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An inherent instability of efficient markets.

ABSTRACT: Speculative markets are often described as "informationally efficient" such that predictable price changes are eliminated by traders exploiting them, leaving only residual unpredictable fluctuations. This classical view of markets operating close to an equilibrium is challenged by extreme price fluctuations which occur far more frequently than can be accounted for by external news. Here we show that speculative markets which absorb self-generated information can exhibit both: evolution towards efficient equilibrium states as well as their subsequent destabilisation. We introduce a minimal agent-based market model where the impacts of trading strategies naturally adapt according to their success. This implements a learning rule for the whole market minimising predictable price changes, and an extreme succeptibility at the point of perfect balance. The model quantitatively reproduces real heavy-tailed log return distributions and volatility clusters. Our results demonstrate that market instabilities can be a consequence of the very mechanisms that lead to market efficiency.

SUBMITTER: Patzelt F

PROVIDER: S-EPMC3784944 | biostudies-literature | 2013 Sep

REPOSITORIES: biostudies-literature

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An inherent instability of efficient markets.

Patzelt Felix F Pawelzik Klaus K

Scientific reports 20130927

Speculative markets are often described as "informationally efficient" such that predictable price changes are eliminated by traders exploiting them, leaving only residual unpredictable fluctuations. This classical view of markets operating close to an equilibrium is challenged by extreme price fluctuations which occur far more frequently than can be accounted for by external news. Here we show that speculative markets which absorb self-generated information can exhibit both: evolution towards e ...[more]

PMID: 24071722

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Project description:BackgroundThe use of human embryonic stem cells (hESCs) in research is increasing and hESCs hold the promise for many biological, clinical and toxicological studies. Human ESCs are expected to be chromosomally stable since karyotypic changes represent a pitfall for potential future applications. Recently, several studies have analysed the genomic stability of several hESC lines maintained after prolonged in vitro culture but controversial data has been reported. Here, we prompted to compare the chromosomal stability of three hESC lines maintained in the same laboratory using identical culture conditions and passaging methods.ResultsMolecular cytogenetic analyses performed in three different hESC lines maintained in parallel in identical culture conditions revealed significant differences among them in regard to their chromosomal integrity. In feeders, the HS181, SHEF-1 and SHEF-3 hESC lines were chromosomally stable up to 185 passages using either mechanical or enzymatic dissection methods. Despite the three hESC lines were maintained under identical conditions, each hESC line behaved differently upon being transferred to a feeder-free culture system. The two younger hESC lines, HS181 (71 passages) and SHEF-3 (51 passages) became chromosomally unstable shortly after being cultured in feeder-free conditions. The HS181 line gained a chromosome 12 by passage 17 and a marker by passage 21, characterized as a gain of chromosome 20 by SKY. Importantly, the mosaicism for trisomy 12 gradually increased up to 89% by passage 30, suggesting that this karyotypic abnormality provides a selective advantage. Similarly, the SHEF-3 line also acquired a trisomy of chromosome 14 as early as passage 10. However, this karyotypic aberration did not confer selective advantage to the genetically abnormal cells within the bulk culture and the level of mosaicism for the trisomy 14 remained overtime between 15%-36%. Strikingly, however, a much older hESC line, SHEF-1, which was maintained for 185 passages in feeders did not undergo any numerical or structural chromosomal change after 30 passages in feeder-free culture and over 215 passages in total.ConclusionThese results support the concept that feeder-free conditions may partially contribute to hESC chromosomal changes but also confirm the hypothesis that regardless of the culture conditions, culture duration or splitting methods, some hESC lines are inherently more prone than others to karyotypic instability.

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An inherent instability of efficient markets.

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An inherent instability of efficient markets.

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