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P. M. Hui

Publications and source records attributed to P. M. Hui.

At least 37 records · Page 2Linked to original sources

Scale-free networks with tunable degree distribution exponents

We propose and study a model of scale-free growing networks that gives a degree distribution dominated by a power-law behavior with a model-dependent, hence tunable, exponent. The model represents a hybrid of the growing networks based on popularity-driven and fitness-driven preferential attachments. As the network grows, a newly added node establishes $m$ new links to existing nodes with a probability $p$ based on popularity of the existing nodes and a probability $1-p$ based on fitness of the existing nodes. An explicit form of the degree distribution $P(p,k)$ is derived within a mean field approach. For reasonably large $k$, $P(p,k) \sim k^{-γ(p)}{\cal F}(k,p)$, where the function ${\cal F}$ is dominated by the behavior of $1/\ln(k/m)$ for small values of $p$ and becomes $k$-independent as $p \to 1$, and $γ(p)$ is a model-dependent exponent. The degree distribution and the exponent $γ(p)$ are found to be in good agreement with results obtained by extensive numerical simulations.

cond-mat.dis-nn↗

Dimensional Crossover in the Effective Second Harmonic Generation of Films of Random Dielectrics

The effective nonlinear response of films of random composites consisting of a binary composite with nonlinear particles randomly embedded in a linear host is theoretically and numerically studied. A theoretical expression for the effective second harmonic generation susceptibility, incorporating the thickness of the film, is obtained by combining a modified effective-medium approximation with the general expression for the effective second harmonic generation susceptibility in a composite. The validity of the thoretical results is tested against results obtained by numerical simulations on random resistor networks. Numerical results are found to be well described by our theory. The result implies that the effective-medium approximation provides a convenient way for the estimation of the nonlinear response in films of random dielectrics.

cond-mat.dis-nn↗

Second Harmonic Generation for a Dilute Suspension of Coated Particles

We derive an expression for the effective second-harmonic coefficient of a dilute suspension of coated spherical particles. It is assumed that the coating material, but not the core or the host, has a nonlinear susceptibility for second-harmonic generation (SHG). The resulting compact expression shows the various factors affecting the effective SHG coefficient. The effective SHG per unit volume of nonlinear coating material is found to be greatly enhanced at certain frequencies, corresponding to the surface plasmon resonance of the coated particles. Similar expression is also derived for a dilute suspension of coated discs. For coating materials with third-harmonic (THG) coefficient, results for the effective THG coefficients are given for the cases of coated particles and coated discs.

cond-mat.dis-nn↗

Weighted Scale-Free Networks with Stochastic Weight Assignments

We propose and study a model of weighted scale-free networks incorporating a stochastic scheme for weight assignments to the links, taking into account both the popularity and fitness of a node. As the network grows the weights of links are driven either by the connectivity with probability $p$ or by the fitness with probability $1-p$. Results of numerical simulations show that the total weight associated with a selected node exhibits a power law distribution with an exponent $σ$, the value of which depends on the probability $p$. The exponent $σ$ decreases continuously as $p$ increases. For $p=0$, the total weight distribution displays the same scaling behavior as that of the connectivity distribution with $σ= γ= 3$, where $γ$ is the exponent characterizing the connectivity distribution. An analytical expression for the total weight is derived so as to explain the features observed in the numerical results. Numerical results are also presented for a generalized model with a fitness-dependent link formation mechanism.

cond-mat.stat-mech↗

A model for the size distribution of customer groups and businesses

We present a generalization of the dynamical model of information transmission and herd behavior proposed by Eguiluz and Zimmermann. A characteristic size of group of agents $s_{0}$ is introduced. The fragmentation and coagulation rates of groups of agents are assumed to depend on the size of the group. We present results of numerical simulations and mean field analysis. It is found that the size distribution of groups of agents $n_{s}$ exhibits two distinct scaling behavior depending on $s \leq s_{0}$ or $s > s_{0}$. For $s \leq s_{0}$, $n_{s} \sim s^{-(5/2 + δ)}$, while for $s > s_{0}$, $n_{s} \sim s^{-(5/2 -δ)}$, where $δ$ is a model parameter representing the sensitivity of the fragmentation and coagulation rates to the size of the group. Our model thus gives a tunable exponent for the size distribution together with two scaling regimes separated by a characteristic size $s_{0}$. Suitably interpreted, our model can be used to represent the formation of groups of customers for certain products produced by manufacturers. This, in turn, leads to a distribution in the size of businesses. The characteristic size $s_{0}$, in this context, represents the size of a business for which the customer group becomes too large to be kept happy but too small for the business to become a brand name.

cond-mat.stat-mech↗

Herd Formation and Information Transmission in a Population: Non-universal behaviour

