Modelling collective opinion formation by means of active Brownian particles

The concept of active Brownian particles is used to model a collective opinion formation process. It is assumed that individuals in community create a two-component communication field that influences the change of opinions of other persons and/or can induce their migration. The communication field is described by a reaction-diffusion equation, the opinion change of the individuals is given by a master equation, while the migration is described by a set of Langevin equations, coupled by the communication field. In the mean-field limit holding for fast communication we derive a critical population size, above which the community separates into a majority and a minority with opposite opinions. The existence of external support (e.g. from mass media) changes the ratio between minority and majority, until above a critical external support the supported subpopulation exists always as a majority. Spatial effects lead to two critical “social” temperatures, between which the community exists in a metastable state, thus fluctuations below a certain critical wave number may result in a spatial opinion separation. The range of metastability is particularly determined by a parameter characterizing the individual response to the communication field. In our discussion, we draw analogies to phase transitions in physical systems. Received 26 November 1999     

Evolution of imitation networks in Minority Game model

The Minority Game is adapted to study the “imitation dilemma”, i.e. the tradeoff between local benefit and global harm coming from imitation. The agents are placed on a substrate network and are allowed to imitate more successful neighbours. Imitation domains, which are oriented trees, are formed. We investigate size distribution of the domains and in-degree distribution within the trees. We use four types of substrate: one-dimensional chain; Erd?s-Rényi graph; Barabási-Albert scale-free graph; Barabási-Albert 'model A' graph. The behaviour of some features of the imitation network strongly depend on the information cost epsilon, which is the percentage of gain the imitators must pay to the imitated. Generally, the system tends to form a few domains of equal size. However, positive epsilon makes the system stay in a long-lasting metastable state with complex structure. The in-degree distribution is found to follow a power law in two cases of those studied: for Erd?s-Rényi substrate for any epsilon and for Barabási-Albert scale-free substrate for large enough epsilon. A brief comparison with empirical data is provided.     

Noisy covariance matrices and portfolio optimization

According to recent findings [#!bouchaud!#,#!stanley!#], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can essentially be regarded as random. In [#!bouchaud!#], e.g., it is reported that about 94% of the spectrum of these matrices can be fitted by that of a random matrix drawn from an appropriately chosen ensemble. In view of the fundamental role of covariance matrices in the theory of portfolio optimization as well as in industry-wide risk management practices, we analyze the possible implications of this effect. Simulation experiments with matrices having a structure such as described in [#!bouchaud!#,#!stanley!#] lead us to the conclusion that in the context of the classical portfolio problem (minimizing the portfolio variance under linear constraints) noise has relatively little effect. To leading order the solutions are determined by the stable, large eigenvalues, and the displacement of the solution (measured in variance) due to noise is rather small: depending on the size of the portfolio and on the length of the time series, it is of the order of 5 to 15%. The picture is completely different, however, if we attempt to minimize the variance under non-linear constraints, like those that arise e.g. in the problem of margin accounts or in international capital adequacy regulation. In these problems the presence of noise leads to a serious instability and a high degree of degeneracy of the solutions. Received 31 December 2001     

Can a few fanatics influence the opinion of a large segment of a society?

Models that provide insight into how extreme positions regarding any social phenomenon may spread in a society or at the global scale are of great current interest. A realistic model must account for the fact that globalization, internet, and other means of mass communications have given rise to scale-free networks of interactions between people. We propose a novel model which takes into account the nature of the interactions network, and provides some key insights into this phenomenon. These include, (1) the existence of a fundamental difference between a hierarchical network whereby people are influenced by those that are higher in the hierarchy but not by those below them, and a symmetrical network where person-on-person influence works mutually, and (2) that a few “fanatics” can influence a large fraction of the population either temporarily (in the hierarchical networks) or permanently (in symmetrical networks). Even if the “fanatics” disappear, the population may still remain susceptible to the positions originally advocated by them. The model is, however, general and applicable to any phenomenon for which there is a degree of enthusiasm or susceptibility to in the population.     

