arXiv subjects

Nestor Caticha

Publications and source records attributed to Nestor Caticha.

26 records · Page 2Linked to original sources

arXiv2005

Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 minutes to 160 days. At time scales shorter than 20 minutes we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.

physics.soc-ph↗

arXiv2004

Common Underlying Dynamics in an Emerging Market: From Minutes to Months

We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes to 100 days with a single set of parameters. We also show that the Heston model is inconsistent with the observed behavior of the volatility autocorrelation function. We deal with the latter inconsistency by introducing a slow time scale to the model. The fact that the price dynamics in a period of 35 years of macroeconomical unrest may be modeled by the same stochastic process is evidence for a general underlying microscopic market dynamics.

cond-mat.stat-mech↗

arXiv2002

Dynamical transitions in the evolution of learning algorithms by selection

We study the evolution of artificial learning systems by means of selection. Genetic programming is used to generate a sequence of populations of algorithms which can be used by neural networks for supervised learning of a rule that generates examples. In opposition to concentrating on final results, which would be the natural aim while designing good learning algorithms, we study the evolution process and pay particular attention to the temporal order of appearance of functional structures responsible for the improvements in the learning process, as measured by the generalization capabilities of the resulting algorithms. The effect of such appearances can be described as dynamical phase transitions. The concepts of phenotypic and genotypic entropies, which serve to describe the distribution of fitness in the population and the distribution of symbols respectively, are used to monitor the dynamics. In different runs the phase transitions might be present or not, with the system finding out good solutions, or staying in poor regions of algorithm space. Whenever phase transitions occur, the sequence of appearances are the same. We identify combinations of variables and operators which are useful in measuring experience or performance in rule extraction and can thus implement useful annealing of the learning schedule.

physics.bio-ph↗

arXiv2000

MaxEnt Queries and Sequential Sampling

In this paper we pose the question: After gathering N data points, at what value of the control parameter should the next measurement be done? We propose an on-line algorithm which samples optimally by maximizing the gain in information on the parameters to be measured. We show analytically that the information gain is maximum for those potential measurements whose outcome is most unpredictable, i.e. for which the predictive distribution has maximum entropy. The resulting algorithm is applied to exponential analysis.

cond-mat.dis-nn↗

arXiv2000

Gradient descent learning in and out of equilibrium

Relations between the off thermal equilibrium dynamical process of on-line learning and the thermally equilibrated off-line learning are studied for potential gradient descent learning. The approach of Opper to study on-line Bayesian algorithms is extended to potential based or maximum likelihood learning. We look at the on-line learning algorithm that best approximates the off-line algorithm in the sense of least Kullback-Leibler information loss. It works by updating the weights along the gradient of an effective potential different from the parent off-line potential. The interpretation of this off equilibrium dynamics holds some similarities to the cavity approach of Griniasty. We are able to analyze networks with non-smooth transfer functions and transfer the smoothness requirement to the potential.

cond-mat.dis-nn↗

arXiv1998

Statistical Mechanics of Online Learning of Drifting Concepts : A Variational Approach

We review the application of Statistical Mechanics methods to the study of online learning of a drifting concept in the limit of large systems. The model where a feed-forward network learns from examples generated by a time dependent teacher of the same architecture is analyzed. The best possible generalization ability is determined exactly, through the use of a variational method. The constructive variational method also suggests a learning algorithm. It depends, however, on some unavailable quantities, such as the present performance of the student. The construction of estimators for these quantities permits the implementation of a very effective, highly adaptive algorithm. Several other algorithms are also studied for comparison with the optimal bound and the adaptive algorithm, for different types of time evolution of the rule.

cond-mat.dis-nn↗

arXiv1997

Learning a spin glass: determining Hamiltonians from metastable states

We study the problem of determining the Hamiltonian of a fully connected Ising Spin Glass of $N$ units from a set of measurements, whose sizes needs to be ${\cal O}(N^2)$ bits. The student-teacher scenario, used to study learning in feed-forward neural networks, is here extended to spin systems with arbitrary couplings. The set of measurements consists of data about the local minima of the rugged energy landscape. We compare simulations and analytical approximations for the resulting learning curves obtained by using different algorithms.

cond-mat.dis-nn↗

arXiv1997

Functional Optimisation of Online Algorithms in Multilayer Neural Networks

We study the online dynamics of learning in fully connected soft committee machines in the student-teacher scenario. The locally optimal modulation function, which determines the learning algorithm, is obtained from a variational argument in such a manner as to maximise the average generalisation error decay per example. Simulations results for the resulting algorithm are presented for a few cases. The symmetric phase plateaux are found to be vastly reduced in comparison to those found when online backpropagation algorithms are used. A discussion of the implementation of these ideas as practical algorithms is given.

cond-mat.dis-nn↗