arXiv subjects

Ljupco Kocarev

Publications and source records attributed to Ljupco Kocarev.

At least 37 records · Page 2Linked to original sources

arXiv2020

Stochastic resetting on comb-like structures

We study a diffusion process on a three-dimensional comb under stochastic resetting. We consider three different types of resetting: global resetting from any point in the comb to the initial position, resetting from a finger to the corresponding backbone and resetting from secondary fingers to the main fingers. The transient dynamics along the backbone in all three cases is different due to the different resetting mechanisms, finding a wide range of dynamics for the mean squared displacement. For the particular geometry studied herein, we compute the stationary solution and the mean square displacement and find that the global resetting breaks the transport in the three directions. Regarding the resetting to the backbone, the transport is broken in two directions but it is enhanced in the main axis. Finally, the resetting to the fingers enhances the transport in the backbone and the main fingers but reaches a steady value for the mean squared displacement in the secondary fingers.

cond-mat.stat-mech↗

arXiv2020

Modeling the Spread of Multiple Contagions on Multilayer Networks

A susceptible-infected-susceptible (SIS) model of multiple contagions on multilayer networks is developed to incorporate different spreading channels and disease mutations. The basic reproduction number for this model is estimated analytically. In a special case when considering only compartmental models, we analytically analyze an example of a model with a mutation driven strain persistence characterized by the absence of an epidemic threshold. This model is not related to the network topology and can be observed in both compartmental models and models on networks. The novel multiple-contagion SIS model on a multilayer network could help in the understanding of other spreading phenomena including communicable diseases, cultural characteristics, addictions, or information spread through e-mail messages, web blogs, and computer networks.

physics.soc-ph↗

arXiv2020

On the structure of the world economy: An absorbing Markov chain approach

The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We are approaching the structure and lengths of value chains from a completely different perspective than has been available so far. By assigning a random endogenous variable to a network linkage representing the number of intermediate sales/purchases before absorption (final use or value added), the discrete-time absorbing Markov chains proposed here shed new light on the world input/output networks. The variance of this variable can help assess the risk when shaping the chain length and optimize the level of production. Contrary to what might be expected simply on the basis of comparative advantage, the results reveal that both the input and output chains exhibit the same quasi-stationary product distribution. Put differently, the expected proportion of time spent in a state before absorption is invariant to changes of the network type. Finally, the several global metrics proposed here, including the probability distribution of global value added/final output, provide guidance for policy makers when estimating the resilience of world trading system and forecasting the macroeconomic developments.

econ.GN↗

arXiv2019

Graphlets in Multiplex Networks

We develop graphlet analysis for multiplex networks and discuss how this analysis can be extended to multilayer and multilevel networks as well as to graphs with node and/or link categorical attributes. The analysis has been adapted for two typical examples of multiplexes: economic trade data represented as a 957-plex network and 75 social networks each represented as a 12-plex network. We show that wedges (open triads) occur more often in economic trade networks than in social networks, indicating the tendency of a country to produce/trade of a product in local structure of triads which are not closed. Moreover, our analysis provides evidence that the countries with small diversity tend to form correlated triangles. Wedges also appear in the social networks, however the dominant graphlets in social networks are triangles (closed triads). If a multiplex structure indicates a strong tie, the graphlet analysis provides another evidence for the concepts of strong/weak ties and structural holes. In contrast to Granovetter's seminal work on the strength of weak ties, in which it has been documented that the wedges with only strong ties are absent, here we show that for the analyzed 75 social networks, the wedges with only strong ties are not only present but also significantly correlated.

cs.SI↗

arXiv2019

Lead-lag Relationships in Foreign Exchange Markets

Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and futures on market indexes, whereas foreign exchange data have been less explored. To provide a valuable insight on the nature of the lead-lag relationships in foreign exchange markets here we perform a detailed study for the one-minute log returns on exchange rates through three different approaches: i) lagged correlations, ii) lagged partial correlations and iii) Granger causality. In all studies, we find that even though for most pairs of exchange rates lagged effects are absent, there are many pairs which pass statistical significance tests. Out of the statistically significant relationships, we construct directed networks and investigate the influence of individual exchange rates through the PageRank algorithm. The algorithm, in general, ranks stock market indexes quoted in their respective currencies, as most influential. In contrast to the claims of the efficient market hypothesis, these findings suggest that all market information does not spread instantaneously.

