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  • 1. Aurell, Erik
    et al.
    Baviera, R.
    Hammarlid, O.
    Serva, M.
    Vulpiani, A.
    Growth optimal investment and pricing of derivatives2000In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 280, no 04-mar, p. 505-521Article in journal (Refereed)
    Abstract [en]

    We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. tinder the assumptions of no trading costs, and no restrictions on lending, we find an appropriate equivalent martingale measure that prices the underlying and the derivative security. We compare our result with other alternative pricing procedures in the literature, and discuss the limits of validity of the lognormal approximation. We also generalize the pricing method to a market with correlated stocks. The expected estimation error of the optimal investment fraction is derived in a closed form, and its validity is checked with a small-scale empirical test.

  • 2. Ghoshal, G.
    et al.
    Holme, Petter
    Attractiveness and activity in Internet communities2006In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 364, p. 603-609Article in journal (Refereed)
    Abstract [en]

    Data sets of online communication often take the form of contact sequences-ordered lists contacts (where a contact is defined as a triple of a sender, a recipient and a time). We propose measures of attractiveness and activity for such data sets and analyze these quantities for anonymized contact sequences from an Internet dating community. For this data set the attractiveness and activity measures show broad power-law-like distributions. Our attractiveness and activity measures are more strongly correlated in the real-world data than in our reference model. Effects that indirectly can make active users more attractive are discussed.

  • 3. He, He
    et al.
    Yang, Bo
    Hu, Xiaoming
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Exploring community structure in networks by consensus dynamics2016In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 450, p. 342-353Article in journal (Refereed)
    Abstract [en]

    This paper investigates the relationship between community structure and consensus dynamics in complex networks. We analyze the dynamical process towards consensus and show that those sets of densely interconnected nodes corresponding to well-defined communities appear in different time scales. In order to reveal such topological scales, two algorithms built around the idea of visualizing the evolution of different measured quantities are proposed. Then we test our algorithms on a few benchmark graphs whose community structures are already known. Numeric simulations are given to demonstrate the effectiveness and reliability of our methods.

  • 4. Holme, Petter
    Scale-free networks with a large- to hypersmall-world transition2007In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 377, no 1, p. 315-322Article in journal (Refereed)
    Abstract [en]

    Recently there has been a tremendous interest in models of networks with a power-law distribution of degree-so-called scale-free networks. It has been observed that such networks, normally, have extremely short path-lengths, scaling logarithmically or slower with system size. As an exotic and counterintuitive example we propose a simple stochastic model capable of generating scale-free networks with linearly scaling distances. Furthermore, by tuning a parameter the model undergoes a phase transition to a regime with extremely short average distances, apparently slower than log log N (which we call a hypersmall-world regime). We characterize the degree degree correlation and clustering properties of this class of networks.

  • 5. Holme, Petter
    et al.
    Park, Min
    Kim, Jun
    Edling, Christofer R.
    Korean university life in a network perspective: Dynamics of a large affiliation network2007In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 373, p. 821-830Article in journal (Refereed)
    Abstract [en]

    We investigate course registration data of 18 semesters at a Korean University to portray the time evolution of students' positions in the network of fellow students. Apart from being a study of the social positions of students, the present work is also an example of how large-scale, time resolved, affiliation networks can be analyzed. For example, we discuss the proper definitions of weights, and propose a redefined weighted clustering coefficient. Among other things, we find that the students enter the network at the center and are gradually diffusing towards the periphery. On the other hand, the ties to the classmates of the first semester will, on average, become stronger as time progresses. (c) 2006 Elsevier B.V. All rights reserved.

  • 6. Jaksic, V.
    et al.
    Mandic, D. P.
    Karoumi, Raid
    KTH, School of Architecture and the Built Environment (ABE), Civil and Architectural Engineering, Structural Engineering and Bridges.
    Basu, B.
    Pakrashi, V.
    Estimation of nonlinearities from pseudodynamic and dynamic responses of bridge structures using the Delay Vector Variance method2016In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 441, p. 100-120, article id 16342Article in journal (Refereed)
    Abstract [en]

    Analysis of the variability in the responses of large structural systems and quantification of their linearity or nonlinearity as a potential non-invasive means of structural system assessment from output-only condition remains a challenging problem. In this study, the Delay Vector Variance (DVV) method is used for full scale testing of both pseudo-dynamic and dynamic responses of two bridges, in order to study the degree of nonlinearity of their measured response signals. The DVV detects the presence of determinism and nonlinearity in a time series and is based upon the examination of local predictability of a signal. The pseudo-dynamic data is obtained from a concrete bridge during repair while the dynamic data is obtained from a steel railway bridge traversed by a train. We show that DVV is promising as a marker in establishing the degree to which a change in the signal nonlinearity reflects the change in the real behaviour of a structure. It is also useful in establishing the sensitivity of instruments or sensors deployed to monitor such changes.

