Econophysics Forum
http://www3.unifr.ch/econophysics
enSpurious memory in non-equilibrium stochastic models of imitative behavior
http://www3.unifr.ch/econophysics/?q=content/spurious-memory-non-equilibrium-stochastic-models-imitative-behavior
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example of Markov processes with spurious memory is stochastic process driven by a non-linear stochastic differential equation (SDE). This example is at odds with models built using fractional Brownian motion (fBm). We analyze differences between these two cases seeking to establish possible empirical tests of the origin of the observed long-range memory. We investigate probability density functions (PDFs) of burst and inter-burst duration in numerically obtained time series and compare with the results of fBm. Our analysis confirms that the characteristic feature of the processes described by a one-dimensional SDE is the power-law exponent 3/2 of the burst or inter-burst duration PDF. This property of stochastic processes might be used to detect spurious memory in various non-equilibrium systems, where observed macroscopic behavior can be derived from the imitative interactions of agents.</p>
</div></div></div>Thu, 04 Jun 2020 07:39:12 +0000Gontis28031 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/spurious-memory-non-equilibrium-stochastic-models-imitative-behavior#commentsThe consentaneous model of the financial markets exhibiting spurious nature of long-range memory
http://www3.unifr.ch/econophysics/?q=content/consentaneous-model-financial-markets-exhibiting-spurious-nature-long-range-memory
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect. Earlier we have proposed the consentaneous model of the financial markets based on the non-linear stochastic differential equations. The consentaneous model successfully reproduces empirical probability and power spectral densities of volatility. This approach is qualitatively different from models built using fractional Brownian motion. In this contribution we investigate burst and inter-burst duration statistics of volatility in the financial markets employing the consentaneous model. Our analysis provides an evidence that empirical statistical properties of burst and inter-burst duration can be explained by non-linear stochastic differential equations driving the volatility in the financial markets. This serves as an strong argument that long-range memory in finance can have spurious nature.</p>
</div></div></div>Thu, 04 Jun 2020 07:33:48 +0000Gontis28030 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/consentaneous-model-financial-markets-exhibiting-spurious-nature-long-range-memory#commentsBessel-like birth-death process
http://www3.unifr.ch/econophysics/?q=content/bessel-birth-death-process
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the correspondence between the description of the birth-death processes as the continuous-time Markov chains and the continuous SDEs is of high importance for the alternatives of modeling. We propose and generalize the Bessel-like birth-death process having clear representation by the SDEs. The new process helps to integrate the alternatives of description and to derive the equations for the probability density function (PDF) of the burst and inter-burst duration of the proposed continuous time birth-death processes.</p>
</div></div></div>Thu, 04 Jun 2020 07:26:57 +0000Gontis28029 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/bessel-birth-death-process#commentsLong-range memory test by the burst and inter-burst duration distribution
http://www3.unifr.ch/econophysics/?q=content/long-range-memory-test-burst-and-inter-burst-duration-distribution
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p> It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying values of the Hurst exponent. We propose the burst and inter-burst duration statistical analysis as one more test of long-range memory and implement it with the limit order book data comparing it with other widely used estimators. This method gives a more reliable evaluation of the Hurst exponent independent of the stock in consideration or time definition used. Results strengthen the expectation that burst and inter-burst duration analysis can serve as a better method to investigate the property of long-range memory.</p>
</div></div></div>Thu, 04 Jun 2020 07:19:05 +0000Gontis28028 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/long-range-memory-test-burst-and-inter-burst-duration-distribution#commentsInformation Cascades and the Collapse of Cooperation
http://www3.unifr.ch/econophysics/?q=content/information-cascades-and-collapse-cooperation
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><div>
<div>
<p>In various types of structured communities newcomers choose their interaction partners by selecting a role-model and copying their social networks. Participants in these networks may be cooperators who contribute to the prosperity of the community, or cheaters who do not and simply exploit the cooperators. For newcomers it is beneficial to interact with cooperators but detrimental to interact with cheaters. However, cheaters and cooperators usually cannot be identified unambiguously and newcomers’ decisions are often based on a combination of private and public information. We use evolutionary game theory and dynamical networks to demonstrate how the specificity and sensitivity of those decisions can dramatically affect the resilience of cooperation in the community. We show that promiscuous decisions (high sensitivity, low specificity) are advantageous for cooperation when the strength of competition is weak; however, if competition is strong then the best decisions for cooperation are risk-adverse (low sensitivity, high specificity). Opportune decisions based on private and public information can still support cooperation but suffer of the presence of information cascades that damage cooperation, especially in the case of strong competition. Our research sheds light on the way the interplay of specificity and sensitivity in individual decision-making affects the resilience of cooperation in dynamical structured communities.</p>
<div> </div>
</div>
</div>
<div> </div>
</div></div></div>Fri, 22 May 2020 08:40:01 +0000mcavaliere28027 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/information-cascades-and-collapse-cooperation#commentsPotential in the Schrodinger equation: estimation from empirical data
http://www3.unifr.ch/econophysics/?q=content/potential-schrodinger-equation-estimation-empirical-data
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>A recent model for the stock market calculates future price distributions of a stock as a wave function of a quantum particle conﬁned in an inﬁnite potential well. In such a model the question arose as to how to estimate the classical potential needed for solving the Schrodinger equation. In the present article the method used in that work for evaluating the potential is described, in the simplest version to implement, and more sophisticated implementations are suggested later.</p>
