Related papers: Stochastic modeling of Congress
Analytical and numerical studies on many-body stochastic processes with multiplicative interactions are reviewed. The method of moment relations is used to investigate effects of asymmetry and randomness in interactions. Probability…
We review the advancement of nonstationary time series analysis from the perspective of Cowles Commission structural equation approach. We argue that despite the rich repertoire nonstationary time series analysis provides to analyze how do…
A most debated topic of the last years is whether simple statistical physics models can explain collective features of social dynamics. A necessary step in this line of endeavour is to find regularities in data referring to large scale…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of…
Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…
The study of record statistics of correlated series is gaining momentum. In this work, we study the records statistics of the time series of select stock market data and the geometric random walk, primarily through simulations. We show that…
We develop a claim score based on the Bonus-Malus approach proposed by [7]. We compare the fit and predictive ability of this new model with various models for of panel count data. In particular, we study in more details a new dynamic model…
We consider a class of biologically-motivated stochastic processes in which a unicellular organism divides its resources (volume or damaged proteins, in particular) symmetrically or asymmetrically between its progeny. Assuming the final…
We show that the mean number of attractors in a critical Boolean network under asynchronous stochastic update grows like a power law and that the mean size of the attractors increases as a stretched exponential with the system size. This is…
People organize in groups and contagions spread across them. A simple stochastic process, yet complex to model due to dynamical correlations within and between groups. Moreover, groups can evolve if agents join or leave in response to…
We propose a dynamical mechanism for a scale dependent error growth rate, by the introduction of a class of hierarchical models. The coupling of time scales and length scales is motivated by atmospheric dynamics. This model class can be…
We study Heaven-Hell dynamics, a model for network consensus. A known result establishes an exact one-step convergence threshold for systems with a single uniform hub: the per-node inbound hub weight W suffices if and only if W >= maxrest,…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…
A model for continuous-opinion dynamics is proposed and studied by taking advantage of its similarities with a mono-dimensional granular gas. Agents interact as in the Deffuant model, with a parameter $\alpha$ controlling the persuasibility…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
Arrival times of requests to print in a student laboratory were analyzed. Inter-arrival times between subsequent requests follow a universal scaling law relating time intervals and the size of the request, indicating a scale invariant…
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails -- ubiquitous in the statistics of social, economic, and ecological systems. Our main…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Motivated by the empirical observation of power-law distributions in the credits (e.g., ``likes'') of viral posts in social media, we introduce a high-dimensional tail index regression model and propose methods for estimation and inference…