Competition with Evolution in Ecology and Finance生态与金融竞争.pptVIP

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Competition with Evolution in Ecology and Finance生态与金融竞争.ppt

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Competition with Evolution in Ecology and Finance J. C. Sprott Department of Physics University of Wisconsin - Madison Presented at the Chaos and Complex Systems Seminar in Madison, Wisconsin on September 23, 2003 Mathematics Rabbit Dynamics Let R = # of rabbits dR/dt = bR - dR Multispecies Lotka-Volterra Model Parameters of the Model Choose ri and aij randomly from an exponential distribution: Typical Time History Coexistence Coexistence is unlikely unless the species compete only weakly with one another. Species may segregate spatially. Diversity in nature may result from having so many species from which to choose. There may be coexisting “niches” into which organisms evolve. Typical Time History (with Evolution) Evolution of Total Biomass Evolution of Biodiversity Conclusions Competitive exclusion eliminates most species. The dominant species is eventually killed and replaced by another. Species that grow quickly also die quickly. Evolution is punctuated rather than continual. Application to Finance Volatility Digression – The Bell Curve What have mathematicians proved? The Gaussian distribution is special because of the Central Limit Theorem. Imagine the following experiment: Create a population with a known distribution (which does not have to be Gaussian). Randomly pick many samples from that population, and calculate the means of these samples. Draw a histogram of the distribution of the means. The central limit theorem says that with enough samples, the distribution of means will follow a Gaussian distribution even if the population is not Gaussian. Hence, any set of measurements of a given quantity will be distributed about the mean in a Gaussian distribution if the measurements are statistically independent. Kurtosis of Various Time Series Is the Model SOC? Is the Model Chaotic? Summary Nature is complex Simple models may suffice References * * To the outsider, mathematics is a strange, abstract world of horrendous technicality, full of symbo