  • 7.
    Jia, Tao
    et al.
    KTH, School of Architecture and the Built Environment (ABE), Urban Planning and Environment, Geoinformatik och Geodesi.
    Jiang, B.
    Building and analyzing the US airport network based on en-route location information2012In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 391, no 15, p. 4031-4042Article in journal (Refereed)
    Abstract [en]

    From a complex network perspective, this study sets out two aims around the US airport network (USAN) which is built from en-route location information of domestic flights in the US. First, we analyze the structural properties of the USAN with respect to its binary and weighted graphs, and second we explore the airport patterns, which have wide-ranging implications. Results from the two graphs indicate the following. (1) The USAN exhibits scale-free, small-world and disassortative mixing properties, which are consistent with the mainstream perspectives. Besides, we find (2) a remarkable power relationship between the structural measurements in the binary graph and the traffic measurements in the weighted counterpart, namely degree versus capacity and attraction versus volume. On the other hand, investigation of the airport patterns suggests (3) that all the airports can be classified into four categories based on multiple network metrics, which shows a complete typology of the airports. And it further indicates (4) that there is a subtle relationship between the airport traffic and the geographical constraints as well as the regional socioeconomic indicators.

  • 8.
    Li, Jiantong
    et al.
    KTH, School of Information and Communication Technology (ICT), Integrated Devices and Circuits.
    Ostling, Mikael
    KTH, School of Information and Communication Technology (ICT), Integrated Devices and Circuits.
    Precise percolation thresholds of two-dimensional random systems comprising overlapping ellipses2016In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 462, p. 940-950Article in journal (Refereed)
    Abstract [en]

    This work explores the percolation thresholds of continuum systems consisting of randomly-oriented overlapping ellipses. High-precision percolation thresholds for various homogeneous ellipse systems with different aspect ratios are obtained from extensive Monte Carlo simulations based on the incorporation of Vieillard-Baron's contact function of two identical ellipses with our efficient algorithm for continuum percolation. In addition, we generalize Vieillard-Baron's contact function from identical ellipses to unequal ellipses, and extend the Monte Carlo algorithm to heterogeneous ellipse systems where the ellipses have different dimensions and/or aspect ratios. Based on the concept of modified excluded area, a general law is verified for precise prediction of percolation threshold for many heterogeneous ellipse systems. In particular, the study of heterogeneous ellipse systems gains insight into the apparent percolation threshold symmetry observed earlier in systems comprising unequal circles (Consiglio et al., 2004).

  • 9.
    Lin, Jingyi
    et al.
    KTH, School of Architecture and the Built Environment (ABE), Urban Planning and Environment.
    Ban, Yifang
    KTH, School of Architecture and the Built Environment (ABE), Urban Planning and Environment.
    The evolving network structure of US airline system during 1990–20102014In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 410, p. 302-312Article in journal (Refereed)
    Abstract [en]

    This paper analyzes the growth and evolution of topological features of the US airline network over a 20-year period. It captures the change in the network system from different dimensions of complex networks such as centrality distribution and various structural properties of the network over time. We first illustrate the results of a set of measures, including degree, strength, betweenness centrality, and clustering structure. The geographic features of airport systems, spatial distance and network efficiency are also discussed in this section. In order to further capture the dynamics of the system, this paper also explores the correlation between different measures, and investigates various interactions inside the network. Overall this study offers a novel approach to understanding the growth and evolution of real physical networks.

