Search

We provide an explicit solution of the problem of level-set percolation for multivariate Gaussians defined in terms of weighted graph Laplacians on complex networks. The solution requires an analysis of the heterogeneous micro-structure of the percolation problem, i.e., a self-consistent determination of locally varying percolation probabilities. This is achieved using a cavity or message passing approach. It can be evaluated, both for single large instances of locally tree-like graphs, and in the thermodynamic limit of random graphs of finite mean degree in the configuration model class., Comment: Main paper: 5 pages, 2 figures; supplementary material: 6 pages, 3 figures

We present analytical results for the distribution of the number of cycles in directed and undirected random 2-regular graphs (2-RRGs) consisting of $N$ nodes. In directed 2-RRGs each node has one inbound link and one outbound link, while in undirected 2-RRGs each node has two undirected links. Since all the nodes are of degree $k=2$, the resulting networks consist of cycles. These cycles exhibit a broad spectrum of lengths, where the average length of the shortest cycle in a random network instance scales with $\ln N$, while the length of the longest cycle scales with $N$. The number of cycles varies between different network instances in the ensemble, where the mean number of cycles $\langle S \rangle$ scales with $\ln N$. Here we present exact analytical results for the distribution $P_N(S=s)$ of the number of cycles $s$ in ensembles of directed and undirected 2-RRGs, expressed in terms of the Stirling numbers of the first kind. In both cases the distributions converge to a Poisson distribution in the large $N$ limit. The moments and cumulants of $P_N(S=s)$ are also calculated. The statistical properties of directed 2-RRGs are equivalent to the combinatorics of cycles in random permutations of $N$ objects. In this context our results recover and extend known results. In contrast, the statistical properties of cycles in undirected 2-RRGs have not been studied before., Comment: 31 pages, 6 figures, 1 table

The distribution of shortest path lengths (DSPL) of random networks provides useful information on their large scale structure. In the special case of random regular graphs (RRGs), which consist of $N$ nodes of degree $c \ge 3$, the DSPL, denoted by $P(L=\ell)$, follows a discrete Gompertz distribution. Using the discrete Laplace transform we derive a closed-form expression for the moment generating function of the DSPL of RRGs. From the moment generating function we obtain closed-form expressions for the mean and variance of the DSPL. More specifically, we find that the mean distance between pairs of distinct nodes is given by $\langle L \rangle = \frac{\ln N}{\ln (c-1)} + \frac{1}{2} - \frac{ \ln c - \ln (c-2) +\gamma}{\ln (c-1)} + \mathcal{O} \left( \frac{\ln N}{N} \right)$, where $\gamma$ is the Euler-Mascheroni constant. While the leading term is known, this result includes a novel correction term, which yields very good agreement with the results obtained from direct numerical evaluation of $\langle L \rangle$ via the tail-sum formula and with the results obtained from computer simulations. However, it does not account for an oscillatory behavior of $\langle L \rangle$ as a function of $c$ or $N$. These oscillations are negligible in sparse networks but detectable in dense networks. We also derive an expression for the variance ${\rm Var}(L)$ of the DSPL, which captures the overall dependence of the variance on $c$ but does not account for the oscillations. The oscillations are due to the discrete nature of the shell structure around a random node. They reflect the profile of the filling of new shells as $N$ is increased. The results for the mean and variance are compared to the corresponding results obtained in other types of random networks. The relation between the mean distance and the diameter is discussed., Comment: 25 pages, 7 figures

Dynamic processes of interacting units on a network are out of equilibrium in general. In the case of a directed tree, the dynamic cavity method provides an efficient tool that characterises the dynamic trajectory of the process for the linear threshold model. However, because of the computational complexity of the method, the analysis has been limited to systems where the largest number of neighbours is small. We devise an efficient implementation of the dynamic cavity method which substantially reduces the computational complexity of the method for systems with discrete couplings. Our approach opens up the possibility to investigate the dynamic properties of networks with fat-tailed degree distribution. We exploit this new implementation to study properties of the non-equilibrium steady-state. We extend the dynamical cavity approach to calculate the pairwise correlations induced by different motifs in the network. Our results suggest that just two basic motifs of the network are able to accurately describe the entire statistics of observed correlations. Finally, we investigate models defined on networks containing bi-directional interactions. We observe that the stationary state associated with networks with symmetric or anti-symmetric interactions is biased towards the active or inactive state respectively, even if independent interaction entries are drawn from a symmetric distribution. This phenomenon, which can be regarded as a form of spontaneous symmetry-breaking, is peculiar to systems formulated in terms of Boolean variables, as opposed to Ising spins.

This paper presents an in-depth analysis of the anatomy of both thermodynamics and statistical mechanics, together with the relationships between their constituent parts. Based on this analysis, using the renormalization group and finite-size scaling, we give a definition of a large but finite system and argue that phase transitions are represented correctly, as incipient singularities in such systems. We describe the role of the thermodynamic limit. And we explore the implications of this picture of critical phenomena for the questions of reduction and emergence.

