Complex systems: surprises on the way from micro to macro

J.P. Bouchaud

http://www.cfm.fr

sudden discontinuities that resemble far-from-equilibrium phenomena in complex systems ⊲ Accumulating empirical evidence for positive feedback loops. ruptures.Endogeneous crises? • Financial markets. self-reflexivity and endogenous crises → Most price jumps appear unrelated to any news at all! → Volatility after jumps has the same features as earthquake aftershocks ⊲ Market stability is not even an interesting question (Friedman) – when feedback loops and instabilities are everywhere! . many other social phenomena exhibit crises. the economy.

0 10 0 0 50 100 Highly intermittent dynamics.0 95. similar to endogeneous noise in complex systems .Financial market turbulence 30 10 4 5 2 20 0 90 95 100 0 95.5 96.

avalanches (cf. traffic jams) ⊲ There are many equilibrium states (often exponentially many in N ) – hysteresis.Complex systems in a nutshell • What is a complex system? ⊲ The behaviour of the whole is difficult to guess from the behaviour of its parts – interactions lead to essentially new phenomena ⊲ Small causes can lead to large effects (fragility) – cascade. but rather long periods of stasis separated by “crises” . slow dynamics and the impossibility to reach equilibrium in a reasonable time. bead packs.

..Interactions: can be good. Cavagna et al. Spectacular collective patterns A. . can be bad.

cost of moving to solar heating.Cartoon model for self-referential behaviour I • Binary decision of agent i: Di = 0.: pay one’s taxes. 1. φ = N −1 i Di ⊲ α > 0: cost of leaving the “0” state (e. etc. true benefits due to reduced costs.) ⊲ β > 0: incentive due to either social/peer pressure. increased usefulness (phones) • Choice Theory: non-deterministic (non-rational) choices: eζv P (0 → 1) = . ζv 1+e P (1 → 0) = 1 1 + eζv .g. – influenced by the aggregate choice • Relative benefit of the switch Di = 0 −→ Di = 1: v(0 → 1) = −α + βφ.

. weak collective effects): – a unique solution decribing a “mixed” population. constantly evolving between the two choices ⊲ When ζβ > 4 (strong collective effects) – two “polarized” solutions. in equilibrium the population should jump discontinously from φ∗ ≈ 0 for β < 2α to φ∗ ≈ 1 for β > 2α.Collective equilibrium states • The Ising/Weidlich model (Curie-Weiss. Brock-Durlauf) ⊲ When ζβ < 4 (strong irrationality.

synchronization (instead of independent decisions). this never happens in a large population! ⊲ The tragedy of the commons: everybody knows that φ = 1 is a better social optimum.g..Beyond equilibrium: Dynamics • In the polarized phase ζβ > 4: ⊲ The time needed to cross the barrier “spontaneously” is given by: N α2 τc ≈ exp 2β 2σ 2 ⊲ Unless α is really small or β really large. but it is individually too costly for anyone to make the move • Solutions to escape from “bad” minimum: Enforce α → 0 (e... make the cost of cheating high). . nucleation.

zeitgeist) −α(t) (for illustration purposes. smooth in time) ⊲ social pressure or imitation effects – βφ(t) (as above) • The RFIM: a unifying framework for many phenomena . technology level. 2 ⊲ personal opinion. propensity or utility ψi – heterogeneous with rms σ ⊲ public information (price.Cartoon model for self-referential behaviour II • Now the agents are both heterogeneous and influenced by the behaviour of others. news. and for simplicity ζ → ∞ ⇒ the update rule: Di(t) = 1 (1 + sign [ψi − α(t) + βφ(t)]) .

Cartoon model of self-referential behaviour II Breakdown of Representative Agent & Spontaneous discontinuities .

strong distortion/amplification of the fundamental demand curve: discontinuities appear at the macro level – imitations induced panic/crashes/mistrust ⊲ Hysteresis in and out of the crisis • β ≈ βc: avalanche dynamics (power-law distribution of sizes) • βc ∝ σ: More dispersed opinions avoid polarisation and stabilizes the system . smooth demand curve • β > βc: herding dominates.Cartoon model of self-referential behaviour II • β < βc: personal choices dominate.

6 0.Cartoon model of self-referential behaviour II 1.2 Sharp Fast Slow 0.4 0.6 −0.8 Normalized sound intensity −0.0 −6 −4 −2 0 Time (sec) 2 4 6 End of clappings .8 −5 0 5 0.2 0.2 −0.4 −0.0 0.0 0.

Battiston et al. ..Application: spontaneous evaporation of trust 20 10 0 -10 -20 -30 -40 0 10000 20000 30000 40000 50000 Number of trust bonds and average trust as a function of time I trust you because he trusts you because I trust you – As trust builds up. the system becomes more fragile cf. Kirman et al.

lessons for agent based modelling • Surprises on the way from micro to macro: interactions can generate discontinuities at the macro level. even in a smoothly evolving world • Equilibrium analysis is not enough: one can be dynamically stuck in the “wrong” minimum. punctuated by “microcrises” – mimics (r)evolution/regime shifts • Increased efficiency generically means more instabilities ⊲ Critical fragility to external perturbations and small changes of parameters – small local shocks generically trigger large systemic effects . or in fact evolve forever in a rough landscape ⊲ rich dynamics with transient stasis.Conclusion.

Rough landscape Rather than: .

Sign up to vote on this title
UsefulNot useful