Three-state herding model of the financial markets

We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with power-law probability density function of the absolute returns we are able to reproduce the fractured power spectral density, which is observed in the high-frequency financial market data. Given example of consistent agent-based and stochastic modeling will provide background for the further developments in the research of complex social systems.Comment: 11 pages, 3 figure

Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By introducing the possibility that agents can enter or leave the market depending on the behavior of the price, it is possible to show that the system self-organizes in a regime with a finite number of agents which corresponds to the stylized facts. The mechanism to enter or leave the market is based on the idea that a too stable market is unappealing for traders while the presence of price movements attracts agents to enter and speculate on the market. We show that this mechanism is also compatible with the idea that agents are scared by a noisy and risky market at shorter time scales. We also show that the mechanism for self-organization is robust with respect to variations of the exit/entry rules and that the attempt to trigger the system to self-organize in a region without stylized facts leads to an unrealistic dynamics. We study the self-organization in a specific agent based model but we believe that the basic ideas should be of general validity.Comment: 14 pages, 7 figure

Estimation of renal function by CKD-EPI versus MDRD in a cohort of HIV-infected patients: a cross-sectional analysis

Background: Accurately determining renal function is essential for clinical management of HIV patients. Classically, it has been evaluated by estimating glomerular filtration rate (eGFR) with the MDRD-equation, but today there is evidence that the new Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation has greater diagnostic accuracy. To date, however, little information exists on patients with HIV-infection. This study aimed to evaluate eGFR by CKD-EPI vs. MDRD equations and to stratify renal function according to KDIGO guidelines. Methods: Cross-sectional, single center study including adult patients with HIV-infection. Results: Four thousand five hundred three patients with HIV-infection (864 women19%) were examined. Median age was 45 years (IQR 37-52), and median baseline creatinine was 0.93 mg/dL (IQR 0.82-1.05). A similar distribution of absolute measures of eGFR was found using both formulas (p = 0.548). Baseline median eGFR was 95.2 and 90.4 mL/min/ 1.73 m(2) for CKD-EPI and MDRD equations (p 90 mL/min/1.73 m(2)) in 73% patients and '' mild reduced GFR '' (60-89 mL/min/1.73 m(2)) in 24.3% of the patients, formerly classified as >60 mL/min/1.73 m(2) with MDRD. Conclusions: There was good correlation between CKD-EPI and MDRD. Estimating renal function using CKD-EPI equation allowed better staging of renal function and should be considered the method of choice. CKD-EPI identified a significant proportion of patients (24%) with mild reduced GFR (60-89 mL/min/1.73 m(2)).Red de SidaInstituto de Salud Carlos III, Madrid, SpainEuropean Regional Development Fund (ERDF)Univ Fed Sao Paulo, Kidney Transplant Div, Hosp Rim, Sao Paulo, BrazilUniv Barcelona, Hosp Clin IDIBAPS, Nephrol & Renal Transplantat Serv, Barcelona, SpainHosp Clin Barcelona, Biomed Diag Ctr, Core Lab, Barcelona, SpainHosp Olot, Internal Med Serv, Girona, SpainUniv Girona, Dept Med Sci, Girona, SpainUniv Barcelona, Hosp Clin IDIBAPS, Infect Dis Serv, Barcelona, SpainUniv Fed Sao Paulo, Kidney Transplant Div, Hosp Rim, Sao Paulo, BrazilRed de Sida: RD12/0017/0001Instituto de Salud Carlos III, Madrid, Spain: INT15/00168Web of Scienc

Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement

We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a non-trivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets.Comment: 18 pages, 12 figure

Estimation of renal function by CKD-EPI versus MDRD in a cohort of HIV-infected patients: a cross-sectional analysis.

Background Accurately determining renal function is essential for clinical management of HIV patients. Classically, it has been evaluated by estimating glomerular filtration rate (eGFR) with the MDRD-equation, but today there is evidence that the new Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation has greater diagnostic accuracy. To date, however, little information exists on patients with HIV-infection. This study aimed to evaluate eGFR by CKD-EPI vs. MDRD equations and to stratify renal function according to KDIGO guidelines. Methods Cross-sectional, single center study including adult patients with HIV-infection. Results Four thousand five hundred three patients with HIV-infection (864 women; 19%) were examined. Median age was 45 years (IQR 37-52), and median baseline creatinine was 0.93 mg/dL (IQR 0.82-1.05). A similar distribution of absolute measures of eGFR was found using both formulas (p = 0.548). Baseline median eGFR was 95.2 and 90.4 mL/min/1.73 m2 for CKD-EPI and MDRD equations (p 90 mL/min/1.73 m2) in 73% patients and "mild reduced GFR" (60-89 mL/min/1.73 m2) in 24.3% of the patients, formerly classified as >60 mL/min/1.73 m2 with MDRD. Conclusions There was good correlation between CKD-EPI and MDRD. Estimating renal function using CKD-EPI equation allowed better staging of renal function and should be considered the method of choice. CKD-EPI identified a significant proportion of patients (24%) with mild reduced GFR (60-89 mL/min/1.73 m2)

Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $\omega$ and $g$. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function $_g\sim\omega^\delta$ with $\delta\approx 0.59$. Instead the dependence on the granularity is $\phi(\omega,g|\omega)\sim g^\alpha$ with $\alpha\approx-1$, showing a divergence of price fluctuations in the limit $g\to 0$. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.Comment: 18 pages, 7 figure

The struggle for existence in the world market ecosystem

The global trade system can be viewed as a dynamic ecosystem in which exporters struggle for resources: the markets in which they export. We can think that the aim of an exporter is to gain the entirety of a market share (say, car imports from the United States). This is similar to the objective of an organism in its attempt to monopolize a given subset of resources in an ecosystem. In this paper, we adopt a multilayer network approach to describe this struggle. We use longitudinal, multiplex data on trade relations, spanning several decades. We connect two countries with a directed link if the source country's appearance in a market correlates with the target country's disappearing, where a market is defined as a country-product combination in a given decade. Each market is a layer in the network. We show that, by analyzing the countries' network roles in each layer, we are able to classify them as out-competing, transitioning or displaced. This classification is a meaningful one: when testing the future export patterns of these countries, we show that out-competing countries have distinctly stronger growth rates than the other two classes

Change point analysis of historical battle deaths

It has been claimed and disputed that World War II has been followed by a `long peace', an unprecedented decline of war. We conduct a full changepoint analysis of well-documented, publicly-available battle deaths datasets, using new techniques that enable the robust detection of changes in the statistical properties of such heavy-tailed data. We first test and calibrate these techniques. We then demonstrate the existence of changes, independent of data presentation, at around 1910 and 1950 CE, bracketing the World Wars, and around the 1830s and 1994 CE. Our analysis provides a methodology for future investigations and an empirical basis for political and historical discussions.Comment: 24 pages, 11 figure

Ranking species in mutualistic networks

Understanding the architectural subtleties of ecological networks, believed to confer them enhanced stability and robustness, is a subject of outmost relevance. Mutualistic interactions have been profusely studied and their corresponding bipartite networks, such as plant-pollinator networks, have been reported to exhibit a characteristic “nested” structure. Assessing the importance of any given species in mutualistic networks is a key task when evaluating extinction risks and possible cascade effects. Inspired in a recently introduced algorithm –similar in spirit to Google's PageRank but with a built-in non-linearity– here we propose a method which –by exploiting their nested architecture– allows us to derive a sound ranking of species importance in mutualistic networks. This method clearly outperforms other existing ranking schemes and can become very useful for ecosystem management and biodiversity preservation, where decisions on what aspects of ecosystems to explicitly protect need to be made