On the structure of competitive societies

We model the dynamics of social structure by a simple interacting particle system. The social standing of an individual agent is represented by an integer-valued fitness that changes via two offsetting processes. When two agents interact one advances: the fitter with probability p and the less fit with probability 1-p. The fitness of an agent may also decline with rate r. From a scaling analysis of the underlying master equations for the fitness distribution of the population, we find four distinct social structures as a function of the governing parameters p and r. These include: (i) a static lower-class society where all agents have finite fitness; (ii) an upwardly-mobile middle-class society; (iii) a hierarchical society where a finite fraction of the population belongs to a middle class and a complementary fraction to the lower class; (iv) an egalitarian society where all agents are upwardly mobile and have nearly the same fitness. We determine the basic features of the fitness distributions in these four phases.     

Two-particle dispersion in model two-dimensional velocity fields

We consider two-particle dispersion in a velocity field, where the relative two-point velocity scales according to v ²(r) ∝r ^α and the corresponding correlation time scales as τ(r) ∝r ^β, and fix α = 2/3, as typical for turbulent flows. We show that two generic types of dispersion behavior arize: For α/2 + β < 1 the correlations in relative velocities decouple and the diffusion approximation holds. In the opposite case, α/2 + β > 1, the relative motion is strongly correlated. The case of Kolmogorov flows corresponds to a marginal, nongeneric situation. In this case, depending on the particular parameters of the flow, the dispersion behavior can be rather diffusive or rather ballistic. Received 13 March 2001     

Stochastic multiresonance in a bistable sawtooth potential driven by correlated multiplicative and additive noise

We present an analytic investigation of the signal-to-noise ratio (SNR) by studying the bistable sawtooth system driven by correlated Gaussian white noises. The analytic expression of SNR is obtained. Based on it, we detect the phenomenon of stochastic multiresonance, which arises from the dependence of SNR upon the noises correlation coefficient. Furthermore, there exists not only resonance, but also suppression in the SNR∼D (the additive noise intensity) curve and the SNR∼Q (the multiplicative noise intensity) curve. Received 26 February 2002 / Received in final form 12 July 2002 Published online 17 September 2002     

Measuring a colloidal particle's interaction with a flat surface under nonequilibrium conditions

A new and general approach is proposed to analyze the dynamics of a colloidal particle interacting with a nearby wall. This analysis can be used to determine the acting forces even when the system is non-stationary. As an illustration, we use total internal reflection microscopy to investigate the forces acting on a polystyrene sulfate latex particle as it is receding from a charged glass surface. Received 10 October 2002 Published online: 16 April 2003 RID="a" ID="a"Present address: Department of Polymer Physics, BASF Aktiengesellschaft, 67056 Ludwigshafen, Germany RID="b" ID="b"Present address: Arryx. Inc., Chicago, IL 60601, USA     

Parity and ruin in a stochastic game

We study an elementary two-player card game where in each round players compare cards and the holder of the card with the smaller value wins. Using the rate equations approach, we treat the stochastic version of the game in which cards are drawn randomly. We obtain an exact solution for arbitrary initial conditions. In general, the game approaches a steady state where the card value densities of the two players are proportional to each other. The leading small value behavior of the initial densities determines the corresponding proportionality constant, while the next correction governs the asymptotic time dependence. The relaxation toward the steady state exhibits a rich behavior, e.g., it may be algebraically slow or exponentially fast. Moreover, in ruin situations where one player eventually wins all cards, the game may even end in a finite time. Received 24 August 2001 and Received in final form 12 November 2001     

Interacting gaps model,dynamics of order book,and stock-market fluctuations

Inspired by order-book models of financial fluctuations, we investigate the Interacting gaps model, which is the schematic one-dimensional system mimicking the order-book dynamics. We find by simulations the power-law tail in return distribution, power-law decay of volatility autocorrelation with exponent 0.5 and Hurst exponent close to 1/2. Surprisingly, when we make a mean-field approximation, i.e. replace the one-dimensional system by effectively infinite-dimensional one, we obtain analytically the return exponent 5/2, in perfect accord with one-dimensional simulations.     