The dynamic cavity method provides the most efficient way to evaluate probabilities of dynamic trajectories in systems of stochastic units with unidirectional sparse interactions. It is closely related to sum-product algorithms widely used to compute marginal functions from complicated global functions of many variables, with applications in disordered systems, combinatorial optimization and computer science. However, the complexity of the cavity approach grows exponentially with the in-degrees of the interacting units, which creates a de-facto barrier for the successful analysis of systems with fat-tailed in-degree distributions. In this manuscript, we present a dynamic programming algorithm that overcomes this barrier by reducing the computational complexity in the in-degrees from exponential to quadratic, whenever couplings are chosen randomly from (or can be approximated in terms of) discrete, possibly unit-dependent, sets of equidistant values. As a case study, we analyse the dynamics of a random Boolean network with a fat-tailed degree distribution and fully asymmetric binary $\pm J$ couplings, and we use the power of the algorithm to unlock the noise dependent heterogeneity of stationary node activation patterns in such a system., Comment: 7 pages, 3 figures

We investigate the statistics of articulation points and bredges (bridge-edges) in complex networks in which bonds are randomly removed in a percolation process. Articulation points are nodes in a network which, if removed, would split the network component on which they are located into two or more separate components, while bredges are edges whose removal would split the network component on which they are located into two separate components. Both articulation points and bredges play an important role in processes of network dismantling and it is therefore useful to know the evolution of the probability of nodes or edges to be articulation points and bredges, respectively, when a fraction of edges is randomly removed from the network in a percolation process. Due to the heterogeneity of the network, the probability of a node to be an articulation point, or the probability of an edge to be a bredge will not be homogeneous across the network. We therefore analyze full distributions of articulation point probabilities as well as bredge probabilities, using a message-passing or cavity approach to the problem, as well as a deconvolution of these distributions according to degrees of the node or the degrees of both adjacent nodes in the case of bredges. Our methods allow us to obtain these distributions both for large single instances of networks as well as for ensembles of networks in the configuration model class in the thermodynamic limit of infinite system size. We also derive closed form expressions for the large mean degree limit of Erd\H{o}s-R\'enyi networks., Comment: 15 pages, 10 multipart figures

We review the problem of how to compute the spectral density of sparse symmetric random matrices, i.e. weighted adjacency matrices of undirected graphs. Starting from the Edwards-Jones formula, we illustrate the milestones of this line of research, including the pioneering work of Bray and Rodgers using replicas. We focus first on the cavity method, showing that it quickly provides the correct recursion equations both for single instances and at the ensemble level. We also describe an alternative replica solution that proves to be equivalent to the cavity method. Both the cavity and the replica derivations allow us to obtain the spectral density via the solution of an integral equation for an auxiliary probability density function. We show that this equation can be solved using a stochastic population dynamics algorithm, and we provide its implementation. In this formalism, the spectral density is naturally written in terms of a superposition of local contributions from nodes of given degree, whose role is thoroughly elucidated. This paper does not contain original material, but rather gives a pedagogical overview of the topic. It is indeed addressed to students and researchers who consider entering the field. Both the theoretical tools and the numerical algorithms are discussed in detail, highlighting conceptual subtleties and practical aspects., Comment: 52 pag., 5 fig. Typos fixed. Submission to SciPost

In modern society people are being exposed to numerous information, with some of them being frequently repeated or more disruptive than others. In this paper we use a model of opinion dynamics to study how this news impact the society. In particular, our study aims to explain how the exposure of the society to certain events deeply change people's perception of the present and future. The evolution of opinions which we consider is influenced both by external information and the pressure of the society. The latter includes imitation, differentiation, homophily and its opposite, xenophobia. The combination of these ingredients gives rise to a collective memory effect, which is triggered by external information. In this paper we focus our attention on how this memory arises when the order of appearance of external news is random. We will show which characteristics a piece of news needs to have in order to be embedded in the society's memory. We will also provide an analytical way to measure how many information a society can remember when an extensive number of news items is presented. Finally we will show that, when a certain piece of news is present in the society's history, even a distorted version of it is sufficient to trigger the memory of the originally stored information., Comment: 30 pages, 6 figures

We investigate the heterogeneity of outcomes of repeated instances of percolation experiments in complex networks using a message passing approach to evaluate heterogeneous, node dependent probabilities of belonging to the giant or percolating cluster, i.e. the set of mutually connected nodes whose size scales linearly with the size of the system. We evaluate these both for large finite single instances, and for synthetic networks in the configuration model class in the thermodynamic limit. For the latter, we consider both Erdos-Renyi and scale free networks as examples of networks with narrow and broad degree distributions respectively. For real-world networks we use an undirected version of a Gnutella peer-to-peer file-sharing network with $N=62,568$ nodes as an example. We derive the theory for multiple instances of both uncorrelated and correlated percolation processes. For the uncorrelated case, we also obtain a closed form approximation for the large mean degree limit of Erdos-Renyi networks., Comment: 14 pages, 6 multipart figures

