Multifractal regime transition in a modified minority game model

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual minority game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the structure function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (non-linear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the wavelet transform modulus maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes. (C) 2009 Elsevier Ltd. All rights reserved.

Multifractal regime transition in a modified minority game model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Model of a game for improving integrated decisions in production management

This paper presents the results obtained with a business game whose model represents the decision making process related to two moments at an industrial company. The first refers to the project of the industrial plant, and the second to its management. The game model was conceived so the player's first decision would establish capacity and other parameters such as quantities of each product to produce, marketing expenses, research and development, quality, advertising, salaries, if purchases will be made in installments or in cash, if there will be credit sales and how many installments will be allowed and the number of workers in the assembly area. An experiment was conducted with employees of a Brazilian company. Data obtained indicate that the players have lack of contents, especially in finances. Although these results cannot be generalized, they confirm prior results with undergraduate and graduate students and they indicate the need for reinforcement in this undergraduate area. © 2012 Springer-Verlag.

A note on the coincidence between Stackelberg and Nash equilibria in a differential game between government and firms

[cat] A Navas i Marín Solano es va demostrar la coincidència entre els equilibris de Nash i de Stackelberg per a una versi´o modificada del joc diferencial proposat por Lancaster (1973). Amb l’objectiu d’obtenir una solució interior, es van imposar restriccions importants sobre el valors dels paràmetres del model. En aquest treball estenem aquest resultat, en el límit en que la taxa de descompte és igual a zero, eliminant les restriccions i considerant totes les solucions possibles.

A note on the coincidence between Stackelberg and Nash equilibria in a differential game between government and firms

[cat] A Navas i Marín Solano es va demostrar la coincidència entre els equilibris de Nash i de Stackelberg per a una versi´o modificada del joc diferencial proposat por Lancaster (1973). Amb l’objectiu d’obtenir una solució interior, es van imposar restriccions importants sobre el valors dels paràmetres del model. En aquest treball estenem aquest resultat, en el límit en que la taxa de descompte és igual a zero, eliminant les restriccions i considerant totes les solucions possibles.

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

O jogo de futebol : investigação de sua estrutura, de seus modelos e da inteligencia de jogo, do ponto de vista da complexidade

Universidade Estadual de Campinas . Faculdade de Educação Física

"Sacando" o voleibol : do amadorismo a espetacularização da modalidade no Brasil (1970-2000)

Universidade Estadual de Campinas . Faculdade de Educação Física

Le rôle des interfaces dans l’expérience de jeu vidéo : le jeu du ping-pong et son adaptation sur des plateformes numériques

Le succès commercial des jeux vidéo nous montre qu’ils sont devenus une alternative non négligeable en matière de loisir et de divertissement. En observant les tendances, on constate que les concepteurs de jeux vidéo cherchent à transposer ou adapter les loisirs comme la danse, l’interprétation de la musique ou la pratique d’un sport dans le contexte de jeux vidéo (l’univers virtuel) et ceci est devenu encore plus évident depuis l’apparition des nouvelles technologies intégrant le mouvement comme mode d'interaction. En rapport aux activités dont les jeux vidéo s’inspirent, ces tendances entraînent des changements considérables sur l’aspect formel de l’activité ludique et notamment l’interaction. Dans le cas particulier du tennis de table, ou ping-pong dans le langage courant, il semble y avoir des différences en terme de plaisir lors de la pratique de ce loisir de façon traditionnelle ou en mode virtuel dans ses différentes adaptations. Le but de cette recherche est de mettre en évidence les différences entre l’appréciation de l’interaction avec le contrôleur multifonctionnel Wiimote et une raquette traditionnelle de ping-pong et de découvrir les implications sur l’expérience du plaisir de la transposition du jeu ping-pong traditionnel comparé aux adaptations sur la console Wii. Ainsi, en regard du CLASSIC GAME MODEL de Juul (2005) et du modèle THE FOUR FUN KEYS de Lazzaro (2008) nous comparons les deux modes d’interaction, jeu traditionnel avec le jeu virtuel, sur le plan formel du jeu et sur les dimensions du plaisir que chacun procure. Les résultats obtenus par l’observation des tests de jeu et l’entremise des autres outils permettent de souligner le rôle déterminant des interfaces dans l’engagement des joueurs et de montrer les limites des interfaces digitales par rapport à celle des jeux traditionnels.

