Noise-induced volatility of collective dynamics
Abstract
"Noise-induced volatility" refers to a phenomenon of increased level of fluctuations in the collective dynamics of bistable units in the presence of a rapidly varying external signal, and intermediate noise levels. The archetypical signature of this phenomenon is that --beyond the increase in the level of fluctuations-- the response of the system becomes uncorrelated with the external driving force, making it different from stochastic resonance. Numerical simulations and an analytical theory of a stochastic dynamical version of the Ising model on regular and random networks demonstrate the ubiquity and robustness of this phenomenon, which is argued to be a possible cause of excess volatility in financial markets, of enhanced effective temperatures in a variety of out-of-equilibrium systems and of strong selective responses of immune systems of complex biological organisms. Extensive numerical simulations are compared with a mean-field theory for different network topologies.
Keywords
Cite
@article{arxiv.1004.2149,
title = {Noise-induced volatility of collective dynamics},
author = {Georges Harras and Claudio J. Tessone and Didier Sornette},
journal= {arXiv preprint arXiv:1004.2149},
year = {2012}
}