A bredge (bridge-edge) is an edge whose deletion would split the network component on which it resides into two components. Bredges are vulnerable links that play an important role in network collapse processes, which may result from node or link failures, attacks or epidemics. Therefore, the abundance and properties of bredges affect the resilience of the network. We present analytical results for the statistical properties of bredges in configuration model networks. Using a generating function approach based on the cavity method, we calculate the probability $\hat P(e\in{\rm B})$ that a random edge e in a configuration model network with degree distribution P(k) is a bredge (B). We also calculate the joint degree distribution $\hat P(k,k'|{\rm B})$ of the end-nodes of a random bredge. We examine the distinct properties of bredges on the giant component (GC) and on the finite tree components (FC) of the network. On the finite components all the edges are bredges and there are no degree-degree correlations. We calculate the probability $\hat P(e\in{\rm B}|{\rm GC})$ that a random edge on the giant component is a bredge. We also calculate the joint degree distribution $\hat P(k,k'|{\rm B},{\rm GC})$ of the end-nodes of bredges and the joint degree distribution $\hat P(k,k'|{\rm NB},{\rm GC})$ of the end-nodes of non-bredge (NB) edges on the giant component. Surprisingly, it is found that the degrees k and k' of the end-nodes of bredges are correlated, while the degrees of the end-nodes of NB edges are uncorrelated. We thus conclude that all the degree-degree correlations on the giant component are concentrated on the bredges. We calculate the covariance of end-nodes of bredges and show it is negative, namely bredges tend to connect high degree nodes to low degree nodes. The implications of the results are discussed in the context of common attack scenarios and dismantling processes., Comment: 27 pages, 14 figures. arXiv admin note: text overlap with arXiv:1806.04591

We develop a formalism to compute the statistics of the second largest eigenpair of weighted sparse graphs with $N\gg 1$ nodes, finite mean connectivity and bounded maximal degree, in cases where the top eigenpair statistics is known. The problem can be cast in terms of optimisation of a quadratic form on the sphere with a fictitious temperature, after a suitable deflation of the original matrix model. We use the cavity and replica methods to find the solution in terms of self-consistent equations for auxiliary probability density functions, which can be solved by an improved population dynamics algorithm enforcing eigenvector orthogonality on-the-fly. The analytical results are in perfect agreement with numerical diagonalisation of large (weighted) adjacency matrices, focussing on the cases of random regular and Erd\H{o}s-R\'enyi graphs. We further analyse the case of sparse Markov transition matrices for unbiased random walks, whose second largest eigenpair describes the non-equilibrium mode with the largest relaxation time. We also show that the population dynamics algorithm with population size $N_P$ does not actually capture the thermodynamic limit $N\to\infty$ as commonly assumed: the accuracy of the population dynamics algorithm has a strongly non-monotonic behaviour as a function of $N_P$, thus implying that an optimal size $N_P^\star=N_P^\star(N)$ must be chosen to best reproduce the results from numerical diagonalisation of graphs of finite size $N$., Comment: 51 pages, 7 figures. Section 3.1 expanded and clarified w.r.t. the published version

We consider a simplified model for gene regulation, where gene expression is regulated by transcription factors (TFs), which are single proteins or protein complexes. Proteins are in turn synthesised from expressed genes, creating a feedback loop of regulation. This leads to a directed bipartite network in which a link from a gene to a TF exists if the gene codes for a protein contributing to the TF, and a link from a TF to a gene exists if the TF regulates the expression of the gene. Both genes and TFs are modelled as binary variables, which indicate, respectively, whether a gene is expressed or not, and a TF is synthesised or not. We consider the scenario where for a TF to be synthesised, all of its contributing genes must be expressed. This results in an ``AND'' gate logic for the dynamics of TFs. By adapting percolation theory to directed bipartite graphs, evolving according to the AND logic dynamics, we are able to determine the necessary conditions, in the network parameter space, under which bipartite networks can support a multiplicity of stable gene expression patterns, under noisy conditions, as required in stable cell types. In particular, the analysis reveals the possibility of a bi-stability region, where the extensive percolating cluster is or is not resilient to perturbations. This is remarkably different from the transition observed in standard percolation theory. Finally, we consider perturbations involving single node removal that mimic gene knockout experiments. Results reveal the strong dependence of the gene knockout cascade on the logic implemented in the underlying network dynamics, highlighting in particular that avalanche sizes cannot be easily related to gene-gene interaction networks.

In order to understand the development of common orientation of opinions in the modern world we propose a model of a society described as a large collection of agents that exchange their expressed opinions under the influence of their mutual interactions and external events. In particular we introduce an interaction bias which creates a collective memory effect such that the society is able to store and recall information coming from several external signals. Our model shows how the inner structure of the society and its future reactions can be shaped by its own history. We will provide an analytical explanation of how this might occur and we will show the emergent similarity between the reaction of a society modelled in this way and the Hopfield mechanism for information retrieval., Comment: 33 pages, 14 figures

