Janos Kertesz

Accurate estimator of correlations between asynchronous signals (2008)

Static packings of frictional rigid particles are investigated by means of discrete element simulations. We explore the ensemble of allowed force realizations in the space of contact forces for a...

Unjamming due to local perturbations in granular packings with and without gravity (2008)

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the...

Generation of homogeneous granular packings: Contact dynamics method with coupling to an external pressure bath (2008)

We investigate the unjamming response of disordered packings of frictional hard disks with the help of computer simulations. First, we generate jammed configurations of the disks and then force them...

Note on the equivalence of the label propagation method of community detection and a Potts model approach (2008)

The contact dynamics method (CD) is an efficient simulation technique of dense granular media where unilateral and frictional contact problems for a large number of rigid bodies have to be solved. In...

Tibely, Gergely, Kertesz, Janos

We show that the recently introduced label propagation method for detecting communities in complex networks is equivalent to find the local minima of a simple Potts model. Applying to empirical data,...

Detecting the overlapping and hierarchical community structure of complex networks (2008)

Lancichinetti, Andrea, Fortunato, Santo, Kertesz, Janos

Many networks in nature, society and technology are characterized by a mesoscopic level of organization, with groups of nodes forming tightly connected units, called communities or modules, that are...

OVERVIEW OF INVITED TALKS AND SESSIONS (2008)

Huge Network, Janos Kertesz, Jukka-pekka Onnela, Jari Saramaki, Gabor Szabo, Albert-laszlo Barabasi, ...

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Fluctuation scaling in complex systems: Taylor's law and beyond (2007)

Eisler, Zoltan, Bartos, Imre, Kertesz, Janos

Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element...

Spectral methods and cluster structure in correlation-based networks (2007)

Heimo, Tapio, Tibely, Gergely, Saramaki, Jari, Kaski, Kimmo, Kertesz, Janos

We investigate how in complex systems the eigenpairs of the matrices derived from the correlations of multichannel observations reflect the cluster structure of the underlying networks. For this we...

The limit order book on different time scales (2007)

Eisler, Zoltan, Kertesz, Janos, Lillo, Fabrizio

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses...

Unjamming of Granular Packings due to Local Perturbations: Stability and Decay of Displacements (2007)

Modeling the Epps effect of cross correlations in asset prices (2007)

We study the mechanical response generated by local deformations in jammed packings of rigid disks. Based on discrete element simulations we determine the critical force of the local perturbation...

Toth, Bence, Toth, Balint, Kertesz, Janos

We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Epps effect). Through...

The Epps effect revisited (2007)

Fluctuation scaling versus gap scaling (2007)

We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller...

Analysis of a large-scale weighted network of one-to-one human communication (2007)

Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto...

Onnela, Jukka-Pekka, Saramaki, Jari, Hyvonen, Jorkki, Szabo, Gabor, De Menezes, M. Argollo, Kaski, Kimmo, ...

We construct a connected network of 3.9 million nodes from mobile phone call records, which can be regarded as a proxy for the underlying human communication network at the societal level. We assign...

Diffusive behavior and the modeling of characteristic times in limit order executions (2007)

Eisler, Zoltan, Kertesz, Janos, Lillo, Fabrizio, Mantegna, Rosario N.

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to...

On the origin of the Epps effect (2007)

Limited resolution in complex network community detection with Potts model approach (2006)

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices....

Kumpula, Jussi M., Saramaki, Jari, Kaski, Kimmo, Kertesz, Janos

According to Fortunato and Barthelemy, modularity-based community detection algorithms have a resolution threshold such that small communities in a large network are invisible. Here we generalize...

The dynamics of traded value revisited (2006)

Liquidity and the multiscaling properties of the volume traded on the stock market (2006)

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and...

Why do Hurst exponents of traded value increase as the logarithm of company size? (2006)

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at...

Limitations of scaling and universality in stock market data (2005)

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often...

Kertesz, Janos, Eisler, Zoltan

We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full...

Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks (2005)

Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks (2005)

Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...

Size matters: some stylized facts of the stock market revisited (2005)

Records of the traded value f(i) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...

The effect of disorder on the hierarchical modularity in complex systems (2005)

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean...

Nagy, David, Tibely, Gergely, Kertesz, Janos

We consider a system hierarchically modular, if besides its hierarchical structure it shows a sequence of scale separations from the point of view of some functionality or property. Starting from...

Increasing market efficiency: Evolution of cross-correlations of stock returns (2005)

Non-trivial scaling of fluctuations in the trading activity of NYSE (2005)

We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty...

Kertesz, Janos, Eisler, Zoltan

Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical...

Random walks on complex networks with inhomogeneous impact (2005)

Spatial snowdrift game with myopic agents (2004)

In many complex systems, for the activity f(i) of the constituents or nodes i, a power-law relationship was discovered between the standard deviation sigma(i) and the average strength of the...

Sysi-Aho, Marko, Saramaki, Jari, Kertesz, Janos, Kaski, Kimmo

We have studied a spatially extended snowdrift game, in which the players are located on the sites of two-dimensional square lattices and repeatedly have to choose one of the two strategies, either...

Multiscaling and non-universality in fluctuations of driven complex systems (2004)

Eisler, Zoltan, Kertesz, Janos, Yook, Soon-Hyung, Barabasi, Albert-Laszlo

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large...

Short-term market reaction after extreme price changes of liquid stocks (2004)

Zawadowski, Adam G., Andor, Gyorgy, Kertesz, Janos

In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal for both intraday...

Multifractal model of asset returns with leverage effect (2004)

The effect of contact torques on porosity of cohesive powders (2004)

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of...

