A Mechanism for Pockets of Predictability in Complex Adaptive Systems

Details A Mechanism for Pockets of Predictability in Complex Adaptive Systems A Mechanism for Pockets of Predictability in Complex Adaptive Systems

2004-10-29

arxiv.org/abs/cond-mat/0410762v2

Europhys. Lett., 70 (5), 697-703 (2005)

Physics

Condensed Matter

Statistical Mechanics

5 pages, 3 figures, error corrected

Scientific paper

We document a mechanism operating in complex adaptive systems leading to dynamical pockets of predictability (``prediction days''), in which agents collectively take predetermined courses of action, transiently decoupled from past history. We demonstrate and test it out-of-sample on synthetic minority and majority games as well as on real financial time series. The surprising large frequency of these prediction days implies a collective organization of agents and of their strategies which condense into transitional herding regimes.

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