Statistical pairwise interaction model of stock market

Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns. Spin glass models have been applied and gave some valuable results but at the price of restrictive assumptions on the market dynamics or others are agent-based models with rules designed in order to recover some empirical behaviours. Here we show that the pairwise model is actually a statistically consistent model with observed first and second moments of the stocks orientation without making such restrictive assumptions. This is done with an approach based only on empirical data of price returns. Our data analysis of six major indices suggests that the actual interaction structure may be thought as an Ising model on a complex network with interaction strengths scaling as the inverse of the system size. This has potentially important implications since many properties of such a model are already known and some techniques of the spin glass theory can be straightforwardly applied. Typical behaviours, as multiple equilibria or metastable states, different characteristic time scales, spatial patterns, order-disorder, could find an explanation in this picture.Comment: 11 pages, 8 figure

Detecting modules in dense weighted networks with the Potts method

We address the problem of multiresolution module detection in dense weighted networks, where the modular structure is encoded in the weights rather than topology. We discuss a weighted version of the q-state Potts method, which was originally introduced by Reichardt and Bornholdt. This weighted method can be directly applied to dense networks. We discuss the dependence of the resolution of the method on its tuning parameter and network properties, using sparse and dense weighted networks with built-in modules as example cases. Finally, we apply the method to data on stock price correlations, and show that the resulting modules correspond well to known structural properties of this correlation network.Comment: 14 pages, 6 figures. v2: 1 figure added, 1 reference added, minor changes. v3: 3 references added, minor change

Network segregation in a model of misinformation and fact checking

Misinformation under the form of rumor, hoaxes, and conspiracy theories spreads on social media at alarming rates. One hypothesis is that, since social media are shaped by homophily, belief in misinformation may be more likely to thrive on those social circles that are segregated from the rest of the network. One possible antidote is fact checking which, in some cases, is known to stop rumors from spreading further. However, fact checking may also backfire and reinforce the belief in a hoax. Here we take into account the combination of network segregation, finite memory and attention, and fact-checking efforts. We consider a compartmental model of two interacting epidemic processes over a network that is segregated between gullible and skeptic users. Extensive simulation and mean-field analysis show that a more segregated network facilitates the spread of a hoax only at low forgetting rates, but has no effect when agents forget at faster rates. This finding may inform the development of mitigation techniques and overall inform on the risks of uncontrolled misinformation online

Activity driven modeling of time varying networks

Network modeling plays a critical role in identifying statistical regularities and structural principles common to many systems. The large majority of recent modeling approaches are connectivity driven. The structural patterns of the network are at the basis of the mechanisms ruling the network formation. Connectivity driven models necessarily provide a time-aggregated representation that may fail to describe the instantaneous and fluctuating dynamics of many networks. We address this challenge by defining the activity potential, a time invariant function characterizing the agents' interactions and constructing an activity driven model capable of encoding the instantaneous time description of the network dynamics. The model provides an explanation of structural features such as the presence of hubs, which simply originate from the heterogeneous activity of agents. Within this framework, highly dynamical networks can be described analytically, allowing a quantitative discussion of the biases induced by the time-aggregated representations in the analysis of dynamical processes.Comment: 10 pages, 4 figure

Optimal Path and Minimal Spanning Trees in Random Weighted Networks

We review results on the scaling of the optimal path length in random networks with weighted links or nodes. In strong disorder we find that the length of the optimal path increases dramatically compared to the known small world result for the minimum distance. For Erd\H{o}s-R\'enyi (ER) and scale free networks (SF), with parameter $\lambda$ ($\lambda >3$), we find that the small-world nature is destroyed. We also find numerically that for weak disorder the length of the optimal path scales logaritmically with the size of the networks studied. We also review the transition between the strong and weak disorder regimes in the scaling properties of the length of the optimal path for ER and SF networks and for a general distribution of weights, and suggest that for any distribution of weigths, the distribution of optimal path lengths has a universal form which is controlled by the scaling parameter $Z=\ell_{\infty}/A$ where $A$ plays the role of the disorder strength, and $\ell_{\infty}$ is the length of the optimal path in strong disorder. The relation for $A$ is derived analytically and supported by numerical simulations. We then study the minimum spanning tree (MST) and show that it is composed of percolation clusters, which we regard as "super-nodes", connected by a scale-free tree. We furthermore show that the MST can be partitioned into two distinct components. One component the {\it superhighways}, for which the nodes with high centrality dominate, corresponds to the largest cluster at the percolation threshold which is a subset of the MST. In the other component, {\it roads}, low centrality nodes dominate. We demonstrate the significance identifying the superhighways by showing that one can improve significantly the global transport by improving a very small fraction of the network.Comment: review, accepted at IJB

