We analyze different methods of sorting and selecting a set of objects by their intrinsic value, via pairwise comparisons whose outcome is uncertain. After discussing the limits of repeated Round Robins, two new methods are presented: The ran-fil requires no previous knowledge on the set under...

The unprecedented access offered by the World Wide Web brings with it the potential to gather huge amounts of data on human activities. Here we exploit this by using a toy model of financial markets, the Minority Game (MG), to investigate human speculative trading behaviour and information...

In this paper, by applying a diffusion process, we propose a new index to quantify the similarity between two users in a user–object bipartite graph. To deal with the discrete ratings on objects, we use a multi-channel representation where each object is mapped to several channels with the...

We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the risk exposure is...

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information...

We systematically examine the Swiss landscape in the search of the self-affine fractal scaling. We find for intermediate horizontal length scale range (250 m - 5 km) a rather well-defined self-affine roughening exponent of about 0.57, averaged over the whole Swiss territory. This value is...

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information...

We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress...

The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an...