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Disorder-induced volatility of collective dynamics

Author

Listed:
  • 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.

Suggested Citation

  • Georges Harras & Claudio J. Tessone & Didier Sornette, "undated". "Disorder-induced volatility of collective dynamics," Working Papers CCSS-10-001, ETH Zurich, Chair of Systems Design.
    • Handle: RePEc:stz:wpaper:ccss-10-001
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    Citations

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    Cited by:

    1. Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
    2. Claudio J. Tessone & Angel Sanchez & Frank Schweitzer, "undated". "Diversity-induced resonance in the response to social norms," Working Papers ETH-RC-12-017, ETH Zurich, Chair of Systems Design.
    3. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    4. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    5. Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
    6. Jean-Philippe Bouchaud, 2012. "Crises and collective socio-economic phenomena: simple models and challenges," Papers 1209.0453, arXiv.org, revised Dec 2012.
    7. Adrián Carro & Raúl Toral & Maxi San Miguel, 2015. "Markets, Herding and Response to External Information," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-28, July.
    8. Hollerbach, Rainer & Kim, Eun-jin & Mahi, Yanis, 2019. "Information length as a new diagnostic in the periodically modulated double-well model of stochastic resonance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1313-1322.
    9. Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.

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