Related papers: Multiscaling and non-universality in fluctuations …
An approach is suggested for treating multiscale fluctuations in macromolecular systems. The emphasis is on the statistical properties of such fluctuations. The approach is illustrated by a macromolecular system with mesoscopic fluctuations…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
A unified approach is proposed to describe the statistics of the short time dynamics of multiscale complex systems. The probability density function of the relevant time series (signal) is represented as a statistical superposition of a…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
Stochastic biochemical and transport processes have various final outcomes, and they can be viewed as dynamic systems with multiple exits. Many current theoretical studies, however, typically consider only a single time scale for each…
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
"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…
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…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Small nonequelibrium systems driven by an external periodic protocol can be described by Markov processes with time-periodic transition rates. In general, current fluctuations in such small systems are large and may play a crucial role. We…
Large assemblies of nonlinear dynamical units driven by a long-wave fluctuating external field are found to generate strong turbulence with scaling properties. This type of turbulence is so robust that it persists over a finite parameter…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
We investigate if known extrinsic and intrinsic factors fully account for the complex features observed in recordings of human activity as measured from forearm motion in subjects undergoing their regular daily routine. We demonstrate that…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
The operation of power systems is affected by diverse technical, economic and social factors. Social behaviour determines load patterns, electricity markets regulate the generation and weather-dependent renewables introduce power…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
Collective dynamics result from interactions among noisy dynamical components. Examples include heartbeats, circadian rhythms, and various pattern formations. Because of noise in each component, collective dynamics inevitably involve…