Related papers: Hierarchical financial structures with money casca…
Equal-time scaling exponents in fully developed turbulence typically exhibit non anomalous scaling in the inverse cascade of two-dimensional (2D) turbulence and anomalous scaling in three dimensions. We demonstrate that multiscaling is not…
We study intergenerational transfers of income. In our stylized model, each generation in an infinite (but countable) stream is endowed with some income. An allocation rule associates with each infinite stream another stream, thus involving…
Turbulence is a complex spatial and temporal structure created by the strong non-linear dynamics of fluid flows at high Reynolds numbers. Despite being an ubiquitous phenomenon that has been studied for centuries, a full understanding of…
There is a clear distinction between simple laminar and complex turbulent fluids. But in some cases, as for the nocturnal planetary boundary layer, a stable and well-ordered flow can develop intense and sporadic bursts of turbulent activity…
This work makes analytic progress in the deterministic study of turbulence in Hamiltonian systems by identifying two types of energy cascade solutions and the corresponding large- and small-scale structures they generate. The first cascade…
Chaos is widely understood as being a consequence of sensitive dependence upon initial conditions. This is the result of an instability in phase space, which separates trajectories exponentially. Here, we demonstrate that this criterion…
A temporal study of energy transfer across length scales is performed in 3D numerical simulations of homogeneous shear flow and isotropic turbulence. The average time taken by perturbations in the energy flux to travel between scales is…
An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us (RLR). This equation takes the form of…
The small-scale statistical properties of velocity circulation in classical homogeneous and isotropic turbulent flows are assessed through a modeling framework that brings together the multiplicative cascade and the structural descriptions…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
We introduce a method for describing eigenvalue distributions of correlation matrices from multidimensional time series. Using our newly developed matrix H theory, we improve the description of eigenvalue spectra for empirical correlation…
We investigate the nature of information flow in turbulence from an information-thermodynamic viewpoint. For the fully developed three-dimensional fluid turbulence described by the fluctuating Navier-Stokes equation, we prove that…
We show that hyperscaling and finite-size scaling imply that the probability distribution of the order parameter in finite size critical systems exhibit data collapse. We consider the examples of equilibrium critical systems, and a…
Large-scale instabilities occurring in the presence of small-scale turbulent fluctuations are frequently observed in geophysical or astrophysical contexts but are difficult to reproduce in the laboratory. Using extensive numerical…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
We use multiscale-multispace correlations and Fourier transform techniques, to study some intermittent random field properties, which escape analysis by structure function scaling. These properties are parametrized in terms of a set of…
Using the analogy with inelastic granular gasses we introduce a model for wealth exchange in society. The dynamics is governed by a kinetic equation, which allows for self-similar solutions. The scaling function has a power-law tail, the…
New models of Turbulence, Superfluidity and Superconductivity, based on new Hierarchic theory, general for liquids and solids (physics/0102086), have been proposed. CONTENTS: 1 Turbulence. General description; 2 Mesoscopic mechanism of…
In incompressible and periodic statistically stationary turbulence, exchanges of turbulent energy across scales and space are characterised by very intense and intermittent spatio-temporal fluctuations around zero of the time-derivative…
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…