law tails with scaling exponents close to the empirical ones.

cond-mat.stat-mech↗

arXiv2001

Ferromagnetic Phase Transition in Barabasi-Albert Networks

Ising spins put onto a Barabasi-Albert scale-free network show an effective phase transition from ferromagnetism to paramagnetism upon heating, with an effective critical temperature increasing as the logarithm of the system size. Starting with all spins up and upon equilibration pinning the few most-connected spins down nucleates the phase with most of the spins down.

cond-mat.stat-mech↗

arXiv2001

Self-organized criticality in a model of collective bank bankruptcies

The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financial market. We recognize the power law distribution of contagion sizes in 3d- and 4d-networks as an indicator of SOC behavior. The SOC dynamics was not detected in 2d-lattices. The difference between 2d- and 3d- or 4d-systems is explained due to the percolation theory.

cond-mat.stat-mech↗