A statistical analysis of product prices in online markets

We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.Comment: 5 pages, 5 figures, 1 table, proceedings of APFA

Node-weighted measures for complex networks with spatially embedded, sampled, or differently sized nodes

When network and graph theory are used in the study of complex systems, a typically finite set of nodes of the network under consideration is frequently either explicitly or implicitly considered representative of a much larger finite or infinite region or set of objects of interest. The selection procedure, e.g., formation of a subset or some kind of discretization or aggregation, typically results in individual nodes of the studied network representing quite differently sized parts of the domain of interest. This heterogeneity may induce substantial bias and artifacts in derived network statistics. To avoid this bias, we propose an axiomatic scheme based on the idea of node splitting invariance to derive consistently weighted variants of various commonly used statistical network measures. The practical relevance and applicability of our approach is demonstrated for a number of example networks from different fields of research, and is shown to be of fundamental importance in particular in the study of spatially embedded functional networks derived from time series as studied in, e.g., neuroscience and climatology.Comment: 21 pages, 13 figure

Estimating the Fractal Dimension, K_2-entropy, and the Predictability of the Atmosphere

The series of mean daily temperature of air recorded over a period of 215 years is used for analysing the dimensionality and the predictability of the atmospheric system. The total number of data points of the series is 78527. Other 37 versions of the original series are generated, including ``seasonally adjusted'' data, a smoothed series, series without annual course, etc. Modified methods of Grassberger and Procaccia are applied. A procedure for selection of the ``meaningful'' scaling region is proposed. Several scaling regions are revealed in the ln C(r) versus ln r diagram. The first one in the range of larger ln r has a gradual slope and the second one in the range of intermediate ln r has a fast slope. Other two regions are settled in the range of small ln r. The results lead us to claim that the series arises from the activity of at least two subsystems. The first subsystem is low-dimensional (d_f=1.6) and it possesses the potential predictability of several weeks. We suggest that this subsystem is connected with seasonal variability of weather. The second subsystem is high-dimensional (d_f>17) and its error-doubling time is about 4-7 days. It is found that the predictability differs in dependence on season. The predictability time for summer, winter and the entire year (T_2 approx. 4.7 days) is longer than for transition-seasons (T_2 approx. 4.0 days for spring, T_2 approx. 3.6 days for autumn). The role of random noise and the number of data points are discussed. It is shown that a 15-year-long daily temperature series is not sufficient for reliable estimations based on Grassberger and Procaccia algorithms.Comment: 27 pages (LaTex version 2.09) and 15 figures as .ps files, e-mail: [email protected]

Investigating the topology of interacting networks - Theory and application to coupled climate subnetworks

Network theory provides various tools for investigating the structural or functional topology of many complex systems found in nature, technology and society. Nevertheless, it has recently been realised that a considerable number of systems of interest should be treated, more appropriately, as interacting networks or networks of networks. Here we introduce a novel graph-theoretical framework for studying the interaction structure between subnetworks embedded within a complex network of networks. This framework allows us to quantify the structural role of single vertices or whole subnetworks with respect to the interaction of a pair of subnetworks on local, mesoscopic and global topological scales. Climate networks have recently been shown to be a powerful tool for the analysis of climatological data. Applying the general framework for studying interacting networks, we introduce coupled climate subnetworks to represent and investigate the topology of statistical relationships between the fields of distinct climatological variables. Using coupled climate subnetworks to investigate the terrestrial atmosphere's three-dimensional geopotential height field uncovers known as well as interesting novel features of the atmosphere's vertical stratification and general circulation. Specifically, the new measure "cross-betweenness" identifies regions which are particularly important for mediating vertical wind field interactions. The promising results obtained by following the coupled climate subnetwork approach present a first step towards an improved understanding of the Earth system and its complex interacting components from a network perspective

Exploiting geometric signatures to accurately determine properties of attractors

AbstractWe explore the notion of the geometric signature and demonstrate that it could be utilized in order to estimate dimensions, characterize lacunarity and type of attractor (self-similar, nonself-similar), and determine the length of transients for attractors

Inferring interdependencies in climate networks constructed at inter-annual, intra-season and longer time scales

We study global climate networks constructed by means of ordinal time series analysis. Climate interdependencies among the nodes are quantified by the mutual information, computed from time series of monthly-averaged surface air temperature anomalies, and from their symbolic ordinal representation (OP). This analysis allows identifying topological changes in the network when varying the time-interval of the ordinal pattern. We consider intra-season time-intervals (e.g., the patterns are formed by anomalies in consecutive months) and inter-annual time-intervals (e.g., the patterns are formed by anomalies in consecutive years). We discuss how the network density and topology change with these time scales, and provide evidence of correlations between geographically distant regions that occur at specific time scales. In particular, we find that an increase in the ordinal pattern spacing (i.e., an increase in the timescale of the ordinal analysis), results in climate networks with increased connectivity on the equatorial Pacific area. On the contrary, the number of significant links decreases when the ordinal analysis is done with a shorter timescale (by comparing consecutive months), and interpret this effect as due to more stochasticity in the time-series in the short timescale. As the equatorial Pacific is known to be dominated by El Niño-Southern Oscillation (ENSO) on scales longer than several months, our methodology allows constructing climate networks where the effect of ENSO goes from mild (monthly OP) to intense (yearly OP), independently of the length of the ordinal pattern and of the thresholding method employed. © 2013 EDP Sciences and Springer