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Peng W, Wen M, Jiang X, Li Y, Chen T, Zheng B. Global motion filtered nonlinear mutual information analysis: Enhancing dynamic portfolio strategies. PLoS One 2024; 19:e0303707. [PMID: 38990955 PMCID: PMC11239051 DOI: 10.1371/journal.pone.0303707] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 12/14/2023] [Accepted: 04/30/2024] [Indexed: 07/13/2024] Open
Abstract
The complex financial networks, with their nonlinear nature, often exhibit considerable noises, inhibiting the analysis of the market dynamics and portfolio optimization. Existing studies mainly focus on the application of the global motion filtering on the linear matrix to reduce the noise interference. To minimize the noise in complex financial networks and enhance timing strategies, we introduce an advanced methodology employing global motion filtering on nonlinear dynamic networks derived from mutual information. Subsequently, we construct investment portfolios, focusing on peripheral stocks in both the Chinese and American markets. We utilize the growth and decline patterns of the eigenvalue associated with the global motion to identify trends in collective market movement, revealing the distinctive portfolio performance during periods of reinforced and weakened collective movements and further enhancing the strategy performance. Notably, this is the first instance of applying global motion filtering to mutual information networks to construct an investment portfolio focused on peripheral stocks. The comparative analysis demonstrates that portfolios comprising peripheral stocks within global-motion-filtered mutual information networks exhibit higher Sharpe and Sortino ratios compared to those derived from global-motion-filtered Pearson correlation networks, as well as from full mutual information and Pearson correlation matrices. Moreover, the performance of our strategies proves robust across bearish markets, bullish markets, and turbulent market conditions. Beyond enhancing the portfolio optimization, our results provide significant potential implications for diverse research fields such as biological, atmospheric, and neural sciences.
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Affiliation(s)
- Wenyan Peng
- School of Physics, Zhejiang University, Hangzhou, China
| | - Mingkai Wen
- College of Finance and Information, Ningbo University of Finance and Economics, Ningbo, China
| | - Xiongfei Jiang
- College of Finance and Information, Ningbo University of Finance and Economics, Ningbo, China
| | - Yan Li
- Department of Finance, Zhejiang Gongshang University, Hangzhou, China
| | - Tingting Chen
- Department of Finance, Zhejiang University of Finance and Economics, Hangzhou, China
| | - Bo Zheng
- School of Physics, Zhejiang University, Hangzhou, China
- School of Physics and Astronomy, Yunnan University, Kunming, China
- Collaborative Innovation Center of Advanced Microstructures, Nanjing University, Nanjing, China
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Huang Z, Shu X, Xuan Q, Ruan Z. Epidemic spreading under game-based self-quarantine behaviors: The different effects of local and global information. CHAOS (WOODBURY, N.Y.) 2024; 34:013112. [PMID: 38198677 DOI: 10.1063/5.0180484] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/10/2023] [Accepted: 12/12/2023] [Indexed: 01/12/2024]
Abstract
During the outbreak of an epidemic, individuals may modify their behaviors in response to external (including local and global) infection-related information. However, the difference between local and global information in influencing the spread of diseases remains inadequately explored. Here, we study a simple epidemic model that incorporates the game-based self-quarantine behavior of individuals, taking into account the influence of local infection status, global disease prevalence, and node heterogeneity (non-identical degree distribution). Our findings reveal that local information can effectively contain an epidemic, even with only a small proportion of individuals opting for self-quarantine. On the other hand, global information can cause infection evolution curves shaking during the declining phase of an epidemic, owing to the synchronous release of nodes with the same degree from the quarantined state. In contrast, the releasing pattern under the local information appears to be more random. This shaking phenomenon can be observed in various types of networks associated with different characteristics. Moreover, it is found that under the proposed game-epidemic framework, a disease is more difficult to spread in heterogeneous networks than in homogeneous networks, which differs from conventional epidemic models.
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Affiliation(s)
- Zegang Huang
- Institute of Cyberspace Security, Zhejiang University of Technology, Hangzhou 310023, China
- Binjiang Cyberspace Security Institute of ZJUT, Hangzhou 310051, China
| | - Xincheng Shu
- Institute of Cyberspace Security, Zhejiang University of Technology, Hangzhou 310023, China
- Binjiang Cyberspace Security Institute of ZJUT, Hangzhou 310051, China
| | - Qi Xuan
- Institute of Cyberspace Security, Zhejiang University of Technology, Hangzhou 310023, China
- Binjiang Cyberspace Security Institute of ZJUT, Hangzhou 310051, China
| | - Zhongyuan Ruan
- Institute of Cyberspace Security, Zhejiang University of Technology, Hangzhou 310023, China
- Binjiang Cyberspace Security Institute of ZJUT, Hangzhou 310051, China
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Zhai S, Zhao P, Xie Y, Ma J. Dynamical behavior mechanism in the network of interaction between group behavior and virus propagation. CHAOS (WOODBURY, N.Y.) 2023; 33:093134. [PMID: 37748482 DOI: 10.1063/5.0166000] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/02/2023] [Accepted: 09/05/2023] [Indexed: 09/27/2023]
Abstract
This paper introduces a complex network of interaction between human behavior and virus transmission, in which group synchronous behavior influences cure rates. The study examines the influence of individual group behavior on virus transmission, the reciprocal influence of virus transmission on individual group behavior, and the effects of evolving network structures on cluster synchronization. It also analyzes the conditions necessary for virus extinction or the occurrence of a pandemic, as well as the conditions for achieving individual group synchronization. The paper provides discriminant conditions to distinguish between aggregation behavior and virus extinction. The proposed model effectively captures the phenomenon of resurgence observed in many viruses. The conclusions drawn are rigorously validated through simulations conducted under various conditions, confirming the validity and reliability of the findings.
