A Mechanism for Pockets of Predictability in Complex Adaptive Systems
We document a mechanism operating in complex adaptive systems leading to dynamical pockets of predictability (``prediction days''), in which agents collectively take predetermined courses of action, transiently decoupled from past history. We demonstrate and test it out-of-sample on synthetic minority and majority games as well as on real financial time series. The surprising large frequency of these prediction days implies a collective organization of agents and of their strategies which condense into transitional herding regimes.
Year of publication: |
2004-10
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Authors: | Andersen, Jorgen Vitting ; Sornette, Didier |
Institutions: | arXiv.org |
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