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BEGIN:VEVENT
DTSTAMP:20200402T193248Z
LAST-MODIFIED:20200331T184544Z
DTSTART:20200403T133000Z
DTEND:20200403T143000Z
UID:event2322@bu.edu
URL:http://physics.bu.edu/events/show/2322
SUMMARY:The Statistical Mechanics of Societies: Opinion Formation Dynamics
and Financial Markets
DESCRIPTION:Featuring Bernardo Zubillaga Herrera\, Boston University Physic
s Department\n\nPart of the PhD Final Oral Exams.\n\nThis work proposes a t
hree-state microscopic opinion formation model based on the stochastic dyna
mics of the three-state majority-vote model. In order to mimic the heteroge
neous compositions of societies\, the agent-based model considers two diffe
rent types of individuals: noise agents and contrarians. We propose an exte
nsion of the model for the simulation of the dynamics of financial markets.
\nAgents are represented as nodes in a network of interactions and they can
assume any of three distinct possible states (e.g. buy\, sell or remain in
active\, in a financial context). The time evolution of the state of an ag
ent is dictated by probabilistic dynamics that include both local and glob
al influences. A noise agent is subject to local interactions\, tending to
assume the majority state of its nearest neighbors with probability 1−q
(dissenting from it with a probability given by the noise parameter q). A c
ontrarian is subject to a global interaction with the society as a whole\,
tending to assume the state of the global minority of said society with
probability 1 − q (dissenting from it with probability q).\nThe stochasti
c dynamics are simulated on complex networks of different topolo-\n \n\n\n\
ngies\, including square lattices\, Barabási-Albert networks\, Erdös-Rén
yi random graphs and small-world networks built according to a link rewirin
g scheme.\nWe perform Monte Carlo simulations to study the second order pha
se transition of the system on small-world networks. We perform finite-size
scaling analysis and calculate the phase diagram of the system\, as well
as the standard critical exponents for different values of the rewiring pro
bability. We conclude that the rewiring of the lattice drives the system to
different universality classes than that of the three-state majority vote
model in a two-dimensional square lattice.\nThe model’s extension for fin
ancial markets exhibits the typical qualitative and quantitative features o
f real financial time series\, including heavy-tailed return dis- tribution
s\, volatility clustering and long-term memory for the absolute values of
the returns. The histograms of returns are fitted by means of coupled expon
ential dis- tributions\, quantitatively revealing transitions between lepto
kurtic\, mesokurtic and platykurtic regimes in terms of a nonlinear statist
ical coupling and a shape parameter which describe the complexity of the sy
stem.\n\n---\n\nJoin Zoom Meeting\nhttps://zoom.us/j/590832246\n\nMeeting I
D: 590 832 246
LOCATION: \, \,
STATUS:CONFIRMED
CLASS:PUBLIC
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