Pdf selforganized percolation model for stock market. We have collected the data of 1,798,901 tweets from sina microblog service the chinese equivalent of twitter. It has many advantages, among which to be economical with only two adjustable parameters with clear physical interpretation. Full article superstatistics of hydroclimatic fluctuations. See appendix 1 for discussion of pareto and powerlaw. The network in the garden proceedings of the sigchi. Hirsch index rankings require scaling and higher moment. Statistical description of depthdependent turbulent velocity. Regulation of burstiness by networkdriven activation. The tail of this pdf is similar to that of a stretched exponential distribution sornette, 2003 and. Didier sornette born june 25, 1957 in paris has been professor on the chair of entrepreneurial risks at the swiss federal institute of technology zurich eth zurich. The stretched exponential function has been used as a a probabil. Jul 27, 2016 following wilson and tuomi and marani and ignaccolo, we adopt the weibull, or stretched exponential distribution laherrere and sornette, 1998, to model the nonzero daily rainfall amounts c and w being, respectively, the weibull scale and shape parameters. We present a study of some striking statistical properties of cyberrisks that quantify the distribution and time evolution of information risks on the internet, to understand their mechanisms, and create opportunities to mitigate, control, predict and.
Laherrere jean didier sornette 1998 stretched exponential distributions in nature and economy european physical journal b 2 52539 lux thomas 1998 the socioeconomic dynamics of speculative markets journal of economic behavior and organization 33 143 65. Furthermore, it derives from a simple and generic mechanism in. The distributions of a wide variety of physical, biological, and manmade phenomena approximately follow a power law over a wide range of magnitudes. In complex, heterogeneous biological samples such as tissue, multiexponential decay functions can appear to provide a better fit to fluorescence decay data than the assumption of a monoexponential decay, but the assumption of. The individual success of musicians, like that of physicists. Jean laherrere and didier sornette, stretched exponential distributions in nature and economy. However, it appears to us that there is a serious problem with their methodology. Didier sornette concepts, methods and techniques of statistical physics in the study of correlated, as well as uncorrelated, phenomena are being applied ever increasingly in the natural sciences, biology and economics in an attempt to understand and model the large variability and risks of phenomena.
He is also a professor of the swiss finance institute, and a professor associated with both the department of physics and the department of earth sciences at. Stretched exponential distributions in nature and economy. Based on this observation we analyse a multiplicative cascade model. Using the stretched exponential distribution to model runs of. Watching videos from everywhere proceedings of the 2012. Large stock market price drawdowns are outliers request pdf. The interaction of intrinsic dynamics and network topology in determining network burst synchrony.
Concepts, methods and techniques of statistical physics in the study of correlated, as well as uncorrelated, phenomena are being applied ever increasingly in the natural sciences, biology and economics in an attempt to understand and model the large variability and risks of phenomena. Dragonkings and predictions diagnostics and forecasts for the world financial crisis didier sornette chair of entrepreneurial risks department of management, technology and economics, eth zurich, switzerland member of the swiss finance institute cofounder of the risk center at eth zurich june 2011. The bernstein copula and its applications to modeling and approximations of multivariate distributions volume 20 issue 3. Robust methodologies for modeling web click distributions. This scalefree distribution should be contrasted with the pdf s obtained for the other rats, which are. The least square method is used to fit the data, and the results are shown as the solid lines in fig. Application of the stretched exponential function to. According to standard economic theory, the complex trajectory of stock. An index to quantify an individuals scientific research output. On the emergence of rainfall extremes from ordinary events. Fat tails with characteristic scales jean laherrere 1 and didier sornette 2 1107 rue louis bleriot, 92100 boulogne, email. Entrepreneurial risks sec f 7 scheuchzerstrasse 7 8092 zuerich. Solid lines are best fits to stretched exponential distributions laherrere and sornette, 1998, podobnik et al.
Financial crisis observatory chair of entrepreneurial. Dragonkings and predictions diagnostics and forecasts for the world financial crisis. Gamma law the gamma distribution is a power law with an expo. Financial crisis observatory main content the financial crisis observatory fco is a scientific platform aimed at testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial markets exhibit a degree of inefficiency and a potential for predictability, especially during regimes when bubbles develop. Jean laherrere 19 october 2009 my reply to webhubbletelescope.
Extreme dragon events in the pdf of turbulent velocity. Didier sornette born june 25, 1957 in paris has been professor on the chair of entrepreneurial risks at the swiss federal institute of technology zurich eth zurich since march 2006. Presentation statoil 14 august 2008 oslo jean laherrere jean. The least square method is used to fit the data, and the.
Heavy tails in pdf of earthquakes heavy tails in ruptures heavy tails in pdf of seismic rates harvard catalog cnes, france turcotte 1999 heavy tails in pdf of rock falls, landslides, mountain collapses scec, 19852003, m. Heavytailed distribution of cyberrisks springerlink. Notably, both the gindex egghe, 2006 and the hindex hirsch, 2005, as well as the total citation count per researcher, show equivalent statistical properties in terms of their distributions. State university of new york college of environmental science and forestry. This law, which incorpo rates characteristic scales, can account for the observed curvature in distributions and is related to large devia tions in multiplicative processes frisch and sornette, 1997. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. The best extrapolation of the aggregation from agglomerations below 100 000 to the minimum. Laherrere and sornette justify their choice of weibull because tails of pdfs of products of a. Following wilson and tuomi and marani and ignaccolo, we adopt the weibull, or stretched exponential distribution laherrere and sornette, 1998, to model the nonzero daily rainfall amounts c and w being, respectively, the weibull scale and shape parameters. More statistical characteristics of stretched exponential distribution can be found in laherrere and sornette 1998. Conventional analyses of fluorescence lifetime measurements resolve the fluorescence decay profile in terms of discrete exponential components with distinct lifetimes. With the development of the internet, new kinds of massive epidemics, distributed attacks, virtual conflicts and criminality have emerged. The tail of this pdf is similar to that of a stretched exponential distribution sornette, 2003 and therefore intermediate between a powerlaw e.