Searcharxiv⌕ Search

arXiv subjects

Janusz Szwabiński

Publications and source records attributed to Janusz Szwabiński.

18 recordsLinked to original sources

Objective comparison of methods to decode anomalous diffusion

Deviations from Brownian motion leading to anomalous diffusion are found in transport dynamics from quantum physics to life sciences. The characterization of anomalous diffusion from the measurement of an individual trajectory is a challenging task, which traditionally relies on calculating the trajectory mean squared displacement. However, this approach breaks down for cases of practical interest, e.g., short or noisy trajectories, heterogeneous behaviour, or non-ergodic processes. Recently, several new approaches have been proposed, mostly building on the ongoing machine-learning revolution. To perform an objective comparison of methods, we gathered the community and organized an open competition, the Anomalous Diffusion challenge (AnDi). Participating teams applied their algorithms to a commonly-defined dataset including diverse conditions. Although no single method performed best across all scenarios, machine-learning-based approaches achieved superior performance for all tasks. The discussion of the challenge results provides practical advice for users and a benchmark for developers.

physics.data-an↗

CINNAMON: A hybrid approach to change point detection and parameter estimation in single-particle tracking data

Change point detection has become an important part of the analysis of the single-particle tracking data, as it allows one to identify moments, in which the motion patterns of observed particles undergo significant changes. The segmentation of diffusive trajectories based on those moments may provide insight into various phenomena in soft condensed matter and biological physics. In this paper, we propose CINNAMON, a hybrid approach to classifying single-particle tracking trajectories, detecting change points within them, and estimating diffusion parameters in the segments between the change points. Our method is based on a combination of neural networks, feature-based machine learning, and statistical techniques. It has been benchmarked in the second Anomalous Diffusion Challenge. The method offers a high level of interpretability due to its analytical and feature-based components. A potential use of features from topological data analysis is also discussed.

q-bio.QM↗

The role of debt valuation factors in systemic risk assessment

The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent financial networks and the associated high systemic risk have been deemed the cause of the crashes. The goal of this paper is to enhance existing systemic risk analysis frameworks by incorporating essential debt valuation factors. Our results demonstrate that these additional elements substantially influence the outcomes of risk assessment. Notably, by modeling the dynamic relationship between interest rates and banks' credibility, our framework can detect potential cascading failures that standard approaches might miss. The proposed risk assessment methodology can help regulatory bodies prevent future failures, while also allowing companies to more accurately predict turmoil periods and strengthen their survivability during such events.

q-fin.RM↗

The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment

Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events, systemic risk methodologies utilise advanced mathematical and computational tools, such as complex systems, chaos theory, and Monte Carlo simulations. In this paper, a relatively simple mathematical formalism is applied to provide a unified framework for modeling credit cycles and systemic risk assessment. The proposed model is analyzed in detail to assess whether it can reflect very different states of the economy. Basing on those results, measures of systemic risk are constructed to provide information regarding the stability of the system. The formalism is then applied to describe the full credit cycle with the explanation of causal relationships between the phases expressed in terms of parameters derived from real-world quantities. The framework can be naturally interpreted and understood with respect to different economic situations and easily incorporated into the analysis and decision-making process based on classical models, significantly enhancing their quality and flexibility.

q-fin.MF↗

Boosting the performance of anomalous diffusion classifiers with the proper choice of features

Understanding and identifying different types of single molecules' diffusion that occur in a broad range of systems (including living matter) is extremely important, as it can provide information on the physical and chemical characteristics of particles' surroundings. In recent years, an ever-growing number of methods have been proposed to overcome some of the limitations of the mean-squared displacements approach to tracer diffusion. In March 2020, the Anomalous Diffusion (AnDi) Challenge was launched by a community of international scientists to provide a framework for an objective comparison of the available methods for anomalous diffusion. In this paper, we introduce a feature-based machine learning method developed in response to Task 2 of the challenge, i.e. the classification of different types of diffusion. We discuss two sets of attributes that may be used for the classification of single-particle tracking data. The first one was proposed as our contribution to the AnDi Challenge. The latter is the result of our attempt to improve the performance of the classifier after the deadline of the competition. Extreme gradient boosting was used as the classification model. Although the deep-learning approach constitutes the state-of-the-art technology for data classification in many domains, we deliberately decided to pick this traditional machine learning algorithm due to its superior interpretability. After the extension of the feature set our classifier achieved the accuracy of 0.83, which is comparable with the top methods based on neural networks.

q-bio.QM↗

Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data

The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate, which we measure via the parameters of the Heston model calibrated to the real stock market data. Depending on the values of those parameters, the passive strategy may namely outperform the active ones or vice versa. The method is tested on three stock market indices: S\&P500, DAX and WIG20.