The slow relaxation and aging of glassy systems can be modelled as a Markov process on a simplified rough energy landscape: energy minima where the system tends to get trapped are taken as nodes of a random network, and the dynamics are governed by the transition rates among these. In this work we consider the case of purely activated dynamics, where the transition rates only depend on the depth of the departing trap. The random connectivity and the disorder in the trap depths make it impossible to solve the model analytically, so we base our analysis on the spectrum of eigenvalues $\lambda$ of the master operator. We compute the local density of states $\rho(\lambda|\tau)$ for traps with a fixed lifetime $\tau$ by means of the cavity method. This exhibits a power law behaviour $\rho(\lambda|\tau)\sim\tau|\lambda|^T$ in the regime of small relaxation rates $|\lambda|$, which we rationalize using a simple analytical approximation. In the time domain, we find that the probabilities of return to a starting node have a power law-tail that is determined by the distribution of excursion times $F(t)\sim t^{-(T+1)}$. We show that these results arise only by the combination of finite configuration space connectivity and glassy disorder, and interpret them in a simple physical picture dominated by jumps to deep neighbouring traps., Comment: 27 pages, 7 figures

We develop a formalism to compute the statistics of the top eigenpair of weighted sparse graphs with finite mean connectivity and bounded maximal degree. Framing the problem in terms of optimisation of a quadratic form on the sphere and introducing a fictitious temperature, we employ the cavity and replica methods to find the solution in terms of self-consistent equations for auxiliary probability density functions, which can be solved by population dynamics. This derivation allows us to identify and unpack the individual contributions to the top eigenvector's components coming from nodes of degree $k$. The analytical results are in perfect agreement with numerical diagonalisation of large (weighted) adjacency matrices, and are further cross-checked on the cases of random regular graphs and sparse Markov transition matrices for unbiased random walks., Comment: 47 pages, 7 figures. Revised version, accepted for publication in J. Phys. A

We present a method for the construction of ensembles of random networks that consist of a single connected component with a given degree distribution. This approach extends the construction toolbox of random networks beyond the configuration model framework, in which one controls the degree distribution but not the number of components and their sizes. Unlike configuration model networks, which are completely uncorrelated, the resulting single-component networks exhibit degree-degree correlations. Moreover, they are found to be disassortative, namely high-degree nodes tend to connect to low-degree nodes and vice versa. We demonstrate the method for single-component networks with ternary, exponential and power-law degree distributions., Comment: 37 pages, 8 figures

We investigate hide-and-seek games on complex networks using a random walk framework. Specifically, we investigate the efficiency of various degree-biased random walk search strategies to locate items that are randomly hidden on a subset of vertices of a random graph. Vertices at which items are hidden in the network are chosen at random as well, though with probabilities that may depend on degree. We pitch various hide and seek strategies against each other, and determine the efficiency of search strategies by computing the average number of hidden items that a searcher will uncover in a random walk of $n$ steps. Our analysis is based on the cavity method for finite single instances of the problem, and generalises previous work of De Bacco et al. [1] so as to cover degree-biased random walks. We also extend the analysis to deal with the thermodynamic limit of infinite system size. We study a broad spectrum of functional forms for the degree bias of both the hiding and the search strategy and investigate the efficiency of families of search strategies for cases where their functional form is either matched or unmatched to that of the hiding strategy. Our results are in excellent agreement with those of numerical simulations. We propose two simple approximations for predicting efficient search strategies. One is based on an equilibrium analysis of the random walk search strategy. While not exact, it produces correct orders of magnitude for parameters characterising optimal search strategies. The second exploits the existence of an effective drift in random walks on networks, and is expected to be efficient in systems with low concentration of small degree nodes., Comment: 31 pages, 10 (multi-part) figures

An articulation point (AP) in a network is a node whose deletion would split the network component on which it resides into two or more components. APs are vulnerable spots that play an important role in network collapse processes, which may result from node failures, attacks or epidemics. Therefore, the abundance and properties of APs affect the resilience of the network to these collapse scenarios. We present analytical results for the statistical properties of APs in configuration model networks. In order to quantify their abundance, we calculate the probability $P(i \in {\rm AP})$, that a random node, i, in a configuration model network with P(K=k), is an AP. We also obtain the conditional probability $P(i \in {\rm AP}|k)$ that a random node of degree k is an AP, and find that high degree nodes are more likely to be APs than low degree nodes. Using Bayes' theorem, we obtain the conditional degree distribution, $P(K=k|{\rm AP})$, over the set of APs and compare it to P(K=k). We propose a new centrality measure based on APs: each node can be characterized by its articulation rank, r, which is the number of components that would be added to the network upon deletion of that node. For nodes which are not APs the articulation rank is $r=0$, while for APs $r \ge 1$. We obtain a closed form expression for the distribution of articulation ranks, P(R=r). Configuration model networks often exhibit a coexistence between a giant component and finite components. To examine the distinct properties of APs on the giant and on the finite components, we calculate the probabilities presented above separately for the giant and the finite components. We apply these results to ensembles of configuration model networks with a Poisson, exponential and power-law degree distributions. The implications of these results are discussed in the context of common attack scenarios and network dismantling processes., Comment: 53 pages, 16 figures. arXiv admin note: text overlap with arXiv:1804.03336

