Bifurcation Routes to Volatility Clustering under Evolutionary Learning

A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously in this model. Two mechanisms are proposed as an explanation. The first is coexistence of a stable steady state and a stable limit cycle, which arise as a consequence of a so-called Chenciner bifurcation of the system. The second is intermittency and associated bifurcation routes to strange attractors. Both phenomena are persistent and occur generically. Simple economic intuition why these phenomena arise in nonlinear multi-agent evolutionary systems is provided.

Mining Dynamic Document Spaces with Massively Parallel Embedded Processors

Currently Océ investigates future document management services. One of these services is accessing dynamic document spaces, i.e. improving the access to document spaces which are frequently updated (like newsgroups). This process is rather computational intensive. This paper describes the research conducted on software development for massively parallel processors. A prototype has been built which processes streams of information from specified newsgroups and transforms them into personal information maps. Although this technology does speed up the training part compared to a general purpose processor implementation, however, its real benefits emerges with larger problem dimensions because of the scalable approach. It is recommended to improve on quality of the map as well as on visualisation and to better profile the performance of the other parts of the pipeline, i.e. feature extraction and visualisation

Dyson-Schwinger equations in the theory of computation

Following Manin's approach to renormalization in the theory of computation, we investigate Dyson-Schwinger equations on Hopf algebras, operads and properads of flow charts, as a way of encoding self-similarity structures in the theory of algorithms computing primitive and partial recursive functions and in the halting problem.Comment: 26 pages, LaTeX, final version, in "Feynman Amplitudes, Periods and Motives", Contemporary Mathematics, AMS 201

An Agent-Based Simulation API for Speculative PDES Runtime Environments

Agent-Based Modeling and Simulation (ABMS) is an effective paradigm to model systems exhibiting complex interactions, also with the goal of studying the emergent behavior of these systems. While ABMS has been effectively used in many disciplines, many successful models are still run only sequentially. Relying on simple and easy-to-use languages such as NetLogo limits the possibility to benefit from more effective runtime paradigms, such as speculative Parallel Discrete Event Simulation (PDES). In this paper, we discuss a semantically-rich API allowing to implement Agent-Based Models in a simple and effective way. We also describe the critical points which should be taken into account to implement this API in a speculative PDES environment, to scale up simulations on distributed massively-parallel clusters. We present an experimental assessment showing how our proposal allows to implement complicated interactions with a reduced complexity, while delivering a non-negligible performance increase

Overcoming the Newtonian Paradigm: The Unfinished Project of Theoretical Biology from a Schellingian Perspective

Defending Robert Rosen’s claim that in every confrontation between physics and biology it is physics that has always had to give ground, it is shown that many of the most important advances in mathematics and physics over the last two centuries have followed from Schelling’s demand for a new physics that could make the emergence of life intelligible. Consequently, while reductionism prevails in biology, many biophysicists are resolutely anti-reductionist. This history is used to identify and defend a fragmented but progressive tradition of anti-reductionist biomathematics. It is shown that the mathematicoephysico echemical morphology research program, the biosemiotics movement, and the relational biology of Rosen, although they have developed independently of each other, are built on and advance this antireductionist tradition of thought. It is suggested that understanding this history and its relationship to the broader history of post-Newtonian science could provide guidance for and justify both the integration of these strands and radically new work in post-reductionist biomathematics