How to measure financial market efficiency? A quantitative evaluation of higher order dependencies : the case of the European carbon market

Publisher PD

The Hidden Fragility of Complex Systems -- Consequences of Change, Changing Consequences

Short-term survival and an exuberant plunge into building our future are generating a new kind of unintended consequence -- hidden fragility. This is a direct effect of the sophistication and structural complexity of the socio-technical systems humans create. It is inevitable. And so the challenge is, How much can we understand and predict about these systems and about the social dynamics that lead to their construction

The emergence of specialization in heterogeneous artificial agent populations

In this dissertation, I present the Weight-Allocated Social Pressure System (WASPS). WASPS is a computational framework that when applied, can allow for the increase in agent specialization within a multi-agent population. Research has shown that specialization can lead to an overall increase in the productivity levels within a population [55]. WASPS aims to provide a mix of features from existing frameworks such as the genetic threshold and social inhibition models. It also subsumes these models, and allows hybrids of them to be created. It provides individual level behaviour as found in the genetic threshold model. As in some variations of the genetic threshold model [49], WASPS also allows for individual level learning. As found in the social inhibition models, WASPS allows for social influence, or population level learning. Unlike some models, WASPS allows agents to self-organize based on available tasks. In addition, it makes allowances for agents to allocate a resource among multiple tasks during a work period, wherein most models allow the selection of only one task. WASPS allows the assumption that agents are heterogeneous in their task performance aptitudes. It thus aims to create skill-based agent specialization within the population. This will allow more skilled agents to allocate more resources to tasks for which they have comparative advantages over their competition. Because WASPS is self-organizing, it can handle the addition and removal of agents from social networks, as well as changes in the connections between agents. WASPS does not limit the definition of many or its parameters, which allows it to deal with changing definitions for those parameters. For example, WASPS can easily adjust to deal with changing definitions of agent skill and influence. In fact, the individual level learning can be implemented in such a way that an agent can self-optimize even when it has no competitors to influence it

Correlations, Risk and Crisis: From Physiology to Finance

We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volatility) increases too. This effect is supported by many experiments and observations of groups of humans, mice, trees, grassy plants, and on financial time series. A general approach to the explanation of the effect through dynamics of individual adaptation of similar non-interactive individuals to a similar system of external factors is developed. Qualitatively, this approach follows Selye's idea about adaptation energy.Comment: 42 pages, 15 figures, misprints corrections, a proof is added, improved journal versio

High-Performance Modelling and Simulation for Big Data Applications

This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications

Backwards is the way forward: feedback in the cortical hierarchy predicts the expected future

Clark offers a powerful description of the brain as a prediction machine, which offers progress on two distinct levels. First, on an abstract conceptual level, it provides a unifying framework for perception, action, and cognition (including subdivisions such as attention, expectation, and imagination). Second, hierarchical prediction offers progress on a concrete descriptive level for testing and constraining conceptual elements and mechanisms of predictive coding models (estimation of predictions, prediction errors, and internal models)

High-Performance Modelling and Simulation for Big Data Applications

This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications

Applied Metaheuristic Computing

For decades, Applied Metaheuristic Computing (AMC) has been a prevailing optimization technique for tackling perplexing engineering and business problems, such as scheduling, routing, ordering, bin packing, assignment, facility layout planning, among others. This is partly because the classic exact methods are constrained with prior assumptions, and partly due to the heuristics being problem-dependent and lacking generalization. AMC, on the contrary, guides the course of low-level heuristics to search beyond the local optimality, which impairs the capability of traditional computation methods. This topic series has collected quality papers proposing cutting-edge methodology and innovative applications which drive the advances of AMC