Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolut ion. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.Comment: LaTeX 2e (elsart), 17 pages, 3 EPS figures and 2 tables, accepted for publication in Physica

Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.Comment: 21 pages, 7 figure

Low-dimensional attractor for neural activity from local field potentials in optogenetic mice

We used optogenetic mice to investigate possible nonlinear responses of the medial prefrontal cortex (mPFC) local network to light stimuli delivered by a 473 nm laser through a fiber optics. Every 2 s, a brief 10 ms light pulse was applied and the local field potentials (LFPs) were recorded with a 10 kHz sampling rate. The experiment was repeated 100 times and we only retained and analyzed data from six animals that showed stable and repeatable response to optical stimulations. The presence of nonlinearity in our data was checked using the null hypothesis that the data were linearly correlated in the temporal domain, but were random otherwise. For each trail, 100 surrogate data sets were generated and both time reversal asymmetry and false nearest neighbor (FNN) were used as discriminating statistics for the null hypothesis. We found that nonlinearity is present in all LFP data. The first 0.5 s of each 2 s LFP recording were dominated by the transient response of the networks. For each trial, we used the last 1.5 s of steady activity to measure the phase resetting induced by the brief 10 ms light stimulus. After correcting the LFPs for the effect of phase resetting, additional preprocessing was carried out using dendrograms to identify ``similar'' groups among LFP trials. We found that the steady dynamics of mPFC in response to light stimuli could be reconstructed in a three-dimensional phase space with topologically similar ``8''-shaped attractors across different animals. Our results also open the possibility of designing a low-dimensional model for optical stimulation of the mPFC local network

EEG-Based Quantification of Cortical Current Density and Dynamic Causal Connectivity Generalized across Subjects Performing BCI-Monitored Cognitive Tasks.

Quantification of dynamic causal interactions among brain regions constitutes an important component of conducting research and developing applications in experimental and translational neuroscience. Furthermore, cortical networks with dynamic causal connectivity in brain-computer interface (BCI) applications offer a more comprehensive view of brain states implicated in behavior than do individual brain regions. However, models of cortical network dynamics are difficult to generalize across subjects because current electroencephalography (EEG) signal analysis techniques are limited in their ability to reliably localize sources across subjects. We propose an algorithmic and computational framework for identifying cortical networks across subjects in which dynamic causal connectivity is modeled among user-selected cortical regions of interest (ROIs). We demonstrate the strength of the proposed framework using a "reach/saccade to spatial target" cognitive task performed by 10 right-handed individuals. Modeling of causal cortical interactions was accomplished through measurement of cortical activity using (EEG), application of independent component clustering to identify cortical ROIs as network nodes, estimation of cortical current density using cortically constrained low resolution electromagnetic brain tomography (cLORETA), multivariate autoregressive (MVAR) modeling of representative cortical activity signals from each ROI, and quantification of the dynamic causal interaction among the identified ROIs using the Short-time direct Directed Transfer function (SdDTF). The resulting cortical network and the computed causal dynamics among its nodes exhibited physiologically plausible behavior, consistent with past results reported in the literature. This physiological plausibility of the results strengthens the framework's applicability in reliably capturing complex brain functionality, which is required by applications, such as diagnostics and BCI

Local Analysis of Dissipative Dynamical Systems

Linear transformation techniques such as singular value decomposition (SVD) have been used widely to gain insight into the qualitative dynamics of data generated by dynamical systems. There have been several reports in the past that had pointed out the susceptibility of linear transformation approaches in the presence of nonlinear correlations. In this tutorial review, local dispersion along with the surrogate testing is proposed to discriminate nonlinear correlations arising in deterministic and non-deterministic settings.Comment: 85 Pages, 13 Figure

Uncertainty Quantification and Reduction in Cardiac Electrophysiological Imaging

Cardiac electrophysiological (EP) imaging involves solving an inverse problem that infers cardiac electrical activity from body-surface electrocardiography data on a physical domain defined by the body torso. To avoid unreasonable solutions that may fit the data, this inference is often guided by data-independent prior assumptions about different properties of cardiac electrical sources as well as the physical domain. However, these prior assumptions may involve errors and uncertainties that could affect the inference accuracy. For example, common prior assumptions on the source properties, such as fixed spatial and/or temporal smoothness or sparseness assumptions, may not necessarily match the true source property at different conditions, leading to uncertainties in the inference. Furthermore, prior assumptions on the physical domain, such as the anatomy and tissue conductivity of different organs in the thorax model, represent an approximation of the physical domain, introducing errors to the inference. To determine the robustness of the EP imaging systems for future clinical practice, it is important to identify these errors/uncertainties and assess their impact on the solution. This dissertation focuses on the quantification and reduction of the impact of uncertainties caused by prior assumptions/models on cardiac source properties as well as anatomical modeling uncertainties on the EP imaging solution. To assess the effect of fixed prior assumptions/models about cardiac source properties on the solution of EP imaging, we propose a novel yet simple Lp-norm regularization method for volumetric cardiac EP imaging. This study reports the necessity of an adaptive prior model (rather than fixed model) for constraining the complex spatiotemporally changing properties of the cardiac sources. We then propose a multiple-model Bayesian approach to cardiac EP imaging that employs a continuous combination of prior models, each re-effecting a specific spatial property for volumetric sources. The 3D source estimation is then obtained as a weighted combination of solutions across all models. Including a continuous combination of prior models, our proposed method reduces the chance of mismatch between prior models and true source properties, which in turn enhances the robustness of the EP imaging solution. To quantify the impact of anatomical modeling uncertainties on the EP imaging solution, we propose a systematic statistical framework. Founded based on statistical shape modeling and unscented transform, our method quantifies anatomical modeling uncertainties and establish their relation to the EP imaging solution. Applied on anatomical models generated from different image resolutions and different segmentations, it reports the robustness of EP imaging solution to these anatomical shape-detail variations. We then propose a simplified anatomical model for the heart that only incorporates certain subject-specific anatomical parameters, while discarding local shape details. Exploiting less resources and processing for successful EP imaging, this simplified model provides a simple clinically-compatible anatomical modeling experience for EP imaging systems. Different components of our proposed methods are validated through a comprehensive set of synthetic and real-data experiments, including various typical pathological conditions and/or diagnostic procedures, such as myocardial infarction and pacing. Overall, the methods presented in this dissertation for the quantification and reduction of uncertainties in cardiac EP imaging enhance the robustness of EP imaging, helping to close the gap between EP imaging in research and its clinical application