Related papers: Fractal Properties in Economics
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Turbulent flows are out-of-equilibrium because the energy supply at large scales and its dissipation by viscosity at small scales create a net transfer of energy among all scales. Here, the energy cascade is approximated by a combined…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
When parameters of a dynamical system change sufficiently fast, critical transitions can take place even in the absence of bifurcations. This phenomenon is known as rate-induced tipping and has been reported in a variety of systems, from…
We construct a theory of distributions in the setting of analysis on post-critically finite self-similar fractals, and on fractafolds and products based on such fractals. The results include basic properties of test functions and…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Fluctuation Theorem(FT) has been studied as far from equilibrium theorem, which relates the symmetry of entropy production. To investigate the application of this theorem, especially to biological physics, we consider the FT for tilted…
Using large scale numerical simulations we analyze the statistical properties of fracture in the two dimensional random spring model and compare it with its scalar counterpart: the random fuse model. We first consider the process of crack…
We compare the statistical fluctuation properties of the baryon and meson experimental mass spectra with those obtained from theoretical models (quark models and lattice QCD). We find that for the experimental spectra the statistical…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
Understanding the statistical dynamics of growth and inequality is a fundamental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and…
Using the discrete-scale invariance theory, we show that the coupling constants of fundamental forces, the atomic masses and energies, and the elementary particle masses, obey to the fractal properties.
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
We study the time evolution of a chain of nonlinear oscillators. We focus on the fractal features of the spectral entropy and analyze its characteristic intermediate timescales as a function of the nonlinear coupling. A Brownian motion is…
We investigate violations of the fluctuation-dissipation theorem in two classes of trap models by studying the influence of the perturbing field on the transition rates. We show that for perturbed rates depending upon the value of the…
We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from…