Scaling properties and universality of first-passage time probabilities in financial markets

Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered resulting in fat tailed first-passage time probabilities. The scaling of the return with the standard deviation collapses the probabilities of all markets examined, and also for different time horizons, into single curves, suggesting that first-passage statistics is market independent (at least for high-frequency data). On the other hand, a very closely related quantity, the survival probability, shows, away from the center and tails of the distribution, a hyperbolic $t^{-1/2}$ decay typical of a Markovian dynamics albeit the existence of memory in markets. Modifications of the Weibull and Student distributions are good candidates for the phenomenological description of first-passage time properties under certain regimes. The scaling strategies shown may be useful for risk control and algorithmic trading.Comment: 7 pages, 5 figure

Mapping individual behavior in financial markets: synchronization and anticipation

In this paper we develop a methodology, based on Mutual Information and Transfer of Entropy, that allows to identify, quantify and map on a network the synchronization and anticipation relationships between financial traders. We apply this methodology to a dataset containing 410,612 real buy and sell operations, made by 566 non-professional investors from a private investment firm on 8 different assets from the Spanish IBEX market during a period of time from 2000 to 2008. These networks present a peculiar topology significantly different from the random networks. We seek alternative features based on human behavior that might explain part of those 12,158 synchronization links and 1031 anticipation links. Thus, we detect that daily synchronization with price (present in 64.90% of investors) and the one-day delay with respect to price (present in 4.38% of investors) play a significant role in the network structure. We find that individuals reaction to daily price changes explains around 20% of the links in the Synchronization Network, and has significant effects on the Anticipation Network. Finally, we show how using these networks we substantially improve the prediction accuracy when Random Forest models are used to nowcast and predict the activity of individual investors

Sistemes socioeconòmics i financers

Els mercats fi nancers, entre molts altres contextos socials i econòmics, amaguen diverses relacions amb la �� sica estadís�� ca. Sense anar més lluny, el model matemà�� c de les co�� tzacions fi nanceres és el mateix u�� litzat per a la teoria de gasos o per les par�� cules en suspensió en un líquid. En aquest ar�� cle recorrem la trajectòria de l'anomenada econo�� sica des de 1900 i presentem algunes de les contribucions a la matèria feta per membres de Complexitat.CAT

Sistemes socioeconòmics i financers

Els mercats financers, entre molts altres contextos socials i econòmics, amaguen diverses relacions amb la İ sica estadísƟ ca. Sense anar més lluny, el model matemàƟ c de les coƟ tzacions fi nanceres és el mateix uƟ litzat per a la teoria de gasos o per les parơ cules en suspensió en un líquid. En aquest arƟ cle recorrem la trajectòria de l'anomenada econoİ sica des de 1900 i presentem algunes de les contribucions a la matèria feta per membres de Complexitat.CA

Resource heterogeneity leads to unjust effort distribution in climate change mitigation

Climate change mitigation is a shared global challenge that involves collective action of a set of individuals with different tendencies to cooperation. However, we lack an understanding of the effect of resource inequality when diverse actors interact together towards a common goal. Here, we report the results of a collective-risk dilemma experiment in which groups of individuals were initially given either equal or unequal endowments. We found that the effort distribution was highly inequitable, with participants with fewer resources contributing significantly more to the public goods than the richer −sometimes twice as much. An unsupervised learning algorithm classified the subjects according to their individual behavior, finding the poorest participants within two “generous clusters” and the richest into a “greedy cluster”. Our results suggest that policies would benefit from educating about fairness and reinforcing climate justice actions addressed to vulnerable people instead of focusing on understanding generic or global climate consequences

Resource heterogeneity leads to unjust effort distribution in climate change mitigation