The micro-structure of the giant component of the Erd{\H o}s-R\'enyi network and other configuration model networks is analyzed using generating function methods. While configuration model networks are uncorrelated, the giant component exhibits a degree distribution which is different from the overall degree distribution of the network and includes degree-degree correlations of all orders. We present exact analytical results for the degree distributions as well as higher order degree-degree correlations on the giant components of configuration model networks. We show that the degree-degree correlations are essential for the integrity of the giant component, in the sense that the degree distribution alone cannot guarantee that it will consist of a single connected component. To demonstrate the importance and broad applicability of these results, we apply them to the study of the distribution of shortest path lengths on the giant component, percolation on the giant component and the spectra of sparse matrices defined on the giant component. We show that by using the degree distribution on the giant component, one obtains high quality results for these properties, which can be further improved by taking the degree-degree correlations into account. This suggests that many existing methods, currently used for the analysis of the whole network, can be adapted in a straightforward fashion to yield results conditioned on the giant component., Comment: 30 pages, 13 figures

One of the simplest models for the slow relaxation and aging of glasses is the trap model by Bouchaud and others, which represents a system as a point in configuration-space hopping between local energy minima. The time evolution depends on the transition rates and the network of allowed jumps between the minima. We consider the case of sparse configuration-space connectivity given by a random graph, and study the spectral properties of the resulting master operator. We develop a general approach using the cavity method that gives access to the density of states in large systems, as well as localisation properties of the eigenvectors, which are important for the dynamics. We illustrate how, for a system with sparse connectivity and finite temperature, the density of states and the average inverse participation ratio have attributes that arise from a non-trivial combination of the corresponding mean field (fully connected) and random walk (infinite temperature) limits. In particular, we find a range of eigenvalues for which the density of states is of mean-field form but localisation properties are not, and speculate that the corresponding eigenvectors may be concentrated on extensively many clusters of network sites., Comment: 41 pages, 15 figures

In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian motion model. It is formally equivalent to a model describing the stochastic dynamics of a system of analogue neurons, which is expected to exhibit glassy properties and thus many meta-stable states in a large portion of its parameter space. We perform a generating functional analysis, introducing a slow driving of the dynamics to mimic the effect of slowly varying macro-economic conditions. Distributions of asset returns over various time separations are evaluated analytically and are found to be fat-tailed in a manner broadly in line with empirical observations. Our model also allows to identify collective, interaction mediated properties of pricing distributions and it predicts pricing distributions which are significantly broader than their non-interacting counterparts, if interactions between prices in the model contain a ferro-magnetic bias. Using simulations, we are able to substantiate one of the main hypotheses underlying the original modelling, viz. that the phenomenon of volatility clustering can be rationalised in terms of an interplay between the dynamics within meta-stable states and the dynamics of occasional transitions between them., Comment: 16 pages, 8 (multi-part) figures

We examine the heterogeneous responses of individual nodes in sparse networks to the random removal of a fraction of edges. Using the message-passing formulation of percolation, we discover considerable variation across the network in the probability of a particular node to remain part of the giant component, and in the expected size of small clusters containing that node. In the vicinity of the percolation threshold, weakly non-linear analysis reveals that node-to-node heterogeneity is captured by the recently introduced notion of non-backtracking centrality. We supplement these results for fixed finite networks by a population dynamics approach to analyse random graph models in the infinite system size limit, also providing closed-form approximations for the large mean degree limit of Erd\H{o}s-R\'enyi random graphs. Interpreted in terms of the application of percolation to real-world processes, our results shed light on the heterogeneous exposure of different nodes to cascading failures, epidemic spread, and information flow., Comment: 7 pages, 6 figures

We study the large deviations of the magnetization at some finite time in the Curie-Weiss Random Field Ising Model with parallel updating. While relaxation dynamics in an infinite time horizon gives rise to unique dynamical trajectories (specified by initial conditions and governed by first-order dynamics of the form $m_{t+1}=f(m_t)$), we observe that the introduction of a finite time horizon and the specification of terminal conditions can generate a host of metastable solutions obeying \textit{second-order} dynamics. We show that these solutions are governed by a Newtonian-like dynamics in discrete time which permits solutions in terms of both the first order relaxation ("forward") dynamics and the backward dynamics $m_{t+1} = f^{-1}(m_t)$. Our approach allows us to classify trajectories for a given final magnetization as stable or metastable according to the value of the rate function associated with them. We find that in analogy to the Freidlin-Wentzell description of the stochastic dynamics of escape from metastable states, the dominant trajectories may switch between the two types (forward and backward) of first-order dynamics., Comment: 20 pages, 10 figures

We present analytical results for the distribution of shortest path lengths between random pairs of nodes in configuration model networks. The results, which are based on recursion equations, are shown to be in good agreement with numerical simulations for networks with degenerate, binomial and power-law degree distributions. The mean, mode and variance of the distribution of shortest path lengths are also evaluated. These results provide expressions for central measures and dispersion measures of the distribution of shortest path lengths in terms of moments of the degree distribution, illuminating the connection between the two distributions., Comment: 28 pages, 7 figures. Accepted for publication in Phys. Rev. E

We describe a method for disentangling giant component and finite cluster contributions to sparse random matrix spectra, using sparse symmetric random matrices defined on Erdos-Renyi graphs as an example and test-bed., Comment: 7 pages, 2 multi-part figures

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which - for a given return - is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data.

