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We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these system continuously switch strategies in order to opportunistically…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
We propose a mechanism to produce fluctuations in the viscosity parameter ($\alpha$) in differetially rotating discs. We carried out a nonlinear analysis of a general accretion flow, where any perturbation on the background $\alpha$ was…
The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
We study dynamical fluctuations in overdamped diffusion processes driven by time periodic forces. This is done by studying fluctuation functionals (rate functions from large deviation theory), of fluctuations around the non-equilibrium…
It is demonstrated that in low multiplicity sample, the increase of the fluctuation of event-factorial-moments with the diminishing of phase space scale, called ``erraticity'', are dominated by the statistical fluctuations. The erraticity…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
The evolution of magnetospheric indices on temporal scales shorter than that of substorms is characterized by bursty, intermittent events that may arise from turbulence intrinsic to the magnetosphere or may reflect solar wind-magnetosphere…
When two systems are coupled, the driver system can function as an external forcing over the driven or response system. Also, an external forcing can independently perturb the driven system, leading us to examine the interplay between the…
Complex systems are typically characterized by intricate internal dynamics that are often hard to elucidate. Ideally, this requires methods that allow to detect and classify in unsupervised way the microscopic dynamical events occurring in…
Unidirectionally coupled dynamical system is studied by focusing on the input (or boundary) dependence. Due to convective instability, noise at an up-flow is spatially amplified to form an oscillation. The response, given by the down-flow…
Out of equilibrium quantum systems, on top of quantum fluctuations, display complex temporal patterns. Such time fluctuations are generically exponentially small in the system volume and can be therefore safely ignored in most of the cases.…
We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$…
When complex systems are driven to extinction by some external factor, their non-stationary dynamics can present an intermittent behaviour between relative tranquility and burst of activity whose consequences are often catastrophic. To…
The dynamics of stochastic reaction networks within cells are inevitably modulated by factors considered extrinsic to the network such as for instance the fluctuations in ribsome copy numbers for a gene regulatory network. While several…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
Complex systems are often non-stationary, typical indicators are continuously changing statistical properties of time series. In particular, the correlations between different time series fluctuate. Models that describe the multivariate…