IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0408409.html
   My bibliography  Save this paper

Multiscaling and non-universality in fluctuations of driven complex systems

Author

Listed:
  • Zoltan Eisler
  • Janos Kertesz
  • Soon-Hyung Yook
  • Albert-Laszlo Barabasi

Abstract

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored, allowing us to separate each signal into a component attributed to the external driving force and one to the internal dynamics. We propose a formalism to capture the potential multiscaling in the fluctuations and apply it to the high frequency trading records of the New York Stock Exchange. We find that on the time scale of minutes the dynamics is governed by internal processes, while on a daily or longer scale the external factors dominate. This transition from internal to external dynamics induces systematic changes in the scaling exponents, offering direct evidence of non-universality in the system.

Suggested Citation

  • Zoltan Eisler & Janos Kertesz & Soon-Hyung Yook & Albert-Laszlo Barabasi, 2004. "Multiscaling and non-universality in fluctuations of driven complex systems," Papers cond-mat/0408409, arXiv.org, revised Nov 2004.
    • Handle: RePEc:arx:papers:cond-mat/0408409
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0408409
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0408409. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.