Scale-free avalanches in the multifractal random walk

M. Bartolozzi ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 57, issue 3, 337-345

Abstract: Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from traffic flows to financial markets. Self-organized criticality (SOC) is one of the most popular theories able to explain this intermittent charge/discharge behaviour. Despite a large amount of theoretical work, empirical tests for SOC are still in their infancy. In the present paper we address the common problem of revealing SOC from a simple time series without having much information about the underlying system. As a working example we use a modified version of the multifractal random walk originally proposed as a model for the stock market dynamics. The study reveals, despite the lack of the typical ingredients of SOC, an avalanche-like dynamics similar to that of many physical systems. While, on one hand, the results confirm the relevance of cascade models in representing turbulent-like phenomena, on the other, they also raise the question about the current state of reliability of SOC inference from time series analysis. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1140/epjb/e2007-00178-3

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