An Investigation of Crash Avoidance in a Complex System

Complex systems can exhibit unexpected large changes, e.g. a crash in a financial market. We examine the large endogenous changes arising within a non-trivial generalization of the Minority Game: the Grand Canonical Minority Game (GCMG). Using a Markov Chain description, we study the many possible paths the system may take. This 'many-worlds' view not only allows us to predict the start and end of a crash in this system, but also to investigate how such a crash may be avoided. We find that the system can be 'immunized' against large changes: by inducing small changes today, much larger changes in the future can be prevented.Comment: 12 pages, 6 figures. Revised version of previous paper to appear in Physica

Motion Planning for Modular Robots under Failures

V tejto práci sú skúmané metódy plánovania pohybu pre modulárne roboty s uvažovanou poruchou modulov. Metódy založené na Central Pattern Chenerator (CPG) boly použitý pre generovanie signálov pre pohyb . Particle Swarm Optimization (PSO) algoritmus je metóda inšpirovaná prírodou a bola použitá pre optimalizáciu pohybu založenom na CPG. Pre účely plánovania pohybu bol implementovaný Rapidly-exploring Random Tree (RRT) algoritmus. V tejto práci sú skúmané dva typy poruchy modulu, zaseknutie kĺbu a neovládateľnosť kĺbu. Vplyv rôznych kombinácií pokazených modulov bol štatisticky porovnaný na rôznych typoch robotov. Experimenty boli vykonané za použitia simulačného prostredia. Výsledkom pokusov je, že vo väčšine prípadov roboty pracujú lepšie s pokazenými modulmi ako bez nich.In this thesis, methods of motion planning for modular robots under failure is investigated. Methods based on Central Pattern Generator (CPG) are used to generate signals for locomotion control of modules. The Particle Swarm Optimization (PSO) is bio-inspired method which is used for optimization of CPG-based locomotion. For purpose of the motion planning, the Rapidly-exploring Random Tree (RRT) algorithm is implemented. In this thesis, two types of module failure are investigated, fix-joint and free-joint. The influence of different combinations of modules under failures was statistically compared on different types of robots. The experiments were conducted using a simulation environment. The result of the experiments is that in most of the cases robots operate better with broken modules as without them

Anatomy of extreme events in a complex adaptive system

We provide an analytic, microscopic analysis of extreme events in an adaptive population comprising competing agents (e.g. species, cells, traders, data-packets). Such large changes tend to dictate the long-term dynamical behaviour of many real-world systems in both the natural and social sciences. Our results reveal a taxonomy of extreme events, and provide a microscopic understanding as to their build-up and likely duration.Comment: 8 pages, 4 figures. Now with Postscript figure

Application of multi-agent games to the prediction of financial time-series

We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.Comment: Work presented at the NATO Workshop on Econophysics. Prague (Feb 2001). To appear in Physica

Minority Game of price promotions in fast moving consumer goods markets

A variation of the Minority Game has been applied to study the timing of promotional actions at retailers in the fast moving consumer goods market. The underlying hypotheses for this work are that price promotions are more effective when fewer than average competitors do a promotion, and that a promotion strategy can be based on past sales data. The first assumption has been checked by analysing 1467 promotional actions for three products on the Dutch market (ketchup, mayonnaise and curry sauce) over a 120-week period, both on an aggregated level and on retailer chain level. The second assumption was tested by analysing past sales data with the Minority Game. This revealed that high or low competitor promotional pressure for actual ketchup, mayonnaise, curry sauce and barbecue sauce markets is to some extent predictable up to a forecast of some 10 weeks. Whereas a random guess would be right 50% of the time, a single-agent game can predict the market with a success rate of 56% for a 6 to 9 week forecast. This number is the same for all four mentioned fast moving consumer markets. For a multi-agent game a larger variability in the success rate is obtained, but predictability can be as high as 65%. Contrary to expectation, the actual market does the opposite of what game theory would predict. This points at a systematic oscillation in the market. Even though this result is not fully understood, merely observing that this trend is present in the data could lead to exploitable trading benefits. As a check, random history strings were generated from which the statistical variation in the game prediction was studied. This shows that the odds are 1:1,000,000 that the observed pattern in the market is based on coincidence.Comment: 19 pages, 10 figures, accepted for publication in Physica

Risk and Return Performance Attribution for Cross Border Investment Portfolio

Should currency be treated as a separate asset class? If currency hedging adds value to a portfolio, how should this be done

Insertion loss of a simple plywood noise enclosure

Noise enclosures are used to reduce noise exposures to the employee. Some problems with commercial noise enclosures is they tend to be expensive and often provide much more insertion loss (IL) than is truly needed. The two studies described here tested the effectiveness of a simple plywood noise enclosure with a size of 75 cm x 75 cm x 75 cm. To determine the IL of the enclosure an OROS OR 38 noise analyzer was used in conjunction with eight PCB piezotronic microphones located at four and eight feet from the source perpendicular to each vertical side of the enclosure.;Study One tested the effects of insulation coverage (Insulation), measurement distance from sound source (Distance), and direction in the horizontal plane (Microphone Location) on the IL of the enclosure when there were no holes in the enclosure. The results of Study One showed that the bare enclosure (0% insulation) provided a 6.9 dBA average IL. When the inner surfaces of the enclosure were covered with 50% and 83% of Insulation coverage, the IL values were 10.2 and 11.0 dBA, respectively.;Study Two tested the conditions listed in Study One as well as the effects of adding Hole Diameters of 2 and 4 at different times. It also included rotating the enclosure so the Hole Direction was either facing 0° or 180° from the original orientation. The results of Study Two showed that the average IL of the enclosure was reduced by 0.8 dBA when there was a 2 hole in the enclosure and by 1.7 dBA when there was a 4 hole in the enclosure.;The most important conclusion reached from the two studies was a simple noise enclosure can be constructed of plywood and it will be effective to some degree even if there all holes in it. The minimum IL this enclosure produced was 5.3 dBA when there was a 4 hole in one side. In many cases this would be sufficient enough to reduce a company underneath regulatory standards