Modeling bursts and heavy tails in human dynamics
- A. Vázquez, J. G. Oliveira, Z. Dezsö, K. Goh, I. Kondor, A. Barabasi
- Computer SciencePhysical review. E, Statistical, nonlinear, and…
- 12 October 2005
It is shown that the bursty nature of human behavior is a consequence of a decision based queuing process: when individuals execute tasks based on some perceived priority, the timing of the tasks will be heavy tailed, most tasks being rapidly executed, while a few experiencing very long waiting times.
Group theoretical methods in machine learning
This thesis explores applications of non-commutative harmonic analysis to machine learning and addresses learning on groups and learning in a way that is invariant to a group, including a new system of invariants applicable to any compact group, which is called the skew spectrum.
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
A covariance matrix estimator is introduced that both takes into account the heteroskedasticity of financial returns and reduces the effective dimensionality of the estimation via techniques borrowed from random matrix theory.
Noisy covariance matrices and portfolio optimization
Simulation experiments with matrices having a structure such as described in [#!bouchaud!#,#!stanley!#] lead to the conclusion that in the context of the classical portfolio problem (minimizing the portfolio variance under linear constraints) noise has relatively little effect.
Estimated correlation matrices and portfolio optimization
Noise sensitivity of portfolio selection under various risk measures
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
Parisi's mean-field solution for spin glasses as an analytic continuation in the replica number
- I. Kondor
- 11 March 1983
Parisi's replica symmetry breaking solution for spin glasses is extended to finite replica number n. The free energy Fp(n) obtained this way, as well as its first two derivatives with respect to n,…
The Interrupted Power Law and the Size of Shadow Banking
This work claims that the missing mass from the upper tail of the asset size distribution is a consequence of shadow banking activity and that it provides an (upper) estimate of the size of the shadow banking system, and proposes a proportional random growth model that reproduces the observed distribution.
From phase transitions to chaos : topics in modern statistical physics
Anisotropic segregation in a gravitational field, K. Binder et al replica symmetry breaking in the ising spin glass in finite dimensions, C. De Dominicis and I. Kondor problems of high-Tc…