Predictability of Large Future Changes in a Competitive Evolving Population

Lamper, David; Howison, Sam; Johnson, Neil F.

doi:10.1103/physrevlett.88.017902

Cited by 75 publications

(59 citation statements)

References 16 publications

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“…Furthermore, we found other works which report the same effect for the prediction of avalanches in SOC-models (Shapoval and Shrirman, 2006) and in multi-agent games (Lamper et al, 2002). In we demonstrate that the quality of the prediction of increments is sensitively dependent on the probability distribution function (PDF) of the distribution of the underlying process.…”

Section: Introductionmentioning

confidence: 52%

How does the quality of a prediction depend on the magnitude of the events under study?

Hallerberg

Kantz

2008

Nonlin. Processes Geophys.

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Abstract. We investigate the predictability of extreme events in time series. The focus of this work is to understand, under which circumstances large events are better predictable than smaller events. Therefore we use a simple prediction algorithm based on precursory structures which are identified via the maximum likelihood principle. Using theses precursory structures we predict threshold crossings in autocorrelated processes of order one, which are either Gaussian, exponentially or Pareto distributed. The receiver operating characteristic curve is used as a measure for the quality of predictions we find that the dependence on the event magnitude is closely linked to the probability distribution function of the underlying stochastic process. We evaluate this dependence on the probability distribution function numerically and in the Gaussian case also analytically. Furthermore, we study predictions of threshold crossings in correlated data, i.e., velocity increments of a free jet flow. The velocity increments in the free jet flow are in dependence on the time scale either asymptotically Gaussian or asymptotically exponential distributed. If we assume that the optimal precursory structures are used to make the predictions, we find that large threshold crossings are for all different types of distributions better predictable. These results are in contrast to previous results, obtained for the prediction of large increments, which showed a strong dependence on the probability distribution function of the underlying process.

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Section: Introductionmentioning

confidence: 52%

How does the quality of a prediction depend on the magnitude of the events under study?

Hallerberg

Kantz

2008

Nonlin. Processes Geophys.

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“…[11] and implemented in many studies on market price dynamics Refs. [12][13][14]. The basic MG scheme consists in a repeated game where the players choose 1 out of 2 alternatives (buy or sell) at each time step based on past information, and the winning agents are those in the minority group.…”

Section: Multi-agent Based Modelingmentioning

confidence: 99%

Financial Symmetry and Moods in the Market

2014

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This paper studies how certain speculative transitions in financial markets can be ascribed to a symmetry break that happens in the collective decision making. Investors are assumed to be bounded rational, using a limited set of information including past price history and expectation on future dividends. Investment strategies are dynamically changed based on realized returns within a game theoretical scheme with Nash equilibria. In such a setting, markets behave as complex systems whose payoff reflect an intrinsic financial symmetry that guarantees equilibrium in price dynamics (fundamentalist state) until the symmetry is broken leading to bubble or anti-bubble scenarios (speculative state). We model such twophase transition in a micro-to-macro scheme through a Ginzburg-Landau-based power expansion leading to a market temperature parameter which modulates the state transitions in the market. Via simulations we prove that transitions in the market price dynamics can be phenomenologically explained by the number of traders, the number of strategies and amount of information used by agents, all included in our market temperature parameter.

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“…No entanto, na prática, ocorrem momentos de violação desta hipótese e surgem janelas preditivas. A engenharia reversa do Jogo de Minoria seria uma forma de identificar estes momentos em que o mercado se torna preditível [3,4].…”

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Engenharia reversa em Jogos de Minoria

Amaral¹,

Donadelli²,

Ferreira³

2017

Proceeding Series of the Brazilian Society of Computational and Applied Mathematics

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Resumo. Neste trabalho estamos interessados em descobrir as estratégias utilizadas por um conjunto de investidores que são recompensados por comprar quando a maioria esta vendendo e por vender quando a maioria esta comprando (lei da oferta e procura). As decisões de cada jogador são descrita por matrizes de estratégias num Jogo de Minoria. Chamamos de engenharia reversa o conjunto de procedimentos que permitem conhecer estas matrizes a partir do valor agregado das decisões individuais. Para encontrar tais matrizes implementamos dois algoritmos, um com a técnica conhecida por Algoritmos Genéticos e outro baseado em Programação Linear Inteira Mista. Também, a partir das matrizes foi possível selecionar os jogadores mais influentes. Infiltramos jogadores com essas estratégias mais influentes em um novo jogo e observamos resultados positivos em seus desempenhos.Palavras-chave. Jogos de Minoria, Algoritmos Genéticos, Programação Linear Inteira Mista, Engenharia Reversa. IntroduçãoO Jogo de Minoria foi proposto pelos físicos Yi-Cheng Zhang e Damien Challet em 1997 e, em suas muitas variantes,é um modelo simples que mostra como jogadores (egoístas) cooperam na ausência de comunicação. No jogo há um númeroímpar de jogadores os quais têm que escolher, baseados em uma estratégia, uma jogada individual dentre duas opções e de forma independente dos outros jogadores. As estratégias dos jogadores que optam pela jogada da minoria são recompensadas. Esse jogo ganhou muita popularidade como um modelo simples, mas realista, do funcionamento dos mercados financeiros [1,2].Sua notoriedade deve-se ao fato de ser um arcabouço teórico para muitas situações nas quais os retornos das ações de agentes num coletivo dependem das decisões dos outros agentes que enfrentam exatamente o mesmo problema. Isso ocorre, por exemplo, quando as empresas precisam escolher se querem entrar em um novo mercado, na possibilidade de investir em uma nova tecnologia, nos comerciantes que decidem quando comprar ou vender uma ação. Em tais situações os agentes têm tanto que coordenar quanto competir. 1 asamaral@pucsp.br 2 jair

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Predictability of Large Future Changes in a Competitive Evolving Population

Cited by 75 publications

References 16 publications

How does the quality of a prediction depend on the magnitude of the events under study?

How does the quality of a prediction depend on the magnitude of the events under study?

Financial Symmetry and Moods in the Market

Engenharia reversa em Jogos de Minoria

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