Evolutionary Dynamics and the Phase Structure of the Minority Game

We show that a simple evolutionary scheme, when applied to the minority game (MG), changes the phase structure of the game. In this scheme each agent evolves individually whenever his wealth reaches the specified bankruptcy level, in contrast to the evolutionary schemes used in the previous works. We show that evolution greatly suppresses herding behavior, and it leads to better overall performance of the agents. Similar to the standard non-evolutionary MG, the dependence of the standard deviation $\sigma$ on the number of agents $N$ and the memory length $m$ can be characterized by a universal curve. We suggest a Crowd-Anticrowd theory for understanding the effect of evolution in the MG.Comment: 4 pages and 3 figure

Scaling, clustering and dynamics of volatility in financial time series

Ph.DDOCTOR OF PHILOSOPH

Deep Dictionary Learning with An Intra-class Constraint

In recent years, deep dictionary learning (DDL)has attracted a great amount of attention due to its effectiveness for representation learning and visual recognition.~However, most existing methods focus on unsupervised deep dictionary learning, failing to further explore the category information.~To make full use of the category information of different samples, we propose a novel deep dictionary learning model with an intra-class constraint (DDLIC) for visual classification. Specifically, we design the intra-class compactness constraint on the intermediate representation at different levels to encourage the intra-class representations to be closer to each other, and eventually the learned representation becomes more discriminative.~Unlike the traditional DDL methods, during the classification stage, our DDLIC performs a layer-wise greedy optimization in a similar way to the training stage. Experimental results on four image datasets show that our method is superior to the state-of-the-art methods.Comment: 6 pages, 3 figures, 2 tables. It has been accepted in ICME202

Theory of the Three-Group Evolutionary Minority Game

Based on the adiabatic theory for the evolutionary minority game (EMG) that we proposed earlier[1], we perform a detail analysis of the EMG limited to three groups of agents. We derive a formula for the critical point of the transition from segregation (into opposing groups) to clustering (towards cautious behaviors). Particular to the three-group EMG, the strategy switching in the "extreme" group does not occur at every losing step and is strongly intermittent. This leads to an correction to the critical value of the number of agents at the transition, $N_c$. Our expression for $N_c$ is in agreement with the results obtained from our numerical simulations.Comment: 4 pages and 2 figure

Theory of Phase Transition in the Evolutionary Minority Game

We discover the mechanism for the transition from self-segregation (into opposing groups) to clustering (towards cautious behaviors) in the evolutionary minority game (EMG). The mechanism is illustrated with a statistical mechanics analysis of a simplified EMG involving three groups of agents: two groups of opposing agents and one group of cautious agents. Two key factors affect the population distribution of the agents. One is the market impact (the self-interaction), which has been identified previously. The other is the market inefficiency due to the short-time imbalance in the number of agents using opposite strategies. Large market impact favors "extreme" players who choose fixed strategies, while large market inefficiency favors cautious players. The phase transition depends on the number of agents ($N$), the reward-to-fine ratio ($R$), as well as the wealth reduction threshold ($d$) for switching strategy. When the rate for switching strategy is large, there is strong clustering of cautious agents. On the other hand, when $N$ is small, the market impact becomes large, and the extreme behavior is favored.Comment: 5 pages and 3 figure

Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the ``stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.Comment: 17 pages, 7 figure

Chinese word segmentation

Chinese word segmentation has been a very important research topic not only because it is usually the very first step for Chinese text processing, but also because its high accuracy is a prerequisite for a high performance Chinese text processing such as Chinese input, speech recognition, machine translation and language understanding, etc. This paper gives a review on the development of Chinese word segmentation techniques that have been applied to various applications on Chinese text processing. As the methodology varies in a very wide range according to its applications, in this paper it is viewed in terms of the knowledge resources on which segmentation methods based. We summarize the methods into two categories, that is, lexical knowledge based and linguistic knowledge based methods. 1

Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the ``stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.