q-fin.PM↗

Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices

Parametric estimation of stochastic differential equations (SDEs) has been a subject of intense studies already for several decades. The Heston model for instance is driven by two coupled SDEs and is often used in financial mathematics for the dynamics of the asset prices and their volatility. Calibrating it to real data would be very useful in many practical scenarios. It is very challenging however, since the volatility is not directly observable. In this paper, a complete estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach to handle jumps in order to neutralise their negative impact on the estimates of the key parameters of the model. An improvement of the sampling in the particle filtering method is discussed as well. Our analysis is supported by numerical simulations of the Heston model to investigate the performance of the estimators. And a practical follow-along recipe is given to allow for finding adequate estimates from any given data.

q-fin.MF↗

Advanced Strategies of Portfolio Management in the Heston Market Model

There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to successful investment. In this paper, we aim at an analysis of two aspects that may have an impact on investment performance: diversity of assets and inclusion of cash in the portfolio. We also propose two new management strategies based on the MACD and RSI factors known from technical analysis. Monte Carlo simulations within the Heston model of a market are used to perform numerical experiments.

q-fin.PM↗

Classification of particle trajectories in living cells: machine learning versus statistical testing hypothesis for fractional anomalous diffusion

Single-particle tracking (SPT) has become a popular tool to study the intracellular transport of molecules in living cells. Inferring the character of their dynamics is important, because it determines the organization and functions of the cells. For this reason, one of the first steps in the analysis of SPT data is the identification of the diffusion type of the observed particles. The most popular method to identify the class of a trajectory is based on the mean square displacement (MSD). However, due to its known limitations, several other approaches have been already proposed. With the recent advances in algorithms and the developments of modern hardware, the classification attempts rooted in machine learning (ML) are of particular interest. In this work, we adopt two ML ensemble algorithms, i.e. random forest and gradient boosting, to the problem of trajectory classification. We present a new set of features used to transform the raw trajectories data into input vectors required by the classifiers. The resulting models are then applied to real data for G protein-coupled receptors and G proteins. The classification results are compared to recent statistical methods going beyond MSD.

q-bio.QM↗

Impact of independence on polarization of opinions

Polarization of societies is getting more and more attention from researchers working at the intersection of many fields, because it seems to be a defining feature of many public domains. In this paper, we are going to investigate how the unwillingness to yield to the group pressure, also known as independence, influences this phenomenon. In particular, we would like to answer the question whether independent choices of people could alter the dynamics of a system that otherwise would become polarized. A modified version of the $q$-voter model will be used for that purpose. From our findings it follows that the impact of independence is at least two-fold. At low independence levels the consensus-polarization transition between two antagonistic groups sets in quicker than in the absence of independence. Higher levels induce additional transition in the system, from a polarized state to a disordered one.

physics.soc-ph↗

Best Portfolio Management Strategies For Synthetic and Real Assets

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far to describe methods of handling with financial assets, including differential equations, stochastic calculus and advanced statistics. In this paper, using a set of tools from the probability theory, various strategies of building financial portfolios are analysed in different market conditions. A special attention is given to several realisations of a so called balanced portfolio, which is rooted in the natural "buy-low-sell-high" principle. Results show that there is no universal strategy, because they perform differently in different circumstances (e.g. for varying transaction costs). Moreover, the planned time of investment may also have a significant impact on the profitability of certain strategies. All methods have been tested with both simulated trajectories and real data from the Polish stock market.

q-fin.PM↗

Classification of diffusion modes in single-particle tracking data: Feature-based versus deep-learning approach

Single-particle trajectories measured in microscopy experiments contain important information about dynamic processes undergoing in a range of materials including living cells and tissues. However, extracting that information is not a trivial task due to the stochastic nature of particles' movement and the sampling noise. In this paper, we adopt a deep-learning method known as a convolutional neural network (CNN) to classify modes of diffusion from given trajectories. We compare this fully automated approach working with raw data to classical machine learning techniques that require data preprocessing and extraction of human-engineered features from the trajectories to feed classifiers like random forest or gradient boosting. All methods are tested using simulated trajectories for which the underlying physical model is known. From the results it follows that CNN is usually slightly better than the feature-based methods, but at the costs of much longer processing times. Moreover, there are still some borderline cases, in which the classical methods perform better than CNN.

q-bio.QM↗

Conformity, anticonformity and polarization of opinions: insights from a mathematical model of opinion dynamics