Exactly solvable models through the generalized empty interval method,for multi-species interactions

Multi-species reaction-diffusion systems, with nearest-neighbor interaction on a one-dimensional lattice are considered. Necessary and sufficient constraints on the interaction rates are obtained, that guarantee the closedness of the time evolution equation for E _n(t)'s, the expectation value of the product of certain linear combination of the number operators on n consecutive sites at time t. The constraints are solved for the single-species left-right-symmetric systems. Also, examples of multi-species system for which the evolution equations of E _n(t)'s are closed, are given. Received 25 September 2002 / Received in final form 3 December 2002 Published online 14 February 2003 RID="a" ID="a"e-mail: mamwad@iasbs.ac.ir     

Multifractality of some random and disordered systems as a thermodynamics in fractal phase space

It is shown that multifractal properties of some random and disordered systems can be simulated using thermodynamics of a generalized ideal monoatomic gas in a fractal phase space. Received 25 November 1998 and Received in final form 16 December 1998     

Power injected in dissipative systems and the fluctuation theorem

We consider three examples of dissipative dynamical systems involving many degrees of freedom, driven far from equilibrium by a constant or time dependent forcing. We study the statistical properties of the injected and dissipated power as well as the fluctuations of the total energy of these systems. The three systems under consideration are: a shell model of turbulence, a gas of hard spheres colliding inelastically and excited by a vibrating piston, and a Burridge-Knopoff spring-block model. Although they involve different types of forcing and dissipation, we show that the statistics of the injected power obey the “fluctuation theorem" demonstrated in the case of time reversible dissipative systems maintained at constant total energy, or in the case of some stochastic processes. Although this may be only a consequence of the theory of large deviations, this allows a possible definition of “temperature" for a dissipative system out of equilibrium. We consider how this “temperature" scales with the energy and the number of degrees of freedom in the different systems under consideration. Received 26 June 2000 and Received in final form 24 October 2000     

Stochastic resonance on paced genetic regulatory small-world networks: effects of asymmetric potentials

We study the phenomenon of stochastic resonance on small-world networks consisting of bistable genetic regulatory units, whereby the external subthreshold periodic forcing is introduced as a pacemaker trying to impose its rhythm on the whole network through the single unit to which it is introduced. Without the addition of additive spatiotemporal noise, however, the whole network remains forever trapped in one of the two stable steady states of the local dynamics. We show that the correlation between the frequency of subthreshold pacemaker activity and the response of the network is resonantly dependent on the intensity of additive noise. The reported pacemaker driven stochastic resonance depends significantly on the asymmetry of the two potential wells characterizing the bistable dynamics, which can be tuned via a single system parameter. In particular, we show that the ratio between the clustering coefficient and the characteristic path length is a suitable quantity defining the ability of a small-world network to facilitate the outreach of the pacemaker-emitted subthreshold rhythm, but only if the asymmetry between the potentials is practically negligible. In case of substantially asymmetric potentials the impact of the small-world topology is less profound and cannot warrant an enhancement of stochastic resonance by units that are located far from the pacemaker.     

