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Predictability on Complete Financial Markets

April 19, 2013 Comments (0)

The following fundamental properties are proved to be true if a financial market is exhaustive: (i) Every event which is measurable by the price history at time T is independent of G_t conditional on the current price history H_t, where G_t is a superset of H_t, (ii) every event which is measurable by G_t is independent of H_T conditional on H_t. These properties are especially useful for asset valuation, portfolio optimization and risk management. An exhaustive market with respect to {F_t} is...

A Model for Scaling in Firms' Size and Growth Rate Distribution

April 19, 2013 Comments (0)

We introduce a simple agent-based model which allows us to analyze three stylized facts: a fat-tailed size distribution of companies, a `tent-shaped' growth rate distribution, the scaling relation of the growth rate variance with firm size, and the causality between them. This is achieved under the simple hypothesis that firms compete for a scarce quantity (either aggregate demand or workforce) which is allocated probabilistically. The model allows us to relate size and growth rate...

Non-Stationarity in Financial Time Series and Generic Features

April 19, 2013 Comments (0)

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanics and thermodynamics. Nevertheless, we show that there are similar generic features which we uncover in the empirical return distributions for whole markets. We explain our...

Origins of power-law degree distribution in the heterogeneity of human activity in social networks

April 19, 2013 Comments (0)

The probability distribution of number of ties of an individual in a social network follows a scale-free power-law. However, how this distribution arises has not been conclusively demonstrated in direct analyses of people's actions in social networks. Here, we perform a causal inference analysis and find an underlying cause for this phenomenon. Our analysis indicates that heavy-tailed degree distribution is causally determined by similarly skewed distribution of human activity. Specifically,...

DELTACON: A Principled Massive-Graph Similarity Function

April 19, 2013 Comments (0)

How much did a network change since yesterday? How different is the wiring between Bob's brain (a left-handed male) and Alice's brain (a right-handed female)? Graph similarity with known node correspondence, i.e. the detection of changes in the connectivity of graphs, arises in numerous settings. In this work, we formally state the axioms and desired properties of the graph similarity functions, and evaluate when state-of-the-art methods fail to detect crucial connectivity changes in graphs. We...

If cooperation is likely punish mildly: Insights from economic experiments based on the snowdrift game

April 19, 2013 Comments (0)

Punishment may deter antisocial behavior. Yet to punish is costly, and the costs often do not offset the gains that are due to elevated levels of cooperation. However, the effectiveness of punishment depends not only on how costly it is, but also on the circumstances defining the social dilemma. Using the snowdrift game as the basis, we have conducted a series of economic experiments to determine whether severe punishment is more effective than mild punishment. We have observed that severe...

Socio-inspired ICT - Towards a socially grounded society-ICT symbiosis

April 11, 2013 Comments (0)

Modern ICT (Information and Communication Technology) has developed a vision where the "computer" is no longer associated with the concept of a single device or a network of devices, but rather the entirety of situated services originating in a digital world, which are perceived through the physical world. It is observed that services with explicit user input and output are becoming to be replaced by a computing landscape sensing the physical world via a huge variety of sensors, and controlling...

Are Friends Overrated? A Study for the Social News Aggregator Digg.com

April 11, 2013 Comments (0)

The key feature of online social networks (OSN) is the ability of users to become active, make friends and interact via comments, videos or messages with those around them. This social interaction is typically perceived as critical to the proper functioning of these platforms; therefore, a significant share of OSN research in the recent past has investigated the characteristics and importance of these social links, studying the networks' friendship relations through their topological...

Complexity Aided Design: the FuturICT Technological Innovation Paradigm

April 11, 2013 Comments (0)

"In the next century, planet earth will don an electronic skin. It will use the Internet as a scaffold to support and transmit its sensations. This skin is already being stitched together. It consists of millions of embedded electronic measuring devices: thermostats, pressure gauges, pollution detectors, cameras, microphones, glucose sensors, EKGs, electroencephalographs. These will probe and monitor cities and endangered species, the atmosphere, our ships, highways and fleets of trucks, our...

Introduction: The FuturICT Knowledge Accelerator Towards a More Resilient and Sustainable Future

April 11, 2013 Comments (0)

The FuturICT project is a response to the European Flagship Call in the Area of Future and Emerging Technologies, which is planning to spend 1 billion EUR on each of two flagship projects over a period of 10 years. FuturICT seeks to create an open, global but decentralized, democratically controlled information platform that will use online data and real-time measurements together with novel theoretical models and experimental methods to achieve a paradigm shift in our understanding of today's...