Related papers: Modeling financial transactions via random walks o…
Expected urban population doubling calls for a compelling theory of the city. Random walks and diffusions defined on spatial city graphs spot hidden areas of geographical isolation in the urban landscape going downhill. First--passage time…
We introduce a model of adaptive temporal networks whose evolution is regulated by an interplay between node activity and dynamic exchange of information through links. We study the model by using a master equation approach. Starting from a…
We study random walk on complex networks with transition probabilities which depend on the current and previously visited nodes. By using an absorbing Markov chain we derive an exact expression for the mean first passage time between pairs…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
We study the temporal percolation properties of temporal networks by taking as a representative example the recently proposed activity driven network model [N. Perra et al., Sci. Rep. 2, 469 (2012)]. Building upon an analytical framework…
In temporal interaction networks, vertices correspond to entities, which exchange data quantities (e.g., money, bytes, messages) over time. Tracking the origin of data that have reached a given vertex at any time can help data analysts to…
Historically studies of behaviour on networks have focused on the behaviour of individuals (node-based) or on the aggregate behaviour of the entire network. We propose a new method to decompose a temporal network into macroscale components…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…
A random walk is a basic stochastic process on graphs and a key primitive in the design of distributed algorithms. One of the most important features of random walks is that, under mild conditions, they converge to a stationary distribution…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
In this note, we try to analyze and clarify the intriguing interplay between some counting problems related to specific thermalized weighted graphs and random walks consistent with such graphs.
We propose a class of models of random walks in a random environment where an exact solution can be given for a stationary distribution. The tool is the detailed balance equations.
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…
Time-limited states characterise many dynamical processes on networks: disease infected individuals recover after some time, people forget news spreading on social networks, or passengers may not wait forever for a connection. These…
Identifying the hidden organizational principles and relevant structures of networks representing complex physical systems is fundamental to understand their properties. To this aim, uncovering the structures involving a network's prominent…
This paper concerns the long-term behaviour of a system of interacting random walks labeled by vertices of a finite graph. The model is reversible which allows to use the method of electric networks in the study. In addition, examples of…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…