scholarly journals Understanding the Nature of the Long–Range Memory Phenomenon in Socio–Economic Systems

2021 ◽  
Author(s):  
Rytis Kazakevičius ◽  
Aleksejus Kononovicius ◽  
Bronislovas Kaulakys ◽  
Vygintas Gontis
Keyword(s):  
Financial Markets ◽  
Long Range ◽  
Markov Processes ◽  
Point Processes ◽  
Social Systems ◽  
Passage Time ◽  
Economic Systems ◽  
Gaussian Distributions ◽  
Stable Motion ◽  
The Face

In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long–range memory phenomenon in physical, economic, and other social complex systems. Our group has shown that the long–range memory phenomenon can be reproduced using various Markov processes, such as point processes, stochastic differential equations and agent–based models. Reproduced well enough to match other statistical properties of the financial markets, such as return and trading activity distributions and first–passage time distributions. Research has lead us to question whether the observed long–range memory is a result of actual long–range memory process or just a consequence of non–linearity of Markov processes. As our most recent result we discuss the long–range memory of the order flow data in the financial markets and other social systems from the perspective of the fractional Lèvy stable motion. We test widely used long-range memory estimators on discrete fractional Lèvy stable motion represented by the ARFIMA sample series. Our newly obtained results seem indicate that new estimators of self–similarity and long–range memory for analyzing systems with non–Gaussian distributions have to be developed.

scholarly journals Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems

Entropy ◽  
2021 ◽  
Vol 23 (9) ◽  
pp. 1125
Author(s):  
Rytis Kazakevičius ◽  
Aleksejus Kononovicius ◽  
Bronislovas Kaulakys ◽  
Vygintas Gontis
Keyword(s):  
Financial Markets ◽  
Long Range ◽  
Markov Processes ◽  
Point Processes ◽  
First Passage Time ◽  
Moving Average ◽  
Social Systems ◽  
Passage Time ◽  
Stable Motion ◽  
Non Gaussian

In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has shown that the long-range memory phenomenon can be reproduced using various Markov processes, such as point processes, stochastic differential equations, and agent-based models—reproduced well enough to match other statistical properties of the financial markets, such as return and trading activity distributions and first-passage time distributions. Research has lead us to question whether the observed long-range memory is a result of the actual long-range memory process or just a consequence of the non-linearity of Markov processes. As our most recent result, we discuss the long-range memory of the order flow data in the financial markets and other social systems from the perspective of the fractional Lèvy stable motion. We test widely used long-range memory estimators on discrete fractional Lèvy stable motion represented by the auto-regressive fractionally integrated moving average (ARFIMA) sample series. Our newly obtained results seem to indicate that new estimators of self-similarity and long-range memory for analyzing systems with non-Gaussian distributions have to be developed.

scholarly journals Long-Range Dependence in Financial Markets: A Moving Average Cluster Entropy Approach

Entropy ◽  
2020 ◽  
Vol 22 (6) ◽  
pp. 634 ◽  
Author(s):  
Pietro Murialdo ◽  
Linda Ponta ◽  
Anna Carbone
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Long Range ◽  
Financial Time Series ◽  
Moving Average ◽  
Social Systems ◽  
Long Run ◽  
Characteristic Behaviour ◽  
Correlation Parameters ◽  
Average Cluster

A perspective is taken on the intangible complexity of economic and social systems by investigating the dynamical processes producing, storing and transmitting information in financial time series. An extensive analysis based on the moving average cluster entropy approach has evidenced market and horizon dependence in highest-frequency data of real world financial assets. The behavior is scrutinized by applying the moving average cluster entropy approach to long-range correlated stochastic processes as the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Fractional Brownian motion (FBM). An extensive set of series is generated with a broad range of values of the Hurst exponent H and of the autoregressive, differencing and moving average parameters p , d , q . A systematic relation between moving average cluster entropy and long-range correlation parameters H, d is observed. This study shows that the characteristic behaviour exhibited by the horizon dependence of the cluster entropy is related to long-range positive correlation in financial markets. Specifically, long range positively correlated ARFIMA processes with differencing parameter d ≃ 0.05 , d ≃ 0.15 and d ≃ 0.25 are consistent with moving average cluster entropy results obtained in time series of DJIA, S&P500 and NASDAQ. The findings clearly point to a variability of price returns, consistently with a price dynamics involving multiple temporal scales and, thus, short- and long-run volatility components. An important aspect of the proposed approach is the ability to capture detailed horizon dependence over relatively short horizons (one to twelve months) and thus its relevance to define risk analysis indices.

