arXiv subjects

P. G. Lind

Publications and source records attributed to P. G. Lind.

5 recordsLinked to original sources

arXiv2014

The effect of the number of states on the validity of credit ratings

We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings change with time, thus giving supportive evidence that the ideal number of admissible states changes with time. We use matrix estimation methods that explicitly assume the hypothesis needed for the process to be a valid rating process. By comparing with the likelihood maximization method of matrix estimation, we quantify the "likelihood-loss" of assuming that the process is a well grounded rating process.

q-fin.RM↗

arXiv2013

Principal axes for stochastic dynamics

We introduce a general procedure for directly ascertaining how many independent stochastic sources exist in a complex system modeled through a set of coupled Langevin equations of arbitrary dimension. The procedure is based on the computation of the eigenvalues and the corresponding eigenvectors of local diffusion matrices. We demonstrate our algorithm by applying it to two examples of systems showing Hopf-bifurcation. We argue that computing the eigenvectors associated to the eigenvalues of the diffusion matrix at local mesh points in the phase space enables one to define vector fields of stochastic eigendirections. In particular, the eigenvector associated to the lowest eigenvalue defines the path of minimum stochastic forcing in phase space, and a transform to a new coordinate system aligned with the eigenvectors can increase the predictability of the system.

physics.data-an↗

arXiv2012

Evaluating strong measurement noise in data series with simulated annealing method

Many stochastic time series can be described by a Langevin equation composed of a deterministic and a stochastic dynamical part. Such a stochastic process can be reconstructed by means of a recently introduced nonparametric method, thus increasing the predictability, i.e. knowledge of the macroscopic drift and the microscopic diffusion functions. If the measurement of a stochastic process is affected by additional strong measurement noise, the reconstruction process cannot be applied. Here, we present a method for the reconstruction of stochastic processes in the presence of strong measurement noise, based on a suitably parametrized ansatz. At the core of the process is the minimization of the functional distance between terms containing the conditional moments taken from measurement data, and the corresponding ansatz functions. It is shown that a minimization of the distance by means of a simulated annealing procedure yields better results than a previously used Levenberg-Marquardt algorithm, which permits a rapid and reliable reconstruction of the stochastic process.

physics.data-an↗

arXiv2006

A system of mobile agents to model social networks

We propose a model of mobile agents to construct social networks, based on a system of moving particles by keeping track of the collisions during their permanence in the system. We reproduce not only the degree distribution, clustering coefficient and shortest path length of a large data base of empirical friendship networks recently collected, but also some features related with their community structure. The model is completely characterized by the collision rate and above a critical collision rate we find the emergence of a giant cluster in the universality class of two-dimensional percolation. Moreover, we propose possible schemes to reproduce other networks of particular social contacts, namely sexual contacts.

physics.soc-ph↗

arXiv2005

Model of mobile agents for sexual interactions networks

We present a novel model to simulate real social networks of complex interactions, based in a granular system of colliding particles (agents). The network is build by keeping track of the collisions and evolves in time with correlations which emerge due to the mobility of the agents. Therefore, statistical features are a consequence only of local collisions among its individual agents. Agent dynamics is realized by an event-driven algorithm of collisions where energy is gained as opposed to granular systems which have dissipation. The model reproduces empirical data from networks of sexual interactions, not previously obtained with other approaches.

physics.soc-ph↗