Engineering topics
Stanley, H. Eugene
Publications and source records attributed to Stanley, H. Eugene.
Opinion dynamics in financial markets via random networks
We investigate financial market dynamics by introducing a heterogeneous agent-based opinion formation model. In this work, we organize individuals in a financial market according to their trading strategy, namely, whether they are noise traders or fundamentalists. The opinion of a local majority compels the market exchanging behavior of noise traders, whereas the global behavior of the market influences the decisions of fundamentalist agents. We introduce a noise parameter, q , to represent the level of anxiety and perceived uncertainty regarding market behavior, enabling the possibility of adrift financial action. We place individuals as nodes in an Erdös-Rényi random graph, where the links represent their social interactions. At any given time, individuals assume one of two possible opinion states ±1 regarding buying or selling an asset. The model exhibits fundamental qualitative and quantitative real-world market features such as the distribution of logarithmic returns with fat tails, clustered volatility, and the long-term correlation of returns. We use Student’s t distributions to fit the histograms of logarithmic returns, showing a gradual shift from a leptokurtic to a mesokurtic regime depending on the fraction of fundamentalist agents. Furthermore, we compare our results with those concerning the distribution of the logarithmic returns of several real-world financial indices.
Three-state majority-vote model on small-world networks
Abstract In this work, we study the opinion dynamics of the three-state majority-vote model on small-world networks of social interactions. In the majority-vote dynamics, an individual adopts the opinion of the majority of its neighbors with probability 1- q , and a different opinion with chance q , where q stands for the noise parameter. The noise q acts as a social temperature, inducing dissent among individual opinions. With probability p , we rewire the connections of the two-dimensional square lattice network, allowing long-range interactions in the society, thus yielding the small-world property present in many different real-world systems. We investigate the degree distribution, average clustering coefficient and average shortest path length to characterize the topology of the rewired networks of social interactions. By employing Monte Carlo simulations, we investigate the second-order phase transition of the three-state majority-vote dynamics, and obtain the critical noise $$q_c$$ q c , as well as the standard critical exponents $$\beta /\nu$$ β / ν , $$\gamma /\nu$$ γ / ν , and $$1/\nu$$ 1 / ν for several values of the rewiring probability p . We conclude that the rewiring of the lattice enhances the social order in the system and drives the model to different universality classes from that of the three-state majority-vote model in two-dimensional square lattices.
Three-State Majority-vote Model on Scale-Free Networks and the Unitary Relation for Critical Exponents
Abstract We investigate the three-state majority-vote model for opinion dynamics on scale-free and regular networks. In this model, an individual selects an opinion equal to the opinion of the majority of its neighbors with probability 1 − q , and different to it with probability q . The parameter q is called the noise parameter of the model. We build a network of interactions where z neighbors are selected by each added site in the system, a preferential attachment network with degree distribution k − λ , where λ = 3 for a large number of nodes N . In this work, z is called the growth parameter. Using finite-size scaling analysis, we obtain that the critical exponents $$\beta /\bar{\nu }$$ β / ν ¯ and $$\gamma /\bar{\nu }$$ γ / ν ¯ associated with the magnetization and the susceptibility, respectively. Using Monte Carlo simulations, we calculate the critical noise parameter q c as a function of z for the scale-free networks and obtain the phase diagram of the model. We find that the critical exponents add up to unity when using a special volumetric scaling, regardless of the dimension of the network of interactions. We verify this result by obtaining the critical noise and the critical exponents for the two and three-state majority-vote model on cubic lattice networks.
Dynamic behavior analysis of an internet flow interaction model under cascading failures
Not Available
Communities and regularities in the behavior of investment fund managers
We analyze a large microlevel dataset on the full daily portfolio holdings and exposures of 22 complex investment funds to shed light on the behavior of professional investment fund managers. We introduce a set of quantitative attributes that capture essential distinctive features of manager allocation strategies and behaviors. These characteristics include turnover, attitude toward hedging, portfolio concentration, and reaction to external events, such as changes in market conditions and flows of funds. We find the existence and stability of three main investment attitude profiles: conservative, reactive, and proactive. The conservative profile shows low turnover and resilience against external shocks; the reactive one is more prone to respond to market condition changes; and members of the proactive profile frequently adjust their portfolio allocations, but their behavior is less affected by market conditions. We find that exogenous shocks temporarily alter this configuration, but communities return to their original state once these external shocks have been absorbed and their effects vanish.
Social contagions with communication channel alternation on multiplex networks
Not Available
Extracting h-Backbone as a Core Structure in Weighted Networks
Determining the core structure of complex network systems allows us to simplify them. Using h -bridge and h -strength measurements in a weighted network, we extract the h -backbone core structure. We find that focusing on the h -backbone in a network allows greater simplification because it has fewer edges and thus fewer adjacent nodes. We examine three practical applications: the co-citation network in an information system, the open flight network in a social system, and coauthorship in network science publications.
Predicting epidemic threshold of correlated networks: A comparison of methods
Not Available
Effect of Strong Opinions on the Dynamics of the Majority-Vote Model
We study how the presence of individuals with strong opinions affects a square lattice majority-vote model with noise. In a square lattice network we perform Monte-Carlo simulations and replace regular actors σ with strong actors μ in a random distribution. We find that the value of the critical noise parameter q c is a decreasing function of the concentration r of strong actors in the social interaction network. We calculate the critical exponents β/ν, γ/ν, and 1/ν and find that the presence of strong actors does not change the Ising universality class of the isotropic majority-vote model.