Bias-variance Trade-off in Portfolio Optimization

According to current international regulation, financial institutions are obliged to calculate the risk in their trading book on the basis of expected shortfall (ES), a risk measure which aims to capture risk from rare, low-probability events more effectively than earlier measures. Read more

Testing Randomness in Quantum Mechanics

Monte Carlo experiments use computation and repeated random sampling to obtain numerical estimates for various natural or mathematical processes. Read more

Polarization of opinions in a network with two communities

The recent study of large data sets has revealed the key network structures behind many biological, social, and technological processes. Read more

Continuous vs. Discontinuous Transitions in the D-Dimensional Generalized Kuramoto Model: Odd D is different

In 1975, Yoshiki Kuramoto introduced a simple model to describe the collective dynamics of a set of interacting oscillators. In the model, each oscillator has a natural frequency, and is coupled equally to all other oscillators. Read more

Space junk, algorithmic hatred and meaningless jobs – a few recent essays

Here are links to a few recent articles by LML Fellow Mark Buchanan. Read more

Identifying the recurrence patterns of non-volcanic tremors using a 2-D hidden Markov model

Tectonic movements create stress within the Earth’s crust, which gets released in sudden earthquakes, but also in less dramatic slow slip events. Such events are sometimes accompanied by so-called non-volcanic tremors – weak seismic signals of extended duration along major faults. Read more

Do environmental concerns affect commuting choices? Hybrid choice modelling with household survey data

Addressing climate change is among the top challenges facing governments around the world, requiring drastic reductions of greenhouse gas emissions. In part this will be through new technologies but progress will also require encouraging significant changes in day-to-day human behaviour. Read more

Quantification of systemic risk from overlapping portfolios in the financial system

Systemic risk in the financial system is risk tied not to one specific firm, but to the interactions between firms – for example, through possible avalanches of spreading financial distress. One important form of systemic risk arises from indirect links between financial institutions, created when financial institutions invest in the same assets. Read more

Studying language evolution in the age of big data

The availability of large digital corpora of cross-linguistic data is revolutionizing many branches of linguistics, triggering a shift of study from detailed questions about individual features to more global patterns amenable to statistical analyses. Read more

Phase transition, scaling of moments, and order-parameter distributions in Brownian particles and branching processes with finite-size effects

Random walks provide precise mathematical models for diffusion processes, while rooted trees offer a geometric representation of branching processes. Both are of broad importance in probability theory and statistical physics, and some important mathematical results establish links between the two. Read more