Theory of nonstationary Hawkes processes

Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: Application to financial returns

We construct a two-tailed peaks-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by investigating extreme gains and losses within the daily log-returns of the S&P 500 equity index. We find that the arrivals of extreme losses and gains are described by a common conditional intensity to which losses contribute twice as much as gains. However, the contribution of the former decays almost five times more quickly than that of the latter. We attribute these asymmetries to the different reactions of market traders to extreme upward and downward movements of asset prices: an example of negativity bias, wherein trauma is more salient than euphoria.

The Geometry of Information Coding in Correlated Neural Populations

Neurons in the brain represent information in their collective activity. The fidelity of this neural population code depends on whether and how variability in the response of one neuron is shared with other neurons. Two decades of studies have investigated the influence of these noise correlations on the properties of neural coding. We provide an overview of the theoretical developments on the topic. Using simple, qualitative, and general arguments, we discuss, categorize, and relate the various published results. We emphasize the relevance of the fine structure of noise correlation, and we present a new approach to the issue. Throughout this review, we emphasize a geometrical picture of how noise correlations impact the neural code.

Unraveling the Origin of Social Bursts in Collective Attention

In the era of social media, every day billions of individuals produce content in socio-technical systems resulting in a deluge of information. However, human attention is a limited resource and it is increasingly challenging to consume the most suitable content for one’s interests. In fact, the complex interplay between individual and social activities in social systems overwhelmed by information results in bursty activity of collective attention which are still poorly understood. Here, we tackle this challenge by analyzing the online activity of millions of users in a popular microblogging platform during exceptional events, from NBA Finals to the elections of Pope Francis and the discovery of gravitational waves. We observe extreme fluctuations in collective attention that we are able to characterize and explain by considering the co-occurrence of two fundamental factors: the heterogeneity of social interactions and the preferential attention towards influential users. Our findings demonstrate how combining simple mechanisms provides a route towards understanding complex social phenomena.