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At least 37 records · Page 2Linked to original sources
arXiv2007

A Bayesian Framework for Combining Valuation Estimates

Obtaining more accurate equity value estimates is the starting point for stock selection, value-based indexing in a noisy market, and beating benchmark indices through tactical style rotation. Unfortunately, discounted cash flow, method of comparables, and fundamental analysis typically yield discrepant valuation estimates. Moreover, the valuation estimates typically disagree with market price. Can one form a superior valuation estimate by averaging over the individual estimates, including market price? This article suggests a Bayesian framework for combining two or more estimates into a superior valuation estimate. The framework justifies the common practice of averaging over several estimates to arrive at a final point estimate.

q-fin.ST↗
arXiv2007

Economic Amplifier - A New Econophysics Model

Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between different economic processes or phenomena and processes and phenomena from different fields of physics, other than statistical physics. On the basis of the economic development process and amplification phenomenon analogy, a new econophysics model, named economic amplifier, on the electronic amplification principle from applied physics was proposed und largely analyzed.

q-fin.GN↗
arXiv2007

Dynamics of Opinions and Social Structures

Social groups with widely different music tastes, political convictions, and religious beliefs emerge and disappear on scales from extreme subcultures to mainstream mass-cultures. Both the underlying social structure and the formation of opinions are dynamic and changes in one affect the other. Several positive feedback mechanisms have been proposed to drive the diversity in social and economic systems, but little effort has been devoted to pinpoint the interplay between a dynamically changing social network and the spread and gathering of information on the network. Here we analyze this phenomenon in terms of a social network-model that explicitly simulates the feedback between information assembly and emergence of social structures: changing beliefs are coupled to changing relationships because agents self-organize a dynamic network to facilitate their hunter-gatherer behavior in information space. Our analysis demonstrates that tribal organizations and modular social networks can emerge as a result of contact-seeking agents that reinforce their beliefs among like-minded. We also find that prestigious persons can streamline the social network into hierarchical structures around themselves.

physics.soc-ph↗
arXiv2007

Eduction and Economy -- An Analysis of Statistical Data

In this paper the correlation between education, research and macroeconomic strength of countries at a global scale is analyzed on the basis of statistical data published by the UNIDO and OECD. It uses sets of composite indicators describing the economical performance and competitiveness as well as those relevant for human development, education, knowledge and technology achievement and correlates them. It turns out that for countries with a human development index (HDI) below 0.7 the basic education and technology achievement indices are the driving force for further development, whereas for the industrialized countries the knowledge index as a composite education and communication index has the strongest effect on the economic strength of a country as measured by the gross domestic product.

physics.soc-ph↗
arXiv2007

X-Radiography of Cargo Containers

The problem of detecting a nuclear weapon smuggled in an ocean-going cargo container has not been solved, and the detonation of such a device in a large city could produce casualties and property damage exceeding those of September 11, 2001 by orders of magnitude. Any means of detecting such threats must be fast and cheap enough to screen the millions of containers shipped each year, and must be capable of distinguishing a threatening quantity of fissionable material from the complex loading of masses of innocent material found in many containers. Here we show that radiography with energetic X-rays produced by a 10 MeV electron accelerator, taking advantage of the high density and specific atomic properties of fissionable material, may be a practical solution.

physics.soc-ph↗
arXiv2007

Detection of Neutron Sources in Cargo Containers

We investigate the problem of detecting the presence of clandestine neutron sources, such as would be produced by nuclear weapons containing plutonium, within cargo containers. Small, simple and economical semiconductor photodiode detectors affixed to the outsides of containers are capable of producing statistically robust detections of unshielded sources when their output is integrated over the durations of ocean voyages. It is possible to shield such sources with thick layers of neutron-absorbing material, and to minimize the effects of such absorbers on ambient or artificial external neutron fluxes by surrounding them with neutron-reflective material.

physics.soc-ph↗
arXiv2007

The public goods game on homogeneous and heterogeneous networks: investment strategy according to the pool size

