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Complexity Digest wrote a new blog post titled Estimating savings in parking demand whem using shared vehicles for home-work commuting
The increasing availability and adoption of shared vehicles as an alternative to personally-owned cars presents ample opportunities for achieving more efficient transportation in cities. With private cars spending on the average over 95\% of the time parked, one of the possible benefits of shared mobility is the reduced need for parking space. While widely discussed, a systematic quantification of these benefits as a function of mobility demand and sharing models is still mostly lacking in the literature. As a first step in this direction, this paper focuses on a type of private mobility...
3 hours ago
Complexity Digest wrote a new blog post titled Call for Postdoctoral position in Data Science at Central European University
The Intellectual Theme Initiative “Just data” at Central European University is looking for an exceptional candidate to fill one open postdoctoral position in data science, broadly defined. The research will be conducted with the research group directed by Prof. Roberta Sinatra and Prof. Michael Szell, with unique opportunities for collaborations with other excellent faculty at Central European University. The group currently focuses on quantitative projects at the boundary of computational social science and network science, including science of science, social dynamics, urban...
4 hours ago
Complexity Digest wrote a new blog post titled Underwater robots monitor Venice lagoon
Robust and flexible, the robots are designed to talk and listen to each other and to develop as a “self-organizing underwater swarm”, using bio-inspired algorithms influenced by nature. Source:
4 hours ago
The Reformed Broker wrote a new blog post titled No Talent
you gotta shoot your shot and hope it lands. ...
4 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Information measure for financial time series: quantifying short-term market heterogeneity. (arXiv:1710.07331v1 [q-fin.ST])
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to their size to form a probability distribution function and finally fed in the expression of the Shannon entropy. In this work, such entropy measure is implemented on the time series of prices and volatilities of six financial markets. The analysis has been performed, on tick-by-tick data sampled every minute for six years of data from 1999 to 2004,...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Frequency Based Index Estimating the Subclusters' Connection Strength. (arXiv:1710.07340v1 [stat.ML])
In this paper, a frequency coefficient based on the Sen-Shorrocks-Thon (SST) poverty index notion is proposed. The clustering SST index can be used as the method for determination of the connection between similar neighbor sub-clusters. Consequently, connections can reveal existence of natural homogeneous. Through estimation of the connection strength, we can also verify information about the estimated number of natural clusters that is necessary assumption of efficient market segmentation and campaign management and financial decisions. The index can be used as the complementary tool for...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures. (arXiv:1710.07470v1 [q-fin.ST])
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ and Bollinger bands into stationary processes and investigate the profitability of these trading rules by using 3 high-frequency data(15s,30s and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st 2016. Several performance and risk measures are adopted to assess the practical value of all trading rules directly while ADF-test is used...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A regularity structure for rough volatility. (arXiv:1710.07481v1 [q-fin.PR])
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture parsimoniously key stylized facts of the entire implied volatility surface, including extreme skews that were thought to be outside the scope of stochastic volatility. On the mathematical side, Markovianity and, partially, semi-martingality are lost. In this paper we show that Hairer's regularity structures, a major extension of rough path theory, which caused a...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Multilevel estimation of expected exit times and other functionals of stopped diffusions. (arXiv:1710.07492v1 [math.NA])
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an $\varepsilon$ root-mean-square error is $O(\varepsilon^{-2}\, |\!\log \varepsilon|^3)$.
18 hours ago
Complexity Digest wrote a new blog post titled The future of work
Robots did not write this sentence, or any other part of Nature. But that could change. Dramatic shifts in labour are reshaping society, the environment and the political landscape. Consider this disorienting estimate from the World Economic Forum: 65% of children entering primary schools now will grow up to work in jobs that do not yet exist. This week, Nature asks: what light is research shedding on the future of work, and how will the changes affect scientists’ working world? Source:
23 hours ago
Econometrics Beat wrote a new blog post titled Another Shout-Out for The Replication Network
Replication in empirical economics is vitally important, and I'm delighted to be a member of The Replication Network. I've mentioned this group in previous blog posts - for instance, here and here. The list of members of TRN continues to grow - why not consider becoming a member your self? Here's the link that you need to do so.  The TRN website includes some excellent guest blog posts, the latest of which is about a new journal dedicated to the replication of economic research. The post...