Rare event statistics for random walks on complex networks are investigated using the large deviations formalism. Within this formalism, rare events are realized as typical events in a suitably deformed path-ensemble, and their statistics can be studied in terms of spectral properties of a deformed Markov transition matrix. We observe two different types of phase transition in such systems: (i) rare events which are singled out for sufficiently large values of the deformation parameter may correspond to {\em localized\/} modes of the deformed transition matrix, (ii) "mode-switching transitions" may occur as the deformation parameter is varied. Details depend on the nature of the observable for which the rare event statistics is studied, as well as on the underlying graph ensemble. In the present letter we report on the statistics of the average degree of the nodes visited along a random walk trajectory in Erd\H{o}s-R\'enyi networks. Large deviations rate functions and localization properties are studied numerically. For observables of the type considered here, we also derive an analytical approximation for the Legendre transform of the large-deviations rate function, which is valid in the large connectivity limit. It is found to agree well with simulations., Comment: 5 pages, 3 figures

We present two complementary analytical approaches for calculating the distribution of shortest path lengths in Erdos-R\'enyi networks, based on recursion equations for the shells around a reference node and for the paths originating from it. The results are in agreement with numerical simulations for a broad range of network sizes and connectivities. The average and standard deviation of the distribution are also obtained. In the case that the mean degree scales as $N^{\alpha}$ with the network size, the distribution becomes extremely narrow in the asymptotic limit, namely almost all pairs of nodes are equidistant, at distance $d=\lfloor 1/\alpha \rfloor$ from each other. The distribution of shortest path lengths between nodes of degree $m$ and the rest of the network is calculated. Its average is shown to be a monotonically decreasing function of $m$, providing an interesting relation between a local property and a global property of the network. The methodology presented here can be applied to more general classes of networks., Comment: 12 pages, 4 figures, accepted to EPL

One of the key characteristics of cancer cells is an increased phenotypic plasticity, driven by underlying genetic and epigenetic perturbations. However, at a systems-level it is unclear how these perturbations give rise to the observed increased plasticity. Elucidating such systems-level principles is key for an improved understanding of cancer. Recently, it has been shown that signaling entropy, an overall measure of signaling pathway promiscuity, and computable from integrating a sample's gene expression profile with a protein interaction network, correlates with phenotypic plasticity and is increased in cancer compared to normal tissue. Here we develop a computational framework for studying the effects of network perturbations on signaling entropy. We demonstrate that the increased signaling entropy of cancer is driven by two factors: (i) the scale-free (or near scale-free) topology of the interaction network, and (ii) a subtle positive correlation between differential gene expression and node connectivity. Indeed, we show that if protein interaction networks were random graphs, described by Poisson degree distributions, that cancer would generally not exhibit an increased signaling entropy. In summary, this work exposes a deep connection between cancer, signaling entropy and interaction network topology., Comment: 20 pages, 5 figures. In Press in Sci Rep 2015

We compute spectra of large stochastic matrices $W$, defined on sparse random graphs, where edges $(i,j)$ of the graph are given positive random weights $W_{ij}>0$ in such a fashion that column sums are normalized to one. We compute spectra of such matrices both in the thermodynamic limit, and for single large instances. The structure of the graphs and the distribution of the non-zero edge weights $W_{ij}$ are largely arbitrary, as long as the mean vertex degree remains finite in the thermodynamic limit and the $W_{ij}$ satisfy a detailed balance condition. Knowing the spectra of stochastic matrices is tantamount to knowing the complete spectrum of relaxation times of stochastic processes described by them, so our results should have many interesting applications for the description of relaxation in complex systems. Our approach allows to disentangle contributions to the spectral density related to extended and localized states, respectively, allowing to differentiate between time-scales associated with transport processes and those associated with the dynamics of local rearrangements., Comment: 4 pages, 2 figures

We investigate the credit risk model defined in Hatchett & K\"{u}hn under more general assumptions, in particular using a general degree distribution for sparse graphs. Expanding upon earlier results, we show that the model is exactly solvable in the $N\rightarrow \infty$ limit and demonstrate that the exact solution is described by the message-passing approach outlined by Karrer and Newman, generalized to include heterogeneous agents and couplings. We provide comparisons with simulations of graph ensembles with power-law degree distributions., Comment: 21 pages, 6 figures

