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81.
Using the recent work of Hartelman, van der Maas, and Wagenmakers, we
demonstrate the use of invariant stochastic catastrophe models in finance
for modeling net flows (the difference between purchases and redemptions of
fund shares) of U.S. mutual funds. We validate Goetzmann et al. and others' work
concerning the importance of sentiment variables on stock fund flows. We
also answer some of the questions Goetzmann et al. and Brown et al. pose at the end of
their respective papers. We end with possible experiments for experimental
economists and sociophysicists. 相似文献
82.
M. N. Kuperman S. Risau-Gusman 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,62(2):233-238
In this work we present an analysis of a spatially non homogeneous
ultimatum game. By considering different underlying topologies as
substrates on top of which the game takes place we obtain
nontrivial behaviors for the evolution of the strategies of the
players. We analyze separately the effect of the size of the
neighborhood and the spatial structure. Whereas this last effect
is the most significant one, we show that even for disordered
networks and provided the neighborhood of each site is small, the
results can be significantly different from those obtained in the
case of fully connected networks. 相似文献
83.
M. Marsili 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):169-173
I discuss the role of toy models as theoretical tools for
understanding complex systems of interacting agents. I review
some concrete examples, in order to illustrate how this approach is
able to capture, though in an admittedly stylized way, the
interactions and non-linearities which are responsible for the rich
phenomenology observed in reality. This allows one to interpret the
system's behavior in terms of phase transitions and critical
phenomena. 相似文献
84.
K. Yamada H. Takayasu M. Takayasu 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,63(4):529-532
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer
model. We find that dealers’ feedback of linear prediction of market price based on the latest mean price changes plays the
central role in the market’s potential force. When markets are dominated by dealers with positive feedback the resulting potential
force is repulsive, while the effect of negative feedback enhances the attractive potential force. 相似文献
85.
G. Yaari A. Nowak K. Rakocy S. Solomon 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,62(4):505-513
Anderson [Science 177, 293 (1972)] proposed the concept of complexity in order to describe the emergence and growth of macroscopic collective patterns
out of the simple interactions of many microscopic agents. In the physical sciences this paradigm was implemented systematically
and confirmed repeatedly by successful confrontation with reality. In the social sciences however, the possibilities to stage
experiments to validate it are limited. During the 90's a series of dramatic political and economic events have provided the
opportunity to do so. We exploit the resulting empirical evidence to validate a simple agent based alternative to the classical
logistic dynamics. The post-liberalization empirical data from Poland confirm the theoretical prediction that the dynamics
is dominated by singular rare events which insure the resilience and adaptability of the system. We have shown that growth
is led by few singular “growth centers" (Fig. 1), that initially developed at a tremendous rate (Fig. 3), followed by a diffusion
process to the rest of the country and leading to a positive growth rate uniform across the counties. In addition to the interdisciplinary
unifying potential of our generic formal approach, the present work reveals the strong causal ties between the “softer" social
conditions and their “hard" economic consequences. 相似文献
86.
A. Z. Górski S. Drożdż J. Kwapień 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,66(1):91-96
A large collection of daily time series for 60 world currencies'
exchange rates
is considered. The correlation matrices are calculated and the corresponding
Minimal
Spanning Tree (MST) graphs are constructed for each of those currencies used
as reference
for the remaining ones. It is shown that multiplicity of the MST graphs'
nodes to a good
approximation develops a power like, scale free distribution with the scaling
exponent
similar as for several other complex systems studied so far. Furthermore,
quantitative
arguments in favor of the hierarchical organization of the world currency
exchange
network are provided by relating the structure of the above MST graphs and
their scaling
exponents to those that are derived from an exactly solvable hierarchical
network model.
A special status of the USD during the period considered can be attributed to
some
departures of the MST features, when this currency (or some other tied to it)
is used as
reference, from characteristics typical to such a hierarchical clustering of
nodes
towards those that correspond to the random graphs. Even though in general
the basic
structure of the MST is robust with respect to changing the reference
currency some trace
of a systematic transition from somewhat dispersed – like the USD case –
towards more
compact MST topology can be observed when correlations increase. 相似文献
87.
N. J. Moura M. B. Ribeiro 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,67(1):101-120
This work presents an empirical study of the evolution of the personal income distribution in Brazil. Yearly samples available
from 1978 to 2005 were studied and evidence was found that the complementary cumulative distribution of personal income for
99% of the economically less favorable population is well represented by a Gompertz curve of the form G(x) = exp [exp (A-Bx)],
where x is the normalized individual income. The complementary cumulative distribution of the remaining 1% richest part of
the population is well represented by a Pareto power law distribution P(x) = βx-α. This result means that similarly to other countries, Brazil’s income distribution is characterized by a well defined two
class system. The parameters A, B, α, β were determined by a mixture of boundary conditions, normalization and fitting methods
for every year in the time span of this study. Since the Gompertz curve is characteristic of growth models, its presence here
suggests that these patterns in income distribution could be a consequence of the growth dynamics of the underlying economic
system. In addition, we found out that the percentage share of both the Gompertzian and Paretian components relative to the
total income shows an approximate cycling pattern with periods of about 4 years and whose maximum and minimum peaks in each
component alternate at about every 2 years. This finding suggests that the growth dynamics of Brazil’s economic system might
possibly follow a Goodwin-type class model dynamics based on the application of the Lotka-Volterra equation to economic growth
and cycle. 相似文献
88.
89.
L. Zunino B. M. Tabak D. G. Pérez M. Garavaglia O. A. Rosso 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,60(1):111-121
We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different
approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying
the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic
index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of
inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained
for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we
show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability
distributions. 相似文献
90.
E. Scalas U. Garibaldi S. Donadio 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,53(2):267-272
Simple stochastic exchange games are based on random allocation of finite
resources. These games are Markov chains that can be studied
either analytically or by Monte Carlo simulations.
In particular, the equilibrium distribution can be derived either by
direct diagonalization of the transition matrix, or using the detailed
balance equation, or by Monte Carlo estimates. In this paper, these
methods are introduced and applied to the Bennati-Dragulescu-Yakovenko (BDY) game.
The exact analysis shows that the statistical-mechanical analogies
used in the previous literature have to be revised.
An erratum to this article is available at . 相似文献