Engineering topics
Vilela, André L. M.
Publications and source records attributed to Vilela, André L. M..
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.