Related papers: Multiscaling and non-universality in fluctuations …
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…
Sample-to-sample fluctuations of the time-dependent conductance of a system with static disorder have been studied by means of diagrammatic theory and microwave pulsed transmission measurements. The fluctuations of time-dependent…
We consider nonequilibrium systems with complex dynamics in stationary states with large fluctuations of intensive quantities (e.g. the temperature, chemical potential, or energy dissipation) on long time scales. Depending on the…
According to empirical observations, some pattern formation phenomena in driven many-particle systems are more pronounced in the presence of a certain noise level. We investigate this phenomenon of fluctuation-driven ordering with a…
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
Physical kinetic roughening processes are well known to exhibit universal scaling of observables that fluctuate in space and time. Are there analogous dynamic scaling laws that are unique to the chemical reaction mechanisms available…
Fluctuations are inherent to biological systems, arising from the stochastic nature of molecular interactions, and influence various aspects of system behavior, stability, and robustness. These fluctuations can be categorized as intrinsic,…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
We investigate the non-equilibrium dynamics of a class of isolated one-dimensional systems possessing two degenerate ground states, initialized in a low-energy symmetric phase. We report the emergence of a time-scale separation between fast…
The occurrence of mesoscopic fluctuations in statistical systems implies, from the point of view of dynamical theory, the existence of local instabilities. However, the presence of such fluctuations can make a system, as a whole, more…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
Microorganisms self-organize in very large communities exhibiting complex fluctuations. Despite recent advances, still the mechanism by which these systems are able to exhibit large variability at the one hand and dynamical robustness on…
We consider fluctuations of the time-averaged current in the one-dimensional weakly-asymmetric exclusion process on a ring. The optimal density profile which sustains a given fluctuation exhibits an instability for low enough currents,…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
Modern wind turbines gather a wealth of data with Supervisory Control And Data Acquisition (SCADA) systems. We study the short-term mutual dependencies of a variety of observables by evaluating Pearson correlation matrices on a moving time…
Neural activity fluctuates over a wide range of timescales within and across brain areas. Experimental observations suggest that diverse neural timescales reflect information in dynamic environments. However, how timescales are defined and…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
Fluctuations and noise may alter the behavior of dynamical systems considerably. For example, oscillations may be sustained by demographic fluctuations in biological systems where a stable fixed point is found in the absence of noise. We…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…