Evolutionary dynamics in financial markets with heterogeneities in investment strategies and reference points.

In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. By incorporating pair pattern strategies and reference point strategies into an agent-based model, we have investigated the effects of homogeneous and heterogeneous investment strategies and reference points on price movement. In the market flooded with the investors with homogeneous investment strategies or homogeneous reference points, large price fluctuations occur. In the market flooded with the investors with heterogeneous investment strategies or heterogeneous reference points, moderate price fluctuations occur. The coexistence of different kinds of investment strategies can not only refrain from the occurrence of large price fluctuations but also the occurrence of no-trading states. The present model reveals that the coexistence of heterogeneous populations, whether they are the individuals with heterogeneous investment strategies or heterogeneous reference points of stock prices, is an important factor for the stability of the stock market.

Market impact shapes competitive advantage of investment strategies in financial markets.

The formation of an efficient market depends on the competition between different investment strategies, which accelerates all available information into asset prices. By incorporating market impact and two kinds of investment strategies into an agent-based model, we have investigated the coevolutionary mechanism of different investment strategies and the role of market impact in shaping a competitive advantage in financial markets. The coevolution of history-dependent strategies and reference point strategies depends on the levels of market impact and risk tolerance. For low market impact and low risk tolerance, the majority-win effect makes the trend-following strategies become dominant strategies. For high market impact and low risk tolerance, the minority-win effect makes the trend-rejecting strategies coupled with trend-following strategies become dominant strategies. The coupled effects of price fluctuations and strategy distributions have been investigated in depth. A U-shape distribution of history-dependent strategies is beneficial for a stable price, which is destroyed by the existence of reference point strategies with low risk tolerance. A δ-like distribution of history-dependent strategies leads to a large price fluctuation, which is suppressed by the existence of reference point strategies with high risk tolerance. The strategies that earn more in an inefficient market lose more in an efficient market. Such a result gives us another explanation for the principle of risk-profit equilibrium in financial markets: high return in an inefficient market should be coupled with high risk in an efficient market, low return in an inefficient market should be coupled with low risk in an efficient market.

Circadian misalignment alters insulin sensitivity during the light phase and shifts glucose tolerance rhythms in female mice.

Shift work and jet lag, characterized by circadian misalignment, can disrupt several physiological activities, but whether they affect the rhythm of glucose uptake and insulin sensitivity remain unclear. In the present study, female C57BL/6J mice were maintained for four weeks under the condition of 8-hour phase advance and delay every 3-4 days to mimic shift work. Intraperitoneal glucose tolerance test (IPGTT) and intraperitoneal insulin tolerance test (IPITT) were performed repeatedly at Zeitgeber time (ZT) 0, ZT6, ZT12, and ZT18. Glucose-stimulated insulin secretion (GSIS) test was performed at ZT6. We found that the average level of daily glucose tolerance did not decrease but the phase of glucose tolerance advanced by 2.27 hours and the amplitude attenuated by 20.4% in shift work mice. At ZT6, IPITT showed blood glucose at 30 min after insulin injection decreased faster in shift work mice (-3.50±0.74mmol/L, -61.58±7.89%) than that in control mice (-2.11±1.10mmol/L, -33.72±17.24%), but IPGTT and GSIS test showed no significant difference between the two groups. Food intake monitor showed that the feeding time of shift work mice continued to advance. Restricting feed to a fixed 12-hour period alleviated the increase of insulin sensitivity induced by shift-work. We also observed that an increase of blood glucose and liver glycogen at ZT0, as well as a phase advance of liver clock genes and some glucose metabolism-related genes such as forkhead box O1 (Foxo1) and peroxisome proliferator activated receptor alpha (Pparα) in shift work mice. Our results showed that light change-simulated shift work altered insulin sensitivity during the light phase and shifted glucose tolerance rhythms in female mice, suggesting a causal association between long-term shift work and type 2 diabetes.

The Association of Telomere Length in Peripheral Blood Cells with Cancer Risk: A Systematic Review and Meta-analysis of Prospective Studies.

The association between telomere length (TL) in peripheral blood cells and cancer risk remains inconclusive. We carried out a meta-analysis on prospective studies. The study-specific RR estimates were first transformed to a common comparable scale and then were pooled by a random-effects model. The dataset was composed of 13,894 cases and 71,672 controls from 28 studies in 25 articles. In the comparison of the longest versus shortest third of TL, we observed a marginally positive association between longer TL and higher risk of total cancers [OR = 1.086; 95% confidence interval (CI), 0.952-1.238]. Subgroup analyses showed that the association was stronger in lung cancer (n = 3; OR = 1.690; 95% CI, 1.253-2.280), in men (n = 6; OR = 1.302; 95% CI, 1.120-1.514) and in studies with more precise methods for DNA extraction (phenol-chloroform, salting-out or magnetic bead, n = 6, OR = 1.618; 95% CI, 1.320-1.985) and TL measurement (multiplex Q-PCR, n = 8; OR = 1.439; 95% CI, 1.118-1.852). Our meta-analysis suggested longer TL in peripheral blood cells is a likely risk factor for lung cancer or cancers in men. Accurate DNA extraction and TL measurement methods make it more liable to find significant associations between TL and cancer risk and thus should be taken into consideration in future epidemiologic studies. Cancer Epidemiol Biomarkers Prev; 26(9); 1381-90. ©2017 AACR.

Dynamic Portfolio Strategy Using Clustering Approach.

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

Coupled effects of local movement and global interaction on contagion.

By incorporating segregated spatial domain and individual-based linkage into the SIS (susceptible-infected-susceptible) model, we propose a generalized epidemic model which can change from the territorial epidemic model to the networked epidemic model. The role of the individual-based linkage between different spatial domains is investigated. As we adjust the timescale parameter τ from 0 to unity, which represents the degree of activation of the individual-based linkage, three regions are found. Within the region of 0 < τ < 0.02 , the epidemic is determined by local movement and is sensitive to the timescale τ . Within the region of 0.02 < τ < 0.5 , the epidemic is insensitive to the timescale τ . Within the region of 0.5 < τ < 1 , the outbreak of the epidemic is determined by the structure of the individual-based linkage. As we keep an eye on the first region, the role of activating the individual-based linkage in the present model is similar to the role of the shortcuts in the two-dimensional small world network. Only activating a small number of the individual-based linkage can prompt the outbreak of the epidemic globally. The role of narrowing segregated spatial domain and reducing mobility in epidemic control is checked. These two measures are found to be conducive to curbing the spread of infectious disease only when the global interaction is suppressed. A log-log relation between the change in the number of infected individuals and the timescale τ is found. By calculating the epidemic threshold and the mean first encounter time, we heuristically analyze the microscopic characteristics of the propagation of the epidemic in the present model.

Effects of contrarians in the minority game.

We study the effects of the presence of contrarians in an agent-based model of competing populations. Contrarians are common in societies. These contrarians are agents who deliberately prefer to hold an opinion that is contrary to the prevailing idea of the commons or normal agents. Contrarians are introduced within the context of the minority game (MG), which is a binary model for an evolving and adaptive population of agents competing for a limited resource. The average success rate among the agents is found to have a nonmonotonic dependence on the fraction a(c) of contrarians. For small a(c), the contrarians systematically outperform the normal agents by avoiding the crowd effect and enhance the overall success rate. For high a(c), the anti-persistent nature of the MG is disturbed and the few normal agents outperform the contrarians. Qualitative discussion and analytic results for the small a(c) and high a(c) regimes are presented, and the crossover behavior between the two regimes is discussed.