A key challenge in systems biology is the elucidation of the underlying principles, or fundamental laws, which determine the cellular phenotype. Understanding how these fundamental principles are altered in diseases like cancer is important for translating basic scientific knowledge into clinical advances. While significant progress is being made, with the identification of novel drug targets and treatments by means of systems biological methods, our fundamental systems level understanding of why certain treatments succeed and others fail is still lacking. We here advocate a novel methodological framework for systems analysis and interpretation of molecular omic data, which is based on statistical mechanical principles. Specifically, we propose the notion of cellular signalling entropy (or uncertainty), as a novel means of analysing and interpreting omic data, and more fundamentally, as a means of elucidating systems-level principles underlying basic biology and disease. We describe the power of signalling entropy to discriminate cells according to differentiation potential and cancer status. We further argue the case for an empirical cellular entropy-robustness correlation theorem and demonstrate its existence in cancer cell line drug sensitivity data. Specifically, we find that high signalling entropy correlates with drug resistance and further describe how entropy could be used to identify the achilles heels of cancer cells. In summary, signalling entropy is a deep and powerful concept, based on rigorous statistical mechanical principles, which, with improved data quality and coverage, will allow a much deeper understanding of the systems biological principles underlying normal and disease physiology., Comment: 34 pages, 6 figures

The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives., Comment: 26 pages, 7 multi-part figures

We compute spectra of sample auto-covariance matrices of second order stationary stochastic processes. We look at a limit in which both the matrix dimension $N$ and the sample size $M$ used to define empirical averages diverge, with their ratio $\alpha=N/M$ kept fixed. We find a remarkable scaling relation which expresses the spectral density $\rho(\lambda)$ of sample auto-covariance matrices for processes with dynamical correlations as a continuous superposition of appropriately rescaled copies of the spectral density $\rho^{(0)}_\alpha(\lambda)$ for a sequence of uncorrelated random variables. The rescaling factors are given by the Fourier transform $\hat C(q)$ of the auto-covariance function of the stochastic process. We also obtain a closed-form approximation for the scaling function $\rho^{(0)}_\alpha(\lambda)$. This depends on the shape parameter $\alpha$, but is otherwise universal: it is independent of the details of the underlying random variables, provided only they have finite variance. Our results are corroborated by numerical simulations using auto-regressive processes., Comment: 4 pages, 2 figures

We compute the spectral density for ensembles of of sparse symmetric random matrices using replica, managing to circumvent difficulties that have been encountered in earlier approaches along the lines first suggested in a seminal paper by Rodgers and Bray. Due attention is payed to the issue of localization. Our approach is not restricted to matrices defined on graphs with Poissonian degree distribution. Matrices defined on regular random graphs or on scale-free graphs, are easily handled. We also look at matrices with row constraints such as discrete graph Laplacians. Our approach naturally allows to unfold the total density of states into contributions coming from vertices of different local coordination., Comment: 22 papges, 8 figures (one on graph-Laplacians added), one reference added, some typos eliminated

The spectral density of various ensembles of sparse symmetric random matrices is analyzed using the cavity method. We consider two cases: matrices whose associated graphs are locally tree-like, and sparse covariance matrices. We derive a closed set of equations from which the density of eigenvalues can be efficiently calculated. Within this approach, the Wigner semicircle law for Gaussian matrices and the Marcenko-Pastur law for covariance matrices are recovered easily. Our results are compared with numerical diagonalization, finding excellent agreement., Comment: 7 pages, 6 figures

We introduce models of heterogeneous systems with finite connectivity defined on random graphs to capture finite-coordination effects on the low-temperature behavior of finite dimensional systems. Our models use a description in terms of small deviations of particle coordinates from a set of reference positions, particularly appropriate for the description of low-temperature phenomena. A Born-von-Karman type expansion with random coefficients is used to model effects of frozen heterogeneities. The key quantity appearing in the theoretical description is a full distribution of effective single-site potentials which needs to be determined self-consistently. If microscopic interactions are harmonic, the effective single-site potentials turn out to be harmonic as well, and the distribution of these single-site potentials is equivalent to a distribution of localization lengths used earlier in the description of chemical gels. For structural glasses characterized by frustration and anharmonicities in the microscopic interactions, the distribution of single-site potentials involves anharmonicities of all orders, and both single-well and double well potentials are observed, the latter with a broad spectrum of barrier heights. The appearance of glassy phases at low temperatures is marked by the appearance of asymmetries in the distribution of single-site potentials, as previously observed for fully connected systems. Double-well potentials with a broad spectrum of barrier heights and asymmetries would give rise to the well known universal glassy low temperature anomalies when quantum effects are taken into account., Comment: 35 pages, 8 Figures

In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous a-priori conditional and unconditional failure probability. In the limit of sparse connectivity, self-consistent expressions for the dynamical evolution of order parameters are obtained. Under equilibrium conditions, expressions for the stationary states are also obtained. The consequences of the analytical theory developed are analyzed using phase diagrams. We find co-existence of operational and non-operational phases, much as in liquid-gas systems. Such systems are susceptible to discontinuous phase transitions from the operational to non-operational phase via catastrophic breakdown. We find this feature to be robust against variation of the microscopic modelling assumptions., Comment: 13 pages, 7 figures. Accepted in Physical Review E

