Structurally dynamic spin market networks

The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of strategic variables and reconnection rules. The inherent structure of node agent "brain" is modeled by a recursive neural network with local and global inputs and feedback connections. For specific parametric combination the complex network displays small-world phenomenon combined with scale-free behavior. The identification of a local leader (network hub, agent whose strategies are frequently adapted by its neighbors) is carried out by repeated random walk process through network. The simulations show empirically relevant dynamics of price returns and volatility clustering. The additional emerging aspects of stylized market statistics are Zipfian distributions of fitness.Comment: 13 pages, 5 figures, accepted in IJMPC, references added, minor changes in model, new results and modified figure

Towards an effective fiscal stimulus : evidence from Botswana

Abstract: While there is a general agreement on the effectiveness of fiscal stimulus, there is no consensus on which stimulus is better. To address this concern, this paper uses a Dynamic Stochastic General Equilibrium (DSGE) model to propose a fiscal stimulus that Botswana can adopt given the slowing mining productivity. The results suggest that short-run macroeconomic stabilisation can be achieved through a cut in labour taxes. This fiscal stimulus generates larger growth multipliers and contributes relatively more employment compared to a cut in consumption tax and increases in government spending. The findings also revealed that a cut in labour taxes improves trade balance, resulting in a greater accumulation of international reserves and has no Dutch disease effects. These results suggest the need for a labour tax policy reform. These results also offer some policy options for other developing countries, which may face similar fiscal risks in future

Digital herders and phase transition in a voting model

In this paper, we discuss a voting model with two candidates, C_1 and C_2. We set two types of voters--herders and independents. The voting of independent voters is based on their fundamental values; on the other hand, the voting of herders is based on the number of votes. Herders always select the majority of the previous $r$ votes, which is visible to them. We call them digital herders. We can accurately calculate the distribution of votes for special cases. When r>=3, we find that a phase transition occurs at the upper limit of t, where t is the discrete time (or number of votes). As the fraction of herders increases, the model features a phase transition beyond which a state where most voters make the correct choice coexists with one where most of them are wrong. On the other hand, when r<3, there is no phase transition. In this case, the herders' performance is the same as that of the independent voters. Finally, we recognize the behavior of human beings by conducting simple experiments.Comment: 26 pages, 10 figure

Double Exponential Instability of Triangular Arbitrage Systems

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.Comment: 22 pages, 22 bibliography references, expanded Introduction and Conclusion, added bibliohraphy reference

Halothane hepatitis with renal failure treated with hemodialysis and exchange transfusion

A 38-year-old white female, hepatitis B antigen negative, developed fluminating hepatic failure associated with oliguria and severe azotemia after two halothane anesthesia and without exposure to other hepatotoxic drugs or blood transfusions. She was treated with multiple hemodialysis and exchange blood transfusion. The combined treatment corrected the uremic abnormalities and improved her level of consciousness. The liver and kidney function gradually improved, and she made a complete recovery, the first recorded with hepatic and renal failure under these post-anesthetic conditions. Further evaluation of this combined treatment used for this patient is warranted. © 1974 The Japan Surgical Society

Quantum cat maps with spin 1/2

We derive a semiclassical trace formula for quantized chaotic transformations of the torus coupled to a two-spinor precessing in a magnetic field. The trace formula is applied to semiclassical correlation densities of the quantum map, which, according to the conjecture of Bohigas, Giannoni and Schmit, are expected to converge to those of the circular symplectic ensemble (CSE) of random matrices. In particular, we show that the diagonal approximation of the spectral form factor for small arguments agrees with the CSE prediction. The results are confirmed by numerical investigations.Comment: 26 pages, 3 figure

Quantisations of piecewise affine maps on the torus and their quantum limits

For general quantum systems the semiclassical behaviour of eigenfunctions in relation to the ergodic properties of the underlying classical system is quite difficult to understand. The Wignerfunctions of eigenstates converge weakly to invariant measures of the classical system, the so called quantum limits, and one would like to understand which invariant measures can occur that way, thereby classifying the semiclassical behaviour of eigenfunctions. We introduce a class of maps on the torus for whose quantisations we can understand the set of quantum limits in great detail. In particular we can construct examples of ergodic maps which have singular ergodic measures as quantum limits, and examples of non-ergodic maps where arbitrary convex combinations of absolutely continuous ergodic measures can occur as quantum limits. The maps we quantise are obtained by cutting and stacking

Social Preferences, Skill Segregation and Wage Dynamics

We study the earning structure and the equilibrium asignment of workers to firms in a model in which workers have social preferences, and skills are perfectly substitutable in production. Firms offer long-term contracts, and we allow for frictions in the labour market in the form of mobility costs. The model delivers specific predictions about the nature of worker flows, about the characteristic of workplace skill segregation, and about wage dispersion both within and cross firms. We shows that long-term contracts in the resence of social preferences associate within-firm wage dispersion with novel "internal labour market" features such as gradual promotions, productivity-unrelated wage increases, and downward wage flexibility. These three dynamic features lead to productivity-unrelated wage volatily within firms.Publicad

Risks, alternative knowledge strategies and democratic legitimacy: the conflict over co-incineration of hazardous industrial waste in Portugal.

The decision to incinerate hazardous industrial waste in cement plants (the socalled ‘co-incineration’ process) gave rise to one of the most heated environmental conflicts ever to take place in Portugal. The bitterest period was between 1997 and 2002, after the government had made a decision. Strong protests by residents, environmental organizations, opposition parties, and some members of the scientific community forced the government to backtrack and to seek scientific legitimacy for the process through scientific expertise. The experts ratified the government’s decision, stating that the risks involved were socially acceptable. The conflict persisted over a decade and ended up clearing the way for a more sustainable method over which there was broad social consensus – a multifunctional method which makes it possible to treat, recover and regenerate most wastes. Focusing the analysis on this conflict, this paper has three aims: (1) to discuss the implications of the fact that expertise was ‘confiscated’ after the government had committed itself to the decision to implement co-incineration and by way of a reaction to the atmosphere of tension and protest; (2) to analyse the uses of the notions of ‘risk’ and ‘uncertainty’ in scientific reports from both experts and counter-experts’ committees, and their different assumptions about controllability and criteria for considering certain practices to be sufficiently safe for the public; and (3) to show how the existence of different technical scientific and political attitudes (one more closely tied to government and the corporate interests of the cement plants, the other closer to the environmental values of reuse and recycling and respect for the risk perception of residents who challenged the facilities) is closely bound up with problems of democratic legitimacy. This conflict showed how adopting more sustainable and lower-risk policies implies a broader view of democratic legitimacy, one which involves both civic movements and citizens themselves

On the Computational Complexity of Measuring Global Stability of Banking Networks

Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current and past decade has shown that one important cause of instability in global markets is the so-called financial contagion, namely the spreading of instabilities or failures of individual components of the network to other, perhaps healthier, components. This leads to a natural question of whether the regulatory authorities could have predicted and perhaps mitigated the current economic crisis by effective computations of some stability measure of the banking networks. Motivated by such observations, we consider the problem of defining and evaluating stabilities of both homogeneous and heterogeneous banking networks against propagation of synchronous idiosyncratic shocks given to a subset of banks. We formalize the homogeneous banking network model of Nier et al. and its corresponding heterogeneous version, formalize the synchronous shock propagation procedures, define two appropriate stability measures and investigate the computational complexities of evaluating these measures for various network topologies and parameters of interest. Our results and proofs also shed some light on the properties of topologies and parameters of the network that may lead to higher or lower stabilities.Comment: to appear in Algorithmic