Europhys. Lett.
Volume 69, Number 4, February 2005
Page(s) 664 - 670
Section Interdisciplinary physics and related areas of science and technology
Published online 19 January 2005
Europhys. Lett., 69 (4), pp. 664-670 (2005)
DOI: 10.1209/epl/i2004-10384-1

Multiscaling and non-universality in fluctuations of driven complex systems

Z. Eisler1, J. Kertész1, 2, S.-H. Yook3 and A.-L. Barabási3

1  Department of Theoretical Physics, Budapest University of Technology and Economics Budapest, H-1111 Hungary
2  Laboratory of Computational Engineering, Helsinki University of Technology Espoo, Finland
3  Center for Complex Network Research and Department of Physics University of Notre Dame - Notre Dame, IN 46556, USA

received 8 November 2004; accepted in final form 9 December 2004
published online 19 January 2005

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.

89.75.-k - Complex systems.
05.40.-a - Fluctuation phenomena, random processes, noise, and Brownian motion.
89.65.Gh - Economics; econophysics, financial markets, business and management.

© EDP Sciences 2005