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

A cell lineage analysis of segmentation in the chick embryo

We have studied the lineage history of the progenitors of the somite mesoderm and of the neural tube in the chick embryo by injecting single cells with the fluorescent tracer, rhodamine-lysine-dextran. We find that, although single cells within the segmental plate give rise to discrete clones in the somites to which they contribute, neither the somites nor their component parts (sclerotome, dermatome, myotome or their rostral and caudal halves) are `compartments' in the sense defined in insects. Cells in the rostral two thirds or so of the segmental plate contribute only to somite tissue and divide about every 10 h, while those in the caudal portions of this structure contribute both to the somites and to intermediate and lateral plate mesoderm derivatives. In the neural tube, the descendants of individual prospective ventral horn cells remain together within the horn, with a cycle time of 10 h. We have also investigated the role of the cell division cycle in the formation and subsequent development of somites. A single treatment of 2-day chick embryos with heat shock or a variety of drugs that affect the cell cycle all produce repeated anomalies in the pattern of somites and vertebrae that develop subsequent to the treatment. The interval between anomalies is 6-7 somites (or a multiple of this distance), which corresponds to 10 h. This interval is identical to that measured for the cell division cycle. Given that cell division synchrony is seen in the presomitic mesoderm, we suggest that the cell division cycle plays a role in somite formation. Finally, we consider the mechanisms responsible for regionalization of derivatives of the somite, and conclude that it is likely that both cell interactions and cell lineage history are important in the determination of cell fates

Capacitance fluctuations causing channel noise reduction in stochastic Hodgkin-Huxley systems

Voltage-dependent ion channels determine the electric properties of axonal cell membranes. They not only allow the passage of ions through the cell membrane but also contribute to an additional charging of the cell membrane resulting in the so-called capacitance loading. The switching of the channel gates between an open and a closed configuration is intrinsically related to the movement of gating charge within the cell membrane. At the beginning of an action potential the transient gating current is opposite to the direction of the current of sodium ions through the membrane. Therefore, the excitability is expected to become reduced due to the influence of a gating current. Our stochastic Hodgkin-Huxley like modeling takes into account both the channel noise -- i.e. the fluctuations of the number of open ion channels -- and the capacitance fluctuations that result from the dynamics of the gating charge. We investigate the spiking dynamics of membrane patches of variable size and analyze the statistics of the spontaneous spiking. As a main result, we find that the gating currents yield a drastic reduction of the spontaneous spiking rate for sufficiently large ion channel clusters. Consequently, this demonstrates a prominent mechanism for channel noise reduction.Comment: 18 page

On the lease rate, convenience yield and speculative effects in the gold futures market

By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama & French (1983). Using the latter quantity, we study the relationship between gold leasing and the level of COMEX discretionary inventory and exhibit that lease rates are negatively related to inventories. We also show that Futures prices have increasingly exceeded forward prices over the period, and this effect increases with the speculative pressure and the maturity of the contracts

Debates: Does Information Theory Provide a New Paradigm for Earth Science? Emerging Concepts and Pathways of Information Physics

Entropy and Information are key concepts not only in Information Theory but also in Physics: historically in the fields of Thermodynamics, Statistical and Analytical Mechanics, and, more recently, in the field of Information Physics. In this paper we argue that Information Physics reconciles and generalizes statistical, geometric, and mechanistic views on information. We start by demonstrating how the use and interpretation of Entropy and Information coincide in Information Theory, Statistical Thermodynamics, and Analytical Mechanics, and how this can be taken advantage of when addressing Earth Science problems in general and hydrological problems in particular. In the second part we discuss how Information Physics provides ways to quantify Information and Entropy from fundamental physical principles. This extends their use to cases where the preconditions to calculate Entropy in the classical manner as an aggregate statistical measure are not met. Indeed, these preconditions are rarely met in the Earth Sciences due either to limited observations or the far-from-equilibrium nature of evolving systems. Information Physics therefore offers new opportunities for improving the treatment of Earth Science problems.info:eu-repo/semantics/publishedVersio

An archival case study : revisiting the life and political economy of Lauchlin Currie

This paper forms part of a wider project to show the significance of archival material on distinguished economists, in this case Lauchlin Currie (1902-93), who studied and taught at Harvard before entering government service at the US Treasury and Federal Reserve Board as the intellectual leader of Roosevelt's New Deal, 1934-39, as FDR's White House economic adviser in peace and war, 1939-45, and as a post-war development economist. It discusses the uses made of the written and oral material available when the author was writing his intellectual biography of Currie (Duke University Press 1990) while Currie was still alive, and the significance of the material that has come to light after Currie's death

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

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

Farmland Prices: Is This Time Different?

The historical behavior of farmland prices, rental rates, and rates of return are examined by treating farmland as an asset with an infinitely long life. It is found that high (low) farmland prices relative to rents have historically preceded extended periods of low (high) net rates of return, rather than greater (smaller) growth in rents. Our analysis shows that this attribute is shared with stocks and housing, and the financial literature provides ample evidence that other assets feature it as well. The long-run relationship linking farmland prices, rents, and rates of return is analyzed. Based on this relationship, we conclude that recent trends are unlikely to be sustainable. The study explores the expected paths that farmland prices and rates of return might follow if they were to eventually conform to the average values observed in the historical sample, and concludes with a discussion of the policy implications. Recommendations for policy makers include close monitoring of farmland lending practices and institutions to allow early identification of potential problems, and identifying in advance appropriate interventions in case recent farmland market trends were to suddenly change