Learning and the ability to learn are important factors in development and evolutionary processes [1]. Depending on the level, the complexity of learning can strongly vary. While associative learning can explain simple learning behaviour [1,2] much more sophisticated strategies seem to be involved in complex learning tasks. This is particularly evident in machine learning theory [3] (reinforcement learning [4], statistical learning [5]), but it equally shows up in trying to model natural learning behaviour [2]. A general setting for modelling learning processes in which statistical aspects are relevant is provided by the neural network (NN) paradigm. This is in particular of interest for natural, learning by experience situations. NN learning models can incorporate elementary learning mechanisms based on neuro-physiological analogies, such as the Hebb rule, and lead to quantitative results concerning the dynamics of the learning process [6]. The Hebb rule, however, cannot be directly applied in all cases, and in particular for realistic problems, such as "delayed reinforcement" [4,6], the sophistication of the algorithms rapidly increases. We want to present here a model which can cope with such non trivial tasks, while still being elementary and based only on procedures which one may think of as natural, without any appeal to higher strategies [7]. We can show the capability of this model to provide good learning in many, very different settings [7,8,9]. It may help therefore understanding some basic features of learning., Comment: 17 pages, 5 figures

A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a lattice gas model from physics, correlations between sequential failures are modeled by as functionally defined, heterogeneous couplings between mutually supportive processes. In contrast to traditional risk models for market and credit risk, where correlations are described by the covariance of Gaussian processes, the dynamics of the model shows collective phenomena such as bursts and avalanches of process failures., Comment: 12 pages, 7 figures, uses RevTeX 4.0, submitted to Phys. Rev. E

We propose a microscopic translationally invariant glass model which exhibits two level tunneling systems with a broad range of asymmetries and barrier heights in its glassy phase. Their distribution is qualitatively different from what is commonly assumed in phenomenological models, in that symmetric tunneling systems are systematically suppressed. Still, the model exhibits the usual glassy low-temperature anomalies. Universality is due to the collective origin of the glassy potential energy landscape. We obtain a simple explanation also for the mysterious {\em quantitative} universality expressed in the unusually narrow universal glassy range of values for the internal friction plateau., Comment: 4 pages, 5 figures, uses RevTeX4

We reply to a comment of Van Enter, Kuelske and Maes (cond-mat/0005176) on our letter "Critical Behavior of the Randomly Spin-Diluted 2-d Ising Model - A Grand Ensemble Approach", Phys. Rev. Lett. {\bf 73}, 2268-2271 (1994)., Comment: 1 page, LaTeX

We investigate effects of interactions between substitutional defects on the properties of defect crystals at low temperatures, where defect motion is governed by quantum effects. Both, thermal and dynamical properties are considered. The influence of interactions on defect motion is described via a collective effect. Our treatment is semiclassical in the sense that we analyze collective effects in a classical setting, and analyze the influence on quantized defect motion only thereafter. Our theory describes a crossover to glassy behavior at sufficiently high defect concentration. Our approach is meant to be general. For the sake of definiteness, we evaluate most of our results with parameters appropriate for Li-doped KCl crystals., Comment: 13 pages, 9 eps figures included

We report on a refined version of our spin-glass type approach to the low-temperature physics of structural glasses. Its key idea is based on a Born von Karman expansion of the interaction potential about a set of reference positions in which glassy aspects are modeled by taking the harmonic contribution within this expansion to be random. Within the present refined version the expansion at the harmonic level is reorganized so as to respect the principle of global translational invariance. By implementing this principle, we have for the first time a mechanism that fixes the distribution of the parameters characterizing the local potential energy configurations responsible for glassy low-temperature anomalies solely in terms of assumptions about interactions at a microscopic level., Comment: 10 pages LaTeX, 1 eps-figure (of 2 parts) included, IOP style files included

The equilibrium ensemble approach to disordered systems is used to investigate the critical behaviour of the two dimensional Ising model in presence of quenched random site dilution. The numerical transfer matrix technique in semi- infinite strips of finite width, together with phenomenological renormalization and conformal invariance, is particularly suited to put the equilibrium ensemble approach to work. A new method to extract with great precision the critical temperature of the model is proposed and applied. A more systematic finite-size scaling analysis than in previous numerical studies has been performed. A parallel investigation, along the lines of the two main scenarios currently under discussion, namely the logarithmic correction scenario (with critical exponents fixed in the Ising universality class) versus the weak universality scenario (critical exponents varying with the degree of disorder), is carried out. In interpreting our data, maximum care is costantly taken to be open in both directions. A critical discussion shows that, still, an unambiguous discrimination between the two scenarios is not possible on the basis of the available finite-size data., Comment: RevTeX file, 15 pages, 6 figures. Accepted for publication in Phys. Rev. E

We study a simple learning model based on the Hebb rule to cope with "delayed", unspecific reinforcement. In spite of the unspecific nature of the information-feedback, convergence to asymptotically perfect generalization is observed, with a rate depending, however, in a non- universal way on learning parameters. Asymptotic convergence can be as fast as that of Hebbian learning, but may be slower. Moreover, for a certain range of parameter settings, it depends on initial conditions whether the system can reach the regime of asymptotically perfect generalization, or rather approaches a stationary state of poor generalization., Comment: 13 pages LaTeX, 4 figures, note on biologically motivated stochastic variant of the algorithm added