q-fin.ST↗

arXiv2019

The Role of Multiplex Network Structure in Cooperation through Generalized Reciprocity

Recent studies suggest that the emergence of cooperative behavior can be explained by generalized reciprocity, a behavioral mechanism based on the principle of "help anyone if helped by someone". In complex systems, the cooperative dynamics is largely determined by the network structure which dictates the interactions among neighboring individuals. These interactions often exhibit multidimensional features, either as relationships of different types or temporal dynamics, both of which may be modeled as a "multiplex" network. Against this background, here we advance the research on cooperation models inspired by generalized reciprocity by considering a multidimensional networked society. Our results reveal that a multiplex network structure may enhance the role of generalized reciprocity in promoting cooperation, whereby some of the network dimensions act as a latent support for the others. As a result, generalized reciprocity forces the cooperative contributions of the individuals to concentrate in the dimension which is most favorable for the existence of cooperation.

q-bio.PE↗

arXiv2019

Cooperation dynamics in the networked geometric Brownian motion

Recent works suggest that pooling and sharing may constitute a fundamental mechanism for the evolution of cooperation in well-mixed fluctuating environments. The rationale is that, by reducing the amplitude of fluctuations, pooling and sharing increases the steady-state growth rate at which the individuals self-reproduce. However, in reality interactions are seldom realized in a well-mixed structure, and the underlying topology is in general described by a complex network. Motivated by this observation, we investigate the role of the network structure on the cooperative dynamics in fluctuating environments, by developing a model for networked pooling and sharing of resources undergoing environmental fluctuations, represented through geometric Brownian motion. The study reveals that, while in general cooperation increases the individual steady state growth rates (i.e. is evolutionary advantageous), the interplay with the network structure may yield large discrepancies in the observed individual resource endowments. We comment possible biological and social implications and discuss relations to econophysics.

nlin.AO↗

arXiv2019

Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns

A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here we develop a discrete time framework for pricing of European options. Probability density functions of log returns for different periods are conveniently taken to be convolutions of the Student's t-distribution with three degrees of freedom. The supports of these distributions are truncated in order to obtain finite values for the options. Within this framework, options with different strikes and maturities for one stock rely on a single parameter -- the standard deviation of the Student's t-distribution for unit period. We provide a study which shows that the distribution support width has weak influence on the option prices for certain range of values of the width. It is furthermore shown that such family of truncated distributions approximately satisfies the no-arbitrage principle and the put-call parity. The relevance of the pricing procedure is empirically verified by obtaining remarkably good match of the numerically computed values by our scheme to real market data.

q-fin.PR↗

arXiv2019

Stability of decision trees and logistic regression

Decision trees and logistic regression are one of the most popular and well-known machine learning algorithms, frequently used to solve a variety of real-world problems. Stability of learning algorithms is a powerful tool to analyze their performance and sensitivity and subsequently allow researchers to draw reliable conclusions. The stability of these two algorithms has remained obscure. To that end, in this paper, we derive two stability notions for decision trees and logistic regression: hypothesis and pointwise hypothesis stability. Additionally, we derive these notions for L2-regularized logistic regression and confirm existing findings that it is uniformly stable. We show that the stability of decision trees depends on the number of leaves in the tree, i.e., its depth, while for logistic regression, it depends on the smallest eigenvalue of the Hessian matrix of the cross-entropy loss. We show that logistic regression is not a stable learning algorithm. We construct the upper bounds on the generalization error of all three algorithms. Moreover, we present a novel stability measuring framework that allows one to measure the aforementioned notions of stability. The measures are equivalent to estimates of expected loss differences at an input example and then leverage bootstrap sampling to yield statistically reliable estimates. Finally, we apply this framework to the three algorithms analyzed in this paper to confirm our theoretical findings and, in addition, we discuss the possibilities of developing new training techniques to optimize the stability of logistic regression, and hence decrease its generalization error.

