Multiscaling and non-universality in fluctuations of driven complex systems

Zoltan Eisler, Janos Kertesz, Soon-Hyung Yook and Albert-Laszlo Barabasi

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Abstract: For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored, allowing us to separate each signal into a component attributed to the external driving force and one to the internal dynamics. We propose a formalism to capture the potential multiscaling in the fluctuations and apply it to the high frequency trading records of the New York Stock Exchange. We find that on the time scale of minutes the dynamics is governed by internal processes, while on a daily or longer scale the external factors dominate. This transition from internal to external dynamics induces systematic changes in the scaling exponents, offering direct evidence of non-universality in the system.

Date: 2004-08, Revised 2004-11
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Published in Europhys. Lett., 69 (4), pp. 664-670 (2005)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0408409

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