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Business Analytics

“A cognitive-neural approach to explaining market oscillations in a fully recurrent adaptive agent population”

Recreating market oscillations to study the markets often makes use of induced activity reversal via finite share or auction thresholds, strategically replacing agents via bankruptcy or genetic algorithm rules, heavily data specific network parameterization, or stochastic randomness. However, such techniques do not shed any additional light on how and why intelligent individual scale agents may spontaneously and rationally decide to endogenously change from a buying to a selling posture within a population. This paper introduces Social Netmap, an agent based population of general purpose, parameter-free, adaptive agents adjusting their behavior in real time to the directly observed aggregate and individual behaviors of their neighbors much like real intelligent actors might in a population. Without relying on random processes, validated parameters, turning-point thresholds, or agent replacement, Social Netmap was able to endogenously create typical market oscillations in 21 out of 30 cases of real Dow Jones Industrial Average data. Social Netmap points towards future work in more realistic group behavior of intelligent, rational agents.
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Academic Journal
Business Analytics

“Additive Dynamic Models for Correcting Numerical Model Outputs”


Numerical air quality models are pivotal for the prediction and assessment of air pollution, but numerical model outputs may be systematically biased. An additive dynamic model is proposed to correct large-scale raw model outputs using data from other sources, including readings collected at ground monitoring networks and weather outputs from other numerical models. An additive partially linear model specification is employed for the nonlinear relationships between air pollutants and covariates. In addition, a multi-resolution basis function approximate is proposed to capture the different small-scale variations of biases, and a discretized stochastic
integro-differential equation is constructed to characterize the dynamic evolution of the random coefficients at each spatial resolution. An expectation-maximization algorithm is developed for parameter estimation and a multi-resolution ensemble-based scheme is embedded to accelerate the computation. For statistical inference, a conditional simulation technique is applied to quantify the uncertainty of parameter estimates and bias correction results. The proposed approach is used to correct the biased raw outputs of PM2.5 from the Community Multiscale Air
Quality (CMAQ) system for China’s Beijing-Tianjin-Hebei region. Our method improves the root mean squared error and continuous rank probability score by 43.70% and 34.76%, respectively. Compared to other statistical methods under different metrics, our model has advantages in both correction accuracy and computational efficiency.
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Academic Journal
Business Analytics

“An ACP Approach to Public Health Emergency Management: Using a Campus Outbreak of H1N1 Influenza as a Case Study”

In order to tackle the infeasibility of building mathematical models and conducting physical experiments for public health emergencies in a real world, we apply the ACP (Artificial societies, Computational experiments, and Parallel execution) approach to public health emergency management. We conducted a case study on the largest collective outbreak of H1N1 influenza at a Chinese university in 2009. We built an artificial society to reproduce H1N1 influenza outbreaks. In computational experiments, aiming to obtain comparable results with the real data, we applied the same intervention strategy as that was used during the real outbreak. Then we compared experiment results with real data to verify our models, including spatial models, population distribution, weighted social networks, contact patterns, students’ behaviors, and models of H1N1 influenza disease, in the artificial society. We then applied alternative intervention strategies to the artificial society. The simulation results suggested that alternative strategies controlled the outbreak of H1N1 influenza more effectively. Our models and their application to intervention strategy improvement show that the ACP approach is useful for public health emergency management
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