Complexity Digest wrote a new blog post titled Introduction to Focus Issue: Complex Cardiac Dynamics
Even after over a century of active research, the heart continues to reveal new complexities in behavior and remains difficult to understand fully. Multi-scale dynamics ranging from cellular and subcellular behavior to chambers of the heart and the full organ make analysis complicated. In addition, different types of heart functions, including electrical wave signaling, mechanical contraction, and blood flow, present separate challenges. Theory, numerical modeling, and experiments provide different contributions to our understanding of cardiac processes and behavior. This Focus Issue includes...
2 days ago
Complexity Digest wrote a new blog post titled Compressibility, laws of nature, initial conditions and complexity
We critically analyse the point of view for which laws of nature are just a mean to compress data. Discussing some basic notions of dynamical systems and information theory, we show that the idea that the analysis of large amount of data by means of an algorithm of compression is equivalent to the knowledge one can have from scientific laws, is rather naive. In particular we discuss the subtle conceptual topic of the initial conditions of phenomena which are generally incompressible. Starting from this point, we argue that laws of nature represent more than a pure compression of data, and...
2 days ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it:...
2 days ago
Complexity Digest wrote a new blog post titled Identifying Self-Organization and Adaptability in Complex Adaptive Systems
Self-organization and adaptability are critical properties of complex adaptive systems (CAS), and their analysis provides insight into the design of these systems, consequently leading to real-world advancements. However, these properties are difficult to analyze in real-world scenarios due to performance constraints, metric design, and limitations in existing modeling tools. Several metrics have been proposed for their identification, but metric effectiveness under the same experimental settings has not been studied before. In this paper we present an observation tool, part of a complex...
3 days ago
Complexity Digest wrote a new blog post titled The misleading narrative of the canonical faculty productivity trajectory
Scholarly productivity impacts nearly every aspect of a researcher’s career, from their initial placement as faculty to funding and tenure decisions. Historically, expectations for individuals rely on 60 years of research on aggregate trends, which suggest that productivity rises rapidly to an early-career peak and then gradually declines. Here we show, using comprehensive data on the publication and employment histories of an entire field of research, that the canonical narrative of “rapid rise, gradual decline” describes only about one-fifth of individual faculty, and the...
3 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
General Electric will be relevant again, just not this year: Trader from CNBC. The homebuilder Citi says to buy…and the name investors should avoid from CNBC. Texas Instruments, Nvidia, Cisco & Regional Banks from CNBC....
3 days ago
Complexity Digest wrote a new blog post titled Network control principles predict neuron function in the Caenorhabditis elegans connectome
Recent studies on the controllability of complex systems offer a powerful mathematical framework to systematically explore the structure–function relationship in biological, social, and technological networks1, 2, 3. Despite theoretical advances, we lack direct experimental proof of the validity of these widely used control principles. Here we fill this gap by applying a control framework to the connectome of the nematode Caenorhabditis elegans4, 5, 6, allowing us to predict the involvement of each C. elegans neuron in locomotor behaviours. We predict that control of the muscles or...
3 days ago
Complexity Digest wrote a new blog post titled Mastering the game of Go without human knowledge
A long-standing goal of artificial intelligence is an algorithm that learns, tabula rasa, superhuman proficiency in challenging domains. Recently, AlphaGo became the first program to defeat a world champion in the game of Go. The tree search in AlphaGo evaluated positions and selected moves using deep neural networks. These neural networks were trained by supervised learning from human expert moves, and by reinforcement learning from self-play. Here we introduce an algorithm based solely on reinforcement learning, without human data, guidance or domain knowledge beyond game rules. AlphaGo...
3 days ago
Complexity Digest wrote a new blog post titled Interview about the Conference on Complex Systems 2017
In this episode, Haley interviews Dr. Carlos Gershenson who is a research professor, Editor-in-Chief of Complexity Digest, and a Co-Chair member of the Conference on Complex Systems. Dr. Gershenson discusses this year’s conference and how it is relevant to events happening in the world today. He also shares details about next year’s Conference on Complex Systems. Source:
3 days ago