Universality classes for extreme value statistics

Jean-Philippe Bouchaud and Marc Mezard
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Marc Mezard: Universite Paris Sud (Orsay)

No 500043, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: The low temperature physics of disordered systems is governed by the statistics of extremely low energy states. It is thus rather important to discuss the possible universality classes for extreme value statistics. We compare the usual probabilistic classification to the results of the replica approach. We show in detail that one class of independent variables corresponds exactly to the so-called one step replica symmetry breaking solution in the replica language. This universality class holds if the correlations are sufficiently weak. We discuss the relation between the statistics of extremes and the problem of Burgers turbulence in decay.

JEL-codes: G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 1997-07
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Forthcoming in J. Phys. A

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Persistent link: http://EconPapers.repec.org/RePEc:sfi:sfiwpa:500043

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