FuturICT Journal Publications
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Academic journal publications relating to FuturICT activity
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Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts

Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts | FuturICT Journal Publications | Scoop.it

Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts

Daniel R. Parisi, Didier Sornette, and Dirk Helbing

Accepted Friday Dec 14, 2012

We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present already when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our finding suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.

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FuturICT: A complex systems approach to constructing better models for managing financial markets and the economy - J.Doyne Farmer, M.Gallegati, C.Hommes, A.Kirman, P.Ormerod, S.Cincotti, A.Sanchez...

FuturICT: A complex systems approach to constructing better models for managing financial markets and the economy - J.Doyne Farmer, M.Gallegati, C.Hommes, A.Kirman, P.Ormerod, S.Cincotti, A.Sanchez... | FuturICT Journal Publications | Scoop.it

A complex systems approach to constructing better models for managing financial markets and the economy - Springer

J. Doyne Farmer, M. Gallegati, C. Hommes, A. Kirman, P. Ormerod, S. Cincotti, A. Sanchez, D. Helbing

 

We outline a vision for an ambitious program to understand the economy and financial markets as a complex evolving system of coupled networks of interacting agents. This is a completely different vision from that currently used in most economic models. This view implies new challenges and opportunities for policy and managing economic crises. The dynamics of such models inherently involve sudden and sometimes dramatic changes of state. Further, the tools and approaches we use emphasize the analysis of crises rather than of calm periods. In this they respond directly to the calls of Governors Bernanke and Trichet for new approaches to macroeconomic modelling.

 

 

FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS  Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".

http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

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FuturICT: Accelerating scientific discovery by formulating grand scientific challenges: Dirk Helbing

FuturICT: Accelerating scientific discovery by formulating grand scientific challenges: Dirk Helbing | FuturICT Journal Publications | Scoop.it

by Dirk Helbing

 

One important question for science and society is how to best promote scientific progress. Inspired by the great success of Hilbert’s famous set of problems, the FuturICT project tries to stimulate and focus the efforts of many scientists by formulating Grand Challenges, i.e. a set of fundamental, relevant and hardly solvable scientific questions.

FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS  Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".

http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

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Complexity Science, Learning Analytics & Collective Intelligence

Complexity Science, Learning Analytics & Collective Intelligence | FuturICT Journal Publications | Scoop.it
FuturlCT is a FET Flagship project using collective, participatory research, integrated across the fields of ICT, the social sciences and complexity science, to design socio-‐inspired technology and develop a science of global, socially interactive systems. The project will bring together, on a global level, Big Data, new modelling techniques and new forms of interaction, leading to a new understanding of society and its co-‐ evolution with technology. It will place Europe at the forefront of a major scientific drive to understand, explore and manage our complex, connected world in a more sustainable and resilient manner.

Working with FuturICT is the closest that someone in my field may get to “Big Science” a la Human Genome project or Large Hadron Collider. We don’t tend to have projects of that scale in human-centred computing! But the over-arching theme of Complexity Science as a way of making sense of societal big data provides that scale of vision. The European Physical Journal does not spring to mind as the first place to look for work on ICT for learning analytics or collective intelligence – my particular interests – but it has an explicit focus on advances in Complex Systems, including socio-technical-economic systems, not just physical or biological. So it’s very satisfying to point to a more detailed account of the thinking behind the proposal, which we’ve just published as an open access special issue of EPJST.

Within the special issue, you’ll find a fascinating set of contributions from European scientists who set out a 10 year research agenda within their fields: what are the really tough problems? There are also visionary position papers outlining the kind of socio-technical infrastructure that FuturICT will investigate, and a foregrounding of the ethical dimensions that human Big Data and Analytics always raise.
FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS  Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".

http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

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FuturICT: Towards a global participatory platform

FuturICT: Towards a global participatory platform | FuturICT Journal Publications | Scoop.it

S. Buckingham Shum, K. Aberer, A. Schmidt, S. Bishop, P. Lukowicz, S. Anderson, Y. Charalabidis, J. Domingue, S. de Freitas, I. Dunwell, B. Edmonds, F. Grey, M. Haklay, M. Jelasity, A. Karpištšenko, J. Kohlhammer, J. Lewis, J. Pitt, R. Sumner, D. Helbing

 

The FuturICT project seeks to use the power of big data, analytic models grounded in complexity science, and the collective intelligence they yield for societal benefit. Accordingly, this paper argues that these new tools should not remain the preserve of restricted government, scientific or corporate élites, but be opened up for societal engagement and critique. To democratise such assets as a public good, requires a sustainable ecosystem enabling different kinds of stakeholder in society, including but not limited to, citizens and advocacy groups, school and university students, policy analysts, scientists, software developers, journalists and politicians. Our working name for envisioning a sociotechnical infrastructure capable of engaging such a wide constituency is the Global Participatory Platform (GPP). We consider what it means to develop a GPP at the different levels of data, models and deliberation, motivating a framework for different stakeholders to find their ecological niches at different levels within the system, serving the functions of (i) sensing the environment in order to pool data, (ii) mining the resulting data for patterns in order to model the past/present/future, and (iii) sharing and contesting possible interpretations of what those models might mean, and in a policy context, possible decisions. A research objective is also to apply the concepts and tools of complexity science and social science to the project’s own work. We therefore conceive the global participatory platform as a resilient, epistemic ecosystem, whose design will make it capable of self-organization and adaptation to a dynamic environment, and whose structure and contributions are themselves networks of stakeholders, challenges, issues, ideas and arguments whose structure and dynamics can be modelled and analysed.

FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".
http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

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FuturICT: Exploratory of society: L. E. Cederman, R. Conte, D. Helbing, A. Nowak, F. Schweitzer, A. Vespignani

FuturICT: Exploratory of society: L. E. Cederman, R. Conte, D. Helbing, A. Nowak, F. Schweitzer, A. Vespignani | FuturICT Journal Publications | Scoop.it

FuturICT: Exploratory of Society

L. E. Cederman, R. Conte, D. Helbing, A. Nowak, F. Schweitzer, A. Vespignani

Abstract

A huge flow of quantitative social, demographic and behavioral data is becoming available that traces the activities and interactions of individuals, social patterns, transportation infrastructures and travel fluxes. This has caused, together with innovative computational techniques and methods for modeling social actions in hybrid (natural and artificial) societies, a qualitative change in the ways we model socio-technical systems.

 

For the first time, society can be studied in a comprehensive fashion that addresses social and behavioral complexity. In other words we are in the position to envision the development of large data and computational cyber infrastructure defining an exploratory of society that provides quantitative anticipatory, explanatory and scenario analysis capabilities ranging from emerging infectious disease to conflict and crime surges.

 

The goal of the exploratory of society is to provide the basic infrastructure embedding the framework of tools and knowledge needed for the design of forecast/anticipatory/crisis management approaches to socio technical systems, supporting future decision making procedures by accelerating the scientific cycle that goes from data generation to predictions.

FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS  Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".

http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

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FuturICT: Participatory computing to understand and manage our complex world in a more sustainable and resilient way: D. Helbing, S. Bishop, R. Conte, P. Lukowicz, J. B. McCarthy

FuturICT: Participatory computing to understand and manage our complex world in a more sustainable and resilient way: D. Helbing, S. Bishop, R. Conte, P. Lukowicz, J. B. McCarthy | FuturICT Journal Publications | Scoop.it
We have built particle accelerators to understand the forces that make up our physical world. Yet, we do not understand the principles underlying our strongly connected, techno-socio-economic systems. We have enabled ubiquitous Internet connectivity and instant, global information access. Yet we do not understand how it impacts our behavior and the evolution of society.

To fill the knowledge gaps and keep up with the fast pace at which our world is changing, a Knowledge Accelerator must urgently be created. The financial crisis, international wars, global terror, the spreading of diseases and cyber-crime as well as demographic, technological and environmental change demonstrate that humanity is facing serious challenges. These problems cannot be solved within the traditional paradigms.

Moving our attention from a component-oriented view of the world to an interaction-oriented view will allow us to understand the complex systems we have created and the emergent collective phenomena characterising them. This paradigm shift will enable new solutions to long-standing problems, very much as the shift from a geocentric to a heliocentric worldview has facilitated modern physics and the ability to launch satellites.

The FuturICT flagship project will develop new science and technology to manage our future in a complex, strongly connected world. For this, it will combine the power of information and communication technology (ICT) with knowledge from the social and complexity sciences.

ICT will provide the data to boost the social sciences into a new era. Complexity science will shed new light on the emergent phenomena in socially interactive systems, and the social sciences will provide a better understanding of the opportunities and risks of strongly networked systems, in particular future ICT systems. Hence, the envisaged FuturICT flagship will create new methods and instruments to tackle the challenges of the 21st century.

FuturICT could indeed become one of the most important scientific endeavours ever, by revealing the principles that make socially interactive systems work well, by inspiring the creation of new platforms to explore our possible futures, and by initiating an era of social and socio-inspired innovations.
FuturICT's insight:

JOURNAL: THE EUROPEAN PHYSICAL JOURNAL SPECIAL TOPICS  Vol. 214 (November II 2012)"Participatory Science and Computing for Our Complex World".

http://link.springer.com/journal/11734/214/1/page/1

http://epjst.epj.org/index.php?option=com_toc&url=/articles/epjst/abs/2012/14/contents/contents.html

 

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When Networks Network

When Networks Network | FuturICT Journal Publications | Scoop.it

When Networks Network

By Elizabeth Quill

 

- When networks depend on other networks, such as a communications network that relies on a power grid, failure can cascade back and forth between the two. This behavior may explain sudden breakdowns in interacting systems. Thus, the effects of an attack on a single node can reduce an übernetwork  that starts with 12 operating nodes to just four.- 

 

Once studied solo, systems display surprising behavior when they interact.

 

Half a dozen times each night, your slumbering body performs a remarkable feat of coordination.

 

During the deepest throes of sleep, the body’s support systems run on their own timetables. Nerve cells hum along in your brain, their chitchat generating slow waves that signal sleep’s nether stages. Yet, like buses and trains with overlapping routes but unsynchronized schedules, this neural conversation has little to say to your heart, which pumps blood to its own rhythm through the body’s arteries and veins. Air likewise skips into the nostrils and down the windpipe in seemingly random spits and spats. And muscle fluctuations that make the legs twitch come and go as if in a vacuum. Networks of muscles, of brain cells, of airways and lungs, of heart and vessels operate largely independently.

 

Every couple of hours, though, in as little as 30 seconds, the barriers break down. Suddenly, there’s synchrony. All the disjointed activity of deep sleep starts to connect with its surroundings. Each network — run via the group effort of its own muscular, cellular and molecular players — joins the larger team.

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