Spectra of Sparse Random Matrices

We compute the spectral density for ensembles of of sparse symmetric random matrices using replica, managing to circumvent difficulties that have been encountered in earlier approaches along the lines first suggested in a seminal paper by Rodgers and Bray. Due attention is payed to the issue of localization. Our approach is not restricted to matrices defined on graphs with Poissonian degree distribution. Matrices defined on regular random graphs or on scale-free graphs, are easily handled. We also look at matrices with row constraints such as discrete graph Laplacians. Our approach naturally allows to unfold the total density of states into contributions coming from vertices of different local coordination.Comment: 22 papges, 8 figures (one on graph-Laplacians added), one reference added, some typos eliminate

Disentangling Giant Component and Finite Cluster Contributions in Sparse Matrix Spectra

We describe a method for disentangling giant component and finite cluster contributions to sparse random matrix spectra, using sparse symmetric random matrices defined on Erdos-Renyi graphs as an example and test-bed.Comment: 7 pages, 2 multi-part figure

A Random Walk Perspective on Hide-and-Seek Games

We investigate hide-and-seek games on complex networks using a random walk framework. Specifically, we investigate the efficiency of various degree-biased random walk search strategies to locate items that are randomly hidden on a subset of vertices of a random graph. Vertices at which items are hidden in the network are chosen at random as well, though with probabilities that may depend on degree. We pitch various hide and seek strategies against each other, and determine the efficiency of search strategies by computing the average number of hidden items that a searcher will uncover in a random walk of $n$ steps. Our analysis is based on the cavity method for finite single instances of the problem, and generalises previous work of De Bacco et al. [1] so as to cover degree-biased random walks. We also extend the analysis to deal with the thermodynamic limit of infinite system size. We study a broad spectrum of functional forms for the degree bias of both the hiding and the search strategy and investigate the efficiency of families of search strategies for cases where their functional form is either matched or unmatched to that of the hiding strategy. Our results are in excellent agreement with those of numerical simulations. We propose two simple approximations for predicting efficient search strategies. One is based on an equilibrium analysis of the random walk search strategy. While not exact, it produces correct orders of magnitude for parameters characterising optimal search strategies. The second exploits the existence of an effective drift in random walks on networks, and is expected to be efficient in systems with low concentration of small degree nodes.Comment: 31 pages, 10 (multi-part) figure

Optimal trading strategies - a time series approach

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which - for a given return - is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data

A Structural Model for Fluctuations in Financial Markets

In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian motion model. It is formally equivalent to a model describing the stochastic dynamics of a system of analogue neurons, which is expected to exhibit glassy properties and thus many meta-stable states in a large portion of its parameter space. We perform a generating functional analysis, introducing a slow driving of the dynamics to mimic the effect of slowly varying macro-economic conditions. Distributions of asset returns over various time separations are evaluated analytically and are found to be fat-tailed in a manner broadly in line with empirical observations. Our model also allows to identify collective, interaction mediated properties of pricing distributions and it predicts pricing distributions which are significantly broader than their non-interacting counterparts, if interactions between prices in the model contain a ferro-magnetic bias. Using simulations, we are able to substantiate one of the main hypotheses underlying the original modelling, viz. that the phenomenon of volatility clustering can be rationalised in terms of an interplay between the dynamics within meta-stable states and the dynamics of occasional transitions between them.Comment: 16 pages, 8 (multi-part) figure