Disorder-induced volatility of collective dynamics
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 InfoPaper provided by ETH Zurich, Chair of Systems Design in its series Working Papers with number CCSS-10-001.
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volatility; stochastic processes; financial markets;
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- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio J. Tessone).
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