Crowd-anticrowd theory of multi-agent market games

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple, explanation for the variation of the standard deviation (`volatility') in MG-like games. We demonstrate this for the basic MG, and the MG with stochastic strategies. The time-dependent equations themselves reproduce the essential dynamics of the MG. Received 28 August 2000 and Received in final form 23 September 2000     

Growth and addition in a herding model

A model of herding is introduced which is exceptionally simple, incorporating only two phenomena, growth and addition. At each time step either (i) with probability p the system grows through the introduction of a new agent or (ii) with probability q = 1 - p a free agent already in the system is added at random to a group of size k with rate A_k. Two versions of the model, A _k = k and A _k = 1, are solved and in both versions we find two different types of behaviour. When p > 1/2 all the moments of the distribution of group sizes are linear in time for large time and the group distribution is power-law. When p < 1/2 the system runs out of free agents in a finite time. Received 12 February 2002 Published online 9 July 2002     

Quantum-mechanical tunneling in associative neural networks

We investigate the quantum-mechanical tunneling between the “patterns" of the, so-called, associative neural networks. Being the relatively stable minima of the “configuration-energy" space of the networks, the “patterns" represent the macroscopically distinguishable states of the neural nets. Therefore, the tunneling represents a macroscopic quantum effect, but with some special characteristics. Particularly, we investigate the tunneling between the minima of approximately equal depth, thus requiring no energy exchange. If there are at least a few such minima, the tunneling represents a sort of the “random walk" process, which implies the quantum fluctuations in the system, and therefore “malfunctioning" in the information processing of the nets. Due to the finite number of the minima, the “random walk" reduces to a dynamics modeled by the, so-called, Pauli master equation. With some plausible assumptions, the set(s) of the Pauli master equations can be analytically solved. This way comes the main result of this paper: the quantum fluctuations due to the quantum-mechanical tunneling can be “minimized" if the “pattern"-formation is such that there are mutually “distant" groups of the “patterns", thus providing the “zone" structure of the “pattern" formation. This qualitative result can be considered as a basis of the efficient deterministic functioning of the associative neural nets. Received 15 July 1999     

Generalized thermostatistics based on the Sharma-Mittal entropy and escort mean values

A generalized thermostatistics is developed for an entropy measure introduced by Sharma and Mittal. A maximum-entropy scheme involving the maximization of the Sharma and Mittal entropy under appropriate constraints expressed as escort mean values is advanced. Maximum-entropy distributions exhibiting a power law behavior in the asymptotic limit are obtained. Thus, results previously derived for the Renyi entropy and the Tsallis entropy are generalized. In addition, it is shown that for almost deterministic systems among all possible composable entropies with kernels that are described by power laws the Sharma-Mittal entropy is the only entropy measure that gives rise to a thermostatistics based on escort mean values and admitting of a partition function. Received 27 June 2002 Published online 31 December 2002     

Model-dependent nature of blowtorch effect on the escape and equilibration rates

We analyze the relaxation behavior of a bistable system when the background temperature profile is inhomogeneous due to the presence of a localized hot region (blowtorch) on one side of the potential barrier. Since the diffusion equation for inhomogeneous medium is model-dependent, we consider two physical models to study the kinetics of such system. Using a conventional stochastic method, we obtain the escape and equilibration rates of the system for the two physical models. For both models, we find that the hot region enhances the escape rate from the well where it is placed while it retards the escape rate from the other well. However, the value of the escape rate from the well where the hot region is placed differs for the two models while that of the escape rate from the other well is identical for both. This work, for the first time, gives a detailed report of the similarities and differences of the escape rates and, hence, exposes the common and distinct features of the two known physical models in determining the way the bistable system relaxes. Received 25 September 2001     

Second-order moving average and scaling of stochastic time series

Long-range correlation properties of stochastic time series y(i) have been investigated by introducing the function σ² _MA = [y(i) - (i)]², where (i) is the moving average of y(i), defined as 1/n y(i - k), n the moving average window and N_max is the dimension of the stochastic series. It is shown that, using an appropriate computational procedure, the function σ _MA varies as n^H where H is the Hurst exponent of the series. A comparison of the power-law exponents obtained using respectively the function σ _MA and the Detrended Fluctuation Analysis has been also carried out. Interesting features denoting the existence of a relationship between the scaling properties of the noisy process and the moving average filtering technique have been evidenced. Received 31 December 2001