Revisiting the use of web search data for stock market movements.

Advances in Big Data make it possible to make short-term forecasts for market trends from previously unexplored sources. Trading strategies were recently developed by exploiting a link between the online search activity of certain terms semantically related to finance and market movements. Here we build on these earlier results by exploring a data-driven strategy which adaptively leverages the Google Correlate service and automatically chooses a new set of search terms for every trading decision. In a backtesting experiment run from 2008 to 2017 we obtained a 499% cumulative return which compares favourably with benchmark strategies. A crowdsourcing exercise reveals that the term selection process preferentially selects highly specific terms semantically related to finance (e.g. Wells Fargo Bank), which may capture the transient interests of investors, but at the cost of a shorter span of validity. The adaptive strategy quickly updates the set of search terms when a better combination is found, leading to more consistent predictability. We anticipate that this adaptive decision framework can be of value not only for financial applications, but also in other areas of computational social science, where linkages between facets of collective human behavior and online searches can be inferred from digital footprint data.

On the growth of locally interacting plants: differential equations for the dynamics of spatial moments.

Ecologists are faced with the challenge of how to scale up from the activities of individual plants and animals to the macroscopic dynamics of populations and communities. It is especially difficult to do this in communities of plants where the fate of individuals depends on their immediate neighbors rather than an average over a larger region. This has meant that algorithmic, agent-based models are typically used to understand their dynamics, although certain macroscopic models have been developed for neighbor-dependent, birth death processes. Here we present a macroscopic model that, for the first time, incorporates explicit, gradual, neighbor-dependent plant growth, as a third fundamental process of plant communities. The model is derived from a stochastic, agent-based model, and describes the dynamics of the first and second spatial moments of a multispecies, spatially structured plant community with neighbor-dependent growth, births, and deaths. A simple example shows that strong neighborhood space-filling during tree growth in an even-aged stand of Scots pine is well captured by the spatial-moment model. The space-filling has a spatial signature consistent with that observed in several field studies of forests. Small neighborhoods of interaction, nonuniform spacing of trees, and asymmetric competition all contribute to the buildup of a wide range of tree sizes with some large dominant individuals and many smaller ones.

Dynamic model of flexible phytoplankton nutrient uptake.

The metabolic machinery of marine microbes can be remarkably plastic, allowing organisms to persist under extreme nutrient limitation. With some exceptions, most theoretical approaches to nutrient uptake in phytoplankton are largely dominated by the classic Michaelis-Menten (MM) uptake functional form, whose constant parameters cannot account for the observed plasticity in the uptake apparatus. Following seminal ideas by earlier researchers, we propose a simple cell-level model based on a dynamic view of the uptake process whereby the cell can regulate the synthesis of uptake proteins in response to changes in both internal and external nutrient concentrations. In our flexible approach, the maximum uptake rate and nutrient affinity increase monotonically as the external nutrient concentration decreases. For low to medium nutrient availability, our model predicts uptake and growth rates larger than the classic MM counterparts, while matching the classic MM results for large nutrient concentrations. These results have important consequences for global coupled models of ocean circulation and biogeochemistry, which lack this regulatory mechanism and are thus likely to underestimate phytoplankton abundances and growth rates in oligotrophic regions of the ocean.

A multiscale maximum entropy moment closure for locally regulated space-time point process models of population dynamics.

The prevalence of structure in biological populations challenges fundamental assumptions at the heart of continuum models of population dynamics based only on mean densities (local or global). Individual-based models (IBMs) were introduced during the last decade in an attempt to overcome this limitation by following explicitly each individual in the population. Although the IBM approach has been quite useful, the capability to follow each individual usually comes at the expense of analytical tract ability, which limits the generality of the statements that can be made. For the specific case of spatial structure in populations of sessile (and identical) organisms, space-time point processes with local regulation seem to cover the middle ground between analytical tract ability and a higher degree of biological realism. This approach has shown that simplified representations of fecundity, local dispersal and density-dependent mortality weighted by the local competitive environment are sufficient to generate spatial patterns that mimic field observations. Continuum approximations of these stochastic processes try to distill their fundamental properties, and they keep track of not only mean densities, but also higher order spatial correlations. However, due to the non-linearities involved they result in infinite hierarchies of moment equations. This leads to the problem of finding a 'moment closure'; that is, an appropriate order of (lower order) truncation, together with a method of expressing the highest order density not explicitly modelled in the truncated hierarchy in terms of the lower order densities. We use the principle of constrained maximum entropy to derive a closure relationship for truncation at second order using normalisation and the product densities of first and second orders as constraints, and apply it to one such hierarchy. The resulting 'maxent' closure is similar to the Kirkwood superposition approximation, or 'power-3' closure, but it is complemented with previously unknown correction terms that depend mainly on the avoidance function of an associated Poisson point process over the region for which third order correlations are irreducible. This domain of irreducible triplet correlations is found from an integral equation associated with the normalisation constraint. This also serves the purpose of a validation check, since a single, non-trivial domain can only be found if the assumptions of the closure are consistent with the predictions of the hierarchy. Comparisons between simulations of the point process, alternative heuristic closures, and the maxent closure show significant improvements in the ability of the truncated hierarchy to predict equilibrium values for mildly aggregated spatial patterns. However, the maxent closure performs comparatively poorly in segregated ones. Although the closure is applied in the context of point processes, the method does not require fixed locations to be valid, and can in principle be applied to problems where the particles move, provided that their correlation functions are stationary in space and time.