Information dynamics of price and liquidity around the 2017 Bitcoin markets crash.

We study information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analyzing high-frequency market microstructure observables with different information-theoretic measures for dynamical systems, we find temporal changes in information sharing across markets. In particular, we study time-varying components of predictability, memory, and (a)synchronous coupling, measured by transfer entropy, active information storage, and multi-information. By comparing these empirical findings with several models, we argue that some results could relate to intra-market and inter-market regime shifts and changes in the direction of information flow between different market observables.

On the accuracy of short-term COVID-19 fatality forecasts.

BACKGROUND: Forecasting new cases, hospitalizations, and disease-induced deaths is an important part of infectious disease surveillance and helps guide health officials in implementing effective countermeasures. For disease surveillance in the US, the Centers for Disease Control and Prevention (CDC) combine more than 65 individual forecasts of these numbers in an ensemble forecast at national and state levels. A similar initiative has been launched by the European CDC (ECDC) in the second half of 2021. METHODS: We collected data on CDC and ECDC ensemble forecasts of COVID-19 fatalities, and we compare them with easily interpretable "Euler" forecasts serving as a model-free benchmark that is only based on the local rate of change of the incidence curve. The term "Euler method" is motivated by the eponymous numerical integration scheme that calculates the value of a function at a future time step based on the current rate of change. RESULTS: Our results show that simple and easily interpretable "Euler" forecasts can compete favorably with both CDC and ECDC ensemble forecasts on short-term forecasting horizons of 1 week. However, ensemble forecasts better perform on longer forecasting horizons. CONCLUSIONS: Using the current rate of change in incidences as estimates of future incidence changes is useful for epidemic forecasting on short time horizons. An advantage of the proposed method over other forecasting approaches is that it can be implemented with a very limited amount of work and without relying on additional data (e.g., data on human mobility and contact patterns) and high-performance computing systems.

AI Pontryagin or how artificial neural networks learn to control dynamical systems.

The efficient control of complex dynamical systems has many applications in the natural and applied sciences. In most real-world control problems, both control energy and cost constraints play a significant role. Although such optimal control problems can be formulated within the framework of variational calculus, their solution for complex systems is often analytically and computationally intractable. To overcome this outstanding challenge, we present AI Pontryagin, a versatile control framework based on neural ordinary differential equations that automatically learns control signals that steer high-dimensional dynamical systems towards a desired target state within a specified time interval. We demonstrate the ability of AI Pontryagin to learn control signals that closely resemble those found by corresponding optimal control frameworks in terms of control energy and deviation from the desired target state. Our results suggest that AI Pontryagin is capable of solving a wide range of control and optimization problems, including those that are analytically intractable.

On some fundamental challenges in monitoring epidemics.

Epidemic models often reflect characteristic features of infectious spreading processes by coupled nonlinear differential equations considering different states of health (such as susceptible, infectious or recovered). This compartmental modelling approach, however, delivers an incomplete picture of the dynamics of epidemics, as it neglects stochastic and network effects, and the role of the measurement process, on which the estimation of epidemiological parameters and incidence values relies. In order to study the related issues, we combine established epidemiological spreading models with a measurement model of the testing process, considering the problems of false positives and false negatives as well as biased sampling. Studying a model-generated ground truth in conjunction with simulated observation processes (virtual measurements) allows one to gain insights into the fundamental limitations of purely data-driven methods when assessing the epidemic situation. We conclude that epidemic monitoring, simulation, and forecasting are wicked problems, as applying a conventional data-driven approach to a complex system with nonlinear dynamics, network effects and uncertainty can be misleading. Nevertheless, some of the errors can be corrected for, using scientific knowledge of the spreading dynamics and the measurement process. We conclude that such corrections should generally be part of epidemic monitoring, modelling and forecasting efforts. This article is part of the theme issue 'Data science approaches to infectious disease surveillance'.

On the impact of publicly available news and information transfer to financial markets.

We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information, we use the news archives from the Common Crawl, a non-profit organization that crawls a large part of the web. We develop a processing pipeline to identify news articles associated with the constituent companies in the S&P 500 index, an equity market index that measures the stock performance of US companies. Using machine learning techniques, we extract sentiment scores from the Common Crawl News data and employ tools from information theory to quantify the information transfer from public news articles to the US stock market. Furthermore, we analyse and quantify the economic significance of the news-based information with a simple sentiment-based portfolio trading strategy. Our findings provide support for that information in publicly available news on the World Wide Web has a statistically and economically significant impact on events in financial markets.

Building a multisystemic understanding of societal resilience to the COVID-19 pandemic.

The current global systemic crisis reveals how globalised societies are unprepared to face a pandemic. Beyond the dramatic loss of human life, the COVID-19 pandemic has triggered widespread disturbances in health, social, economic, environmental and governance systems in many countries across the world. Resilience describes the capacities of natural and human systems to prevent, react to and recover from shocks. Societal resilience to the current COVID-19 pandemic relates to the ability of societies in maintaining their core functions while minimising the impact of the pandemic and other societal effects. Drawing on the emerging evidence about resilience in health, social, economic, environmental and governance systems, this paper delineates a multisystemic understanding of societal resilience to COVID-19. Such an understanding provides the foundation for an integrated approach to build societal resilience to current and future pandemics.

Generalized network dismantling.

Finding an optimal subset of nodes in a network that is able to efficiently disrupt the functioning of a corrupt or criminal organization or contain an epidemic or the spread of misinformation is a highly relevant problem of network science. In this paper, we address the generalized network-dismantling problem, which aims at finding a set of nodes whose removal from the network results in the fragmentation of the network into subcritical network components at minimal overall cost. Compared with previous formulations, we allow the costs of node removals to take arbitrary nonnegative real values, which may depend on topological properties such as node centrality or on nontopological features such as the price or protection level of a node. Interestingly, we show that nonunit costs imply a significantly different dismantling strategy. To solve this optimization problem, we propose a method which is based on the spectral properties of a node-weighted Laplacian operator and combine it with a fine-tuning mechanism related to the weighted vertex cover problem. The proposed method is applicable to large-scale networks with millions of nodes. It outperforms current state-of-the-art methods and opens more directions for understanding the vulnerability and robustness of complex systems.

Simulating SIR processes on networks using weighted shortest paths.

We present a framework to simulate SIR processes on networks using weighted shortest paths. Our framework maps the SIR dynamics to weights assigned to the edges of the network, which can be done for Markovian and non-Markovian processes alike. The weights represent the propagation time between the adjacent nodes for a particular realization. We simulate the dynamics by constructing an ensemble of such realizations, which can be done by using a Markov Chain Monte Carlo method or by direct sampling. The former provides a runtime advantage when realizations from all possible sources are computed as the weighted shortest paths can be re-calculated more efficiently. We apply our framework to three empirical networks and analyze the expected propagation time between all pairs of nodes. Furthermore, we have employed our framework to perform efficient source detection and to improve strategies for time-critical vaccination.

Identification of Patient Zero in Static and Temporal Networks: Robustness and Limitations.

Detection of patient zero can give new insights to epidemiologists about the nature of first transmissions into a population. In this Letter, we study the statistical inference problem of detecting the source of epidemics from a snapshot of spreading on an arbitrary network structure. By using exact analytic calculations and Monte Carlo estimators, we demonstrate the detectability limits for the susceptible-infected-recovered model, which primarily depend on the spreading process characteristics. Finally, we demonstrate the applicability of the approach in a case of a simulated sexually transmitted infection spreading over an empirical temporal network of sexual interactions.

Cohesiveness in financial news and its relation to market volatility.

Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.