  • 10.
    Rui, Yikang
    et al.
    KTH, School of Architecture and the Built Environment (ABE), Urban Planning and Environment, Geodesy and Geoinformatics.
    Ban, Yifang
    KTH, School of Architecture and the Built Environment (ABE), Urban Planning and Environment, Geodesy and Geoinformatics.
    Nonlinear growth in weighted networks with neighborhood preferential attachment2012In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 391, no 20, p. 4790-4797Article in journal (Refereed)
    Abstract [en]

    We propose a nonlinear growing model for weighted networks with two significant characteristics: (i) the new weights triggered by new edges at each time step grow nonlinearly with time; and (ii) a neighborhood local-world exists for local preferential attachment, which is defined as one selected node and its neighbors. Global strength-driven and local weight-driven preferential attachment mechanisms are involved in our model. We study the evolution process through both mathematical analysis and numerical simulation, and find that the model exhibits a wide-range power-law distribution for node degree, strength, and weight. In particular, a nonlinear degree-strength relationship is obtained. This nonlinearity implies that accelerating growth of new weights plays a nontrivial role compared with accelerating growth of edges. Because of the specific local-world model, a small-world property emerges, and a significant hierarchical organization, independent of the parameters, is observed.

  • 11.
    Svensson, Jens
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
    The asymptotic spectrum of the EWMA covariance estimator2007In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, no 385, p. 621-630Article in journal (Refereed)
    Abstract [en]

    The exponentially weighted moving average (EWMA) covariance estimator is a standard estimator for financial time series, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the sample covariance matrix is an established tool in finance and signal detection and the EWMA spectrum can be used analogously. In this paper, the asymptotic spectrum of the EWMA covariance estimator is calculated using the Mar enko-Pastur theorem. Equations for the spectrum and the boundaries of the support of the spectrum are obtained and solved numerically. The spectrum is compared with covariance estimates using simulated i.i.d. data and log-returns from a subset of stocks from the S&P 500. The behaviour of the EWMA estimator in this limited empirical study is similar to the results in previous studies of sample covariance matrices. Correlations in the data are found to only affect a small part of the EWMA spectrum, suggesting that a large part may be filtered out

  • 12. Wang, Jinhuan
    et al.
    Zhang, Lei
    Shi, Qiongyu
    Yang, Peng
    Hu, Xiaoming
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
    Modeling and simulating for congestion pedestrian evacuation with panic2015In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 428, p. 396-409Article in journal (Refereed)
    Abstract [en]

    A new multi-agent based congestion evacuation model incorporating panic behavior is proposed in this paper for simulating pedestrian evacuation in public places such as a stadium. Different from the existing results, pedestrians in this model are divided into four classes and each pedestrian's status can be either normal, being overtaken, or casualty. The direction of action for each individual is affected by competitive ability, distance to the exits as well as number and density of occupants within the view field of the agent. Our simulations exhibit that during the evacuation process: (1) The agents gather in front of the exits spontaneously and present arched shapes close to the exits. (2) Under the panic state the agents cohere closely and almost do not change the target exit. So other alternative exits are ignored. (3) For the case without obstacle, the casualties under panic increase greatly. But if there are obstacles (chairs), the congestion can be alleviated. Thus the casualties are reduced. (4) If certain exit is partly clogged, the evacuation becomes more efficient when adding a virtual leader. The overall simulation results show that the proposed model can reproduce the real evacuation process in a stadium quite well.

  • 13. Yang, B.
    et al.
    He, H.
    Hu, Xiaoming
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Detecting community structure in networks via consensus dynamics and spatial transformation2017In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 483, p. 156-170Article in journal (Refereed)
    Abstract [en]

    We present a novel clustering algorithm for community detection, based on the dynamics towards consensus and spatial transformation. The community detection problem is translated to a clustering problem in the N-dimensional Euclidean space by three stages: (1) the dynamics running on a network is emulated to a procedure of gas diffusion in a finite space; (2) the pressure distribution vectors are used to describe the influence that each node exerts on the whole network; (3) the similarity measures between two nodes are quantified in the N-dimensional Euclidean space by k-Nearest Neighbors method. After such steps, we could merge clusters according to their similarity distances and show the community structure of a network by a hierarchical clustering tree. Tests on several benchmark networks are presented and the results show the effectiveness and reliability of our algorithm.

