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Complexity Digest wrote a new blog post titled The physics of governance networks: critical transitions in contagion dynamics on multilayer adaptive networks with application to the sustainable use of renewable resources
Adaptive networks are a versatile approach to model phenomena such as contagion and spreading dynamics, critical transitions and structure formation that emerge from the dynamic coevolution of complex network structure and node states. Here, we study critical transitions in contagion dynamics on multilayer adaptive networks with dynamic node states and present an application to the governance of sustainable resource use. We focus on a three layer adaptive network model, where a polycentric governance network interacts with a social network of resource users which in turn interacts with an...
4 hours ago
Complexity Digest wrote a new blog post titled What happened to cognitive science?
More than a half-century ago, the ‘cognitive revolution’, with the influential tenet ‘cognition is computation’, launched the investigation of the mind through a multidisciplinary endeavour called cognitive science. Despite significant diversity of views regarding its definition and intended scope, this new science, explicitly named in the singular, was meant to have a cohesive subject matter, complementary methods and integrated theories. Multiple signs, however, suggest that over time the prospect of an integrated cohesive science has not materialized. Here we investigate the status of the...
4 hours ago
Complexity Digest wrote a new blog post titled Turing patterns mediated by network topology in homogeneous active systems
Mechanisms of pattern formation—of which the Turing instability is an archetype—constitute an important class of dynamical processes occurring in biological, ecological, and chemical systems. Recently, it has been shown that the Turing instability can induce pattern formation in discrete media such as complex networks, opening up the intriguing possibility of exploring it as a generative mechanism in a plethora of socioeconomic contexts. Yet much remains to be understood in terms of the precise connection between network topology and its role in inducing the patterns. Here we present a...
8 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (arXiv:1812.08548v2 [q-fin.ST] UPDATED)
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S$\&$P500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of the cases the tails of return distributions of the considered financial instruments follow the inverse cubic power law. The only exception is the Russian ruble for which the distribution tail is heavier and scales with the exponent close to 2. From the perspective of...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Small-time and large-time smile behaviour for the Rough Heston model. (arXiv:1906.09034v1 [q-fin.PR])
We characterize the asymptotic small-time and large-time implied volatility smile for the rough Heston model introduced by El Euch, Jaisson and Rosenbaum. We show that the asymptotic short-maturity smile scales in qualitatively the same way as a general rough stochastic volatility model, and is characterized by the Fenchel-Legendre transform of the solution a Volterra integral equation (VIE). The solution of this VIE satisfies a space-time scaling property which simplifies its computation. We corroborate our results numerically with Monte Carlo simulations. We also compute a power series in...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability. (arXiv:1906.09024v1 [q-fin.ST])
Traditional sentiment construction in finance relies heavily on the dictionary-based approach, with a few exceptions using simple machine learning techniques such as Naive Bayes classifier. While the current literature has not yet invoked the rapid advancement in the natural language processing, we construct in this research a textual-based sentiment index using a novel model BERT recently developed by Google, especially for three actively trading individual stocks in Hong Kong market with hot discussion on Weibo.com. On the one hand, we demonstrate a significant enhancement of applying BERT...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A bibliometric analysis of Bitcoin scientific production. (arXiv:1906.08933v1 [cs.DL])
Blockchain technology, and more specifically Bitcoin (one of its foremost applications), have been receiving increasing attention in the scientific community. The first publications with Bitcoin as a topic, can be traced back to 2012. In spite of this short time span, the production magnitude (1162 papers) makes it necessary to make a bibliometric study in order to observe research clusters, emerging topics, and leading scholars. Our paper is aimed at studying the scientific production only around bitcoin, excluding other blockchain applications. Thus, we restricted our search to papers...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Macroscopic theorem of the portfolio optimization problem with a risk-free asset. (arXiv:1906.08892v1 [q-fin.PM])
The investment risk minimization problem with budget and return constraints has been the subject of research using replica analysis but there are shortcomings in the extant literature. With respect to Tobin's separation theorem and the capital asset pricing model, it is necessary to investigate the implications of a risk-free asset and examine its influence on the optimal portfolio. Accordingly, in this work, we explore the investment risk minimization problem in the presence of a risk-free asset with budget and return constraints. Moreover, we discuss opportunity loss, the...
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled CostMAP: An open-source software package for developing cost surfaces. (arXiv:1906.08872v1 [physics.soc-ph])
Cost Surfaces are a quantitative means of assigning social, environmental, and engineering costs that impact movement across landscapes. Cost surfaces are a crucial aspect of route optimization and least cost path (LCP) calculations and are used in a wide range of disciplines including computer science, landscape ecology, and energy infrastructure modeling. Linear features present a key weakness to traditional routing calculations along costs surfaces because they cannot identify whether moving from a cell to its adjacent neighbors constitutes crossing a linear barrier (increased cost) or...
12 hours ago
All About Alpha wrote a new blog post titled What Do Owners Think of Smart Beta Strategies?
FTSE Russell has posted its sixth annual survey of global asset owners’ views of smart beta. Smart beta is a strategy that uses indexes, but that is not traditionally cap-weighted, that is, one where the construction of the index itself incorporates the investment strategy, capturing investment factors or market inefficiencies.Read More
12 hours ago
Complexity Digest wrote a new blog post titled Average Fitness Differences on NK Landscapes
The average fitness difference between adjacent sites in a fitness landscape is an important descriptor that impacts in particular the dynamics of selection/mutation processes on the landscape. Of particular interest is its connection to the error threshold phenomenon. We show here that this parameter is intimately tied to the ruggedness through the landscape’s amplitude spectrum. For the NK model, a surprisingly simple analytical estimate explains simulation data with high precision.   Average Fitness Differences on NK LandscapesWim Hordijk, Stuart A. Kauffman, Peter F. Stadler Theory in...
12 hours ago
The Reformed Broker wrote a new blog post titled Will it hold?
... The post Will it hold? appeared first on The Reformed Broker.
24 hours ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it: ... The post This Week on TRB appeared first on The Reformed Broker.
2 days ago
Econometrics Beat wrote a new blog post titled Consulting Can be Fun!
Over the years, I've done a modest amount of paid econometrics consulting work - in the U.S., New Zealand, Australia, the U.K., and here in Canada. Each job has been interesting, and rewarding, and I've always learned a great deal form the briefs that I've undertaken. The other day, a friend asked me, "Which consulting job was the most fun?" Actually, the answer was easy! A few years ago I consulted for the Office of the Auditor General of Canada, in Ottawa. I was brought in because I had...
3 days ago
The Reformed Broker wrote a new blog post titled Yes, of course Trump could fire the Fed Chairman
I'm not about to make a legal argument. Instead, like a five year old, I'm just going to point out what's blatantly obvious... The post Yes, of course Trump could fire the Fed Chairman appeared first on The Reformed Broker.
3 days ago