Mesoscopic model infers neural population dynamics from spike trains.
problem Challenges in fitting mechanistic spiking networks to empirical population data.
method Fit mesoscopic model to aggregate population activity, using likelihood of single-neuron and connectivity parameters.
result Extracts posterior correlations between model parameters and defines subsets of parameters able to reproduce data.
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an expon…
Modeling hidden neurons in SNNs using mesoscopic approximations.
problem Underconstrained problem of modeling unobserved neurons in SNNs.
method Coarse-graining and mean-field approximations to derive neuLVM.
result neuLVM can efficiently model large SNNs and recover connectivity parameters.
The paper identifies a mesoscopic market structure and uses it to improve portfolio optimization.
problem The optimal mean-variance allocation differs from the heuristic equally-weighted portfolio.
method Clustering techniques from Random Matrix Theory (RMT) to study mesoscopic market structure.
result A new wealth allocation scheme that attaches equal importance to stocks in the same community improves portfolio reliability.
Graph Cascades rewire graphs to improve structure-aware learning.
problem Improving graph neural networks and transformers for structure-aware learning.
method Graph Cascades uses contagion-based diffusion processes to construct an auxiliary graph with reinforced edges.
result Graph Cascades improves node-classification benchmarks across various graph types.
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in term…
We develop a theory to represent dislocated single crystals at the mesoscopic scale by considering concentrated effects, governed by the distribution theory combined with multiple-valued kinematic fields. Our approach gives a new understanding of the continuum theory of defects as developed by Kroener (1980) and other …
The paper develops a new model for order book dynamics using Hawkes processes.
problem Capturing the dynamics of order flow and liquidity migration in financial markets.
method Develops a mesoscopic model using Hawkes processes to describe interactions between order arrivals, cancellations, and liquidity movement.
result Derives a diffusive limit for the order book dynamics, providing a unified framework for market microstructure.
New method uncovers hidden groups in CDS market not tied to standard industry classifications.
problem Identifying hidden groups in CDS market not tied to standard industry classifications.
method Data-driven approach using Random Matrix Theory to identify internally correlated and mutually anti-correlated communities.
result Introduces a novel default risk model that outperforms traditional alternatives.
We prove that the braid group B4 on 4 strings, as well as its central quotient B4/<z>, have the property RD of Haagerup-Jolissaint. It follows that the automorphism group $\Aut(F_2)$ of the free group F2 on 2 generators has property RD. We also prove that the braid group B4 is a group of intermediate rank …
The study analyzes co-movements in Indian stock market sectors using network techniques.
problem Understanding co-movements among Indian stock sectors.
method Mesoscopic network analysis, recurrence analysis, partial correlations, multidimensional scaling, minimum spanning tree.
result Minimum spanning tree effectively separates technologically related sectors.
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model (Econ. Lett., 45, (1994), 103--111) using the methods of kin…
MALT improves adversarial attacks by targeting classes more efficiently.
problem Naive targeting of adversarial attacks based on classifier confidence.
method MALT - Mesoscopic Almost Linearity Targeting, based on medium-scale almost linearity assumptions.
result MALT wins over AutoAttack on CIFAR-100 and ImageNet datasets, five times faster.
Model predicts traffic flow dynamics from sparse data.
problem Predict traffic flow from limited data.
method Mesoscopic model using factor graphs and message passing.
result Efficiently estimates traffic conditions with low probe vehicle penetration.
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first study the probability distribution of stock returns at mesoscopic time lags (re…
Model for optimal execution with passive market impact.
problem Optimizing execution strategies in markets with passive price impact.
method Developed a mesoscopic model incorporating empirical price impact features.
result Obtained a passive impact rate that decays exponentially with quote distance.
The mesoscopic organization of complex systems, from financial markets to the brain, is an intermediate between the microscopic dynamics of individual units (stocks or neurons, in the mentioned cases), and the macroscopic dynamics of the system as a whole. The organization is determined by "communities" of units whose …
A challenging problem in the study of complex systems is that of resolving, without prior information, the emergent, mesoscopic organization determined by groups of units whose dynamical activity is more strongly correlated internally than with the rest of the system. The existing techniques to filter correlations are …
Paper connects micro to macro models of limit order books using SPDEs.
problem Modeling high-frequency trading dynamics in limit order books.
method Microscopic to mesoscopic to macroscopic limit analysis, SPDEs.
result Macroscopic limit described by reflected SPDEs.
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonex…
Stochastic block model shows universal applicability to network inference problems.
problem Finding partitions in complex networks that maximize objective functions.
method Showed equivalence of popular algorithms to maximum likelihood formulation of SBM.
result SBM is nearly universal for solving MPE problems.
Antipsychotics affect brain network community structure in healthy and schizophrenic individuals.
problem Understanding how antipsychotics affect brain network community structure.
method Network analysis of functional brain networks using mesoscopic response functions.
result Aripiprazole improves community structure in healthy individuals but not in those with schizophrenia.
We study minority games in efficient regime. By incorporating the utility function and aggregating agents with similar strategies we develop an effective mesoscale notion of state of the game. Using this approach, the game can be represented as a Markov process with substantially reduced number of states with explicitl…
Framework detects tipping points in complex systems using ML.
problem Detecting tipping points in complex, emergent systems.
method Combining manifold learning, neural networks, and Gaussian processes.
result Reduced-order models for mesoscopic and mean-field dynamics.
New curvature measure for causal sets derived from optimal transport.
problem Capturing Ricci curvature in causal sets.
method Using Lorentzian optimal transport, novel curvature defined along maximal chains.
result Recovery of timelike Ricci curvature from order-theoretic data.
Model explains financial data patterns through investor misperceptions.
problem Understanding stylized facts in financial markets.
method Derives mean field limit of agent-based financial model.
result Kinetic model replicates fat-tails, uncorrelated returns, and volatility clustering.
