Physica A: Statistical Mechanics and its Applications最新文献_第5页

Integrating ESG criteria in portfolio optimization: A Moroccan case study using Markowitz’s theory and correlation network analysis

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-24 DOI: 10.1016/j.physa.2025.130521

Afaf El Rhiouane , Hassan Oukhouya , Raby Guerbaz , Khalid Belkhoutout , Aziz Lmakri , Mohamed Fihri , Abdellatif El Afia

{"title":"Integrating ESG criteria in portfolio optimization: A Moroccan case study using Markowitz’s theory and correlation network analysis","authors":"Afaf El Rhiouane , Hassan Oukhouya , Raby Guerbaz , Khalid Belkhoutout , Aziz Lmakri , Mohamed Fihri , Abdellatif El Afia","doi":"10.1016/j.physa.2025.130521","DOIUrl":"10.1016/j.physa.2025.130521","url":null,"abstract":"<div><div>This paper evaluates the contribution of integrating environmental, social, and governance (ESG) criteria into portfolio optimization, which is an important gap in the literature on socially responsible investing (SRI) for the context of Morocco. It offers new insights on how ESG constraints affect performance and risk in dynamic portfolios, accounting for time-varying correlations of responsible assets. The paper uses a quantitative approach by considering two models: one using only Markowitz’s theory about mean–variance (MV) optimality without considering the ESG criteria, and another model with a constraint that enforces a minimum acceptable threshold in ESG scores, named here as MV-ESG. The minimum spanning tree (MST) method was adopted for correlation network construction, and it would consider studying dynamic correlation structures on two different periods: crisis and post-crisis. The data used are the closing prices of companies listed on the Casablanca stock exchange (CSE), obtained from their official website, while the ESG scores were obtained from Refinitiv. The results show that responsible portfolios (RPs), optimized by traditional and network approaches, are neither more profitable nor less volatile than their conventional counterparts, with the exception of peripheral portfolios (<span><math><msup><mrow><mi>P</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>), which show more attractive profitability in the responsible case, but at the cost of higher risk. While the network approach has facilitated better opportunities for higher returns, reduced losses, and better ESG scores than the traditional method, the results show that in a social orientation crisis, performance will be unfavorable; it has not been able to provide positive returns during this period.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"667 ","pages":"Article 130521"},"PeriodicalIF":2.8,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143747911","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal bus holding control on bus routes traversing a common corridor

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-24 DOI: 10.1016/j.physa.2025.130548

Zhichao Wang, Rui Jiang

引用次数: 0

CALF-SBM: A covariate-assisted latent factor stochastic block model

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-24 DOI: 10.1016/j.physa.2025.130536

Sydney Louit , Evan A. Clark , Alexander H. Gelbard , Niketna Vivek , Jun Yan , Panpan Zhang

{"title":"CALF-SBM: A covariate-assisted latent factor stochastic block model","authors":"Sydney Louit , Evan A. Clark , Alexander H. Gelbard , Niketna Vivek , Jun Yan , Panpan Zhang","doi":"10.1016/j.physa.2025.130536","DOIUrl":"10.1016/j.physa.2025.130536","url":null,"abstract":"<div><div>We propose a novel network generative model extended from the standard stochastic block model by concurrently utilizing observed node-level information and accounting for network-enabled nodal heterogeneity. The proposed model is so called covariate-assisted latent factor stochastic block model (CALF-SBM). The inference for the proposed model is done in a fully Bayesian framework. The primary application of CALF-SBM in the present research is focused on community detection, where a model-selection-based approach is employed to estimate the number of communities which is practically assumed unknown. To assess the performance of CALF-SBM, an extensive simulation study is carried out, including comparisons with multiple classical and modern network clustering algorithms. Lastly, the paper presents two real data applications, respectively based on an extremely new network data demonstrating collaborative relationships of otolaryngologists in the United States and a traditional aviation network data containing information about direct flights between airports in the United States and Canada.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"667 ","pages":"Article 130536"},"PeriodicalIF":2.8,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143704948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Corrigendum to “Effectiveness of vaccination and quarantine policies to curb the spread of COVID-19” [Phys. A: Stat. Mech. App. 637 (2024) 129580]

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-22 DOI: 10.1016/j.physa.2025.130555

Gyeong Hwan Jang , Sung Jin Kim , Mi Jin Lee , Seung-Woo Son

引用次数: 0

Joint probability densities of an active particle coupled to two heat reservoirs

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-22 DOI: 10.1016/j.physa.2025.130483

Jae Won Jung , Sung Kyu Seo , Kyungsik Kim

引用次数: 0

An empirical investigation on social group evacuation dynamics in multi-exit evacuation scenarios

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-21 DOI: 10.1016/j.physa.2025.130553

