Related papers: Multiscaling and non-universality in fluctuations …
The dynamics of a non-autonomous oscillator in which the phase and frequency of the external force depend on the dynamical variable is studied. Such a control of the phase and frequency of the external force leads to the appearance of…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
Nonequilibrium complex systems are often effectively described by the mixture of different dynamics on different time scales. Superstatistics, which is "statistics of statistics" with two largely separated time scales, offers a consistent…
Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of…
Recent evidence suggests that physiological signals under healthy conditions may have a fractal temporal structure. We investigate the possibility that time series generated by certain physiological control systems may be members of a…
This study investigates the interplay between a high-frequency external forcing and the intrinsic dynamics of a quantum nonlinear parametric oscillator. To analyze this system, classical equations of motion of the averages of quantum…
Fluctuation dynamics of an experimentally measured observable offer a primary signal for nonequilibrium systems, along with dynamics of the mean. While universal speed limits for the mean have actively been studied recently, constraints for…
We proposed a data-driven approach to dissect multivariate time series in order to discover multiple phases underlying dynamics of complex systems. This computing approach is developed as a multiple-dimension version of Hierarchical Factor…
We focus on variational inference in dynamical systems where the discrete time transition function (or evolution rule) is modelled by a Gaussian process. The dominant approach so far has been to use a factorised posterior distribution,…
We analyze the probabilities of large infrequent fluctuations in systems driven by external fields. In a broad range of the field magnitudes, the logarithm of the fluctuation probability is linear in the field magnitude, and the response…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
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…
Different methods are used to determine the scaling exponents associated with a time series describing a complex dynamical process, such as those observed in geophysical systems. Many of these methods are based on the numerical evaluation…
We show how frequency fluctuations of a vibrational mode can be separated from other sources of phase noise. The method is based on the analysis of the time dependence of the complex amplitude of forced vibrations. The moments of the…
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary…
We build on a previous statistical model for distributed systems and formulate it in a way that the deterministic and stochastic processes within the system are clearly separable. We show how internal fluctuations can be analysed in a…
Turbulent reacting flows confined to ducts are plagued by thermoacoustic instability, a state in which a positive feedback between flow, flame and acoustic perturbations leads to the emergence of catastrophically high-amplitude oscillatory…
The dynamics of a nonequilibrium system can become complex because the system has many components (e.g., a human brain), because the system is strongly driven from equilibrium (e.g., large Reynolds-number flows), or because the system…