Related papers: Statistical pairwise interaction model of stock ma…
Sequences of correlated binary patterns can represent many time-series data including text, movies, and biological signals. These patterns may be described by weighted combinations of a few dominant structures that underpin specific…
A freely walking fly visits roughly 100 stereotyped states in a strongly non-Markovian sequence. To explore these dynamics, we develop a generalization of the information bottleneck method, compressing the large number of behavioral states…
We introduce and analyze a natural class of nonlinear dynamics for spin systems such as the Ising model. This class of dynamics is based on the framework of mass action kinetics, which models the evolution of systems of entities under…
We study Ising spin models on finitely connected random interaction graphs which are drawn from an ensemble in which not only the degree distribution $p(k)$ can be chosen arbitrarily, but which allows for further fine-tuning of the topology…
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
The ground-state phase diagram of an Ising spin-glass model on a random graph with an arbitrary fraction $w$ of ferromagnetic interactions is analysed in the presence of an external field. Using the replica method, and performing an…
The Ising model was generalized to a system of cells interacting exclusively by presence of shared spins. Within the cells there are interactions of any complexity, the simplest intracell interactions come down to the Ising model. The…
The study of spin-glass dynamics, long considered the paradigmatic complex system, has reached important milestones. The availability of single crystals has allowed the experimental measurement of spin-glass coherence lengths of almost…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predictability $K$ for both models with linear…
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
We introduce a method for learning pairwise interactions in a manner that satisfies strong hierarchy: whenever an interaction is estimated to be nonzero, both its associated main effects are also included in the model. We motivate our…
Analyses of urban scaling laws assume that observations in different cities are independent of the existence of nearby cities. Here we introduce generative models and data-analysis methods that overcome this limitation by modelling…
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
The Ising model is of prime importance in the field of statistical mechanics. Here we show that Ising-type interactions can be realized in periodically-driven circuits of stochastic binary resistors with memory. A key feature of our…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
We introduce a simple two-dimensional spin model with short-range interactions which shows glassy behavior despite a Hamiltonian which is completely homogeneous and possesses no randomness. We solve exactly for both the static partition…
An important problem in the field of bioinformatics is to identify interactive effects among profiled variables for outcome prediction. In this paper, a logistic regression model with pairwise interactions among a set of binary covariates…