Constructing the understanding of teenagers deviant use of cyberspace

2021 ◽  
pp. 002076402097579
Author(s):  
Manoj Kumar Sharma ◽  
Nitin Anand ◽  
Keshav Kumar ◽  
Rajkumar Lenin Singh ◽  
Pranjali Chakraborty Thakur ◽  
...  
Keyword(s):  
Sensation Seeking ◽  
Social Systems ◽  
Personality Factors ◽  
Internet Applications ◽  
Face To Face ◽  
Seeking Behavior ◽  
The Face ◽  
Use Of The Internet ◽  
Online Disinhibition ◽  
Use Of Internet

Cyberspace provides a completely different platform for the expression of one’s needs in comparison to the face-to-face world. The use of cyberspace by teenagers is becoming a major concern due to the emergence of engagement in deviant use of internet applications inclusive of engagement in sexting; excessive and addictive use of the internet, consumption of pornography, and as well as phenomena of internet chat rooms. The online disinhibition, anonymity, personality factors, sensation-seeking behavior, impulsivity, deviant socialization processes, and absence of social systems to educate adolescents about gender sensitivity and sex appear to predispose teenagers for indulgence in deviant usage of cyberspace. There is an urgent need to understand the factors related to deviant use of cyberspace and for offering programs for parents and adolescents on gender sensitivity, sexuality, sex, consent in relationships, and deviant use of internet applications. Such initiatives will help to offer opportunities for a corrective experience through appropriate socialization experiences and enhance cyberliteracy among children and adolescents.

scholarly journals Beyond Neo-liberalism: Research Policies and Society. The Case of Japan

2013 ◽  
Vol 29 (2) ◽  
pp. 58-78 ◽  
Author(s):  
Alain-Marc Rieu
Keyword(s):  
Large Scale ◽  
Social Systems ◽  
Qualitative Change ◽  
Economic Systems ◽  
Negative Effects ◽  
Science And Technology Policies ◽  
Systemic Crisis ◽  
Technology Policies ◽  
Industrial Societies

The idea of decoupling is playing a major role in various interpretations of the present systemic crisis. This crisis is understood as an effect of neo-liberal policies, which have revolutionized economic systems since the 1980s. Decoupling indicates a qualitative change in the level of autonomy of the economic sphere in industrial societies. But a new level of differentiation also generates various types of recoupling, new forms of integration, cooperation and regulation recomposing social systems at another level. The goal of this article is first to situate the idea of decoupling within its conceptual complex. Secondly, the ecological constraint is considered the source of this intense differentiation within social systems, which has intensified since the 1970s. Finally, based on the case of Japan, this paper explains why large-scale science and technology policies developed since the 1990s have to be understood as part of a recoupling process, a project to reconstruct and reach a social and economic coherence in the long term. Similar policies are now implemented by all major industrial nations. Such policies have the potential to overcome neo-liberalism's negative effects.

Identifying Coefficients in the Spectral Representation for First Passage Time Distributions

1987 ◽  
Vol 1 (1) ◽  
pp. 69-74 ◽  
Author(s):  
Mark Brown ◽  
Yi-Shi Shao
Keyword(s):  
Markov Processes ◽  
Time Distribution ◽  
Infinitesimal Generator ◽  
Spectral Representation ◽  
First Passage Time ◽  
Passage Time ◽  
Spectral Approach ◽  
Generator Matrix ◽  
Eigenvalues And Eigenvectors ◽  
First Passage

The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.

