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Symmetric and Asymmetric Tendencies in Stable Complex Systems.

ABSTRACT: A commonly used approach to study stability in a complex system is by analyzing the Jacobian matrix at an equilibrium point of a dynamical system. The equilibrium point is stable if all eigenvalues have negative real parts. Here, by obtaining eigenvalue bounds of the Jacobian, we show that stable complex systems will favor mutualistic and competitive relationships that are asymmetrical (non-reciprocative) and trophic relationships that are symmetrical (reciprocative). Additionally, we define a measure called the interdependence diversity that quantifies how distributed the dependencies are between the dynamical variables in the system. We find that increasing interdependence diversity has a destabilizing effect on the equilibrium point, and the effect is greater for trophic relationships than for mutualistic and competitive relationships. These predictions are consistent with empirical observations in ecology. More importantly, our findings suggest stabilization algorithms that can apply very generally to a variety of complex systems.

SUBMITTER: Tan JP

PROVIDER: S-EPMC4992841 | biostudies-other | 2016

REPOSITORIES: biostudies-other

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Symmetric and Asymmetric Tendencies in Stable Complex Systems.

Tan James P L JP

Scientific reports 20160822

A commonly used approach to study stability in a complex system is by analyzing the Jacobian matrix at an equilibrium point of a dynamical system. The equilibrium point is stable if all eigenvalues have negative real parts. Here, by obtaining eigenvalue bounds of the Jacobian, we show that stable complex systems will favor mutualistic and competitive relationships that are asymmetrical (non-reciprocative) and trophic relationships that are symmetrical (reciprocative). Additionally, we define a m ...[more]

PMID: 27545722

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Project description:BackgroundFor complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results.MethodsTo study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data.ResultsWith the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities.ConclusionsWe reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex systems with similar asymmetries.

Dataset Information

Symmetric and Asymmetric Tendencies in Stable Complex Systems.

Publications

Symmetric and Asymmetric Tendencies in Stable Complex Systems.

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