Generic Multifractality in Exponentials of Long Memory Processes

We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent $\phi+1/2$, where $\phi >0$. This generalizes previous studies performed only with $\phi=0$ (with a truncation at an integral scale), by showing that multifractality holds over a remarkably large range of dimensionless scales for $\phi>0$. The intermittency multifractal coefficient can be tuned continuously as a function of the deviation $\phi$ from 1/2 and of another parameter $\sigma^2$ embodying information on the short-range amplitude of the memory kernel, the ultra-violet cut-off (``viscous'') scale and the variance of the white-noise innovations. In these processes, both a viscous scale and an integral scale naturally appear, bracketing the ``inertial'' scaling regime. We exhibit a surprisingly good collapse of the multifractal spectra $\zeta(q)$ on a universal scaling function, which enables us to derive high-order multifractal exponents from the small-order values and also obtain a given multifractal spectrum $\zeta(q)$ by different combinations of $\phi$ and $\sigma^2$.Comment: 10 pages + 9 figure

Comment on "Central limit behavior in deterministic dynamical systems"

We check claims for a generalized central limit theorem holding at the Feigenbaum (infinite bifurcation) point of the logistic map, made recently by U. Tirnakli, C. Beck, and C. Tsallis (Phys. Rev. {\bf 75}, 040106(R) (2007)). We show that there is no obvious way that these claims can be made consistent with high statistics simulations. We also refute more recent claims by the same authors that extend the claims made in the above reference.Comment: 3 pages, including 3 figure

Linear Relationship Statistics in Diffusion Limited Aggregation

We show that various surface parameters in two-dimensional diffusion limited aggregation (DLA) grow linearly with the number of particles. We find the ratio of the average length of the perimeter and the accessible perimeter of a DLA cluster together with its external perimeters to the cluster size, and define a microscopic schematic procedure for attachment of an incident new particle to the cluster. We measure the fractal dimension of the red sites (i.e., the sites upon cutting each of them splits the cluster) equal to that of the DLA cluster. It is also shown that the average number of the dead sites and the average number of the red sites have linear relationships with the cluster size.Comment: 4 pages, 5 figure

Evaluating cumulative ascent: Mountain biking meets Mandelbrot

The problem of determining total distance ascended during a mountain bike trip is addressed. Altitude measurements are obtained from GPS receivers utilizing both GPS-based and barometric altitude data, with data averaging used to reduce fluctuations. The estimation process is sensitive to the degree of averaging, and is related to the well-known question of determining coastline length. Barometric-based measurements prove more reliable, due to their insensitivity to GPS altitude fluctuations.Comment: 10 pages, 9 figures (v.2: minor revisions

Abelian deterministic self organized criticality model: Complex dynamics of avalanche waves

The aim of this study is to investigate a wave dynamics and size scaling of avalanches which were created by the mathematical model {[}J. \v{C}ern\'ak Phys. Rev. E \textbf{65}, 046141 (2002)]. Numerical simulations were carried out on a two dimensional lattice $L\times L$ in which two constant thresholds $E_{c}^{I}=4$ and $E_{c}^{II}>E_{c}^{I}$ were randomly distributed. A density of sites $c$ with the threshold $E_{c}^{II}$ and threshold $E_{c}^{II}$ are parameters of the model. I have determined autocorrelations of avalanche size waves, Hurst exponents, avalanche structures and avalanche size moments for several densities $c$ and thresholds $E_{c}^{II}$. I found correlated avalanche size waves and multifractal scaling of avalanche sizes not only for specific conditions, densities $c=0.0$, 1.0 and thresholds $8\leq E_{c}^{II}\leq32$, in which relaxation rules were precisely balanced, but also for more general conditions, densities $0.0<c<1.0$ and thresholds $8\leq E_{c}^{II}\leq3 in which relaxation rules were unbalanced. The results suggest that the hypothesis of a precise relaxation balance could be a specific case of a more general rule

Gradient-limited surfaces

A simple scenario of the formation of geological landscapes is suggested and the respective lattice model is derived. Numerical analysis shows that the arising non-Gaussian surfaces are characterized by the scale-dependent Hurst exponent, which varies from 0.7 to 1, in agreement with experimental data.Comment: 4 pages, 5 figure

Thermodynamic interpretation of the uniformity of the phase space probability measure

Uniformity of the probability measure of phase space is considered in the framework of classical equilibrium thermodynamics. For the canonical and the grand canonical ensembles, relations are given between the phase space uniformities and thermodynamic potentials, their fluctuations and correlations. For the binary system in the vicinity of the critical point the uniformity is interpreted in terms of temperature dependent rates of phases of well defined uniformities. Examples of a liquid-gas system and the mass spectrum of nuclear fragments are presented.Comment: 11 pages, 2 figure

Wealth Condensation in Pareto Macro-Economies

We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth condensation takes place in the social phase for closed and open economies, while it occurs in the liberal phase for super-open economies. In the first two cases, the condensation is related to a mechanism known from the balls-in-boxes model, while in the last case to the non-integrable tails of the Pareto distribution. For a closed macro-economy in the social phase, we point to the emergence of a ``corruption'' phenomenon: a sizeable fraction of the total wealth is always amassed by a single individual.Comment: 4 pages, 1 figur

Extreme values and fat tails of multifractal fluctuations

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with such data. We show that because of strong correlations, standard extreme value approach is not valid and classical tail exponent estimators should be interpreted cautiously. Extreme statistics associated with multifractal random processes turn out to be characterized by non self-averaging properties. Our considerations rely upon some analogy between random multiplicative cascades and the physics of disordered systems and also on recent mathematical results about the so-called multifractal formalism. Applied to financial time series, our findings allow us to propose an unified framemork that accounts for the observed multiscaling properties of return fluctuations, the volatility clustering phenomenon and the observed ``inverse cubic law'' of the return pdf tails