  • 14.
    Yang, Bo
    et al.
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Cheng, Weizheng
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Hu, Xiaoming
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Zhu, Chao
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Yu, Xin
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Li, Xu
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Huang, Tao
    Wuhan Univ Technol, Sch Automat, Wuhan 430070, Hubei, Peoples R China..
    Seeking community structure in networks via biogeography-based optimization with consensus dynamics2019In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 527, article id 121188Article in journal (Refereed)
    Abstract [en]

    Uncovering the community structure hidden in networks is crucial for understanding the function of networks. In this paper, an algorithm of biogeography-based optimization with consensus dynamics for community detection is proposed. The problems of seeking community structures in networks are exquisitely embedded into the framework of biogeography-based optimization. Hence the community structure unveiled in such an evolutionary and global manner is corresponding to the habitat with maximum modularity. We present a dynamical framework for generating initial distribution of solutions for the evolutionary process using consensus dynamics, which gives a reasonably good estimate of the community structure based on the topological information. Thereof, the proposed dynamical method of initialization promotes the efficiency of optimal solution search significantly, compared with the traditional random initialization. Then, the obtained partition is refined using biogeography-based optimization. In addition, a preferential selection strategy for generating the new solutions is developed based on local network topology. Furthermore, we also proposed an adaptive mutation operator that enhances the exploration ability of our evolutionary algorithm. The experimental results on both artificial random and real-world networks indicate the effectiveness and reliability of our algorithm. These findings shed new light on the role played by topological knowledge of networks extracted from consensus dynamics in the evolving optimization processes when finding complex mesoscale structures in networks such as community structure.

  • 15. Yang, Xiaoxia
    et al.
    Dong, Hairong
    Wang, Qianling
    Chen, Yao
    Hu, Xiaoming
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Guided crowd dynamics via modified social force model2014In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 411, p. 63-73Article in journal (Refereed)
    Abstract [en]

    Pedestrian dynamics is of great theoretical significance for strategy design of emergency evacuation. Modification of pedestrian dynamics based on the social force model is presented to better reflect pedestrians' behavioral characteristics in emergency. Specifically, the modified model can be used for guided crowd dynamics in large-scale public places such as subway stations and stadiums. This guided crowd model is validated by explicitly comparing its density-speed and density-flow diagrams with fundamental diagrams. Some social phenomena such as gathering, balance and conflicts are clearly observed in simulation, which further illustrate the effectiveness of the proposed modeling method. Also, time delay for pedestrians with time-dependent desired velocities is observed and explained using the established model in this paper. Furthermore, this guided crowd model is applied to the simulation system of Beijing South Railway Station for predictive evacuation experiments.

  • 16.
    Zeli, Velibor
    et al.
    KTH, School of Engineering Sciences (SCI), Solid Mechanics (Dept.). KTH, School of Engineering Sciences (SCI), Centres, Linné Flow Center, FLOW.
    Zorica, Dusan
    Analytical and numerical treatment of the heat conduction equation obtained via time-fractional distributed-order heat conduction law2018In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 492, p. 2316-2335Article in journal (Refereed)
    Abstract [en]

    Generalization of the heat conduction equation is obtained by considering the system of equations consisting of the energy balance equation and fractional-order constitutive heat conduction law, assumed in the form of the distributed-order Cattaneo type. The Cauchy problem for system of energy balance equation and constitutive heat conduction law is treated analytically through Fourier and Laplace integral transform methods, as well as numerically by the method of finite differences through Adams-Bashforth and Grunwald-Letnikov schemes for approximation derivatives in temporal domain and leap frog scheme for spatial derivatives. Numerical examples, showing time evolution of temperature and heat flux spatial profiles, demonstrate applicability and good agreement of both methods in cases of multi-term and power-type distributed-order heat conduction laws.

  • 17.
    Önskog, Thomas
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. Stockholm University.
    Zhang, Jun
    An accurate treatment of diffuse reflection boundary conditions for a stochastic particle Fokker-Planck algorithm with large time steps2015In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 440, p. 139-146Article in journal (Refereed)
    Abstract [en]

    In this paper, we present a stochastic particle algorithm for the simulation of flows of wall-confined gases with diffuse reflection boundary conditions. Based on the theoretical observation that the change in location of the particles consists of a deterministic part and a Wiener process if the time scale is much larger than the relaxation time, a new estimate for the first hitting time at the boundary is obtained. This estimate facilitates the construction of an algorithm with large time steps for wall-confined flows. Numerical simulations verify that the proposed algorithm reproduces the correct boundary behaviour.

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