Yanghui Hu , Jie Chen , Yunhe Tong

{"title":"An empirical investigation on social group evacuation dynamics in multi-exit evacuation scenarios","authors":"Yanghui Hu , Jie Chen , Yunhe Tong","doi":"10.1016/j.physa.2025.130553","DOIUrl":"10.1016/j.physa.2025.130553","url":null,"abstract":"<div><div>As a common form of evacuation, social groups play an essential role in shaping crowd dynamics. However, the exit choice behaviour of social groups in complex scenarios has not been fully investigated yet. In this study, we conducted a series of experiments considering various arrangements and numbers of available exits, as well as different social group sizes. Our findings reveal social group dynamics on various levels. At the tactical level, participants exhibit diverse preference patterns depending on both the size of their group and the number of available exits, and the impacts of exit properties vary with contexts at the operational level, crowds with social groups display distinct movement phases: initial acceleration, deceleration near exits due to high density, and post-exit re-acceleration. Exit placement influences high-density distributions, with longer walls hosting exits leading to more elongated queues. Furthermore, our analysis revealed pronounced asymmetries in the density distributions across multiple exit scenarios, indicating that proximity to the exits significantly influenced individuals' exit choices. Our work expands the dataset on social group evacuation dynamics in emergencies and deepens the understanding of how social group dynamics shape crowd behaviour.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"666 ","pages":"Article 130553"},"PeriodicalIF":2.8,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143681430","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Coexistence of positive and negative information in information-epidemic dynamics on multiplex networks

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-20 DOI: 10.1016/j.physa.2025.130534

Li-Ying Liu , Chao-Ran Cai , Si-Ping Zhang , Bin-Quan Li

引用次数: 0

CompuCell3D model of cell migration reproduces chemotaxis

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-19 DOI: 10.1016/j.physa.2025.130524

Pedro C. Dal-Castel , Gilberto L. Thomas , Gabriel C. Perrone , Rita M.C. de Almeida

{"title":"CompuCell3D model of cell migration reproduces chemotaxis","authors":"Pedro C. Dal-Castel , Gilberto L. Thomas , Gabriel C. Perrone , Rita M.C. de Almeida","doi":"10.1016/j.physa.2025.130524","DOIUrl":"10.1016/j.physa.2025.130524","url":null,"abstract":"<div><div>Chemotaxis combines three processes: directional sensing, polarity reorientation and migration. Directed migration plays an important role in immune response, metastasis, wound healing and development. To describe chemotaxis, we extend a previously computational model of a 3D single cell, that presents three compartments (lamellipodium, nucleus and cytoplasm), whose migration on a flat surface quantitatively describes experiments. The simulation is built in the framework of CompuCell3D, an environment based on the Cellular Potts Model. In our extension, we treat chemotaxis as a compound process rather than a response to a potential force. We propose robust protocols to measure cell persistence, drift speed, terminal speed, chemotactic efficiency, taxis time, and we analyze cell migration dynamics in the cell reference frame from position and polarization recordings through time. Our metrics can be applied to experimental results and allow quantitative comparison between simulations and experiments. We found that our simulated cells exhibit a trade-off between polarization stability and chemotactic efficiency. Specifically, we found that cells with lower protrusion forces and smaller lamellipodia exhibit an increased ability to undergo chemotaxis. We also noticed no significant change in cell movement due to external chemical gradient when analyzing cell displacement in the cell reference frame. Our results demonstrate the importance of measuring cell polarity throughout the entire cell trajectory, and treating velocity quantities carefully when cell movement is diffusive at short time intervals. The simulation we developed is adequate to the development of new measurement protocols, and it helps paving the way to more complex multicellular simulations to model collective migration and their interaction with external fields, which are under development on this date.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"666 ","pages":"Article 130524"},"PeriodicalIF":2.8,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143681479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bicycle longitudinal elastic cellular automaton model based on behavior characteristics analysis

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-19 DOI: 10.1016/j.physa.2025.130550

Xiaofang Yang , Qiang Fu

引用次数: 0

Simulation study on the effect of obstacles upstream of the building exit on evacuation efficiency

IF 2.8 3区物理与天体物理

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-03-19 DOI: 10.1016/j.physa.2025.130547

Hongpeng Qiu , Zheng Fang , Eric Wai Ming Lee

{"title":"Simulation study on the effect of obstacles upstream of the building exit on evacuation efficiency","authors":"Hongpeng Qiu , Zheng Fang , Eric Wai Ming Lee","doi":"10.1016/j.physa.2025.130547","DOIUrl":"10.1016/j.physa.2025.130547","url":null,"abstract":"<div><div>Since the argument that placing obstacles upstream of the building exit can improve evacuation efficiency was put forward, how to set up obstacles to improve building evacuation efficiency has become a hot topic. Based on the actual evacuation experimental data, this paper established and verified a discrete cellular automaton model that realised the ‘faster is slower’ effect in the actual evacuation experiment and, on this basis, studied the impact of different obstacle settings on building evacuation efficiency under different emergency levels. Through research, we found that setting up obstacles opposite to the building emergency exit, not close to the building emergency exit, or in a corridor-like form at the building's emergency exit will reduce evacuation efficiency while setting up obstacles close to the building emergency exit can increase evacuation efficiency. In addition, setting up obstacles close to the side with fewer people can improve building evacuation efficiency more than setting up obstacles close to the side with more people, and setting up more obstacles on the side with fewer people can improve evacuation efficiency more than setting up more obstacles on the side with more people. Our research findings have the potential to significantly improve our understanding of the impact of obstacles near exits on building evacuation efficiency and, thereby, save lives in emergencies.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"666 ","pages":"Article 130547"},"PeriodicalIF":2.8,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143681429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0