Results from the CERN pilot CLOUD experiment

During a 4-week run in October–November 2006, a pilot experiment was performed at the CERN Proton Synchrotron in preparation for the Cosmics Leaving OUtdoor Droplets (CLOUD) experiment, whose aim is to study the possible influence of cosmic rays on clouds. The purpose of the pilot experiment was firstly to carry out exploratory measurements of the effect of ionising particle radiation on aerosol formation from trace H2SO4 vapour and secondly to provide technical input for the CLOUD design. A total of 44 nucleation bursts were produced and recorded, with formation rates of particles above the 3 nm detection threshold of between 0.1 and 100 cm−3 s−1, and growth rates between 2 and 37 nm h−1. The corresponding H2SO4 concentrations were typically around 106 cm−3 or less. The experimentally-measured formation rates and H2SO4 concentrations are comparable to those found in the atmosphere, supporting the idea that sulphuric acid is involved in the nucleation of atmospheric aerosols. However, sulphuric acid alone is not able to explain the observed rapid growth rates, which suggests the presence of additional trace vapours in the aerosol chamber, whose identity is unknown. By analysing the charged fraction, a few of the aerosol bursts appear to have a contribution from ion-induced nucleation and ion-ion recombination to form neutral clusters. Some indications were also found for the accelerator beam timing and intensity to influence the aerosol particle formation rate at the highest experimental SO2 concentrations of 6 ppb, although none was found at lower concentrations. Overall, the exploratory measurements provide suggestive evidence for ion-induced nucleation or ion-ion recombination as sources of aerosol particles. However in order to quantify the conditions under which ion processes become significant, improvements are needed in controlling the experimental variables and in the reproducibility of the experiments. Finally, concerning technical aspects, the most important lessons for the CLOUD design include the stringent requirement of internal cleanliness of the aerosol chamber, as well as maintenance of extremely stable temperatures (variations below 0.1 _C)

Uncovering the overlapping community structure of complex networks in nature and society

Many complex systems in nature and society can be described in terms of networks capturing the intricate web of connections among the units they are made of. A key question is how to interpret the global organization of such networks as the coexistence of their structural subunits (communities) associated with more highly interconnected parts. Identifying these a priori unknown building blocks (such as functionally related proteins, industrial sectors and groups of people) is crucial to the understanding of the structural and functional properties of networks. The existing deterministic methods used for large networks find separated communities, whereas most of the actual networks are made of highly overlapping cohesive groups of nodes. Here we introduce an approach to analysing the main statistical features of the interwoven sets of overlapping communities that makes a step towards uncovering the modular structure of complex systems. After defining a set of new characteristic quantities for the statistics of communities, we apply an efficient technique for exploring overlapping communities on a large scale. We find that overlaps are significant, and the distributions we introduce reveal universal features of networks. Our studies of collaboration, word-association and protein interaction graphs show that the web of communities has non-trivial correlations and specific scaling properties.Comment: The free academic research software, CFinder, used for the publication is available at the website of the publication: http://angel.elte.hu/clusterin

U.S. stock market interaction network as learned by the Boltzmann Machine

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning framework for statistical inference, we analyze historical behavior of the parameters inferred using exact and approximate learning algorithms. Since the model and inference methods require use of binary variables, effect of this mapping of continuous returns to the discrete domain is studied. The presented analysis shows that binarization preserves market correlation structure. Properties of distributions of external fields and couplings as well as industry sector clustering structure are studied for different historical dates and moving window sizes. We found that a heavy positive tail in the distribution of couplings is responsible for the sparse market clustering structure. We also show that discrepancies between the model parameters might be used as a precursor of financial instabilities.Comment: 15 pages, 17 figures, 1 tabl

The effects of spatial constraints on the evolution of weighted complex networks

Motivated by the empirical analysis of the air transportation system, we define a network model that includes geographical attributes along with topological and weight (traffic) properties. The introduction of geographical attributes is made by constraining the network in real space. Interestingly, the inclusion of geometrical features induces non-trivial correlations between the weights, the connectivity pattern and the actual spatial distances of vertices. The model also recovers the emergence of anomalous fluctuations in the betweenness-degree correlation function as first observed by Guimer\`a and Amaral [Eur. Phys. J. B {\bf 38}, 381 (2004)]. The presented results suggest that the interplay between weight dynamics and spatial constraints is a key ingredient in order to understand the formation of real-world weighted networks