Bartels, Guido, Unger, Tamas, Kadau, Dirk, Wolf, Dietrich E., Kertesz, Janos

The porosity of uniaxially compacted cohesive powders depends on the applied stress (including gravity). The case, where these stresses are weak, is considered. The compaction results in a porosity...

Force indeterminacy in the jammed state of hard disks (2004)

Unger, Tamas, Kertesz, Janos, Wolf, Dietrich E.

Granular packings of hard discs are investigated by means of contact dynamics which is an appropriate technique to explore the allowed force-realizations in the space of contact forces....

Phase Diagram of Optimal Paths (2004)

Hansen, Alex, Kertesz, Janos

We show that choosing appropriate distributions of the randomness, the search for optimal paths links diverse problems of disordered media like directed percolation, invasion percolation, directed...

The contact dynamics method for granular media (2002)

Unger, Tamas, Kertesz, Janos

In this paper we review the simulation method of the non-smooth contact dynamics. This technique was designed to solve the unilateral and frictional contact problem for a large number of rigid bodies...

Shearing of loose granular materials: A statistical mesoscopic model (2002)

Torok, Janos, Krishnamurthy, Supriya, Kertesz, Janos, Roux, Stephane

A two-dimensional lattice model for the formation and evolution of shear bands in granular media is proposed. Each lattice site is assigned a random variable which reflects the local density. At...

Slow relaxation due to optimization and restructuring: Solution on a hierarchical lattice (2002)

Torok, Janos, Krishnamurthy, Supriya, Kertesz, Janos, Roux, Stephane

Motivated by the large strain shear of loose granular materials we introduced a model which consists of consecutive optimization and restructuring steps leading to a self organization of a density...

Structural transitions in scale-free networks (2002)

Szabo, Gabor, Alava, Mikko, Kertesz, Janos

Real growing networks like the WWW or personal connection based networks are characterized by a high degree of clustering, in addition to the small-world property and the absence of a characteristic...

Elastic behavior in Contact Dynamics of rigid particles (2002)

Unger, Tamas, Brendel, Lothar, Wolf, Dietrich E., Kertesz, Janos

The systematic errors due to the practical implementation of the Contact Dynamics method for simulation of dense granular media are examined. It is shown that, using the usual iterative solver to...

Shortest paths and load scaling in scale-free trees (2002)

Szabo, Gabor, Alava, Mikko, Kertesz, Janos

The average node-to-node distance of scale-free graphs depends logarithmically on N, the number of nodes, while the probability distribution function (pdf) of the distances may take various forms....

Self-Quenched Dynamics (2000)

Torok, Janos, Krishnamurthy, Supriya, Kertesz, Janos, Roux, Stephane

We introduce a model for the slow relaxation of an energy landscape caused by its local interaction with a random walker whose motion is dictated by the landscape itself. By choosing relevant...

Self-organization, Localization of Shear Bands and Aging in Loose Granular Materials (2000)

Torok, Janos, Krishnamurthy, Supriya, Kertesz, Janos, Roux, Stephane

We introduce a mesoscopic model for the formation and evolution of shear bands in loose granular media. Numerical simulations reveal that the system undergoes a non-trivial self-organization process...

A lattice gas model of avalanches in a granular pile (1997)

Karolyi, Antal, Kertesz, Janos

A granular media lattice gas (GMLG) model is used to study avalanches in a two-dimensional granular pile. We demonstrate the efficiency of the algorithm by showing that several features of the...

On Cellular Automata Models of Single Lane Traffic (1997)

Sasvari, Marton, Kertesz, Janos

The jamming transition in the stochastic cellular automaton model (Nagel-Schreckenberg model) of highway traffic is analyzed in detail, by studying the relaxation time, a mapping to surface growth...

Tunneling and Universality in the Integer Quantum Hall Effect (1997)

Hansen, Alex, Kertesz, Janos

We show analytically and numerically that omission of quantum interference from the Chalker-Coddington model of the integer quantum Hall effect gives a localization length exponent nu=4/3 as in...

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario Mantegna

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to...

Modeling the Epps effect of cross correlations in asset prices

Bence Toth, Balint Toth, Janos Kertesz

We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Epps effect). Through...

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N. Mantegna

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to...

The limit order book on different time scales

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses...

Why do Hurst exponents of traded value increase as the logarithm of company size?

Liquidity and the multiscaling properties of the volume traded on the stock market

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often...

Non-trivial scaling of fluctuations in the trading activity of NYSE

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at...

Janos Kertesz, Zoltan Eisler

Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical...

Limitations of scaling and universality in stock market data

Janos Kertesz, Zoltan Eisler

We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full...

On the origin of the Epps effect

Size matters: some stylized facts of the stock market revisited

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices....

Fluctuation scaling versus gap scaling

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean...

Short-term market reaction after extreme price changes of liquid stocks

Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto...

Adam G. Zawadowski, Gyorgy Andor, Janos Kertesz

In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal for both intraday...

Studies of the limit order book around large price changes

Bence Toth, Janos Kertesz, J. Doyne Farmer

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the...

The Epps effect revisited

Multifractal model of asset returns with leverage effect

We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller...

The dynamics of traded value revisited

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of...

Multiscaling and non-universality in fluctuations of driven complex systems

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and...

Zoltan Eisler, Janos Kertesz, Soon-Hyung Yook, Albert-Laszlo Barabasi

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large...

Increasing market efficiency: Evolution of cross-correlations of stock returns

Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks

We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty...

The Epps effect revisited

Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...