Related papers: Multifractal regime transition in a modified minor…
Both the phenomenology and the theory of minority games (MG) with more than two strategies per agent are different from those of the conventional and extensively studied case S=2. MGs with $S>2$ exhibit nontrivial statistics of the…
We introduce a class of multifractal processes, referred to as Multifractal Random Walks (MRWs). To our knowledge, it is the first multifractal processes with continuous dilation invariance properties and stationary increments. MRWs are…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We illustrate the efficacy of a discrete wavelet based approach to characterize fluctuations in non-stationary time series. The present approach complements the multi-fractal detrended fluctuation analysis (MF-DFA) method and is quite…
Recent evidence suggests that physiological signals under healthy conditions may have a fractal temporal structure. We investigate the possibility that time series generated by certain physiological control systems may be members of a…
Multifractal analysis is a forecasting technique used to study the scaling regularity properties of financial returns, to analyze the long-term memory and predictability of financial markets. In this paper, we propose a novel structural…
We explore the multifractality of the steady state wave function in non-unitary random quantum dynamics in one dimension. We focus on two classes of random systems: the hybrid Clifford circuit model and the non-unitary free fermion…
The Parallel Minority Game (PMG) is a synchronous adaptive multi-agent model that exhibits active-absorbing transitions characteristic of non-equilibrium statistical systems. We perform a comprehensive numerical study of the PMG under two…
Multifractal dimensions allow for characterizing the localization properties of states in complex quantum systems. For ergodic states the finite-size versions of fractal dimensions converge to unity in the limit of large system size.…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
We consider the multifractal analysis of the pointwise dimension for Gibbs measures on countable Markov shifts. Our paper analyses the set of non-analytic points or phase transitions of the multifractal spectrum. By Sarig's thermodynamic…
We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q)(T)~T^z(q)). We demonstrate that the nonlinearity of the…
TheMinority Game (MG) has become a paradigm to probe complex social and economical phenomena where adaptive agents compete for a limited resource, and it finds applications in statistical and nonlinear physics as well. In the traditional MG…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
The phase-field model for fracture, despite its popularity and ease of implementation comes with its set of computational challenges. They are the non-convex energy functional, variational inequality due to fracture irreversibility, the…
We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or…
Here, we observe that mean-field game (MFG) systems admit a two-player infinite-dimensional general-sum differential game formulation. We show that particular regimes of this game reduce to previously known variational principles.…
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing to economics. We analyse the multifractality of the recently…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
Recently has been investigated that the ground-state wavefunction of the one dimensional quantum spin-1/2 chain models is multifractal in general with non-trivial fractal dimension. We are studying this phenomena for the quantum Ising chain…