摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291636

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

A new type of neural network is proposed. In a system, which consists of one host network and three terminal networks, the associative memory problem is investigated. In each network different patterns are stored. It is shown that each network can retrieve the patterns stored in other networks, and the terminal networks exhibit synchronized behavior. The time evolution and the mechanism of retrieval investigated. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291637

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

A new model of neural network is proposed and applied to the traveling salesman problem with 10 cities. It is shown that the network can find the shortest path in the ratio of 100&percent; without being trapped in any local minima. The mechanism is investigated. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291638

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291639

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291640

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

Physicists in the last few years have started applying concepts and methods of statistical physics to understand economic phenomena. The word “econophysics” is sometimes used to refer to this work. One reason for this interest is the fact that Economic systems such as financial markets are examples of complex interacting systems for which a huge amount of data exist and it is possible that economic problems viewed from a different perspective might yield new results. This article reviews the results of a few recent phenomenological studies focused on understanding the distinctive statistical properties of financial time series. We discuss three recent results—(i)The probability distribution of stock price fluctuations:Stock price fluctuations occur in all magnitudes, in analogy to earthquakes—from tiny fluctuations to very drastic events, such as market crashes, eg., the crash of October 19th 1987, sometimes referred to as “Black Monday”. The distribution of price fluctuations decays with a power-law tail well outside the Le´vy stable regime and describes fluctuations that differ by as much as 8 orders of magnitude. In addition, this distribution preserves its functional form for fluctuations on time scales that differ by 3 orders of magnitude, from 1 min up to approximately 10 days. (ii)Correlations in financial time series:While price fluctuations themselves have rapidly decaying correlations, the magnitude of fluctuations measured by either the absolute value or the square of the price fluctuations has correlations that decay as a power-law and persist for several months. (iii)Correlations among different companies:The third result bears on the application of random matrix theory to understand the correlations among price fluctuations of any two different stocks. From a study of the eigenvalue statistics of the cross-correlation matrix constructed from price fluctuations of the leading 1000 stocks, we find that the largest 5–10&percent; of the eigenvalues and the corresponding eigenvectors show systematic deviations from the predictions for a random matrix, whereas the rest of the eigenvalues conform to random matrix behavior—suggesting that these 5–10&percent; of the eigenvalues contain system-specific information about correlated behavior. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291641

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

The economics of information covers a wide range of topics such as insurance, stochastic equilibria, the theory of finance (e.g. option pricing), job search, etc. In this paper, we focus on an economic model in which traders are uncertain about the true characteristics of commodities and know only the probability distributions of those characteristics. The traders acquire information on those characteristics via the actual consumption in the past and are allowed to exchange the information among themselves prior to the forthcoming trade. Though optimal consumption at the preceding trade generally alters optimal consumption at the succeeding trade, it may happen that they both coincide. We call this particular type of optimal consumption an information stable equilibrium (ISE). At an ISE, the traders gain no additional information from consumption, which is significant enough to revise their optimal choice at the succeeding trade. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291642

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

We present our competing shares financial market model and describe it’s behavior by numerical simulation. We show that in the critical region the distribution avalanches of the market value as defined in this model has a power-law distribution with exponent around 2.3. In this region the price returns distribution is truncated Levy stable. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291643

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

We consider a dynamical model of trading agents in which the flows of cash and goods among a large number of agents are treated as explicit variables. Each agent’s assets and individual price setting, as well as their averages over the entire trading system are traced as outputs for a long time period. We have observed that the time series of the average price exhibit two different types of oscillatory patterns, depending on the regions in the parameter space. The first type (C-type) stays chaotic throughout the period of the simulation and the second type (P-type) shifts the pattern from chaotic to periodic in the course of trading activity. The latter case accompanies the gradual loss of active agents and eventually fall into periodic motions of a small number of naturally-formed groups in which a number of agents move identically, as if the entire system tunes itself to a synchronized motion. Also the statistical property of the latter case (P-type) can be regarded as Le´vy’s stable distribution, while the former case (C-type) is more like Gaussian. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291644

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

This paper considers a market in which shares of a holding company is traded by agents of many types. The market behavior is examined by regarding clusters of agents by types as random combinatorial partitions of agents by types. The equilibrium distribution is known to be the Ewens sampling formula. The paper examines the situations in which two types of agents dominate in the markets by using the marginal distribution for the two largest fractions of agent types. The returns are conjectured to obey a power-law. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291645

出版商:AIP    

年代:1900

数据来源: AIP