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In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR of a momentum strategy, and show that if momentum is mainly due to the positive autocorrelation in returns, IR as a function of the portfolio formation period (look-back) is very different from momentum due to the drift (average return). The IR shows that for look-back periods of a few months, the investor is more likely to tap into autocorrelation. However, for look-back periods closer to 1 year, the investor is more likely to tap into the drift. We compare the historical data to the theoretical IR by constructing stationary periods. The empirical study finds that there are periods/regimes where the autocorrelation is more important than the drift in explaining the IR (particularly pre-1975) and others where the drift is more important (mostly after 1975). We conclude our study by applying our momentum strategy to 100 plus years of the Dow-Jones Industrial Average. We report damped oscillations on the IR for look-back periods of several years and model such oscilations as a reversal to the mean growth rate., Comment: 23 pages, 8 figures;v2:revised text

The transmission dynamics of some infectious diseases is related to the contact structure between individuals in a network. We used five algorithms to generate contact networks with different topological structure but with the same scale-free degree distribution. We simulated the spread of acute and chronic infectious diseases on these networks, using SI (Susceptible - Infected) and SIS (Susceptible - Infected - Susceptible) epidemic models. In the simulations, our objective was to observe the effects of the topological structure of the networks on the dynamics and prevalence of the simulated diseases. We found that the dynamics of spread of an infectious disease on different networks with the same degree distribution may be considerably different., Comment: 13 pages, 7 figures

We have analysed some structural properties of scale-free networks with the same degree distribution. Departing from a degree distribution obtained from the Barab\'asi-Albert (BA) algorithm, networks were generated using four additional different algorithms a (Molloy-Reed, Kalisky, and two new models named A and B) besides the BA algorithm itself. For each network, we have calculated the following structural measures: average degree of the nearest neighbours, central point dominance, clustering coefficient, the Pearson correlation coefficient, and global efficiency. We found that different networks with the same degree distribution may have distinct structural properties. In particular, model B generates decentralized networks with a larger number of components, a smaller giant component size, and a low global efficiency when compared to the other algorithms, especially compared to the centralized BA networks that have all vertices in a single component, with a medium to high global efficiency. The other three models generate networks with intermediate characteristics between B and BA models. A consequence of this finding is that the dynamics of different phenomena on these networks may differ considerably., Comment: 9 pages, 5 figures, 1 table

The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a unified model that includes volume and price variations for stock assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. Besides the model can be considered mathematically very simple, it was able to improve significantly the performance of agents operating with real financial data. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market., Comment: 9 pages, 15 figures

Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes - Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008) - are identified with clear and robust results. The method is also applied to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature from the other three. We also show that the analysis has forecasting capabilities., Comment: 8 pages, 6 figures

In this work we study the local coupled Kuramoto model with periodic boundary conditions. Our main objective is to show how analytical solutions may be obtained from symmetry assumptions, and while we proceed on our endeavor we show apart from the existence of local attractors, some unexpected features resulting from the symmetry properties, such as intermittent and chaotic period phase slips, degeneracy of stable solutions and double bifurcation composition. As a result of our analysis, we show that stable fixed points in the synchronized region may be obtained with just a small amount of the existent solutions, and for a class of natural frequencies configuration we show analytical expressions for the critical synchronization coupling as a function of the number of oscillators, both exact and asymptotic., Comment: 15 pages, 12 figures

A system of nearest neighbors Kuramoto-like coupled oscillators placed in a ring is studied above the critical synchronization transition. We find a richness of solutions when the coupling increases, which exists only within a solvability region (SR). We also find that they posses different characteristics, depending on the section of the boundary of the SR where the solutions appear. We study the birth of these solutions and how they evolve when {K} increases, and determine the diagram of solutions in phase space., Comment: 8 pages, 10 figures

In this work we study an economic agent based model under different asymmetric information degrees. This model is quite simple and can be treated analytically since the buyers evaluate the quality of a certain good taking into account only the quality of the last good purchased plus her perceptive capacity \beta . As a consequence the system evolves according to a stationary Markovian stochastic process. The value of a product offered by the seller increases with quality according to the exponent \alpha, which is a measure of technology. It incorporates all the technological capacity of production systems such as education, scientific development and techniques that change the productivity growth. The technological level plays an important role to explain how the asymmetry of information may affect the market evolution in this model. We observe that, for high technological levels, the market can control adverse selection. The model allows us to compute the maximum asymmetric information degree before market collapse. Below this critical point the market evolves during a very limited time and then dies out completely. When \beta is closer to 1(symmetric information), the market becomes more profitable for high quality goods, although high and low quality markets coexist. All the results we obtained from the model are analytical and the maximum asymmetric information level is a consequence of an ergodicity breakdown in the process of quality evaluation., Comment: 13 pages and 4 figures