Soft Matter and Complex Systems Seminar
sala 2.08, ul. Pasteura 5
2014-11-14 (09:30) 
Ryszard Kutner (ZFB IFD WF UW)
Socio- and econophysical version of two-dimensional three-state Potts model of cunning traders (spins)
Mateusz Denys, Tomasz Gubiec, and Ryszard Kutner
ZFB IFD WF UW
Abstract
Presentation of our refined socio-econophysic version of two-dimensional and three-state Potts model is a principal aim of this talk [1]. This model can be considered as a refined one as it takes into account the perfidious or cunning traders who transmit their opinions (or advices) to his nearest neighbors and simultaneously they are doing something quite opposite. For instance, the transmition of the advice `buy assets' can simultaneously accompany their selling. This model was used by us to the description of empirical data concerning the statistics of interoccurrence times between excessive losses, i. e., excessing some threshold of resistance from losses (in the commonly used Value-at-Risk analysis this threshold is simply called the `level of losses'). The analysis of losses and their risk is a central subject not only of the finance but also of the socio-economical sciences. Our results have a universal character in the sense that all of them are well described (to good approximation) by the Tsallis q-exponentials. Our model is the first microscopic one which gave so good agreement with empirical data and enabled the formulation by us the precise scientific project for the nearest future.
[1] M. Denys, T. Gubiec, and R. Kutner: `Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents', arXiv:1411.1689v1 [q-fin.ST], 5 Nov 2014; `Contributed talk' presented by PhD-student Mateusz Denys on the `Social Modeling and Simulations + Econophysics Colloquium 2014', Nichii Gakkan Kobe Port Island Center, Kobe, Japan 4-6 Nov. 2014.
ZFB IFD WF UW
Abstract
Presentation of our refined socio-econophysic version of two-dimensional and three-state Potts model is a principal aim of this talk [1]. This model can be considered as a refined one as it takes into account the perfidious or cunning traders who transmit their opinions (or advices) to his nearest neighbors and simultaneously they are doing something quite opposite. For instance, the transmition of the advice `buy assets' can simultaneously accompany their selling. This model was used by us to the description of empirical data concerning the statistics of interoccurrence times between excessive losses, i. e., excessing some threshold of resistance from losses (in the commonly used Value-at-Risk analysis this threshold is simply called the `level of losses'). The analysis of losses and their risk is a central subject not only of the finance but also of the socio-economical sciences. Our results have a universal character in the sense that all of them are well described (to good approximation) by the Tsallis q-exponentials. Our model is the first microscopic one which gave so good agreement with empirical data and enabled the formulation by us the precise scientific project for the nearest future.
[1] M. Denys, T. Gubiec, and R. Kutner: `Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents', arXiv:1411.1689v1 [q-fin.ST], 5 Nov 2014; `Contributed talk' presented by PhD-student Mateusz Denys on the `Social Modeling and Simulations + Econophysics Colloquium 2014', Nichii Gakkan Kobe Port Island Center, Kobe, Japan 4-6 Nov. 2014.