A mechanism for pockets of predictability in complex adaptive systems

Abstract

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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