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At least 55 records · Page 3Linked to original sources
arXiv2007

Multifractal regime transition in a modified minority game model

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the Structure Function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (nonlinear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the Wavelet Transform Modulus Maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes.

q-fin.TR↗
arXiv2007

The Description of Information in 4-Dimensional Pseudo-Euclidean Information Space

This article is presented new method of description information systems in abstract 4-dimensional pseudo-Euclidean information space (4-DPIES) with using special relativity (SR) methods. This purpose core postulates of existence 4-DPIES are formulated. The theorem setting existence criteria of the invariant velocity of the information transference is formulated and proved. One more theorem allowed relating discrete parameters of information and continuous space-time treating and also row of supplementary theorems is formulated and proved. For description of dynamics and interaction of information, in article is introduced general parameter of information - generalized information emotion (GIE), reminding simultaneously on properties the mass and the charge. At performing calculation of information observable parameters in the information space is introduced continual integration methods of Feynman. The applying idea about existence of GIE as measures of the information inertness and the interaction carrier, and using continual integration methods of Feynman can be calculated probability of information process in 4-DPIES. In this frame presented approach has allowed considering information systems when interest is presented with information processes, their related with concrete definition without necessity. The relation between 4-DPIES and real systems parameters is set at modelling of matching between observable processes and real phenomena from information interpretation.

cs.IT↗
arXiv2008

Understanding the volatility smile of options markets through microsimulation

In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset. Speculators make decisions based on their expectations of the asset price at the option expiration time. Arbitrageurs trade at different arbitrage opportunities such as violation of put-call parity. Difference in liquidity among options is also included. Notwithstanding its simplicity, our model can generate implied volatility (IV) curves similar to empirical observations. Our results suggest that the volatility smile is related to the competing effect of heterogeneous trading behavior and the impact of differential liquidity.

q-fin.PR↗
arXiv2007

Modeling Metropolis Public Transport

We present results of a survey of public transport networks (PTNs) of selected 14 major cities of the world with PTN sizes ranging between 2000 and 46000 stations and develop an evolutionary model of these networks. The structure of these PTNs is revealed in terms of a set of neighbourhood relations both for the routes and the stations. The networks defined in this way display distinguishing properties due to the constraints of the embedding 2D geographical space and the structure of the cities. In addition to the standard characteristics of complex networks like the number of nearest neighbours, mean path length, and clustering we observe features specific to PTNs. While other networks with real-world links like cables or neurons embedded in two or three dimensions often show similar behavior, these can be studied in detail in our present case. Geographical data for the routes reveal surprising self-avoiding walk properties that we relate to the optimization of surface coverage. We propose and simulate an evolutionary growth model based on effectively interacting self-avoiding walks that reproduces the key features of PTN.

physics.soc-ph↗
arXiv2007

Co-Betweenness: A Pairwise Notion of Centrality

Betweenness centrality is a metric that seeks to quantify a sense of the importance of a vertex in a network graph in terms of its "control" on the distribution of information along geodesic paths throughout that network. This quantity however does not capture how different vertices participate together in such control. In order to allow for the uncovering of finer details in this regard, we introduce here an extension of betweenness centrality to pairs of vertices, which we term co-betweenness, that provides the basis for quantifying various analogous pairwise notions of importance and control. More specifically, we motivate and define a precise notion of co-betweenness, we present an efficient algorithm for its computation, extending the algorithm of Brandes in a natural manner, and we illustrate the utilization of this co-betweenness on a handful of different communication networks. From these real-world examples, we show that the co-betweenness allows one to identify certain vertices which are not the most central vertices but which, nevertheless, act as important actors in the relaying and dispatching of information in the network.

cs.NI↗
arXiv2007

A Brief History of Economics: An Outsider's Account

A dangerously brief history of the developments of the main ideas in economics, as observed by a physicist, is given. This was published in 'Econophysics of Stock and Other Markets', Eds. A. Chatterjee, B. K. Chakrabarti, New Economic Windows Series, Springer, Milan, 2006, pp~219-224.

q-fin.GN↗
arXiv2007

Agent Simulation of Chain Bankruptcy

We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a capital deficit. Model parameters were estimated using financial data for 1,077 listed Japanese firms. Simulations of chain bankruptcy on the real transaction network consisting of those 1,077 firms were made with the estimated model parameters. Given an initial bankrupt firm, a list of chain bankrupt firms was obtained. This model can be used to detect high-risk links in a transaction network, for the management of chain bankruptcy.

q-fin.GN↗
arXiv2007

Discovering Important Nodes Through Graph Entropy Encoded in Urban Space Syntax

Potentially influential spaces in the spatial networks of cities can be detected by means of the entropy participation ratios. Local (connectivity) and global (centrality) entropies are considered. While the connectivity entropy has a tendency to increase with the city size, the centrality entropy is decreasing that reflects the global connectedness of cities. In urban networks, the local and global properties of nodes are positively correlated that indicates the intelligibility of cities. Correlations between entropy participation ratios can be used in purpose of intelligibility measurements and city networks comparisons.

