Related papers: Multiscaling and non-universality in fluctuations …
Exerting fluctuations is a part of our daily life: traffic noise, heartbeat, opinion poll, currency exchange rate, electrical current, chemical reactions - they all permanently fluctuate. One of the most important questions is why the…
The control of complex systems is an ongoing challenge of complexity research. Recent advances using concepts of structural control deduce a wide range of control related properties from the network representation of complex systems. Here,…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
We propose a model of random diffusion to investigate flow fluctuations in complex networks. We derive an analytical law showing that the dependence of fluctuations with the mean traffic in a network is ruled by the delicate interplay of…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
We consider the limiting behavior of fluctuations of small noise diffusions with multiple scales around their homogenized deterministic limit. We allow full dependence of the coefficients on the slow and fast motion. These processes arise…
Human motor activities are known to exhibit scale-free long-term correlated fluctuations over a wide range of timescales, from few to thousands of seconds. The fundamental processes originating such fractal-like behavior are not yet…
One way to look for complex behaviours in many-body quantum systems is to let the number $N$ of degrees of freedom become large and focus upon collective observables. Mean-field quantities scaling as $1/N$ tend to commute, whence complexity…
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full complexity of such data. Despite earlier…
This paper introduces a new behavioral system model with distinct external and internal signals possibly evolving on different time scales. This allows to capture abstraction processes or signal aggregation in the context of control and…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
Stochastic phenomena in which the noise amplitude is proportional to the fluctuating variable itself, usually called {\it multiplicative noise}, appear ubiquitously in physics, biology, economy and social sciences. The properties of…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
Progress in the creation of large scale, artificial quantum coherent structures demands the investigation of their nonequilibrium dynamics when strong interactions, even between remote parts, are non-perturbative. Analysis of multiparticle…
We study the global fluctuations for a class of determinantal point processes coming from large systems of non-colliding processes and non-intersecting paths. Our main assumption is that the point processes are constructed by biorthogonal…
We study the multi-scale description of large-time collective behavior of agents driven by alignment. The resulting multi-flock dynamics arises naturally with realistic initial configurations consisting of multiple spatial scaling, which in…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Characterising the stratosphere as a turbulent system, temporal fluctuations often show different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. In this study,…