We propose an extended public goods interaction model to study the evolution of cooperation in heterogeneous population. The investors are arranged on the well known scale-free type network, the Barabási-Albert model. Each investor is supposed to preferentially distribute capital to pools in its portfolio based on the knowledge of pool sizes. The extent that investors prefer larger pools is determined by investment strategy denoted by a tunable parameter $α$, with larger $α$ corresponding to more preference to larger pools. As comparison, we also study this interaction model on square lattice, and find that the heterogeneity contacts favors cooperation. Additionally, the influence of local topology to the game dynamics under different $α$ strategies are discussed. It is found that the system with smaller $α$ strategy can perform comparatively better than the larger $α$ ones.

q-fin.GN↗
arXiv2007

Fostering Consensus in Multidimensional Continuous Opinion Dynamics under Bounded Confidence

Social consensus is important for society. Sometimes the success of society depends on a consensus (e.g. the decision to pay taxes or to commit to the constitution). Examples for continuous opinion dynamics are discussions about tax rates or budget plan proposals for governments investments. Another example is a commission of experts which should reach a estimate about a certain issue, e.g. the tax revenues of the next year. In all these situations we got a group of agents which should reach a common agreement either for reaching a good approximation to the truth but on the other hand for the reason, that reaching consensus is a good in itself. From social judgment theory and experiments we know that humans either tend to agreement with others for normative and informational reasons but on the other hand have bounded confidence against others with differing opinions. In a framework of models of continuous opinion dynamics we ask, which structural conditions foster the achievement of consensus? We present evidence by simulation that bringing more issues in does, but only if the issues are under budget constraints. Further, the installation of meetings where everyone hears all opinions has a better impact than relying on gossip.

physics.soc-ph↗
arXiv2008

Analytical modelling of terminal properties in industrial growth

In this pedagogical study, carried out by adopting standard mathematical methods of nonlinear dynamics, we have presented some simple analytical models to understand terminal behaviour in industrial growth. This issue has also been addressed from a dynamical systems perspective, with especial emphasis on the concept of the Balanced Scorecard. Our study enables us to make the general claim that although the fortunes of an industrial organization can rise with exponential rapidity on relatively short time scales, its growth will ultimately and inevitably be saturated on long time scales by various factors which are nonlinear in character. We have mathematically demonstrated the likely occurrence of this feature under various possible circumstances, including the Red Ocean and the Blue Ocean. Finally and most importantly, our arguments and their associated mathematical modelling have received remarkable support from the growth pattern indicated by empirical data gathered from a well-recognized global company like IBM.

q-fin.GN↗
arXiv2007

Prisoner's Dilemma in One-Dimensional Cellular Automata: Visualization of Evolutionary Patterns

The spatial Prisoner's Dilemma is a prototype model to show the emergence of cooperation in very competitive environments. It considers players, at site of lattices, that can either cooperate or defect when playing the Prisoner's Dilemma with other z players. This model presents a rich phase diagram. Here we consider players in cells of one-dimensional cellular automata. Each player interacts with other z players. This geometry allows us to vary, in a simple manner, the number of neighbors ranging from one up to the lattice size, including self-interaction. This approach has multiple advantages. It is simple to implement numerically and we are able to retrieve all the previous results found in the previously considered lattices, with a faster convergence to stationary values. More remarkable, it permits us to keep track of the spatio-temporal evolution of each player of the automaton. Giving rise to interesting patterns. These patterns allow the interpretation of cooperation/defection clusters as particles, which can be absorbed and collided among themselves. The presented approach represents a new paradigm to study the emergence and maintenance of cooperation in the spatial Prisoner's Dilemma.

physics.comp-ph↗
arXiv2007

Time reversal invariance in finance

Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and orders, the existence of time reversal invariance requires care to be investigated. Different statistics are constructed with the property to be zero for time series which are time reversal invariant; they all show that high-frequency empirical foreign exchange prices are not invariant. The same statistics are applied to mathematical processes that should mimic empirical prices. Monte Carlo simulations show that only some ARCH processes with a multi-timescales structure can reproduce the empirical findings. A GARCH(1,1) process can only reproduce some asymmetry. On the other hand, all the stochastic volatility type processes are time reversal invariant. This clear difference related to the process structures gives some strong selection criterion for processes.