eLearning im Sportstudium

In der gesamten Hochschullandschaft begleiten eLearning-Szenarien organisatorische Erneuerungsprozesse und stellen damit ein vielversprechendes Instrument zur Unterstützung und Verbesserung der klassischen Präsenzlehre dar. Davon ausgehend wurde von 2010 bis 2011 das Kasseler Sportspiel-Modell um die integrative Vermittlung der Einkontakt-Rückschlagspiele erweitert (Heyer, Albert, Scheid & Blömeke-Rumpf, 2011) und in einen modularisierten eLearning-Content, bestehend aus insgesamt 4 Modulen (17 Lernkurse, 171 Kursseiten, 73 Grafiken, 73 Videos, 38 Lernkontrollfragen), eingebunden. Dieser Content wurde im Rahmen einer Evaluationsstudie in Blended Learning Seminaren, welche die didaktischen Vorteile von Online- und Präsenzphasen zu einer Seminarform vereinen (Treumann, Ganguin & Arens, 2012), vergleichend zur klassischen Präsenzlehre im Sportstudium betrachtet. Die Studie gliedert sich in insgesamt drei Phasen: 1.) Pilotstudie am IfSS in Kassel (WS 2011/12; N=17, Lehramt), 2.) Hauptuntersuchung I am IfSS in Kassel (SS 2012; N=67, Lehramt) und 3.) Hauptuntersuchung II am IfS in Frankfurt a. M. (WS 2012/13; N=112, BA). Mittels varianzanalytischer Untersuchungsverfahren erfasst die Studie auf drei unterschiedlichen Qualitätsebenen folgende Aspekte der Lehr-Lernforschung: 1.) Ebene der Inputqualität: Bewertung der Seminarform (BS), 2.) Ebene der Prozessqualität: Motivation (SELLMO-ST), Lernstrategien (LIST) und computerbezogene Einstellung (FIDEC), 3.) Ebene der Outcomequalität: Lernleistung (Abschlusstest und Transferaufgabe). In der vergleichenden Betrachtung der beiden Hauptuntersuchungen erfolgt eine Gegenüberstellung von je einem Präsenzseminar zu zwei unterschiedlichen Varianten von Blended Learning Seminaren (BL-1, BL-2). Während der Online-Phasen bearbeiten die Sportstudierenden in BL-1 die Module in Lerngruppen. Die Teilnehmer in BL-2 führen in diesen Phasen zusätzlich persönliche Lerntagebücher. Dies soll zu einer vergleichsweise intensiveren Auseinandersetzung mit den Inhalten der Lernkurse sowie dem eigenen Lernprozess auf kognitiver und metakognitiver Ebene anregen (Hübner, Nückles & Renkl, 2007) und folglich zu besseren Ergebnissen auf den drei Qualitätsebenen führen. Die Ergebnisse der beiden Hauptuntersuchungen zeigen in der direkten, standortbezogenen Gegenüberstellung aller drei Seminarformen überwiegend keine statistisch signifikanten Unterschiede. Der erwartete positive Effekt durch die Einführung des Lerntagebuchs bleibt ebenfalls aus. Im standortübergreifenden Vergleich der Blended-Learning-Seminare ist bemerkenswert, dass die Probanden aus Frankfurt gegenüber ihrer Seminarform eine tendenziell kritischere Haltung einnehmen, was möglicherweise mit den vorherrschenden, unterschiedlichen Studiengängen – Lehramt und BA – korrespondiert. Zusammenfassend lässt sich somit für den untersuchten Bereich der Rückschlagspielvermittlung festhalten, dass Blended-Learning-Seminare eine qualitativ gleichwertige Alternative zur klassischen Präsenzlehre im Sportstudium darstellen.

