Van Kampen Expansion: Its exploitation in some social and economical problems

1. Van Kampen Expansion: Its exploitation in some social and economical problems Horacio S. Wio Instituto de Fisica de Cantabria, UC-CSIC, Santander, SPAIN (A) Electronic address: wio@ifca.unican.es URL: http://www.ifca.unican.es/~wio/

2. IN COLLABORATION WITH: • J.R. Iglesias (UFRGS, Brazil) • I. Szendro (Dresde) • M.S. de la Lama (IFCA-UC, Spain) • Van Kampen's expansion approach in an opinion formation • model,M.S. de la Lama, I.G. Szendro, J.R. Iglesias and • H.S. Wio, Eur. Phys. J. B 51 435-442 (2006);and • ERRATUM,Eur. Phys. J. B 58 221 (2007).

5. Sketch of the talk:

6. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion;

7. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents;

8. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations;

9. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations; ► Some results;

10. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations; ► Some results; ► Inclusion of “Fanatics”;

11. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations; ► Some results; ► Inclusion of “Fanatics”; ► Other Cases;

12. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations; ► Some results; ► Inclusion of “Fanatics”; ► Other Cases; ► Failure and Extension of the -expansion;

13. Sketch of the talk: ► Introduction: brief description of van Kampen’s -expansion; ► The Model: Inclusion of Undecided Agents; ► Macroscopic and Fokker-Planck Equation for Fluctuations; ► Some results; ► Inclusion of “Fanatics”; ► Other Cases; ► Failure and Extension of the -expansion; ► Conclusions.

14. INTRODUCTION Van Kampen Expansion of the Master Equation: Aim: avoid the inconsistencies that arise when obtaining, through a naïve approach, the macroscopic equation for a system described by a Master Equation. Exploiting a perturbative-like approach, the dominant order gives the macroscopic eq., while the following one yields a Fokker-Planck equation for the fluctuations.

15. INTRODUCTION Van Kampen Expansion of the Master Equation: Aim: avoid the inconsistencies that arise when obtaining, through a naïve approach, the macroscopic equation for a system described by a Master Equation. Exploiting a perturbative-like approach, the dominant order gives the macroscopic eq., while the following one yields a Fokker-Planck equation for the fluctuations.

16. INTRODUCTION Van Kampen Expansion of the Master Equation: Aim: avoid the inconsistencies that arise when obtaining, through a naïve approach, the macroscopic equation for a system described by a Master Equation. Exploiting a perturbative-like approach, the dominant order gives the macroscopic eq., while the following one yields a Fokker-Planck equation for the fluctuations. The approach requires to identify, a system’s parameter, so large that allows to make expansions in its inverse. The original variable is transformed according to

17. INTRODUCTION Van Kampen Expansion of the Master Equation: Aim: avoid the inconsistencies that arise when obtaining, through a naïve approach, the macroscopic equation for a system described by a Master Equation. Exploiting a perturbative-like approach, the dominant order gives the macroscopic eq., while the following one yields a Fokker-Planck equation for the fluctuations. The approach requires to identify, a system’s parameter, so large that allows to make expansions in its inverse. The original variable is transformed according to = macroscopic + fluctuations

18. INTRODUCTION Van Kampen Expansion of the Master Equation: Using a step operator , defined through the master eq. could be (formally) written as

19. INTRODUCTION Van Kampen Expansion of the Master Equation: Using a step operator , defined through the master eq. could be (formally) written as

20. INTRODUCTION Van Kampen Expansion of the Master Equation: Using a step operator , defined through the master eq. could be (formally) written as Assuming is very large, and jumps are small, we can expand

21. INTRODUCTION Van Kampen Expansion of the Master Equation: Changing variables in the pdf we have that the lhs of the master equation changes to

22. INTRODUCTION Van Kampen Expansion of the Master Equation: Changing variables in the pdf we have that the lhs of the master equation changes to

23. INTRODUCTION Van Kampen Expansion of the Master Equation: Changing variables in the pdf we have that the lhs of the master equation changes to Replacing everything into de master equation we obtain a complicated equation with terms of different order in

24. INTRODUCTION Van Kampen Expansion of the Master Equation: Collecting terms of the same order in we obtain for the different contributions: up to that corresponds to the macroscopic equation.

