Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models

The dynamics of complex systems, from financial markets to the brain, can be monitored in terms of multiple time series of activity of the constituent units, such as stocks or neurons respectively. While the main focus of time series analysis is on the magnitude of temporal increments, a significant piece of information is encoded into the binary projection (i.e. the sign) of such increments. In this paper we provide further evidence of this by showing strong nonlinear relations between binary and non-binary properties of financial time series. These relations are a novel quantification of the fact that extreme price increments occur more often when most stocks move in the same direction. We then introduce an information-theoretic approach to the analysis of the binary signature of single and multiple time series. Through the definition of maximum-entropy ensembles of binary matrices and their mapping to spin models in statistical physics, we quantify the information encoded into the simplest binary properties of real time series and identify the most informative property given a set of measurements. Our formalism is able to accurately replicate, and mathematically characterize, the observed binary/non-binary relations. We also obtain a phase diagram allowing us to identify, based only on the instantaneous aggregate return of a set of multiple time series, a regime where the so-called `market mode' has an optimal interpretation in terms of collective (endogenous) effects, a regime where it is parsimoniously explained by pure noise, and a regime where it can be regarded as a combination of endogenous and exogenous factors. Our approach allows us to connect spin models, simple stochastic processes, and ensembles of time series inferred from partial information

The Complexity of Synthesizing Uniform Strategies

We investigate uniformity properties of strategies. These properties involve sets of plays in order to express useful constraints on strategies that are not \mu-calculus definable. Typically, we can state that a strategy is observation-based. We propose a formal language to specify uniformity properties, interpreted over two-player turn-based arenas equipped with a binary relation between plays. This way, we capture e.g. games with winning conditions expressible in epistemic temporal logic, whose underlying equivalence relation between plays reflects the observational capabilities of agents (for example, synchronous perfect recall). Our framework naturally generalizes many other situations from the literature. We establish that the problem of synthesizing strategies under uniformity constraints based on regular binary relations between plays is non-elementary complete.Comment: In Proceedings SR 2013, arXiv:1303.007

Algebraic Properties of Qualitative Spatio-Temporal Calculi

Qualitative spatial and temporal reasoning is based on so-called qualitative calculi. Algebraic properties of these calculi have several implications on reasoning algorithms. But what exactly is a qualitative calculus? And to which extent do the qualitative calculi proposed meet these demands? The literature provides various answers to the first question but only few facts about the second. In this paper we identify the minimal requirements to binary spatio-temporal calculi and we discuss the relevance of the according axioms for representation and reasoning. We also analyze existing qualitative calculi and provide a classification involving different notions of a relation algebra.Comment: COSIT 2013 paper including supplementary materia

Algebraic foundations for qualitative calculi and networks

A qualitative representation $\phi$ is like an ordinary representation of a relation algebra, but instead of requiring $(a; b)^\phi = a^\phi | b^\phi$, as we do for ordinary representations, we only require that $c^\phi\supseteq a^\phi | b^\phi \iff c\geq a ; b$, for each $c$ in the algebra. A constraint network is qualitatively satisfiable if its nodes can be mapped to elements of a qualitative representation, preserving the constraints. If a constraint network is satisfiable then it is clearly qualitatively satisfiable, but the converse can fail. However, for a wide range of relation algebras including the point algebra, the Allen Interval Algebra, RCC8 and many others, a network is satisfiable if and only if it is qualitatively satisfiable. Unlike ordinary composition, the weak composition arising from qualitative representations need not be associative, so we can generalise by considering network satisfaction problems over non-associative algebras. We prove that computationally, qualitative representations have many advantages over ordinary representations: whereas many finite relation algebras have only infinite representations, every finite qualitatively representable algebra has a finite qualitative representation; the representability problem for (the atom structures of) finite non-associative algebras is NP-complete; the network satisfaction problem over a finite qualitatively representable algebra is always in NP; the validity of equations over qualitative representations is co-NP-complete. On the other hand we prove that there is no finite axiomatisation of the class of qualitatively representable algebras.Comment: 22 page