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Memory effects in stock price dynamics: evidences of technical trading

October 26, 2011 Comments (0)

Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used because they cannot be profitable. On the contrary it is well-known that technical traders exist and operate on different time scales. In this paper we investigate if technical trading produces detectable signals in price time series and if some kind of memory...

Positive words carry less information than negative words

October 26, 2011 Comments (0)

We show that the frequency of word use is not only determined by the word length [1 7f4 ] and the average information content [2], but also by its emotional content.We have analysed three established lexica of affective word usage in English, German, and Spanish, to verify that these lexica have a neutral, unbiased, emotional content. Taking into account the frequency of word usage, we find that words with a positive emotional content are more frequently used. This lends support to Pollyanna...

Removing spurious interactions in complex networks

October 26, 2011 Comments (0)

Identifying and removing spurious links in complex networks is a meaningful problem for many real applications and is crucial for improving the reliability of network data, which in turn can lead to a better understanding of the highly interconnected nature of various social, biological and communication sys 667 tems. In this work we study the features of different simple spurious link elimination methods, revealing that they may lead to the distortion of networks' structural and dynamical...

Continuous transition of social efficiencies in the stochastic strategy Minority Game

October 26, 2011 Comments (0)

We show that in a variant of the Minority Game problem, the agents can reach a state of maximum social efficiency, where the fluctuation between the two choices is minimum, by following a simple stochastic strategy. By imagining a social scenario where the agents can only guess about the number of excess people in the majority, we show that as long as the guess value is sufficiently close to the reality, the system can reach a state of full efficiency or minimum fluctuation. A continuous...

Market inefficiency identified by both single and multiple currency trends

October 17, 2011 Comments (0)

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3 (2003) C75-C77]. We analyze the local trends which are of the main focus of the technical analysis. In this article we introduced various statistical quantities examining role of single temporal discretized trend or multitude of trends corresponding to...

Price impact asymmetry of institutional trading in Chinese stock market

October 17, 2011 Comments (0)

The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown t 7e7 rends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks institutional sales have a larger price impact than institutional purchases, and larger impact of institutional...

Information Transfer in Social Media

October 17, 2011 Comments (0)

Recent research has explored the increasingly important role of social media by examining the dynamics of individual and group behavior, characterizing patterns of information diffusion, and identifying influential individuals. In this paper we suggest a measure of causal relationships between nodes based on the information-theoretic notion of transfer entropy, or information transfer. This theor 733 etically grounded measure is based on dynamic information, captures fine-grain notions of...

Discovering Emerging Topics in Social Streams via Link Anomaly Detection

October 17, 2011 Comments (0)

Detection of emerging topics are now receiving renewed interest motivated by the rapid growth of social networks. Conventional term-frequency-based approaches may not be appropriate in this context, because the information exchanged are not only texts but also images, URLs, and videos. We focus on the social aspects of theses networks. That is, the links between users that are generated dynamically intentionally or unintentionally through replies, mentions, and retweets. We propose a...

Networks and Networking - A Statistical Physics Perspective

October 17, 2011 Comments (0)

Efficient net abb working in communication systems, both wired and wireless, has a substantial economic and societal impact. While communication networks become increasingly more complex, the ever increasing demand for higher transmission volume, quality of service, robustness and reduced energy consumption require new tools and methods to meet these conflicting pressures. The new methodology should serve for gaining better understanding of the properties of these networks at the macroscopic...

Statistical physics applied to stone-age civilization

October 17, 2011 Comments (0)

About 45,000 years ago, symbolic and technological complexity of human artefacts increased drastically. Computer simulations of Powell, Shennan and Thomas (2009) explained it through an increase of the population density, facilitating the spread of information about useful innovations. We simplify this demographic model and make it more similar to standard physics models. For this purpose, we assume that bands (extended families) of stone-age humans were distributed randomly on a square lattice...