Related papers: Complex temporal structure of activity in on-line …
Many dynamical processes on real world networks display complex temporal patterns as, for instance, a fat-tailed distribution of inter-events times, leading to heterogeneous waiting times between events. In this work, we focus on…
An artificial stock market is established based on multi-agent . Each agent has a limit memory of the history of stock price, and will choose an action according to his memory and trading strategy. The trading strategy of each agent evolves…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
The present paper describes a stochastic model of fracture, whose fragment size distribution can be calculated analytically as a power-law-like distribution. The model is basically cascade fracture, but incorporates the effect that each…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
We propose a model of random diffusion to investigate flow fluctuations in complex networks. We derive an analytical law showing that the dependence of fluctuations with the mean traffic in a network is ruled by the delicate interplay of…
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis largely deviates from the Gaussian…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
A number of human activities exhibit a bursty pattern, namely periods of very high activity that are followed by rest periods. Records of these processes generate time series of events whose inter-event times follow a probability…
The evolution of many stochastic systems is accurately described by random walks on graphs. We here explore the close connection between local steady-state fluctuations of random walks and the global structure of the underlying graph.…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
Motivated by the fact that empirical time series of earthquakes exhibit long-range correlations in space and time and the Gutenberg-Richter distribution of magnitudes, we propose a simple fault model that can account for these types of…
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
Human motor activity is constrained by the rhythmicity of the 24 hours circadian cycle, including the usual 12-15 hours sleep-wake cycle. However, activity fluctuations also appear over a wide range of temporal scales, from days to a few…
We study the relaxation response of a social system after endogenous and exogenous bursts of activity using the time-series of daily views for nearly 5 million videos on YouTube. We find that most activity can be described accurately as a…
We consider the scaling behaviors for fluctuations of the number of Korean firms bankrupted in the period from August 1 2002 to October 28 2003. We observe a power law for the distribution of the number of the bankrupted firms. The Pareto…
We study the effects of uniform time delays on the extreme fluctuations in stochastic synchronization and coordination problems with linear couplings in complex networks. We obtain the average size of the fluctuations at the nodes from the…