</div></div></div>Mon, 23 Mar 2020 09:34:48 +0000jlsubias28026 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/potential-schrodinger-equation-estimation-empirical-data#commentsRanking the invasions of cheaters in structured populations
http://www3.unifr.ch/econophysics/?q=content/ranking-invasions-cheaters-structured-populations
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>The identification of the most influential individuals in structured populations is an important research question, with many applications across the social and natural sciences. Here, we study this problem in evolutionary populations on static networks, where invading cheaters can lead to the collapse of cooperation. We propose six strategies to rank the invading cheaters and identify those which mostly facilitate the collapse of cooperation. We demonstrate that the type of successful rankings depend on the selection strength, the underlying game, and the network structure. We show that random ranking has generally little ability to successfully identify invading cheaters, especially for the stag-hunt game in scale-free networks and when the selection strength is strong. The ranking based on degree can successfully identify the most influential invaders when the selection strength is weak, while more structured rankings perform better at strong selection. Scale-free networks and strong selection are generally detrimental to the performance of the random ranking, but they are beneficial for the performance of structured rankings. Our research reveals how to identify the most influential invaders using statistical measures in structured communities, and it demonstrates how their success depends on population structure, selection strength, and on the underlying game dynamics.</p>
</div></div></div>Thu, 13 Feb 2020 09:51:24 +0000mcavaliere28025 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/ranking-invasions-cheaters-structured-populations#commentsA Response function of Merton model and Kinetic Ising model
http://www3.unifr.ch/econophysics/?q=content/response-function-merton-model-and-kinetic-ising-model
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>We study contagious defaults of banks by<br />
applying a voting model.<br />
The network of the banks are created by the relation, lending and borrowing among banks.<br />
We introduce the response function from Merton model.<br />
Using this response function we calculate the probability of default (PD) which<br />
includes not only changes of asset values but also the effects of connected banks' defaults using<br />
the mean field approximation.<br />
If we approximate the normal distribution which Merton model uses by $\tanh$ function, we can obtain the kinetic Ising model which represents phase transition.<br />
The asset volatility plays the role of temperature.<br />
In the low temperature limit, the model becomes the threshold model.<br />
We calculate PD which shows an effect of the situations around the bank as the additional PD using the self consistent equation.</p>
</div></div></div>Fri, 13 Dec 2019 08:35:57 +0000hisakadom28024 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/response-function-merton-model-and-kinetic-ising-model#commentsRelativistic Theory of Value
http://www3.unifr.ch/econophysics/?q=content/relativistic-theory-value
<div class="field field-name-abstract field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even"><p>On the basis of the theory of fundamental measurements and the relativistic hypothesis on the absence of a dedicated system of values, a space of 1+1 dimension has been constructed, in which each point is associated with a value (object of possible transaction). An illustrative “model of paints” and their mixtures, the values of which correspond to vectors in this space, has been proposed. It has been shown that the transitions from one system of values to another are described, similarly to physics, by the Lorentz transformations. In the proposed model, all classical relativistic effects are present. For inertial motion in the space of models, the principle of maximum benefit has been formulated, which represents an analog of the principle of least action. In the “model of paints”, the value analog of a homogeneous gravity field has been considered, and the simplest problem of dynamics in this field has been solved. The perspectives of generalization of the developed model for the space of 3+1 dimension and the quantum analog of such space have been analyzed.</p>
</div></div></div>Sun, 01 Dec 2019 00:23:42 +0000Melnyk28023 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/relativistic-theory-value#commentsIncome Distribution Dynamics of Economic Systems: An Econophysical Approach (Cambridge University Press)
http://www3.unifr.ch/econophysics/?q=content/income-distribution-dynamics-economic-systems-econophysical-approach-cambridge-university
<div class="field field-name-body field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even" property="content:encoded"><p>This book uses the econophysical perspective to focus on the income distributive dynamics of economic systems. It focuses on the empirical characterization and dynamics of income distribution and its related quantities from the epistemological and practical perspectives of contemporary physics. Several income distribution functions are presented which fit income data and results obtained by statistical physicists on the income distribution problem. The book discusses two separate research traditions: the statistical physics approach, and the approach based on non-linear trade cycle models of macroeconomic dynamics. Several models of distributive dynamics based on the latter approach are presented, connecting the studies by physicists on distributive dynamics with the recent literature by economists on income inequality. As econophysics is such an interdisciplinary field, this book will be of interest to physicists, economists, statisticians and applied mathematicians.</p>
</div></div></div><div class="field field-name-website field-type-text field-label-above"><div class="field-label">Provide external link: </div><div class="field-items"><div class="field-item even">https://www.cambridge.org/br/academic/subjects/physics/econophysics-and-financial-physics/income-distribution-dynamics-economic-systems-econophysical-approach?format=HB</div></div></div>Sat, 23 Nov 2019 05:40:36 +0000mbribeiro28022 at http://www3.unifr.ch/econophysicshttp://www3.unifr.ch/econophysics/?q=content/income-distribution-dynamics-economic-systems-econophysical-approach-cambridge-university#comments