Climate change mitigation is a shared global challenge that involves collective action of a set of individuals with different tendencies to cooperation. However, we lack an understanding of the effect of resource inequality when diverse actors interact together towards a common goal. Here, we report the results of a collective-risk dilemma experiment in which groups of individuals were initially given either equal or unequal endowments. We found that the effort distribution was highly inequitable, with participants with fewer resources contributing significantly more to the public goods than the richer −sometimes twice as much. An unsupervised learning algorithm classified the subjects according to their individual behavior, finding the poorest participants within two 'generous clusters' and the richest into a 'greedy cluster'. Our results suggest that policies would benefit from educating about fairness and reinforcing climate justice actions addressed to vulnerable people instead of focusing on understanding generic or global climate consequences

Effects of climate variability on growth and establishment patterns of nothofagus macrocarpa in central Chile

Se ha documentado un aumento de las condiciones de sequía durante el último siglo en Chile central, que estaría afectando al bosque mediterráneo, especialmente a los bosques septentrionales del género Nothofagus en América (Nothofagus macrocarpa). Por esta razón resulta imprescindible estudiar la influencia del clima en el crecimiento radial y establecimiento de árboles a fin de diseñar estrategias de conservación y mitigación al cambio climático. Diez poblaciones de N. macrocarpa fueron seleccionadas para analizar la relación entre las sequías y el crecimiento radial anual y la influencia de condiciones hídricas en el establecimiento. Se identificaron tres patrones de crecimiento: (i) poblaciones más degradadas de la Cordillera de la Costa, (ii) bosques poco intervenidos y que se encuentran a una mayor altitud de la Cordillera de la Costa, y (iii) poblaciones poco intervenidas de la Cordillera de Los Andes. Todas las poblaciones presentaron correlaciones positivas con el índice de sequía SPEI (índice estandarizado de precipitación-evapotranspiración) durante invierno-primavera, siendo sensibles hasta 36 meses después de un período seco. Más del 64 % de los años con bajo crecimiento en todas las cronologías fue asociado a sequías históricas. Se observó mayor establecimiento de N. macrocarpa vinculado a períodos húmedos especialmente en los bosques poco degradados. Estos resultados entregan una visión ecológica sobre la sensibilidad climática del bosque mediterráneo de Chile y pueden contribuir en el diseño de proyectos de restauración, conservación y mitigación frente al calentamiento global.An increase in drought conditions over the last century has been documented in Central Chile, a fact that could affect the Mediterranean forests, especially the northernmost Nothofagus populations from South America (Nothofagus macrocarpa). For this reason, it is key to study the climate influence on radial growth and trees establishment to design strategies of conservation and mitigation in the face of a climate change situation. In this study, 10 trees populations of N. macrocarpa were selected across natural distribution for a dendroecological analysis. The relationship between droughts and radial growth was analyzed annually, while the influence of water favorable conditions in trees establishment was evaluated in periods of 10 years. Results identified three growth patterns: (i) most degraded populations of the Coastal Mountains (young trees predominate), (ii) low-intervened forests found at a higher altitude in the Coastal Mountains and (iii) low-intervened forests of the Andes Mountains. All populations showed positive correlations with the SPEI-drought index during winter-spring, being sensitive up to 36 months after a dry period. More than 64% of the years with lowest growth are associated with historical droughts in all the chronologies, whereas trees establishment linked to humid periods was found especially in the less degraded forests (37-41% trees). These results provide an ecological vision of the climatic sensitivity of the Chilean Mediterranean forest and can contribute to the design restoration, conservation and mitigation actions in situations of global warming.Fil: Venegas González, Alejandro. Universidade de Sao Paulo; Brasil. Pontificia Universidad Católica de Valparaíso; ChileFil: Roig Junent, Fidel Alejandro. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Mendoza. Instituto Argentino de Nivología, Glaciología y Ciencias Ambientales. Provincia de Mendoza. Instituto Argentino de Nivología, Glaciología y Ciencias Ambientales. Universidad Nacional de Cuyo. Instituto Argentino de Nivología, Glaciología y Ciencias Ambientales; ArgentinaFil: Gutiérrez, Alvaro G.. Universidad de Chile; ChileFil: Peña-Rojas, Karen. Universidad de Chile; ChileFil: Filho, Mario Tomazello. Universidade de Sao Paulo; Brasi