Research Council of Lithuania has announced a call for applications for students’ research practice in Lithuania in summer of 2013. The contributors towards Physics of Risk website, dr. (HP) Vygintas Gontis and PhD student Aleksejus Kononovičius, offer two topics for the research practice. The offered topics are mainly based on the following topics, previously published on this website:
More information is available from the Research Council of Lithuania website (see the call here) and from the portal dedicated to the project “Promotion of Students’ Scientific Activities” (see here).
Topic: “Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance”
Speaker: dr. Vygintas Gontis
Briefly: The talk will be focused on the agent-based and stochastic modelling done by the Department of the Theory of Processes and Structures of the VU ITPA.
When? 6th of November, 17:00.
Where? VU Faculty of Mathematics and Informatics (Naugarduko g. 24, Vilnius), 400 auditorium.
Organized by: Department of the Mathematical Analysis of the VU MIF.
Topic: “Physics is not a risk: Brief introduction into the Physics of Risk”
Speaker: Aleksejus Kononovičius
Briefly: Social sciences have accomplished many different things. Yet it should be evident that there is a place for improvements – to look into the old and new social problems a bit differently. As many of the social problems are strongly non-linear and very complex, the physicists’ point of view is very useful. This, new, point of view is known as Physics of Risk.
When? 18th of October, 17:00.
Where? VU Faculty of Physics (Saulėtekio al. 9, III rūmai, Vilnius), 201 auditorium.
Organized by: VU Faculty of Physics Students Scientific Association.
Facebook event: here.
Slides: download (in Lithuanian).
EURO 2012 starts next week in Vilnius! EURO 2012, European Conference on Operational Research, is huge scientific event popular both among scientists and businessmen. Operational research tackles very challenging, and thus scientifically interesting, and highly applicable topics. Some of these topics overlap with the ones we discuss here on Physics of Risk – financial market modelling, risk management and analysis, decision making. Many reports will also consider logistics, optimization and network analysis.
On of our authors will join numerous scientists from Lithuania and abroad giving talks in the conference. On Monday, the 9th of July, he will give a talk on “Herding behavior of agents as a background of financial fluctuations”, Our works on the applications of Kirman model will be the key point of the talk.
Read more on the conference website: euro-2012.lt.
In February and Match three very important conference to the econophysicists were held: “Unsolved Problems on Noise”, “Verhandlungen DPG” and “Open Readings” (lt. “Laisvieji skaitymai”). Our B. Kaulakys, V. Gontis, A. Kononovičius, P. Purlys and R. Kazakevičius have given oral and poster presentations at these conference. Presentations were mostly concerned with our newest achievements in the applications of Kirman model and burst statistics. Continue reading “February and March active time for econophysicists” »
In the last year we have already written that work in the context of Physics of Risk provides varying insights into very different complex systems. The previous article 1 contained brief review of Physics of Risk platform and discussions on some of the models published using it. This article received great response and was even awarded the Best Paper Award by the publisher IARIA. Continue reading “IARIA publication reviewing our different research directions” »
One of the conclusions of fractal geometry is a fact that fractals unlike traditional Euclidean shapes lack characteristic scale. Those “fractured” objects are self-similar – defining geometry is clearly visible on multitude of scales. It is known that self-similarity is observed not only in formally defined geometric objects, such as Sierpinsky triangle or Koch snowflake, but also in the surrounding nature. One of my most favorite examples is a comparison of tree, its branches and a leaf (for more inspiring examples see introduction of Fractals section) – they all have branching structure and something green filling the extra space in between.
The interesting thing, in context of the topic in focus, is that one can extend fractal formalism beyond formal or natural geometric shapes. It is also noticed that some of the natural processes exhibit fractal features in their time series! It is known that geoelectrical processes 1, heartbeat 2 and even human gait 3 time series posses this feature. While financial market, frequently analyzed on Physics of Risk website, time series are also no exception 4, 5. Though the aforementioned time series are much more complex – they exhibit not monofractality (single manner self-similar behavior as the aforementioned formal geometric fractals do), but multifractality! Continue reading “Multifractality of time series” »
As we have seen previously application of the original Kirman’s model enables reproduction of single power law spectral density 1. While actual financial markets and sophisticated stochastic models 2 have double power law spectral density – i. e. fractured spectral density. Thus it would be nice to obtain fracture of spectral density by improving application of Kirman’s agent based model towards financial markets. Continue reading “Three group Kirman’s agent based model for financial markets” »
Kirman’s ant colony model, previously presented on our website as agent based (based on 1) and stochastic (based on 2, 3) model, has become classical example of herding modeling. Application of this model towards economic, financial or other social scenarios might seem doubtful as human society is far more complex than ant colony, but methodologically it is more useful to start from very simple and stylized model and later add complexity on top of it. Furthermore we have already shown that Kirman’s herding dynamics could be applicable in agent based marketing (see comparison of Kirman’s and Bass diffusion model). In this text we will consider financial market scenario and obtain stochastic differential equations similar to the existing stochastic models considered in 4, 5. Continue reading “Agent based herding model of financial markets” »
Working on Physics of Risk is very interesting and useful experience. This experience provides valuable insights into the mechanics behind various complex systems, well modeled by macroscopic models. Using our experience we are able to obtain qualitative and quantitative agreements between varying models. In our newest publication 1 we have used one-step formalism 2 to obtain macroscopic treatments of Kirman model 3.
Continue reading “Agent-based versus macroscopic modeling of competition and business processes in economics” »