Fluctuation scaling in complex systems: Taylor's law and beyond

Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average activity. This relationship is often of the form "$fluctuations \approx const.\times average^\alpha$", where the exponent $\alpha$ is predominantly in the range $[1/2, 1]$. This power law has been observed in a very wide range of disciplines, ranging from population dynamics through the Internet to the stock market and it is often treated under the names \emph{Taylor's law} or \emph{fluctuation scaling}. This review attempts to show how general the above scaling relationship is by surveying the literature, as well as by reporting some new empirical data and model calculations. We also show some basic principles that can underlie the generality of the phenomenon. This is followed by a mean-field framework based on sums of random variables. In this context the emergence of fluctuation scaling is equivalent to some corresponding limit theorems. In certain physical systems fluctuation scaling can be related to finite size scaling.Comment: 33 pages, 20 figures, 2 tables, submitted to Advances in Physic

Singularity and similarity detection for signals using the wavelet transform

The wavelet transform and related techniques are used to analyze singular and fractal signals. The normalized wavelet scalogram is introduced to detect singularities including jumps, cusps and other sharply changing points. The wavelet auto-covariance is applied to estimate the self-similarity exponent for statistical self-affine signals

Detrended fluctuation analysis of intertrade durations

The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse $U$-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on the detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractaility.Comment: 15 Elsart pages including 4 figures and 1 tabl

Spurious memory in non-equilibrium stochastic models of imitative behavior

The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example of Markov processes with spurious memory is stochastic process driven by a non-linear stochastic differential equation (SDE). This example is at odds with models built using fractional Brownian motion (fBm). We analyze differences between these two cases seeking to establish possible empirical tests of the origin of the observed long-range memory. We investigate probability density functions (PDFs) of burst and inter-burst duration in numerically obtained time series and compare with the results of fBm. Our analysis confirms that the characteristic feature of the processes described by a one-dimensional SDE is the power-law exponent $3/2$ of the burst or inter-burst duration PDF. This property of stochastic processes might be used to detect spurious memory in various non-equilibrium systems, where observed macroscopic behavior can be derived from the imitative interactions of agents.Comment: 11 pages, 5 figure

Complexity-Entropy Causality Plane as a Complexity Measure for Two-dimensional Patterns

Complexity measures are essential to understand complex systems and there are numerous definitions to analyze one-dimensional data. However, extensions of these approaches to two or higher-dimensional data, such as images, are much less common. Here, we reduce this gap by applying the ideas of the permutation entropy combined with a relative entropic index. We build up a numerical procedure that can be easily implemented to evaluate the complexity of two or higher-dimensional patterns. We work out this method in different scenarios where numerical experiments and empirical data were taken into account. Specifically, we have applied the method to i) fractal landscapes generated numerically where we compare our measures with the Hurst exponent; ii) liquid crystal textures where nematic-isotropic-nematic phase transitions were properly identified; iii) 12 characteristic textures of liquid crystals where the different values show that the method can distinguish different phases; iv) and Ising surfaces where our method identified the critical temperature and also proved to be stable.Comment: Accepted for publication in PLoS On

An Updated Algorithm for the Generation of Neutral Landscapes by Spectral Synthesis

Background: Patterns that arise from an ecological process can be driven as much from the landscape over which the process is run as it is by some intrinsic properties of the process itself. The disentanglement of these effects is aided if it possible to run models of the process over artificial landscapes with controllable spatial properties. A number of different methods for the generation of so-called ‘neutral landscapes’ have been developed to provide just such a tool. Of these methods, a particular class that simulate fractional Brownian motion have shown particular promise. The existing methods of simulating fractional Brownian motion suffer from a number of problems however: they are often not easily generalisable to an arbitrary number of dimensions and produce outputs that can exhibit some undesirable artefacts. Methodology: We describe here an updated algorithm for the generation of neutral landscapes by fractional Brownian motion that do not display such undesirable properties. Using Monte Carlo simulation we assess the anisotropic properties of landscapes generated using the new algorithm described in this paper and compare it against a popular benchmark algorithm. Conclusion/Significance: The results show that the existing algorithm creates landscapes with values strongly correlated in the diagonal direction and that the new algorithm presented here corrects this artefact. A number of extensions of the algorithm described here are also highlighted: we describe how the algorithm can be employed to generate landscapes that display different properties in different dimensions and how they can be combined with an environmental gradient to produce landscapes that combine environmental variation at the local and macro scales