Related papers: Stochastic modeling of Congress
Many complex systems have been shown to share universal properties of organization, such as scale independence, modularity and self-similarity. We borrow tools from statistical physics in order to study structural preferential attachment…
A hybrid model for opinion dynamics in complex multi-agent networks is introduced, wherein some continuous-valued agents average neighbors' opinions to update their own, while other discrete-valued agents use stochastic copying and voting…
In two-strategy decision-making problems, individuals often imitate the highest earners or choose either the common or rare strategy. Individuals who benefit from the common strategy are conformists, whereas those who profit by choosing the…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal…
We study the properties of macroeconomic survey forecast response averages as the number of survey respondents grows. Such averages are ``portfolios" of forecasts. We characterize the speed and pattern of the gains from diversification as a…
We address the role of multiplicative stochastic processes in modeling the occurrence of power-law city size distributions. As an explanation of the result of Zipf's rank analysis, Simon's model is presented in a mathematically elementary…
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…
Quantitative properties of stochastic systems are usually specified in logics that allow one to compare the measure of executions satisfying certain temporal properties with thresholds. The model checking problem for stochastic systems with…
In this paper, we propose a novel stochastic process that serves as a natural discrete-time counterpart to the continuous-time model known as the ``Poisson hyperbolic staircase'' proposed by Levikson et al. (1999), and clarify its…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
We consider a system consisting of a planar random walk on a square lattice, submitted to stochastic elementary local deformations. Depending on the deformation transition rates, and specifically on a parameter $\eta$ which breaks the…
A method for analytic continuation of imaginary-time correlation functions (here obtained in quantum Monte Carlo simulations) to real-frequency spectral functions is proposed. Stochastically sampling a spectrum parametrized by a large…
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…
How much is the h-index of an editor of a well ranked journal improved due to citations which occur after his or her appointment? Scientific recognition within academia is widely measured nowadays by the number of citations or h-index. Our…
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real…
We present a novel approach to investigate the long-time stochastic dynamics of multi-dimensional classical systems, in contact with a heat-bath. When the potential energy landscape is rugged, the kinetics displays a decoupling of short and…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…