q-fin.ST↗
arXiv2007

Coexistence of Social Norms based on In- and Out-group Interactions

The question how social norms can emerge from microscopic interactions between individuals is a key problem in social sciences to explain collective behavior. In this paper we propose an agent-based model to show that randomly distributed social behavior by way of local interaction converges to a state with a multimodal distribution of behavior. This can be interpreted as a coexistence of different social norms, a result that goes beyond previous investigations. The model is discrete in time and space, behavior is characterized in a continuous state space. The adaptation of social behavior by each agent is based on attractive and repulsive forces caused by friendly and adversary relations among agents. The model is analyzed both analytically and by means of spatio-temporal computer simulations. It provides conditions under which we find convergence towards a single norm, coexistence of two opposing norms, and coexistence of a multitude of norms. For the latter case, we also show the evolution of the spatio-temporal distribution of behavior.

nlin.AO↗
arXiv2008

An exhaustive exploration of the parameter space of the Prisoners' Dilemma in one-dimensional cellular automata

The Prisoner's Dilemma (PD) is one of the most popular games of the Game Theory due to the emergence of cooperation among competitive rational players. In this paper, we present the PD played in cells of one-dimension cellular automata, where the number of possible neighbors that each cell interacts, z, can vary. This makes possible to retrieve results obtained previously in regular lattices. Exhaustive exploration of the parameters space is presented. We show that the final state of the system is governed mainly by the number of neighbors z and there is a drastic difference if it is even or odd.

physics.soc-ph↗
arXiv2007

An empirical behavioral model of liquidity and volatility

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are validated against real data. Our empirical studies of order flow uncover several interesting regularities in the way trading orders are placed and cancelled. The resulting simple model of order flow is used to simulate price formation under a continuous double auction, and the statistical properties of the resulting simulated sequence of prices are compared to those of real data. The model is constructed using one stock (AZN) and tested on 24 other stocks. For low volatility, small tick size stocks (called Group I) the predictions are very good, but for stocks outside Group I they are not good. For Group I, the model predicts the correct magnitude and functional form of the distribution of the volatility and the bid-ask spread, without adjusting any parameters based on prices. This suggests that at least for Group I stocks, the volatility and heavy tails of prices are related to market microstructure effects, and supports the hypothesis that, at least on short time scales, the large fluctuations of absolute returns are well described by a power law with an exponent that varies from stock to stock.

q-fin.ST↗
arXiv2007

Entropy and Uncertainty Analysis in Financial Markets

The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the following issues: Is the standard-deviation a good measure of risk and uncertainty? What are the potentialities of the entropy in this context? Can entropy present some advantages as a measure of uncertainty and simultaneously verify some basic assumptions of the portfolio management theory, namely the effect of diversification?

q-fin.ST↗
arXiv2007

A Comparative Study of Stochastic Volatility Models

The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present, several stochastic volatility models are discussed in the literature, differing in the dynamics attached to the volatility. The aim of the present work is to compare the most recent results about three popular models: the Vasicek, Heston and exponential Ornstein-Uhlenbeck models. We analyzed for each of them the theoretical results known in the literature (volatility and return distribution, higher-order moments and different-time correlations) in order to test their predictive effectiveness on the outcomes of original numerical simulations, paying particular attention to their ability to reproduce empirical statistical properties of prices. The numerical results demonstrate that these models can be implemented maintaining all their features, especially in view of financial applications like market risk management or option pricing. In order to critically compare the models, we also perform an empirical analysis of financial time series from the Italian stock market, showing the exponential Ornstein-Uhlenbeck model's ability to capture the stylized facts of volatility and log-return probability distributions.

q-fin.ST↗
arXiv2008

Communities in networks - a continuous approach

A system of differential equations is proposed designed as to identify communities in weighted networks. The input is a symmetric connectivity matrix $A_{ij}$. A priori information on the number of communities is not needed. To verify the dynamics, we prepared sets of separate, fully connected clusters. In this case, the matrix $A$ has a block structure of zeros and units. A noise is introduced as positive random numbers added to zeros and subtracted from units. The task of the dynamics is to reproduce the initial block structure. In this test, the system outperforms the modularity algorithm, if the number of clusters is larger than four.

physics.data-an↗