Related papers: Scale-free avalanche dynamics in the stock market
Scale-free behavior as well as oscillations are frequently observed in the activity of many natural systems. One important example is the cortical tissues of mammalian brain where both phenomena are simultaneously observed. Rhythmic…
In this paper we study a simple model of a purely excitatory neural network that, by construction, operates at a critical point. This model allows us to consider various markers of criticality and illustrate how they should perform in a…
This study examine the difference in the size of avalanches among industries triggered by demand shocks, which can be rephrased by control of the economy or fiscal policy, and by using the production-inventory model and observed data. We…
Experiments in various neural systems found avalanches: bursts of activity with characteristics typical for critical dynamics. A possible explanation for their occurrence is an underlying network that self-organizes into a critical state.…
Motivated by recent experiments in neuroscience which indicate that neuronal avalanches exhibit scale invariant behavior similar to self-organized critical systems, we study the role of noisy (non-conservative) local dynamics on the…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…
Complex systems, when poised near a critical point of a phase transition between order and disorder, exhibit a dynamics comprising a scale-free mixture of order and disorder which is universal, i.e. system-independent (1-5). It allows…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
We study the time evolution of Solar Flares activity by looking at the statistics of quiescent times $\tau_{L}$ between successive bursts. The analysis of 20 years of data reveals a power law distribution with exponent $\alpha \simeq 2.4$…
The dynamics of a fibre-bundle type model with equal load sharing rule is numerically studied. The system, formed by N elements, is driven by a slow increase of the load upon it which is removed in a novel way through internal transfers to…
Many natural or human-made systems encompassing local reactions and diffusion processes exhibit spatially distributed patterns of some relevant dynamical variable. These interactions, through self-organization and critical phenomena, give…
We investigate the synaptic noise as a novel mechanism for creating critical avalanches in the activity of neural networks. We model neurons and chemical synapses by dynamical maps with a uniform noise term in the synaptic coupling. An…
Recent experiments on cortical neural networks have revealed the existence of well-defined avalanches of electrical activity. Such avalanches have been claimed to be generically scale-invariant -- i.e. power-law distributed -- with many…
Many systems in Nature exhibit avalanche dynamics with scale-free features. A general scaling theory has been proposed for critical avalanche profiles in crackling noise, predicting the collapse onto a universal avalanche shape, as well as…
Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility.…
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
Self-organized critical states are found in many natural systems, from earthquakes to forest fires, they have also been observed in neural systems, particularly, in neuronal cultures. However, the presence of critical states in the awake…
Power-law-shaped avalanche-size distributions are widely used to probe for critical behavior in many different systems, particularly in neural networks. The definition of avalanche is ambiguous. Usually, theoretical avalanches are defined…