Recent research on Bitcoin Transaction Networks reveals a growing, sparse, and core-periphery structure.
problem Understanding the evolution of Bitcoin's network structure and user behavior.
method Review of recent results on Bitcoin Transaction Networks, including Address Network, User Network, and Lightning Network.
result Bitcoin Transaction Networks exhibit a core-periphery structure, indicating increasing centralization.
Develops DSD for analyzing multiscale biological networks.
problem Analyzing multiscale structure in biological networks.
method Data-driven diffusion process with multitemporal analysis.
result Parameter-free inference of intrinsic data structure.
The paper proposes a time-dependent Markov model for a limit order book.
problem Understanding the convergence of a limit order book to a more complex diffusion.
method A simple time-dependent Markov model is proposed, describing the arrival of different orders.
result Empirical studies verify the validity of the modeling assumptions for certain stocks.
Model analyzes how political competition affects economic development.
problem Complex interactions between political competition and economic development.
method Kinetic model with stochastic game interactions.
result Non-monotonic relationship between economic liberalization and political competition.
Modeling high-frequency traders' behavior in financial markets using microscopic dynamics.
problem Capturing the collective motion of high-frequency traders in financial markets.
method Developed a microscopic model based on direct observation of HFTs' trajectories and derived Boltzmann-like and Langevin-like equations.
result First microscopic model validated through data analysis, exhibiting quantitative agreements with empirical results.
Financial networks' dynamics linked to economic fundamentals across countries.
problem Understanding financial sector dynamics and their relation to economic fundamentals.
method Constructed return correlation networks from daily data, analyzed centrality and clustering, and used market metrics to identify sector importance.
result Sector-level financial dynamics are anchored to economic size, influencing portfolio optimization.
MarmoNet automates analysis of marmoset brain axonal projections.
problem Automatically detect and segment axonal tracer signals in noisy, cluttered images.
method Uses machine learning, specifically CNNs and image registration, to process and map axonal projections.
result Automated pipeline extracts and maps axonal projections robustly.
A new clustering method uses diffusion processes to reveal hidden structures in data.
problem Clustering data with multimodal, nonlinear densities.
method Combines graph-based diffusion geometry with density estimation techniques.
result Proves sufficient conditions for the accuracy of the LUND procedure.
Framework for analyzing dynamic topological changes in point clouds using persistent homology and dynamic optimal transport.
problem Analyzing transient structural reorganizations during dynamic phase transitions in time-evolutionary point clouds.
method Hierarchical dynamic evaluation framework driven by topological and hypergraph reconstruction strategy.
result Combining transport-based alignment with multi-scale entropy diagnostics for dynamic topological analysis.
Trade is a fundamental pillar of economy and a form of social organization. Its empirical characterization at the worldwide scale is represented by the World Trade Web (WTW), the network built upon the trade relationships between the different countries. Several scientific studies have focused on the structural charact…
Study develops time-continuous models and probabilistic descriptions for agent-based economic market models.
problem Formulating and describing agent-based economic market models in a time-continuous and probabilistic manner.
method Derived time-continuous formulations, discussed impact of time-scaling, proved stability, presented probabilistic descriptions using kinetic theory.
result Time-continuous formulations and probabilistic descriptions for agent-based economic market models.
Rate GENERIC extends thermodynamics principles to non-equilibrium systems.
problem Understanding non-equilibrium thermodynamics and its relation to equilibrium thermodynamics.
method Developed a geometrical framework for rate GENERIC, extending Onsager's variational principle.
result Rate GENERIC structure provides a new perspective on thermodynamics in non-equilibrium systems.
The one-class classification problem is a well-known research endeavor in pattern recognition. The problem is also known under different names, such as outlier and novelty/anomaly detection. The core of the problem consists in modeling and recognizing patterns belonging only to a so-called target class. All other patte…
Researchers infer firm-level supply chain networks from sector-level data to assess systemic risk.
problem Estimating systemic risk in economic systems using firm-level data.
method Maximum-entropy algorithms applied to input-output tables and firm-level aggregate output data.
result The most realistic systemic risk content is retrieved by models incorporating disaggregated firm-specific inputs by sector.
We present atomistic molecular dynamics simulations of two Polyethylene systems where all entanglements are trapped: a perfect network, and a melt with grafted chain ends. We examine microscopically at what level topological constraints can be considered as a collective entanglement effect, as in tube model theories, o…
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the m…
New method cleans cross-covariance matrices for better financial forecasting.
problem Asymptotically optimal cross-covariance cleaners fail in real-world, time-varying markets.
method Physics-informed neural network that learns from empirical singular values.
result Trained model outperforms analytical cleaners in out-of-sample cross-covariance prediction.
Agent-based simulation assesses tradable credit schemes for congestion reduction.
problem Simplistic modeling of TCS impacts in transportation research.
method Agent- and activity-based simulation framework within SimMobility.
result TCS stabilizes network and market performance over time, reducing congestion.
Study finds price impact follows a 'double' square-root law, suggesting mechanical origin.
problem Understanding the origin of price impact in markets.
method Detailed dataset of Tokyo Stock Exchange orders, analyzing single and metaorders.
result Price impact follows a 'double' square-root law, indicating mechanical origin rather than information.
We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single supplier - "many to one" contagion) and amplification (through their interaction wi…
This paper uses a kinetic approach to model financial agents and their impact on stock prices and wealth distribution.
problem Understanding power-laws in financial data and the causes behind them.
method A kinetic approach inspired by the Levy-Levy-Solomon model, incorporating model predictive control (MPC) for optimization.
result The stock price distribution exhibits power-law behavior for high-frequency traders and lognormal for long-term investors.