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Affiliation(s)
- Shidong Zhai
- School of Automation, Chongqing University of Posts and Telecommunications, Chongqing 400065, China
| | - Penglei Zhao
- School of Automation, Chongqing University of Posts and Telecommunications, Chongqing 400065, China
| | - Yongtao Xie
- School of Automation, Chongqing University of Posts and Telecommunications, Chongqing 400065, China
| | - Jun Ma
- School of Science, Chongqing University of Posts and Telecommunications, Chongqing 400065, China
- Department of Physics, Lanzhou University of Technology, Lanzhou 730050, China
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Achterberg MA, Sensi M. A minimal model for adaptive SIS epidemics. NONLINEAR DYNAMICS 2023; 111:1-14. [PMID: 37361007 PMCID: PMC10163586 DOI: 10.1007/s11071-023-08498-4] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 11/03/2022] [Accepted: 04/11/2023] [Indexed: 06/28/2023]
Abstract
The interplay between disease spreading and personal risk perception is of key importance for modelling the spread of infectious diseases. We propose a planar system of ordinary differential equations (ODEs) to describe the co-evolution of a spreading phenomenon and the average link density in the personal contact network. Contrary to standard epidemic models, we assume that the contact network changes based on the current prevalence of the disease in the population, i.e. the network adapts to the current state of the epidemic. We assume that personal risk perception is described using two functional responses: one for link-breaking and one for link-creation. The focus is on applying the model to epidemics, but we also highlight other possible fields of application. We derive an explicit form for the basic reproduction number and guarantee the existence of at least one endemic equilibrium, for all possible functional responses. Moreover, we show that for all functional responses, limit cycles do not exist. This means that our minimal model is not able to reproduce consequent waves of an epidemic, and more complex disease or behavioural dynamics are required to reproduce epidemic waves.
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Affiliation(s)
- Massimo A. Achterberg
- Faculty of Electrical Engineering, Mathematics and Computer Science, Delft University of Technology, P.O. Box 5031, 2600 GA Delft, The Netherlands
| | - Mattia Sensi
- MathNeuro Team, Inria at Université Côte d’Azur, 2004 Rte des Lucioles, 06410 Biot, France
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Fang F, Ma J, Li Y. The coevolution of the spread of a disease and competing opinions in multiplex networks. CHAOS, SOLITONS, AND FRACTALS 2023; 170:113376. [PMID: 36969948 PMCID: PMC10028538 DOI: 10.1016/j.chaos.2023.113376] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 02/14/2023] [Accepted: 03/14/2023] [Indexed: 06/18/2023]
Abstract
The COVID-19 pandemic has resulted in a proliferation of conflicting opinions on physical distancing across various media platforms, which has had a significant impact on human behavior and the transmission dynamics of the disease. Inspired by this social phenomenon, we present a novel UAP-SIS model to study the interaction between conflicting opinions and epidemic spreading in multiplex networks, in which individual behavior is based on diverse opinions. We distinguish susceptibility and infectivity among individuals who are unaware, pro-physical distancing and anti-physical distancing, and we incorporate three kinds of mechanisms for generating individual awareness. The coupled dynamics are analyzed in terms of a microscopic Markov chain approach that encompasses the aforementioned elements. With this model, we derive the epidemic threshold which is related to the diffusion of competing opinions and their coupling configuration. Our findings demonstrate that the transmission of the disease is shaped in a significant manner by conflicting opinions, due to the complex interaction between such opinions and the disease itself. Furthermore, the implementation of awareness-generating mechanisms can help to mitigate the overall prevalence of the epidemic, and global awareness and self-awareness can be interchangeable in certain instances. To effectively curb the spread of epidemics, policymakers should take steps to regulate social media and promote physical distancing as the mainstream opinion.
