Stochastics theory of log-periodic patterns

We introduce an analytical model based on birth-death clustering processes to help understanding the empirical log-periodic corrections to power-law scaling and the finite-time singularity as reported in several domains including rupture, earthquakes, world population and financial systems. In our stochastics theory log-periodicities are a consequence of transient clusters induced by an entropy-like term that may reflect the amount of cooperative information carried by the state of a large system of different species. The clustering completion rates for the system are assumed to be given by a simple linear death process. The singularity at t_{o} is derived in terms of birth-death clustering coefficients.Comment: LaTeX, 1 ps figure - To appear J. Phys. A: Math & Ge

Are Financial Crashes Predictable?

We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not appear to be the accumulation point of a geometric series of local minima.Comment: LaTeX, 5 pages + 1 postscript figur

Multifractality in Time Series

We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous" specific heat of the S&P500 discrete price index displays a shoulder to the right of the main peak for low values of time lags. On decreasing T, the presence of the shoulder is a consequence of the peaked, temporal x(t+T)-x(t) fluctuations in this regime. For large time lags (T>80), we have found that C_{q} displays typical features of a classical phase transition at a critical point. An example of such dynamic phase transition in a simple economic model system, based on a mapping with multifractality phenomena in random multiplicative processes, is also presented by applying former results obtained with a continuous probability theory for describing scaling measures.Comment: 22 pages, Revtex, 4 ps figures - To appear J. Phys. A (2000

Sublinear Estimation of Weighted Matchings in Dynamic Data Streams

This paper presents an algorithm for estimating the weight of a maximum weighted matching by augmenting any estimation routine for the size of an unweighted matching. The algorithm is implementable in any streaming model including dynamic graph streams. We also give the first constant estimation for the maximum matching size in a dynamic graph stream for planar graphs (or any graph with bounded arboricity) using $\tilde{O}(n^{4/5})$ space which also extends to weighted matching. Using previous results by Kapralov, Khanna, and Sudan (2014) we obtain a $\mathrm{polylog}(n)$ approximation for general graphs using $\mathrm{polylog}(n)$ space in random order streams, respectively. In addition, we give a space lower bound of $\Omega(n^{1-\varepsilon})$ for any randomized algorithm estimating the size of a maximum matching up to a $1+O(\varepsilon)$ factor for adversarial streams

Convergence of the critical attractor of dissipative maps: Log-periodic oscillations, fractality and nonextensivity

For a family of logistic-like maps, we investigate the rate of convergence to the critical attractor when an ensemble of initial conditions is uniformly spread over the entire phase space. We found that the phase space volume occupied by the ensemble W(t) depicts a power-law decay with log-periodic oscillations reflecting the multifractal character of the critical attractor. We explore the parametric dependence of the power-law exponent and the amplitude of the log-periodic oscillations with the attractor's fractal dimension governed by the inflexion of the map near its extremal point. Further, we investigate the temporal evolution of W(t) for the circle map whose critical attractor is dense. In this case, we found W(t) to exhibit a rich pattern with a slow logarithmic decay of the lower bounds. These results are discussed in the context of nonextensive Tsallis entropies.Comment: 8 pages and 8 fig

Chaotic Behaviour of Renormalisation Flow in a Complex Magnetic Field

It is demonstrated that decimation of the one dimensional Ising model, with periodic boundary conditions, results in a non-linear renormalisation transformation for the couplings which can lead to chaotic behaviour when the couplings are complex. The recursion relation for the couplings under decimation is equivalent to the logistic map, or more generally the Mandelbrot map. In particular an imaginary external magnetic field can give chaotic trajectories in the space of couplings. The magnitude of the field must be greater than a minimum value which tends to zero as the critical point T=0 is approached, leading to a gap equation and associated critical exponent which are identical to those of the Lee-Yang edge singularity in one dimension.Comment: 8 pages, 2 figures, PlainTeX, corrected some typo

A Phase Front Instability in Periodically Forced Oscillatory Systems

Multiplicity of phase states within frequency locked bands in periodically forced oscillatory systems may give rise to front structures separating states with different phases. A new front instability is found within bands where $\omega_{forcing}/\omega_{system}=2n$ ($n>1$). Stationary fronts shifting the oscillation phase by $\pi$ lose stability below a critical forcing strength and decompose into $n$ traveling fronts each shifting the phase by $\pi/n$. The instability designates a transition from stationary two-phase patterns to traveling $n$-phase patterns

Extension of Lorenz Unpredictability

It is found that Lorenz systems can be unidirectionally coupled such that the chaos expands from the drive system. This is true if the response system is not chaotic, but admits a global attractor, an equilibrium or a cycle. The extension of sensitivity and period-doubling cascade are theoretically proved, and the appearance of cyclic chaos as well as intermittency in interconnected Lorenz systems are demonstrated. A possible connection of our results with the global weather unpredictability is provided.Comment: 32 pages, 13 figure

Nonextensivity and multifractality in low-dimensional dissipative systems

Power-law sensitivity to initial conditions at the edge of chaos provides a natural relation between the scaling properties of the dynamics attractor and its degree of nonextensivity as prescribed in the generalized statistics recently introduced by one of us (C.T.) and characterized by the entropic index $q$. We show that general scaling arguments imply that $1/(1-q) = 1/\alpha_{min}-1/\alpha_{max}$, where $\alpha_{min}$ and $\alpha_{max}$ are the extremes of the multifractal singularity spectrum $f(\alpha)$ of the attractor. This relation is numerically checked to hold in standard one-dimensional dissipative maps. The above result sheds light on a long-standing puzzle concerning the relation between the entropic index $q$ and the underlying microscopic dynamics.Comment: 12 pages, TeX, 4 ps figure

Singularites at a Dense Set of Temperature in Husimi Tree

We investigate complex temperature singularities of the three-site interacting Ising model on the Husimi tree in the presentce of magnetic field. We show that at certain magnetic field these singularities lie at a dense set and as a consequence the phase transition condensation take place.Comment: ps file, 10 page