25. INTRODUCTION Van Kampen Expansion of the Master Equation: Collecting terms of the same order in we obtain for the different contributions: up to that corresponds to the macroscopic equation. Stability condition

26. INTRODUCTION Van Kampen Expansion of the Master Equation: Collecting terms of the same order in we obtain for the different contributions: up to that corresponds to the macroscopic equation. Stability condition The following order, , gives a “linear” Fokker-Planck eq. describing the behavior of fluctuations around the macroscopic one.

27. INTRODUCTION Van Kampen Expansion of the Master Equation: As the FPE is linear, we only need to calculate the mean value the dispersion The general solution will have the Gaussian form

28. INTRODUCTION The previous Fokker-Planck eq. has a related Langevin eq. :

29. INTRODUCTION Van Kampen Expansion of the Master Equation: Meaning:

30. The Model: Undecided Agents The original model consist of only two groups, say A and B, with some rules that allows agents or members of one group, to convince the agents or members of the other. Here we consider that agents of group A don’t interact directly to agents of group B, but we include an intermediate group I, formed by “undecided” agents that mediates the interaction between A and B (Redner et al.) Members of groups A and B, could convince the members of group I. Also, we also assume that there is the possibility of an spontaneous change of opinion from group A to I or from B to I and vice versa. This implies some form of “social temperature”.

31. The Model: Undecided Agents The different process we are going to consider are: Convincing rules: Spontaneous changes

32. The Model: Undecided Agents The Master Equation looks as

33. The Model: Undecided Agents According to the method, the original variables and transforms into As indicated before, we should introduce the new variables into the Master Equation.

34. Macroscopic and Fokker-Planck Equation Collecting terms corresponding to the different orders in we obtain, for the macroscopic equations (order ) Asymptotically, this set of eqs. has only one solution (or attractor)

35. Macroscopic and Fokker-Planck Equation The following order ( ) give us a Fokker-Planck equation for the pdf of fluctuations and

36. Macroscopic and Fokker-Planck Equation Using the Fokker-Planck equation we can obtain information about the dynamics of fluctuations. We define mean values and correlations as

37. Macroscopic and Fokker-Planck Equation Using the Fokker-Planck equation we can obtain information about the dynamics of fluctuations. We define mean values and correlations as As the FPE is linear (Ornstein-Uhlenbeck-like) this is all the information we need to completely define the pdf

38. Macroscopic and Fokker-Planck Equation We use as our reference state the symmetric case

39. Macroscopic and Fokker-Planck Equation Similar eqs. for the mean values of fluctuations, while for the correlations

40. Some results: Some results considering the symmetric case as well as some departures from it

41. Some results:

42. Some results:

43. Some results:

44. Some results:

45. Some results: The approach also allows to obtain information about the relaxation time around the stationary state. For the symmetric case we have

46. Inclusion of “Fanatics” Inclusion of “fanatics” (or inflexible agents) transform our variables according to and

47. Inclusion of “Fanatics” Inclusion of “fanatics” (or inflexible agents) transform our variables according to and Without details, for the macoscopic equations we obtain

48. Inclusion of “Fanatics”

49. Other Cases Another possibilities we are exploring regards some financial aspects related with the “herding effect”, and the “stylized facts” in finance, and also with lenguage competition. In particular we are analyzing a model discussed by Alfano & Milakovic (2007), Lux (2006), Pietronero et al. (2008). Such a model can be mapped into our scheme, if some kind of intermediate agents (in addition to bullish & bearish, fundamentalists & chartists, buyers & sellers, etc) is included. The point here is to reinterpret the results in terms, or the lenguage, adequate to the new context. Oscillatory behaviour in a single realization (McKane & Newman, Risau-Guzman & Abramson, etc).

50. Failure and extension of the -expansion The inclusion of the intermediate group avoids a problem that could occur within the van Kampen’s approach: the case when the macroscopic contribution is multivalued. Without such an intermediate group it could happen that there is more than one solution for the macroscopic equation, a fact associated to the breaking of the stability condition, that occurs when