We present generalized dynamical models describing the sharing of information, and the corresponding herd behavior, in a population based on the recent model proposed by Egu\'ıluz and Zimmermann (EZ) [Phys. Rev. Lett. 85, 5659 (2000)]. The EZ model, which is a dynamical version of the herd formation model of Cont and Bouchaud (CB), gives a reasonable model for the formation of clusters of agents and for actions taken by clusters of agents. Both the EZ and CB models give a cluster size distribution characterized by a power law with an exponent -5/2. By introducing a size-dependent probability for dissociation of a cluster of agents, we show that the exponent characterizing the cluster size distribution becomes model-dependent and non-universal, with an exponential cutoff for large cluster sizes. The actions taken by the clusters of agents generate the price returns, the distribution of which is also characterized by a model-dependent exponent. When a size-dependent transaction rate is introduced instead of a size-dependent dissociation rate, it is found that the distribution of price returns is characterized by a model-dependent exponent while the exponent for the cluster-size distribution remains unchanged. The resulting systems provide simplified models of a financial market and yield power law behaviour with an easily tunable exponent.

cond-mat.stat-mech↗

Non-universal scaling and dynamical feedback in generalized models of financial markets

We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of agents and to include a demand process. Non-universal scaling with a tunable exponent for the group size distribution is found in the resulting system. We also show that the fragmentation and coagulation probabilities of groups of agents have a strong influence on the average investment rate of the system.

cond-mat.dis-nn↗

Non-universal scaling in a model of information transmission and herd behavior

We present a generalized dynamical model describing the sharing of information, and corresponding herd behavior, in a population based on the recent model proposed by Eguiluz and Zimmermann. By introducing a size-dependent probability for dissociation of a cluster, we show that the exponent characterizing the distribution of cluster sizes becomes model-dependent and non-universal. The resulting system, which provides a simplified model of a financial market, yields power law behavior with an easily tunable exponent.

cond-mat.dis-nn↗

Stochastic strategies in the Minority Game

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can decrease below the random coin-toss limit if the agents use more general, stochastic strategies. This suppression of the standard deviation results from a cancellation between the actions of a crowd, in which agents act collectively and make the same decision, and an anticrowd in which agents act collectively by making the opposite decision to the crowd.

cond-mat↗

Theory of Ideal Four-Wave Mixing in Bose-Einstein Condensates

Starting from a second-quantized Hamiltonian of many-particle systems, we derive the Gross-Pitaevskii (GP) equation in momentum space, which is suitable for studying the multi-wave mixing processes of coherent matter waves. The coupling equations are then applied to study ideal four-wave mixing (4WM), in which only four waves with definite wavevectors are involved. Some interesting problems of 4WM, such as the phase-matching condition, the collapse and revival behaviour, the effects of relative phase difference, and the conversion efficiency are discussed in detail. We also show that the main characters of recent 4WM experiment [Deng et al, Nature 398, 218 (1999)] can be undersood in the present simplified model.

cond-mat.soft↗

From market games to real-world markets

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market clearing mechanisms and show that an out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. We then employ the formalism of Bouchaud and Sornette in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.

cond-mat↗

Crowd-Anticrowd Theory of Multi-Agent Market Games

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG.

cond-mat↗

Evolutionary minority game with heterogeneous strategy distribution

We present detailed numerical results for a modified form of the so-called Minority Game, which provides a simplified model of a competitive market. Each agent has a limited set of strategies, and competes to be in a minority. An evolutionary rule for strategy modification is included to mimic simple learning. The results can be understood by considering crowd formation within the population.

cond-mat↗

Crowd-anticrowd theory of the Minority Game

The Minority Game is a simple yet highly non-trivial agent-based model for a complex adaptive system. Despite its importance, a quantitative explanation of the game's fluctuations which applies over the entire parameter range of interest has so far been lacking. We provide such a quantitative description based on the interplay between crowds of like-minded agents and their anti-correlated partners (anticrowds).

cond-mat↗

Mixed population Minority Game with generalized strategies

We present a quantitative theory, based on crowd effects, for the market volatility in a Minority Game played by a mixed population. Below a critical concentration of generalized strategy players, we find that the volatility in the crowded regime remains above the random coin-toss value regardless of the "temperature" controlling strategy use. Our theory yields good agreement with numerical simulations.

cond-mat↗

Generalized strategies in the Minority Game

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard deviation results from a cancellation between the actions of a crowd, in which agents act collectively and make the same decision, and an anticrowd in which agents act collectively by making the opposite decision to the crowd.

cond-mat↗

Crowd-anticrowd model of the Minority Game

We provide a theoretical description of the Minority Game in terms of crowd effects. The size of the fluctuations arising in the game is controlled by the interplay between crowds of like-minded agents and their anti-correlated partners (anticrowds). The theoretical results are in good agreement with the numerical simulations over the entire parameter range of interest.

cond-mat↗

Theory of the evolutionary minority game

We present a theory which describes a recently introduced model of an evolving, adaptive system in which agents compete to be in the minority. The agents themselves are able to evolve their strategies over time in an attempt to improve their performance. The present theory explicitly demonstrates the self-interaction, or so-called market impact, that agents in such systems experience.

cond-mat↗