cs.LG↗

arXiv2019

Correlation Patterns in Foreign Exchange Markets

The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient measures such as the means and covariances of the respective log returns. Here, we develop transformation equations for these means and covariances when one changes the numeraire. The results are verified by a thorough empirical analysis capturing the dynamics of numerous assets in a foreign exchange market. We show that the partial correlations between pairs of assets are invariant under the change of the numeraire. This observable quantifies the relationship between two assets, while the influence of the rest is removed. As such the partial correlations uncover intriguing observations which may not be easily noticed in the ordinary correlation analysis.

q-fin.ST↗

arXiv2019

Cooperation dynamics of generalized reciprocity in state-based social dilemmas

We introduce a framework for studying social dilemmas in networked societies where individuals follow a simple state-based behavioral mechanism based on generalized reciprocity, which is rooted in the principle "help anyone if helped by someone". Within this general framework, which applies to a wide range of social dilemmas including, among others, public goods, donation and snowdrift games, we study the cooperation dynamics on a variety of complex network examples. By interpreting the studied model through the lenses of nonlinear dynamical systems, we show that cooperation through generalized reciprocity always emerges as the unique attractor in which the overall level of cooperation is maximized, while simultaneously exploitation of the participating individuals is prevented. The analysis elucidates the role of the network structure, here captured by a local centrality measure which uniquely quantifies the propensity of the network structure to cooperation, by dictating the degree of cooperation displayed both at microscopic and macroscopic level. We demonstrate the applicability of the analysis on a practical example by considering an interaction structure that couples a donation process with a public goods game.

q-bio.PE↗

arXiv2019

Stacking and stability

Stacking is a general approach for combining multiple models toward greater predictive accuracy. It has found various application across different domains, ensuing from its meta-learning nature. Our understanding, nevertheless, on how and why stacking works remains intuitive and lacking in theoretical insight. In this paper, we use the stability of learning algorithms as an elemental analysis framework suitable for addressing the issue. To this end, we analyze the hypothesis stability of stacking, bag-stacking, and dag-stacking and establish a connection between bag-stacking and weighted bagging. We show that the hypothesis stability of stacking is a product of the hypothesis stability of each of the base models and the combiner. Moreover, in bag-stacking and dag-stacking, the hypothesis stability depends on the sampling strategy used to generate the training set replicates. Our findings suggest that 1) subsampling and bootstrap sampling improve the stability of stacking, and 2) stacking improves the stability of both subbagging and bagging.

cs.LG↗

arXiv2018

Economic Complexity Unfolded: Interpretable Model for the Productive Structure of Economies

Economic complexity reflects the amount of knowledge that is embedded in the productive structure of an economy. It resides on the premise of hidden capabilities - fundamental endowments underlying the productive structure. In general, measuring the capabilities behind economic complexity directly is difficult, and indirect measures have been suggested which exploit the fact that the presence of the capabilities is expressed in a country's mix of products. We complement these studies by introducing a probabilistic framework which leverages Bayesian non-parametric techniques to extract the dominant features behind the comparative advantage in exported products. Based on economic evidence and trade data, we place a restricted Indian Buffet Process on the distribution of countries' capability endowment, appealing to a culinary metaphor to model the process of capability acquisition. The approach comes with a unique level of interpretability, as it produces a concise and economically plausible description of the instantiated capabilities.

econ.EM↗

arXiv2018

Sparse Three-parameter Restricted Indian Buffet Process for Understanding International Trade

This paper presents a Bayesian nonparametric latent feature model specially suitable for exploratory analysis of high-dimensional count data. We perform a non-negative doubly sparse matrix factorization that has two main advantages: not only we are able to better approximate the row input distributions, but the inferred topics are also easier to interpret. By combining the three-parameter and restricted Indian buffet processes into a single prior, we increase the model flexibility, allowing for a full spectrum of sparse solutions in the latent space. We demonstrate the usefulness of our approach in the analysis of countries' economic structure. Compared to other approaches, empirical results show our model's ability to give easy-to-interpret information and better capture the underlying sparsity structure of data.