physics.soc-ph↗
arXiv2007

Statistical properties of agent-based market area model

One dimensional stylized model taking into account spatial activity of firms with uniformly distributed customers is proposed. The spatial selling area of each firm is defined by a short interval cut out from selling space (large interval). In this representation, the firm size is directly associated with the size of its selling interval. The recursive synchronous dynamics of economic evolution is discussed where the growth rate is proportional to the firm size incremented by the term including the overlap of the selling area with areas of competing firms. Other words, the overlap of selling areas inherently generate a negative feedback originated from the pattern of demand. Numerical simulations focused on the obtaining of the firm size distributions uncovered that the range of free parameters where the Pareto's law holds corresponds to the range for which the pair correlation between the nearest neighbor firms attains its minimum.

q-fin.GN↗
arXiv2007

Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance

The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the underlying correlation matrix when the variables are described by a multivariate Gaussian distribution. Here we use the Kullback-Leibler distance to investigate the performance of filtering methods based on Random Matrix Theory and on the shrinkage technique. We also present some results on the application of the Kullback-Leibler distance to multivariate data which are non Gaussian distributed.

physics.data-an↗
arXiv2007

Wealth distribution in a System with Wealth-limited Interactions

We model a closed economic system with interactions that generates the features of empirical wealth distribution across all wealth brackets, namely a Gibbsian trend in the lower and middle wealth range and a Pareto trend in the higher range, by simply limiting the an agents' interaction to only agents with nearly the same wealth. To do this, we introduce a parameter BETA that limits the range on the wealth of a partner with which an agent is allowed to interact. We show that this wealth-limited interaction is enough to distribute wealth in a purely power law trend. If the interaction is not wealth limited, the wealth distribution is expectedly Gibbsian. The value of BETA where the transition from a purely Gibbsian law to a purely power law distribution happens depends on whether the choice of interaction partner is mutual nor not. For a non-mutual choice, where the richer agent gets to decide, the transition happens at BETA=1.0. For a mutual choice, the transition is at BETA= 0.60. In order to generate a mixed Gibbs-Pareto distribution, we apply another wealth-based rule that depends on the parameter w_limit. An agent whose wealth is below w_limit can choose any partner to interact with, while an agent whose wealth is above w_limit is subject to the wealth-limited range in his choice of partner. A Gibbs-Pareto distribution appears if both these wealth-based rules are applied.

q-fin.GN↗
arXiv2007

Kinetic Economies

We study a minimalist kinetic model for economies. A system of agents with local trading rules display emergent demand behaviour. We examine the resulting wealth distribution to look for non-thermal behaviour. We compare and contrast this model with other similar models.

q-fin.GN↗
arXiv2007

Scale-free Segregation in Transport Networks

Every route of a transport network approaching equilibrium can be represented by a vector of Euclidean space which length quantifies its segregation from the rest of the graph. We have empirically observed that the distribution of lengths over the edge connectivity in many transport networks exhibits scaling invariance phenomenon. We give an example of the canal network of Veneice to demonstrate our result. The method is applicable to any transport network.

physics.soc-ph↗
arXiv2007

Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts

The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from systematic uneveness in noise traders' behavior. Spurious results arise mathematically from using a log increment with a 'sliding window'. We explain why a hard to beat market demands martingale dynamics , and martingales with nonlinear variance generate nonstationary increments. The nonstationarity is exhibited directly for Euro/Dollar FX data. We observe that the Hurst exponent H_s generated by the using the sliding window technique on a time series plays the same role as does Mandelbrot's Joseph exponent. Finally, Mandelbrot originally assumed that the 'badly behaved' second moment of cotton returns is due to fat tails, but that nonconvergent behavior is instead direct evidence for nonstationary increments. Summarizing, the evidence for scaling and fat tails as the basis for econophysics and financial economics is provided neither by FX markets nor by cotton price data.

q-fin.ST↗
arXiv2008

A Simple Probabilistic Algorithm for Detecting Community Structure in Social Networks

In this paper, we propose a novel semi-parametric probabilistic model which considers interactions between different communities and can provide more information about the network topology besides correctly detecting communities. By using an additional parameter, our model can not only detect community structure but also detect pattern which is a generalization of common sense network community structure. The prior parameter in our model reveals the characteristics of patterns inside the network. Results on some widely known data sets prove the efficiency of our model.

physics.soc-ph↗
arXiv2007

Community Detection via Facility Location

In this paper we apply theoretical and practical results from facility location theory to the problem of community detection in networks. The result is an algorithm that computes bounds on a minimization variant of local modularity. We also define the concept of an edge support and a new measure of the goodness of community structures with respect to this concept. We present preliminary results and note that our methods are massively parallelizable.

physics.soc-ph↗
arXiv2007

Multifractality in the Random Parameters Model

The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore other properties of the model, like the scaling of its PDF as one take larger scales. Special attention is given to the multifractal structure of the model time series, which revealed a scaling structure compatible with the known stylized facts for a reasonable choice of the parameter values.

q-fin.ST↗