Understanding and quantifying polarization in social systems is important because of many reasons. It could for instance help to avoid segregation and conflicts in the society or to control polarized debates and predict their outcomes. In this paper we present a version of the $q$-voter model of opinion dynamics with two types of response to social influence: conformity (like in original $q$-voter model) and anticonformity. We put the model on a social network with the double-clique topology in order to check how the interplay between those responses impacts the opinion dynamics in a population divided into two antagonistic segments. The model is analyzed analytically, numerically and by means of Monte Carlo simulations. Our results show that the systems undergoes two bifurcations as the number of cross-links between cliques changes. Below the first critical point consensus in the entire system is possible. Thus two antagonistic cliques may share the same opinion only if they are loosely connected. Above that point the system ends up in a polarized state.

physics.soc-ph↗

The interplay between conformity and anticonformity and its polarizing effect on society

Simmering debates leading to polarization are observed in many domains. Although empirical findings show a strong correlation between this phenomenon and modularity of a social network, still little is known about the actual mechanisms driving communities to conflicting opinions. In this paper, we used an agent-based model to check if the polarization may be induced by a competition between two types of social response: conformity and anticonformity. The proposed model builds on the q-voter model (Castellano et al. 2009b) and uses a double-clique topology in order to capture segmentation of a community. Our results indicate that the interplay between intra-clique conformity and inter-clique anticonformity may indeed lead to a polarized state of the entire system. We have found a dynamic phase transition controlled by the fraction $L$ of cross-links between cliques. In the regime of small values of $L$ system is able to reach the total positive consensus. If the values of $L$ are large enough, anticonformity takes over and the system always ends up in a polarized stated. Putting it the other way around, the segmentation of the network is not a sufficient condition for the polarization to appear. A suitable level of antagonistic interactions between segments is namely required to arrive at a polarized steady state within our model.

physics.soc-ph↗

Mapping the $q$-voter model: From a single chain to complex networks

We propose and compare six different ways of mapping the modified $q$-voter model to complex networks. Considering square lattices, Barabási-Albert, Watts-Strogatz and real Twitter networks, we ask the question if always a particular choice of the group of influence of a fixed size $q$ leads to different behavior at the macroscopic level. Using Monte Carlo simulations we show that the answer depends on the relative average path length of the network and for real-life topologies the differences between the considered mappings may be negligible.

physics.soc-ph↗

Role of detritus in a spatial food web model with diffusion

One of the central themes in modern ecology is the enduring debate on whether there is a relationship between the complexity of a biological community and its stability. In this paper, we focus on the role of detritus and spatial dispersion on the stability of ecosystems. Using Monte Carlo simulations we analyze two three level models of food webs: a grazing one with the basal species (i.e. primary producers) having unlimited food resources and a detrital one in which the basal species uses detritus as a food resource. While the vast majority of theoretical studies neglects detritus, from our results it follows that the detrital food web is more stable than its grazing counterpart, because the interactions mediated by detritus damp out fluctuations in species' densities. Since the detritus model is the more complex one in terms of interaction patterns, our results provide new evidence for the advocates of the complexity as one of the factors enhancing stability of ecosystems.

q-bio.PE↗

Density outbursts in a food web model with closed nutrient cycle

A spatial three level food web model with a closed nutrient cycle is presented and analyzed via Monte Carlo simulations. The time evolution of the model reveals two asymptotic states: an absorbing one with all species being extinct, and a coexisting one, in which concentrations of all species are non-zero. There are two possible ways for the system to reach the absorbing state. In some cases the densities increase very quickly at the beginning of a simulation and then decline slowly and almost monotonically. In others, well pronounced peaks in the $R$, $C$ and $D$ densities appear regularly before the extinction. Those peaks correspond to density outbursts (waves) traveling through the system. We investigate the mechanisms leading to the waves. In particular, we show that the percolation of the detritus (i. e. the accumulation of nutrients) is necessary for the emergence of the waves. Moreover, our results corroborate the hypothesis that top-level predators play an essential role in maintaining the stability of a food web (top-down control).

q-bio.PE↗

Motion of influential players can support cooperation in Prisoner's Dilemma

We study a spatial Prisoner's dilemma game with two types (A and B) of players located on a square lattice. Players following either cooperator or defector strategies play Prisoner's Dilemma games with their 24 nearest neighbors. The players are allowed to adopt one of their neighbor's strategy with a probability dependent on the payoff difference and type of the given neighbor. Players A and B have different efficiency in the transfer of their own strategy therefore the strategy adoption probability is reduced by a multiplicative factor (w < 1) from the players of type B. We report that the motion of the influential payers (type A) can improve remarkably the maintenance of cooperation even for their low densities.

physics.soc-ph↗