Models of Financial Markets with Extensive Participation Incentives

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with several attractor behaviors resembling those of real markets emerge, reflecting the roles played by the arbitrageurs and trendsetters, and including a phase with irregular price trends and positive sums. The positive-sumness of the players' wealths provides participation incentives for them. Evolution and the bid-ask spread provide mechanisms for the gain in wealth of both the players and market-makers. New players survive in the market if the evolutionary rate is sufficiently slow. We test the applicability of the model on real Hang Seng Index data over 20 years. Comparisons with other models show that our model has a superior average performance when applied to real financial data.Comment: 17 pages, 16 figure

Dynamic game of offending and law enforcement: a stochastic extension

This article provides an extension of the Fend-Feichtinger-Tragler dynamic game of offending and law enforcement to a stochastic framework. This allows the analysis to reflect actual crime statistics which displays randomness in its distribution. Stochastic paths of crimes are derived. The asymptotic stationary distribution of crime records is also obtained. © 2010 World Scientific Publishing Company.postprin

Autonomous frequency domain identification: Theory and experiment

The analysis, design, and on-orbit tuning of robust controllers require more information about the plant than simply a nominal estimate of the plant transfer function. Information is also required concerning the uncertainty in the nominal estimate, or more generally, the identification of a model set within which the true plant is known to lie. The identification methodology that was developed and experimentally demonstrated makes use of a simple but useful characterization of the model uncertainty based on the output error. This is a characterization of the additive uncertainty in the plant model, which has found considerable use in many robust control analysis and synthesis techniques. The identification process is initiated by a stochastic input u which is applied to the plant p giving rise to the output. Spectral estimation (h = P sub uy/P sub uu) is used as an estimate of p and the model order is estimated using the produce moment matrix (PMM) method. A parametric model unit direction vector p is then determined by curve fitting the spectral estimate to a rational transfer function. The additive uncertainty delta sub m = p - unit direction vector p is then estimated by the cross spectral estimate delta = P sub ue/P sub uu where e = y - unit direction vectory y is the output error, and unit direction vector y = unit direction vector pu is the computed output of the parametric model subjected to the actual input u. The experimental results demonstrate the curve fitting algorithm produces the reduced-order plant model which minimizes the additive uncertainty. The nominal transfer function estimate unit direction vector p and the estimate delta of the additive uncertainty delta sub m are subsequently available to be used for optimization of robust controller performance and stability

Optimal Resource Allocation in Random Networks with Transportation Bandwidths

We apply statistical physics to study the task of resource allocation in random sparse networks with limited bandwidths for the transportation of resources along the links. Useful algorithms are obtained from recursive relations. Bottlenecks emerge when the bandwidths are small, causing an increase in the fraction of idle links. For a given total bandwidth per node, the efficiency of allocation increases with the network connectivity. In the high connectivity limit, we find a phase transition at a critical bandwidth, above which clusters of balanced nodes appear, characterised by a profile of homogenized resource allocation similar to the Maxwell's construction.Comment: 28 pages, 11 figure

Optimal Location of Sources in Transportation Networks

We consider the problem of optimizing the locations of source nodes in transportation networks. A reduction of the fraction of surplus nodes induces a glassy transition. In contrast to most constraint satisfaction problems involving discrete variables, our problem involves continuous variables which lead to cavity fields in the form of functions. The one-step replica symmetry breaking (1RSB) solution involves solving a stable distribution of functionals, which is in general infeasible. In this paper, we obtain small closed sets of functional cavity fields and demonstrate how functional recursions are converted to simple recursions of probabilities, which make the 1RSB solution feasible. The physical results in the replica symmetric (RS) and the 1RSB frameworks are thus derived and the stability of the RS and 1RSB solutions are examined.Comment: 38 pages, 18 figure

Temporal Effects of Agent Aggregation in the Dynamics of Multiagent Systems

We propose a model of multiagent systems whose agents have a tendency to balance their decisions in time. We find phase transitions to oscillatory behavior, explainable by the aggregation of agents into two groups. On a longer time scale, we find that the aggregation of smart agents is able to explain the lifetime distribution of epochs to 8 decades of probability.Comment: 7 pages, 5 figure

Extreme enrichment in atmospheric 15N15N.

Molecular nitrogen (N2) comprises three-quarters of Earth's atmosphere and significant portions of other planetary atmospheres. We report a 19 per mil (‰) excess of 15N15N in air relative to a random distribution of nitrogen isotopes, an enrichment that is 10 times larger than what isotopic equilibration in the atmosphere allows. Biological experiments show that the main sources and sinks of N2 yield much smaller proportions of 15N15N in N2. Electrical discharge experiments, however, establish 15N15N excesses of up to +23‰. We argue that 15N15N accumulates in the atmosphere because of gas-phase chemistry in the thermosphere (>100 km altitude) on time scales comparable to those of biological cycling. The atmospheric 15N15N excess therefore reflects a planetary-scale balance of biogeochemical and atmospheric nitrogen chemistry, one that may also exist on other planets

Coverage versus supply cost in facility location:physics of frustrated spin systems

A comprehensive coverage is crucial for communication, supply, and transportation networks, yet it is limited by the requirement of extensive infrastructure and heavy energy consumption. Here, we draw an analogy between spins in antiferromagnet and outlets in supply networks, and apply techniques from the studies of disordered systems to elucidate the effects of balancing the coverage and supply costs on the network behavior. A readily applicable, coverage optimization algorithm is derived. Simulation results show that magnetized and antiferromagnetic domains emerge and coexist to balance the need for coverage and energy saving. The scaling of parameters with system size agrees with the continuum approximation in two dimensions and the tree approximation in random graphs. Due to frustration caused by the competition between coverage and supply cost, a transition between easy and hard computation regimes is observed. We further suggest a local expansion approach to greatly simplify the message updates which shed light on simplifications in other problems

Spontaneous phase oscillation induced by inertia and time delay

We consider a system of coupled oscillators with finite inertia and time-delayed interaction, and investigate the interplay between inertia and delay both analytically and numerically. The phase velocity of the system is examined; revealed in numerical simulations is emergence of spontaneous phase oscillation without external driving, which turns out to be in good agreement with analytical results derived in the strong-coupling limit. Such self-oscillation is found to suppress synchronization and its frequency is observed to decrease with inertia and delay. We obtain the phase diagram, which displays oscillatory and stationary phases in the appropriate regions of the parameters.Comment: 5 pages, 6 figures, to pe published in PR

Enhancing Transport Efficiency by Hybrid Routing Strategy

Traffic is essential for many dynamic processes on real networks, such as internet and urban traffic systems. The transport efficiency of the traffic system can be improved by taking full advantage of the resources in the system. In this paper, we propose a dual-strategy routing model for network traffic system, to realize the plenary utility of the whole network. The packets are delivered according to different "efficient routing strategies" [Yan, et al, Phys. Rev. E 73, 046108 (2006)]. We introduce the accumulate rate of packets, {\eta} to measure the performance of traffic system in the congested phase, and propose the so-called equivalent generation rate of packet to analyze the jamming processes. From analytical and numerical results, we find that, for suitable selection of strategies, the dual- strategy system performs better than the single-strategy system in a broad region of strategy mixing ratio. The analytical solution to the jamming processes is verified by estimating the number of jammed nodes, which coincides well with the result from simulation.Comment: 6 pages, 3 figure