A Broad-Spectrum Computational Approach for Market Efficiency

The Efficient Market Hypothesis (EMH) is one of the most investigated questions in Finance. Nevertheless, it is still a puzzle, despite the enormous amount of research it has provoked. For instance, it is still discussed that market cannot be outperformed in the long run (Detry and Gregoire, 2001), persistent market anomalies cannot be easily explained in this theoretical framework (Shiller, 2003) and some talented hedge-fund managers keep earning excess risk-adjusted rates of returns regularly. We concentrate in this paper on the weak form of efficiency(Fama, 1970). We focus on the efficacity of simple technical trading rules, following a large research stream presented in Park and Irwin (2004). Nevertheless, we depart from previous works in many ways : we first have a large population of technical investment rules (more than 260.000) exploiting real-world data to manage a financial portfolio. Very few researches have used such a large amount of calculus to examine the EMH. Our experimental design allows for strategy selection based on past absolute performance. We take into account the data-snooping risk, which is an unavoidable problem in such broad-spectrum researches, using a rigorous Bootstrap Reality Check procedure. While market inefficiencies, after including transaction costs, cannot clearly be successfully exploited, our experiments present troubling outcomes inviting close re-consideration of the weak-form EMH.efficient market hypothesis, large scale simulations, bootstrap

Reallocation Problems in Agent Societies: A Local Mechanism to Maximize Social Welfare

Resource reallocation problems are common in real life and therefore gain an increasing interest in Computer Science and Economics. Such problems consider agents living in a society and negotiating their resources with each other in order to improve the welfare of the population. In many studies however, the unrealistic context considered, where agents have a flawless knowledge and unlimited interaction abilities, impedes the application of these techniques in real life problematics. In this paper, we study how agents should behave in order to maximize the welfare of the society. We propose a multi-agent method based on autonomous agents endowed with a local knowledge and local interactions. Our approach features a more realistic environment based on social networks, inside which we provide the behavior for the agents and the negotiation settings required for them to lead the negotiation processes towards socially optimal allocations. We prove that bilateral transactions of restricted cardinality are sufficient in practice to converge towards an optimal solution for different social objectives. An experimental study supports our claims and highlights the impact of a realistic environment on the efficiency of the techniques utilized.Resource Allocation, Negotiation, Social Welfare, Agent Society, Behavior, Emergence

Analysis of Large Unreliable Stochastic Networks

In this paper a stochastic model of a large distributed system where users' files are duplicated on unreliable data servers is investigated. Due to a server breakdown, a copy of a file can be lost, it can be retrieved if another copy of the same file is stored on other servers. In the case where no other copy of a given file is present in the network, it is definitively lost. In order to have multiple copies of a given file, it is assumed that each server can devote a fraction of its processing capacity to duplicate files on other servers to enhance the durability of the system. A simplified stochastic model of this network is analyzed. It is assumed that a copy of a given file is lost at some fixed rate and that the initial state is optimal: each file has the maximum number $d$ of copies located on the servers of the network. Due to random losses, the state of the network is transient and all files will be eventually lost. As a consequence, a transient $d$-dimensional Markov process $(X(t))$ with a unique absorbing state describes the evolution this network. By taking a scaling parameter $N$ related to the number of nodes of the network. a scaling analysis of this process is developed. The asymptotic behavior of $(X(t))$ is analyzed on time scales of the type $t\mapsto N^p t$ for $0\leq p\leq d{-}1$. The paper derives asymptotic results on the decay of the network: Under a stability assumption, the main results state that the critical time scale for the decay of the system is given by $t\mapsto N^{d-1}t$. When the stability condition is not satisfied, it is shown that the state of the network converges to an interesting local equilibrium which is investigated. As a consequence it sheds some light on the role of the key parameters $\lambda$, the duplication rate and $d$, the maximal number of copies, in the design of these systems

Modeling the shortening history of a fault tip fold using structural and geomorphic records of deformation

We present a methodology to derive the growth history of a fault tip fold above a basal detachment. Our approach is based on modeling the stratigraphic and geomorphic records of deformation, as well as the finite structure of the fold constrained from seismic profiles. We parameterize the spatial deformation pattern using a simple formulation of the displacement field derived from sandbox experiments. Assuming a stationary spatial pattern of deformation, we simulate the gradual warping and uplift of stratigraphic and geomorphic markers, which provides an estimate of the cumulative amounts of shortening they have recorded. This approach allows modeling of isolated terraces or growth strata. We apply this method to the study of two fault tip folds in the Tien Shan, the Yakeng and Anjihai anticlines, documenting their deformation history over the past 6–7 Myr. We show that the modern shortening rates can be estimated from the width of the fold topography provided that the sedimentation rate is known, yielding respective rates of 2.15 and 1.12 mm/yr across Yakeng and Anjihai, consistent with the deformation recorded by fluvial and alluvial terraces. This study demonstrates that the shortening rates across both folds accelerated significantly since the onset of folding. It also illustrates the usefulness of a simple geometric folding model and highlights the importance of considering local interactions between tectonic deformation, sedimentation, and erosion