cs.LG↗

arXiv2018

Multiplex Network Structure Enhances the Role of Generalized Reciprocity in Promoting Cooperation

In multi-agent systems, cooperative behavior is largely determined by the network structure which dictates the interactions among neighboring agents. These interactions often exhibit multidimensional features, either as relationships of different types or temporal dynamics, both of which may be modeled as a "multiplex" network. Against this background, here we advance the research on cooperation models inspired by generalized reciprocity, a simple pay-it-forward behavioral mechanism, by considering a multidimensional networked society. Our results reveal that a multiplex network structure can act as an enhancer of the role of generalized reciprocity in promoting cooperation by acting as a latent support, even when the parameters in some of the separate network dimensions suggest otherwise (i.e. favor defection). As a result, generalized reciprocity forces the cooperative contributions of the individual agents to concentrate in the dimension which is most favorable for the existence of cooperation.

q-bio.PE↗

arXiv2017

Promoting cooperation by preventing exploitation: The role of network structure

A growing body of empirical evidence indicates that social and cooperative behavior can be affected by cognitive and neurological factors, suggesting the existence of state-based decision-making mechanisms that may have emerged by evolution. Motivated by these observations, we propose a simple mechanism of anonymous network interactions identified as a form of generalized reciprocity - a concept organized around the premise "help anyone if helped by someone", and study its dynamics on random graphs. In the presence of such mechanism, the evolution of cooperation is related to the dynamics of the levels of investments (i.e. probabilities of cooperation) of the individual nodes engaging in interactions. We demonstrate that the propensity for cooperation is determined by a network centrality measure here referred to as neighborhood importance index and discuss relevant implications to natural and artificial systems. To address the robustness of the state-based strategies to an invasion of defectors, we additionally provide an analysis which redefines the results for the case when a fraction of the nodes behave as unconditional defectors.

q-bio.PE↗

arXiv2016

The Impact of Services on Economic Complexity: Service Sophistication as Route for Economic Growth

Economic complexity reflects the amount of knowledge that is embedded in the productive structure of an economy. By combining tools from network science and econometrics, a robust and stable relationship between a country's productive structure and its economic growth has been established. Here we report that not only goods but also services are important for predicting the rate at which countries will grow. By adopting a terminology which classifies manufactured goods and delivered services as products, we investigate the influence of services on the country's productive structure. In particular, we provide evidence that complexity indices for services are in general higher than those for goods, which is reflected in a general tendency to rank countries with developed service sector higher than countries with economy centred on manufacturing of goods. By focusing on country dynamics based on experimental data, we investigate the impact of services on the economic complexity of countries measured in the product space (consisting of both goods and services). Importantly, we show that diversification of service exports and its sophistication can provide an additional route for economic growth in both developing and developed countries.

econ.GN↗

arXiv2016

Tunneling of electrons via rotor-stator molecular interfaces: combined ab initio and model study

Tunneling of electrons through rotor-stator anthracene aldehyde molecular interfaces is studied with a combined ab initio and model approach. Molecular electronic structure calculated from first principles is utilized to model different shapes of tunneling barriers. Together with a rectangular barrier, we also consider a sinusoidal shape that captures the effects of the molecular internal structure more realistically. Quasiclassical approach with the Simmons' formula for current density is implemented. Special attention is paid on conformational dependence of the tunneling current. Our results confirm that the presence of the side aldehyde group enhances the interesting electronic properties of the pure anthracene molecule, making it a bistable system with geometry dependent transport properties. We also investigate the transition voltage and we show that confirmation dependent field emission could be observed in these molecular interfaces at realistically low voltages. The present study accompanies our previous work where we investigated the coherent transport via strongly coupled delocalized orbital by application of Non-equilibrium Green's Function Formalism.

physics.chem-ph↗