Advances in Fisheries Bioengineering

2008 ◽  
Author(s):  
Keyword(s):  
River Flow ◽  
Oncorhynchus Tshawytscha ◽  
Prolonged Exposure ◽  
Likelihood Function ◽  
Predictor Variable ◽  
Passage Time ◽  
Fish Length ◽  
River Temperature ◽  
Relative Contribution ◽  
The Face

<em>Abstract.</em>—Although many hydroelectric dams have fishways for upstream passage of migratory fish, passage delays often occur at these sites. Migrational delay may affect fish detrimentally in several ways, including depletion of energy reserves, suboptimal arrival timing at spawning sites, and prolonged exposure to hazardous conditions at the face of dams. We applied time-to-event analyses to passage times of radio-tagged adult Chinook salmon <em>Oncorhynchus tshawytscha </em>at four dams on the lower Columbia River, where many fish require several days to pass each dam. The analysis allowed us to determine instantaneous passage rates in response to fluctuating river conditions. By relating variability in passage rate to the predictor variables river temperature, river flow, and fish size, we determined the relative contribution of various factors to the passage time of migrating fish. We fit the model by maximizing the likelihood function that incorporated information from individuals rather than aggregated groups of fish. We used Akaike’s Information Criterion to distinguish among several competing models, each of which used a different predictor variable. We found that daytime passage rates were significantly greater than nighttime passage rates. Also, the influence of river flow, river temperature, and fish length on passage rates varied at the four dams. However, when a factor had a significant influence on passage time, the direction of the relationship was consistent across dams: river flow and fish length were positively related to passage time (greater values led to longer passage time), and river temperature was negatively related. This method is easily adaptable to study passage time of any fish population facing a broad range of obstacles to migration, whether natural or man-made.

Regulation and Regulators, 1993–2006

2020 ◽  
pp. 267-297
Author(s):  
Ranald C. Michie
Keyword(s):  
Financial Markets ◽  
Central Banks ◽  
Data Handling ◽  
Financial Systems ◽  
Settlement Systems ◽  
The Face ◽  
Implicit Belief ◽  
National Boundaries ◽  
Financial Transactions

By the 1990s the combination of internal deregulation and globalization led to a spectacular growth in the value of financial transactions both inside countries and across borders. There was a commensurate increase in pressure on payment and settlement systems to cope with the huge volume and variety of transactions. All this was of concern to those who regulated financial systems around the world. The speed and extent of the changes taking place, assisted by the advances made in the technology of communication and data handling, forced regulators to search for new ways of coping with the consequences, as the methods of the past were becoming inadequate. Globalization meant that national boundaries could no longer define the parameters within which financial systems operated, as all became integrated into international flows of short-term money and long-term finance. The complexities arose not only from the process of globalization and technological change but also from the disappearance of the barriers that had long separated different components within national financial systems. Rather than serving separate communities banks and financial markets increasingly competed with each other. In the face of these enormous changes regulators turned to the megabanks as a safe and secure way of monitoring and policing global financial markets. There was an implicit belief that the size and sophistication of these megabanks had made them to big to fail or even require the central banks to play a role as lenders of last resort.

Bringing women's livelihood and care perspectives into climate decision making.

2021 ◽  
pp. 196-210
Author(s):  
P. E. Perkins ◽  
B. Osman
Keyword(s):  
Climate Change ◽  
Decision Making ◽  
Multiple Scales ◽  
Policy Implications ◽  
Economic Systems ◽  
Social Resilience ◽  
Community Based ◽  
Address Climate Change ◽  
The Face ◽  
Climate Crisis

Abstract This chapter explores the livelihood and care implications of the climate crisis from a gendered viewpoint that includes the implications of this approach for climate decision making at multiple scales, from local to global. The focus is on grassroots political organizing, activism, and movements as well as women's community-based actions to (re)build social resilience in the face of climate chaos. Challenges and policy implications are discussed as governments struggle to meaningfully and equitably address climate change. Also highlighted are the transformational imperatives of care and livelihood priorities which cast into stark relief the unsustainability of the long-established gender inequities that serve as the foundation for economic systems everywhere.

Sign in / Sign up

Export Citation Format

Share Document