In: The European Physical Journal B, 2009, vol. 71, no. 4, p. 623-630
Missing link prediction in networks is of both theoretical interest and practical significance in modern science. In this paper, we empirically investigate a simple framework of link prediction on the basis of node similarity. We compare nine well- known local similarity measures on six real networks. The results indicate that the simplest measure, namely Common Neighbours, has the best...
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In: International Review of Financial Analysis, 2009, vol. 18, no. 1-2, p. 34-39
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity—the effective portfolio size—is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it...
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In: Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, no. 22, p. 5523-5534
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ², the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders’ wealth displays a positive value for the model with a square root price impact function,...
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In: Physical Review E, 2008, vol. 77, no. 2, p. 026107
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealth. By tuning the price sensitivity and market impact, a phase diagram with several attractor behaviors resembling those of real markets emerge, reflecting the roles played by the arbitrageurs and trendsetters, and including a phase with...
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In: The European Physical Journal B, 2008, vol. 64, no. 2, p. 293-300
We introduce a fully probabilistic framework of consumer product choice based on quality assessment. It allows us to capture many aspects of marketing such as partial information asymmetry, quality differentiation, and product placement in a supermarket.
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In: Europhysics Letters, 2007, vol. 80, no. 6, p. 68003
Information overload in the modern society calls for highly efficient recommendation algorithms. In this letter we present a novel diffusion-based recommendation model, with users' ratings built into a transition matrix. To speed up computation we introduce a Green function method. The numerical tests on a benchmark database show that our prediction is superior to the standard recommendation...
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In: Europhysics Letters, 2008, vol. 82, no. 5, p. 58007
Recommender systems are significant to help people deal with the world of information explosion and overload. In this letter, we develop a general framework named self-consistent refinement and implement it by embedding two representative recommendation algorithms: similarity-based and spectrum-based methods. Numerical simulations on a benchmark data set demonstrate that the present method...
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In: Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, no. 24, p. 6151-6158
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [J.L. Kelly, IEEE Transactions on Information Theory 2 (1956) 185–189] that incorporates these features, and use them to investigate...
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In: Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, no. 12, p. 2889-2908
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In: Europhysics Letters, 2008, vol. 81, no. 5, p. 58004
In this paper, based on a weighted object network, we propose a recommendation algorithm, which is sensitive to the configuration of initial resource distribution. Even under the simplest case with binary resource, the current algorithm has remarkably higher accuracy than the widely applied global ranking method and collaborative filtering. Furthermore, we introduce a free parameter β to...
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