Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Using a recently developed method of noise level estimation that makes use of properties of the coarse grained-entropy we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40 to 80 percent of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that implementation of a corresponding threshold investment strategy leads to positive returns for historical data.Comment: 6 pages, 1 figure, 1 table, Proceedings of the conference APFA4. See http://www.chaosandnoise.or

A threshold model of financial markets

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering

Key courses of academic curriculum uncovered by data mining of students' grades

Learning is a complex cognitive process that depends not only on an individual capability of knowledge absorption but it can be also influenced by various group interactions and by the structure of an academic curriculum. We have applied methods of statistical analyses and data mining (Principal Component Analysis and Maximal Spanning Tree) for anonymized students' scores at Faculty of Physics, Warsaw University of Technology. A slight negative linear correlation exists between mean and variance of course grades, i.e. courses with higher mean scores tend to possess a lower scores variance. There are courses playing a central role, e.g. their scores are highly correlated to other scores and they are in the centre of corresponding Maximal Spanning Trees. Other courses contribute significantly to students' score variance as well to the first principal component and they are responsible for differentiation of students' scores. Correlations of the first principal component to courses' mean scores and scores variance suggest that this component can be used for assigning ECTS points to a given course. The analyse is independent from declared curricula of considered courses. The proposed methodology is universal and can be applied for analysis of student's scores and academic curriculum at any faculty

Statistical analysis of 22 public transport networks in Poland

Public transport systems in 22 Polish cities have been analyzed. Sizes of these networks range from N=152 to N=2881. Depending on the assumed definition of network topology the degree distribution can follow a power law or can be described by an exponential function. Distributions of paths in all considered networks are given by asymmetric, unimodal functions. Clustering, assortativity and betweenness are studied. All considered networks exhibit small world behavior and are hierarchically organized. A transition between dissortative small networks N=500 is observed.Comment: 11 pages, 17 figures, 2 tables, REVTEX4 forma

Self-organized criticality in a model of collective bank bankruptcies

The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financial market. We recognize the power law distribution of contagion sizes in 3d- and 4d-networks as an indicator of SOC behavior. The SOC dynamics was not detected in 2d-lattices. The difference between 2d- and 3d- or 4d-systems is explained due to the percolation theory.Comment: For Int. J. Mod. Phys. C 13, No. 3, six pages including four figure