Related papers: Multiscaling and non-universality in fluctuations …
Atmospheric flows exhibit fluctuations of all scales (space -time) ranging from turbulence (millimeters-seconds) to climate (thousands of kilometers-years). The apparently random fluctuations however exhibit long-range spatio-temporal…
When the complete understanding of a complex system is not available, as, e.g., for systems considered in the real-world, we need a top-down approach to complexity. In this approach one may start with the desire to understand general…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
"\textit{The noise is the signal}"[R. Landauer, Nature \textbf{392}, 658 (1998)] emphasizes the rich information content encoded in fluctuations. This paper assesses the dynamical role of fluctuations of a quantum system driven far from…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
Complex systems, such as the power grid, are essential for our daily lives. Many complex systems display (multi-)fractal behavior, correlated fluctuations and power laws. Whether the power-grid frequency, an indicator about the balance on…
A system driven in the vicinity of its critical point by varying a relevant field in an arbitrary function of time is a generic system that possesses a long relaxation time compared with the driving time scale and thus represents a large…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
We show that scaling arguments are very useful to analyze the dynamics of periodically modulated noisy systems. Information about the behavior of the relevant quantities, such as the signal-to-noise ratio, upon variations of the noise…
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both…
We study the dynamics of a system composed of interacting units each with a complex internal structure comprising many subunits. We consider the case in which each subunit grows in a multiplicative manner. We propose a model for such…
Many physical and physiological signals exhibit complex scale-invariant features characterized by $1/f$ scaling and long-range power-law correlations, suggesting a possibly common control mechanism. Specifically, it has been suggested that…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
This paper introduces coordinate-independent methods for analysing multiscale dynamical systems using numerical techniques based on the transfer operator and its adjoint. In particular, we present a method for testing whether an arbitrary…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
Noisy fluctuations are ubiquitous in complex systems. They play a crucial or delicate role in the dynamical evolution of gene regulation, signal transduction, biochemical reactions, among other systems. Therefore, it is essential to…
Recent research on the non-stationary nature of the dynamics of complex systems is reviewed through three specific models. The long time dynamics consists of a slow, decelerating but spasmodic release of generalized intrinsic strain. These…
While multiple time scales generally arise in the dynamics of disordered systems, we find multiple time scales in absence of disorder, in a simple model with hard local constraints. The dynamics of the model, which consists of local…