Volume 69, Number 4, February 2005
|664 - 670
|Interdisciplinary physics and related areas of science and technology
|19 January 2005
Multiscaling and non-universality in fluctuations of driven complex systems
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
Corresponding author: firstname.lastname@example.org
Accepted: 9 December 2004
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.
PACS: 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
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