Zambujeira e Serra do Calvo: uma equipa júnior de futsal em evolução

RESUMO: O Futsal é uma modalidade em plena ascensão e com crescente popularidade em Portugal e no Mundo, com a particularidade de ser a modalidade com mais praticantes femininos em Portugal. Neste relatório pretendo apresentar a forma como interpreto o jogo e o treino de Futsal, aplicando os conhecimentos alcançados ao longo de dois anos de estudo da modalidade, no meu percurso académico e nos seis anos como treinador principal. Ao longo do relatório irei evidenciar os aspectos fundamentais da minha visão sobre o processo de treino através da elaboração de um Modelo de Jogo coerente e adequado à realidade do Grupo Desportivo Cultural e Recreativo Zambujeira e Serra do Calvo, no escalão de Júnior “A”. Cabe ao treinador a criação de um Modelo de Jogo a atingir, em que este irá direccionar todo o processo de treino através de intervenções ajustadas à jogadora de acordo com situação em que está inserida. Ao longo do processo de treino, o treinador tem que saber observar e analisar os contextos em que o clube, equipa e competição se inserem, de modo a que consiga elaborar e dotar o planeamento de uma flexibilidade desejável. ABSTRACT: The Futsal is a sport booming in popularity in Portugal and the World, with the distinction of being the sport with more female athlete’s in Portugal. In this report, I intend to present the way I play the game of Futsal, by training and applying the knowledge, achieved over two years of studying the sport during my academic background and over six years as head coach. Throughout the report will highlight the fundamental aspects of my vision of the training process by developing a coherent model of game and suitable for the reality of the Cultural and Recreational Sports Group Zambujeira E Serra do Calvo in Junior "A" team. It is the coach responsibility to create a game model to be achieved this is the model that will direct the entire training process through adjusted interventions to the player according to the situation in which it operates. Throughout the training process, the coach has to know how to observe and analyze the contexts in which the club, team and competition is been held, so he can prepare and provide the planning of a desirable flexibility if necessary the possible changes.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

Implementation of a non ground meta interpreter for defeasible logic

Human reasoning is a fascinating and complex cognitive process that can be applied in different research areas such as philosophy, psychology, laws and financial. Unfortunately, developing supporting software (to those different areas) able to cope such as complex reasoning it’s difficult and requires a suitable logic abstract formalism. In this thesis we aim to develop a program, that has the job to evaluate a theory (a set of rules) w.r.t. a Goal, and provide some results such as “The Goal is derivable from the KB5 (of the theory)”. In order to achieve this goal we need to analyse different logics and choose the one that best meets our needs. In logic, usually, we try to determine if a given conclusion is logically implied by a set of assumptions T (theory). However, when we deal with programming logic we need an efficient algorithm in order to find such implications. In this work we use a logic rather similar to human logic. Indeed, human reasoning requires an extension of the first order logic able to reach a conclusion depending on not definitely true6 premises belonging to a incomplete set of knowledge. Thus, we implemented a defeasible logic7 framework able to manipulate defeasible rules. Defeasible logic is a non-monotonic logic designed for efficient defeasible reasoning by Nute (see Chapter 2). Those kind of applications are useful in laws area especially if they offer an implementation of an argumentation framework that provides a formal modelling of game. Roughly speaking, let the theory is the set of laws, a keyclaim is the conclusion that one of the party wants to prove (and the other one wants to defeat) and adding dynamic assertion of rules, namely, facts putted forward by the parties, then, we can play an argumentative challenge between two players and decide if the conclusion is provable or not depending on the different strategies performed by the players. Implementing a game model requires one more meta-interpreter able to evaluate the defeasible logic framework; indeed, according to Göedel theorem (see on page 127), we cannot evaluate the meaning of a language using the tools provided by the language itself, but we need a meta-language able to manipulate the object language8. Thus, rather than a simple meta-interpreter, we propose a Meta-level containing different Meta-evaluators. The former has been explained above, the second one is needed to perform the game model, and the last one will be used to change game execution and tree derivation strategies.

Essays in Environmental Economics

This dissertation comprises four essays on the topic of environmental economics and industrial organization. In the first essay, we develop a two-country world differential game model with a polluting firm in each country to investigate the equilibrium of the game between firms when they decide to trade or not and to see under which conditions social welfare coincides with the market equilibrium. In the second essay, we built a model where firms strategically choose whether to participate in an auction/lottery to attain pollution permits, or instead invest in green R&D, to show that, somewhat counterintuitively, a desirable side effect of the auction is in fact that of fostering environmental R&D in an admissible range of the model parameters. The third essay investigates a second-best trade agreement between two countries when pollution spillovers are asymmetric to examine the strategic behavior of governments in using pollution taxes and tariffs under trade liberalization. The fouth essay studies the profitability of exogenous output constraint in a differential game model with price dynamics under the feedback strategies.

Essays in Industrial Organization

This dissertation comprises four essays on the topic of industrial organization and environmental economics. The first essay investigates the profitability of horizontal mergers of firms with price adjustments. We take a differential game approach and both the open-loop as well as the closed-loop equlibria are considered. In the second essay, using the same approach as the first one, we study the profitability of horizontal merger of firms where the demand function is nonlinear. We take into consideration the open-loop equilibrium. The third essay studies the profitability of exogenous output constraint in a differential game model with price dynamics under the feedback strategies. The fourth essay investigates a second-best trade agreement between two countries when pollution spillovers are asymmetric to examine the strategic behavior of governments in using pollution taxes and tariffs under trade liberalization.