相关论文: On Rational Bubbles and Fat Tails
When a particle moves through a spatially-random force field, its momentum may change at a rate which grows with its speed. Suppose moreover that a thermal bath provides friction which gets weaker for large speeds, enabling high-energy…
We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution…
We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…
Organizational growth processes have consistently been shown to exhibit a fatter-than-Gaussian growth-rate distribution in a variety of settings. Long periods of relatively small changes are interrupted by sudden changes in all size scales.…
We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by (i) a Gaussian or (ii) a truncated L\'{e}vy…
Are there general principles governing the process by which certain products or ideas become popular relative to other (often qualitatively similar) competitors? To investigate this question in detail, we have focused on the popularity of…
Time series regression models are commonly used in time series analysis. However, in modern real-world applications, serially correlated data with an ultra-high dimension and fat tails are prevalent. This presents a challenge in developing…
In previous work Majda and McLaughlin computed explicit expressions for the $2N$th moments of a passive scalar advected by a linear shear flow in the form of an integral over ${\bf R}^N$. In this paper we first compute the asymptotics of…
The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…
This paper uses firm-level data recorded in the AMADEUS database to investigate the distribution of labour productivity in different European countries. We find that the upper tail of the empirical productivity distributions follows a…
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…
We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over Aug 1998 - Oct 2004. Specifically, we examine the distributions of (un)directed…
Power law distributions have been repeatedly observed in a wide variety of socioeconomic, biological and technological areas. In many of the observations, e.g., city populations and sizes of living organisms, the objects of interest evolve…
The size distribution of planned and forced outages and following restoration times in power systems have been studied for almost two decades and has drawn great interest as they display heavy tails. Understanding of this phenomenon has…
Proliferating cell populations at steady state growth often exhibit broad protein distributions with exponential tails. The sources of this variation and its universality are of much theoretical interest. Here we address the problem by…
Renewal processes with heavy-tailed power law distributed sojourn times are commonly encountered in physical modelling and so typical fluctuations of observables of interest have been investigated in detail. To describe rare events the rate…
Continuous-time branching processes describe the evolution of a population whose individuals generate a random number of children according to a birth process. Such branching processes can be used to understand preferential attachment…
Classical collisions with an ideal gas generate non-Maxwellian distribution functions for a single ion in a radio frequency ion trap. The distributions have power-law tails whose exponent depends on the ratio of buffer gas to ion mass. This…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…