相关论文: Two Fractal Overlap Time Series: Earthquakes and M…
Selfsimilar space-time fractal fluctuations are generic to dynamical systems in nature such as atmospheric flows, heartbeat patterns, population dynamics, etc. The physics of the long-range correlations intrinsic to fractal fluctuations is…
The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
We report a similarity of fluctuations in equilibrium critical phenomena and non-equilibrium systems, which is based on the concept of natural time. The world-wide seismicity as well as that of San Andreas fault system and Japan are…
Recent observation studies have revealed that earthquakes are classified into several different categories. Each category might be characterized by the unique statistical feature in the time series, but the present understanding is still…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
Cantorian fractal spacetime fluctuations characterize quantumlike chaos in atmospheric flows. The macroscale atmospheric flow structure behaves as a unified whole quantum system, where, the superimposition of a continuum of eddies results…
We quantify the correlation between earthquakes and use the same to distinguish between relevant causally connected earthquakes. Our correlation metric is a variation on the one introduced by Baiesi and Paczuski (2004). A network of…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
We study numerically a two-dimensional version of the Burrige-Knopoff model. We calculate spatial and temporal correlation functions and compare their behavior with the results found for the one-dimensional model. The Gutenberg-Richter law…
Spatiotemporal clustering of earthquake events is a generally-established fact, and is important for designing models and assessment techniques in seismicity. Here, we investigate how this behavior can manifest in the statistical…
Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…
We introduce a Self-affine Asperity Model (SAM) for the seismicity that mimics the fault friction by means of two fractional Brownian profiles (fBm) that slide one over the other. An earthquake occurs when there is an overlap of the two…
The frequency of occurrence of prime numbers at unit number spacing intervals exhibits selfsimilar fractal fluctuations concomitant with inverse power law form for power spectrum generic to dynamical systems in nature such as fluid flows,…
Motivated by the fact that empirical time series of earthquakes exhibit long-range correlations in space and time and the Gutenberg-Richter distribution of magnitudes, we propose a simple fault model that can account for these types of…
To prove presence of chaos for fractals, a new mathematical concept of abstract similarity is introduced. As an example, the space of symbolic strings on a finite number of symbols is proved to possess the property. Moreover, Sierpinski…