相关论文: Black swans or dragon kings? A simple test for dev…
We develop the concept of ``dragon-kings'' corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems. These…
We ask the question whether it is possible to diagnose the existence of "Dragon-Kings" (DK), namely anomalous observations compared to a power law background distribution of event sizes. We present two new statistical tests, the U-test and…
We undertake a systematic study of historic market volatility spanning roughly five preceding decades. We focus specifically on the time series of realized volatility (RV) of the S&P500 index and its distribution function. As expected, the…
We provide theoretical and experimental evidence of statistical outliers in random laser emission that are not accounted for by the, now established, power-law tailed (L\'evy) distribution. Such outliers manifest themselves as single, large…
For taxonomic levels higher than species, the abundance distributions of number of subtaxa per taxon tend to approximate power laws, but often show strong deviationns from such a law. Previously, these deviations were attributed to…
Power-law distributions occur in wide variety of physical, biological, and social phenomena. In this paper, we propose a statistical hypothesis test based on the log-likelihood ratio to assess whether two samples of discrete data are drawn…
The mechanisms underlying cascading failures are often modeled via the paradigm of self-organized criticality. Here we introduce a simple model where nodes self-organize to be either weak or strong to failure which captures the trade-off…
The shape of empirical distributions with heavy tails is a recurrent matter of debate. There are claims of a power laws and the associated scale invariance. There are plenty of challengers as well, the lognormal and stretched exponential…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs…
A systematic quantitative investigation into whether the mechanisms of large earthquakes are unique could significantly deepen our understanding of fault rupture and seismicity patterns. This research holds the potential to advance our…
A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns,…
One of the first steps to understand and forecast economic downturns is identifying their frequency distribution, but it remains uncertain. This problem is common in phenomena displaying power-law-like distributions. Power laws play a…
One of the key clues to consider rainfall as a self-organized critical phenomenon is the existence of power-law distributions for rain-event sizes. We have studied the problem of universality in the exponents of these distributions by means…
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails -- ubiquitous in the statistics of social, economic, and ecological systems. Our main…
We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect the possible occurrence of regularities…
The spontaneous emergence of scale invariance, called self-organized criticality (SOC), is often attributed to a second-order absorbing-state phase transition (ASPT). Many real-world systems display SOC, yet extreme events are often…
In this study we are testing whether the power law slopes ($\alpha_F$, $\alpha_E$) of fluxes $(F)$, fluences or energies $(E)$ are universal in their size distributions, $N(F) \propto F^{-\alpha_F}$ and $N(E) \propto E^{-\alpha_E}$, in…
Critical states are sometimes identified experimentally through power-law statistics or universal scaling functions. We show here that such features naturally emerge from networks in self-sustained irregular regimes away from criticality.…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
Power-law distributions occur in many situations of scientific interest and have significant consequences for our understanding of natural and man-made phenomena. Unfortunately, the detection and characterization of power laws is…