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

Analytical calculation of the transition to complete phase synchronization in coupled oscillators

Here we present a system of coupled phase oscillators with nearest neighbors coupling, which we study for different boundary conditions. We concentrate at the transition to total synchronization. We are able to develop exact solutions for the value of the coupling parameter when the system becomes completely synchronized, for the case of periodic boundary conditions as well as for an open chain with fixed ends. We compare the results with those calculated numerically.Comment: 5 pages, 3 figure

Measuring trade-offs among criteria in a balanced scorecard framework: possible contributions from the multiple criteria decision analysis research field

Claimed by the Harvard Business Review as one of the main innovations of recent decades in management systems, the Balanced Scorecard (BSC) has been widely studied and applied in different management contexts. However, despite recent progress and its undeniable merit, the BSC has its own shortcomings. As reported in the literature, it seems generally agreed that the way compensations between criteria within a BSC framework are calculated remains an open issue. Thus, one of the contributions of this study is to augment the theoretical discussion on the potentialities of the multiple criteria decision analysis (MCDA) approach to bring simplicity and transparency to the calculation of compensations (i.e. trade-offs) among evaluation criteria within a BSC framework. It seems important to underline that this paper builds on previous work and is not empirical research. However, it aims to extend the discussion to other (new) measurement contexts. We believe that the development and promotion of the integrated use of MCDA tools in BSC applications to measure trade-offs among evaluation criteria in the BSC framework can be a key factor in ensuring more successful implementations and uses of the BSC within firms

A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness

Remarkable progress has occurred over the years in the performance evaluation of bank branches. Even though financial measures are usually considered the most important in assessing branch viability, we posit that insufficient attention has been given to other factors that affect the branches’ potential profitability and attractiveness. Based on the integrated used of cognitive maps and MCDA techniques, we propose a framework that adds value to the way that potential attractiveness criteria to assess bank branches are selected and to the way that the trade-offs between those criteria are obtained. This framework is the result of a process involving several directors from the five largest banks operating in Portugal, and follows a constructivist approach. Our findings suggest that the use of cognitive maps systematically identifies previously omitted criteria that may assess potential attractiveness. The use of MCDA techniques may clarify and add transparency to the way trade-offs are dealt with. Advantages and disadvantages of the proposed framework are also discussed.

Local attractors, degeneracy and analyticity: symmetry effects on the locally coupled Kuramoto model

In this work we study the local coupled Kuramoto model with periodic boundary conditions. Our main objective is to show how analytical solutions may be obtained from symmetry assumptions, and while we proceed on our endeavor we show apart from the existence of local attractors, some unexpected features resulting from the symmetry properties, such as intermittent and chaotic period phase slips, degeneracy of stable solutions and double bifurcation composition. As a result of our analysis, we show that stable fixed points in the synchronized region may be obtained with just a small amount of the existent solutions, and for a class of natural frequencies configuration we show analytical expressions for the critical synchronization coupling as a function of the number of oscillators, both exact and asymptotic.Comment: 15 pages, 12 figure