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Affiliation(s)
- Fanshu Fang
- College of Economics and Management, Nanjing University of Aeronautics and Astronautics, 211101, China
| | - Jing Ma
- College of Economics and Management, Nanjing University of Aeronautics and Astronautics, 211101, China
| | - Yanli Li
- College of Economics and Management, Nanjing University of Aeronautics and Astronautics, 211101, China
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Huo L, Yu Y. The impact of the self-recognition ability and physical quality on coupled negative information-behavior-epidemic dynamics in multiplex networks. CHAOS, SOLITONS, AND FRACTALS 2023; 169:113229. [PMID: 36844432 PMCID: PMC9942607 DOI: 10.1016/j.chaos.2023.113229] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 12/10/2022] [Revised: 01/26/2023] [Accepted: 02/02/2023] [Indexed: 06/18/2023]
Abstract
In recent years, as the COVID-19 global pandemic evolves, many unprecedented new patterns of epidemic transmission continue to emerge. Reducing the impact of negative information diffusion, calling for individuals to adopt immunization behaviors, and decreasing the infection risk are of great importance to maintain public health and safety. In this paper, we construct a coupled negative information-behavior-epidemic dynamics model by considering the influence of the individual's self-recognition ability and physical quality in multiplex networks. We introduce the Heaviside step function to explore the effect of decision-adoption process on the transmission for each layer, and assume the heterogeneity of the self-recognition ability and physical quality obey the Gaussian distribution. Then, we use the microscopic Markov chain approach (MMCA) to describe the dynamic process and derive the epidemic threshold. Our findings suggest that increasing the clarification strength of mass media and enhancing individuals' self-recognition ability can facilitate the control of the epidemic. And, increasing physical quality can delay the epidemic outbreak and leads to suppress the scale of epidemic transmission. Moreover, the heterogeneity of the individuals in the information diffusion layer leads to a two-stage phase transition, while it leads to a continuous phase transition in the epidemic layer. Our results can provide favorable references for managers in controlling negative information, urging immunization behaviors and suppressing epidemics.
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Affiliation(s)
- Liang'an Huo
- Business School, University of Shanghai for Science and Technology, Shanghai 200093, China
| | - Yue Yu
- Business School, University of Shanghai for Science and Technology, Shanghai 200093, China
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Fu X, Wang J. Fractional dynamic analysis and optimal control problem for an SEIQR model on complex networks. CHAOS (WOODBURY, N.Y.) 2022; 32:123123. [PMID: 36587321 DOI: 10.1063/5.0118404] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/04/2022] [Accepted: 11/16/2022] [Indexed: 06/17/2023]
Abstract
A fractional order susceptible-exposed-infected-quarantined-recovered model is established on the complex networks. We calculate a specific expression for the basic reproduction number R0, prove the existence and uniqueness with respect to the solution, and prove the Ulam-Hyers stability of the model. Using the Latin hypercube sampling-partial rank correlation coefficient method, the influence of parameters on the R0 is analyzed. Based on the results of the analysis, the optimal control of the model is investigated as the control variables with vaccination rate and quarantine rate applying Pontryagin's minimum principle. The effects of α, degree of nodes, and network size on the model dynamics are simulated separately by the prediction correction method.
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Affiliation(s)
- Xinjie Fu
- School of Mathematical and Statistics, Guizhou University, Guiyang 550025, Guizhou, China
| | - JinRong Wang
- School of Mathematical and Statistics, Guizhou University, Guiyang 550025, Guizhou, China
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Lin W, Xu L, Fang H. Finding influential edges in multilayer networks: Perspective from multilayer diffusion model. CHAOS (WOODBURY, N.Y.) 2022; 32:103131. [PMID: 36319287 DOI: 10.1063/5.0111151] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/18/2022] [Accepted: 09/27/2022] [Indexed: 06/16/2023]
Abstract
With the popularization of social network analysis, information diffusion models have a wide range of applications, such as viral marketing, publishing predictions, and social recommendations. The emergence of multiplex social networks has greatly enriched our daily life; meanwhile, identifying influential edges remains a significant challenge. The key problem lies that the edges of the same nodes are heterogeneous at different layers of the network. To solve this problem, we first develop a general information diffusion model based on the adjacency tensor for the multiplex network and show that the n-mode singular value can control the level of information diffusion. Then, to explain the suppression of information diffusion through edge deletion, efficient edge eigenvector centrality is proposed to identify the influence of heterogeneous edges. The numerical results from synthetic networks and real-world multiplex networks show that the proposed strategy outperforms some existing edge centrality measures. We devise an experimental strategy to demonstrate that influential heterogeneous edges can be successfully identified by considering the network layer centrality, and the deletion of top edges can significantly reduce the diffusion range of information across multiplex networks.
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Affiliation(s)
- Wei Lin
- College of Computer and Cyber Security, Fujian Normal University, Fuzhou 350117, Fujian, China
| | - Li Xu
- College of Computer and Cyber Security, Fujian Normal University, Fuzhou 350117, Fujian, China
| | - He Fang
- School of Electronic and Information Engineering, Soochow University, Soochow 215301, Jiangsu, China
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