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Disorder-induced volatility of collective dynamics

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Author Info

  • Georges Harras

    ()

  • Claudio J. Tessone
  • Didier Sornette

Abstract

``Disorder-induced volatility'' (DIV) describes the enhanced fluctuations of collective behaviors exhibited by bistable systems in the presence of a rapidly fluctuating external signal. At the DIV resonance, a defining characteristics is that the response of the system becomes uncorrelated with the external driving noise, making DIV resonance different from stochastic resonance. Numerical simulations and an analytical theory of a stochastic dynamical version of the Ising model on regular and random networks demonstrate the ubiquity and robustness of DIV, which is proposed as a possible cause of excess volatility in financial markets, of enhanced effective temperatures in a variety of out-of-equilibrium systems and of strong selective responses of immune systems of complex biological organisms.

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Bibliographic Info

Paper provided by ETH Zurich, Chair of Systems Design in its series Working Papers with number CCSS-10-001.

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Handle: RePEc:stz:wpaper:ccss-10-001

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Related research

Keywords: volatility; stochastic processes; financial markets;

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Cited by:
  1. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  2. Claudio J. Tessone & Angel Sanchez & Frank Schweitzer, . "Diversity-induced resonance in the response to social norms," Working Papers ETH-RC-12-017, ETH Zurich, Chair of Systems Design.

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