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Patterson GA, Sornette D, Parisi DR. Properties of balanced flows with bottlenecks: Common stylized facts in finance and vibration-driven vehicles. Phys Rev E 2020; 101:042302. [PMID: 32422803 DOI: 10.1103/physreve.101.042302] [Citation(s) in RCA: 5] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 07/09/2019] [Accepted: 03/16/2020] [Indexed: 11/07/2022]
Abstract
We study experimentally the properties of the flow of mechanical vibration-driven vehicles confined in two chambers connected through a narrow opening. We report that the density of particles around the opening presents critical behavior and scaling properties. By mapping this density to the financial market price, we document that the main stylized facts observed in financial systems have their counterparts in the mechanical system. The experimental model accurately reproduces financial properties such as scaling of the price fluctuation, volatility clustering, and multiscaling.
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Affiliation(s)
- G A Patterson
- Instituto Tecnológico de Buenos Aires, CONICET, Lavardén 315, 1437 Ciudad Autónoma de Buenos Aires, Argentina
| | - D Sornette
- Department of Management, Technology and Economics, ETH Zürich, 8092 Zürich, Switzerland; Institute of Risk Analysis, Prediction and Management, Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology, Shenzhen 518055, China; Tokyo Tech World Research Hub Initiative, Institute of Innovative Research, Tokyo Institute of Technology, Tokyo 152-8550, Japan; and Swiss Finance Institute, University of Geneva, 1211 Geneva, Switzerland
| | - D R Parisi
- Instituto Tecnológico de Buenos Aires, CONICET, Lavardén 315, 1437 Ciudad Autónoma de Buenos Aires, Argentina
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Bera PK, Majumdar S, Ouillon G, Sornette D, Sood AK. Quantitative earthquake-like statistical properties of the flow of soft materials below yield stress. Nat Commun 2020; 11:9. [PMID: 31911596 PMCID: PMC6946698 DOI: 10.1038/s41467-019-13790-2] [Citation(s) in RCA: 22] [Impact Index Per Article: 5.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 07/31/2019] [Accepted: 11/20/2019] [Indexed: 11/09/2022] Open
Abstract
The flow behavior of soft materials below the yield stress can be rich and is not fully understood. Here, we report shear-stress-induced reorganization of three-dimensional solid-like soft materials formed by closely packed nematic domains of surfactant micelles and a repulsive Wigner glass formed by anisotropic clay nano-discs having ionic interactions. The creep response of both the systems below the yield stress results in angular velocity fluctuations of the shearing plate showing large temporal burst-like events that resemble seismic foreshocks-aftershocks data measuring the ground motion during earthquake avalanches. We find that the statistical properties of the quake events inside such a burst map on to the scaling relations for magnitude and frequency distribution of earthquakes, given by Gutenberg-Richter and Omori laws, and follow a power-law distribution of the inter-occurrence waiting time. In situ polarized optical microscopy reveals that during these events the system self-organizes to a much stronger solid-like state.
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Affiliation(s)
- P K Bera
- Department of Physics, Indian Institute of Science, Bangalore, Karnataka, 560012, India
| | - S Majumdar
- Raman Research Institute, Bangalore, Karnataka, 560080, India
| | - G Ouillon
- Lithophyse, 4 rue de l'Ancien Sénat, 06300, Nice, France
| | - D Sornette
- D-MTEC, and Department Physics and Department of Earth Sciences, ETH Zürich, Scheuzerstrasse 7, CH-8092, Zürich, Switzerland.,Institute of Risk Analysis Prediction and Management, Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology, Shenzhen, 518055, China
| | - A K Sood
- Department of Physics, Indian Institute of Science, Bangalore, Karnataka, 560012, India.
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Gerlach JC, Demos G, Sornette D. Dissection of Bitcoin's multiscale bubble history from January 2012 to February 2018. R Soc Open Sci 2019; 6:180643. [PMID: 31417685 PMCID: PMC6689597 DOI: 10.1098/rsos.180643] [Citation(s) in RCA: 15] [Impact Index Per Article: 3.0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Received: 04/24/2018] [Accepted: 06/04/2019] [Indexed: 05/11/2023]
Abstract
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market decrease (drawdowns). In combination with the Lagrange Regularization Method for detecting the beginning of a new market regime, we identify three major peaks and 10 additional smaller peaks, that have punctuated the dynamics of Bitcoin price during the analysed time period. We explain this classification of long and short bubbles by a number of quantitative metrics and graphs to understand the main socio-economic drivers behind the ascent of Bitcoin over this period. Then, a detailed analysis of the growing risks associated with the three long bubbles using the Log-Periodic Power-Law Singularity (LPPLS) model is based on the LPPLS Confidence Indicators, defined as the fraction of qualified fits of the LPPLS model over multiple time windows. Furthermore, for various fictitious 'present' times t 2 before the crashes, we employ a clustering method to group the predicted critical times t c of the LPPLS fits over different time scales, where t c is the most probable time for the ending of the bubble. Each cluster is proposed as a plausible scenario for the subsequent Bitcoin price evolution. We present these predictions for the three long bubbles and the four short bubbles that our time scale of analysis was able to resolve. Overall, our predictive scheme provides useful information to warn of an imminent crash risk.
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Affiliation(s)
- J. C. Gerlach
- Department of Management, Technology and Economics ETH Zürich, Zürich, Switzerland
- Author for correspondence: J. C. Gerlach e-mail:
| | - G. Demos
- Department of Management, Technology and Economics ETH Zürich, Zürich, Switzerland
| | - D. Sornette
- Department of Management, Technology and Economics ETH Zürich, Zürich, Switzerland
- Swiss Finance Institute, c/o University of Geneva, Geneva, Switzerland
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Abstract
A rigorous general definition of quantum probability is given, which is valid not only for elementary events but also for composite events, for operationally testable measurements as well as for inconclusive measurements, and also for non-commuting observables in addition to commutative observables. Our proposed definition of quantum probability makes it possible to describe quantum measurements and quantum decision-making on the same common mathematical footing. Conditions are formulated for the case when quantum decision theory reduces to its classical counterpart and for the situation where the use of quantum decision theory is necessary.
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Affiliation(s)
- V I Yukalov
- Department of Management, Technology and Economics, ETH Zürich, Swiss Federal Institute of Technology, Zürich 8032, Switzerland Bogolubov Laboratory of Theoretical Physics, Joint Institute for Nuclear Research, Dubna 141980, Russia
| | - D Sornette
- Department of Management, Technology and Economics, ETH Zürich, Swiss Federal Institute of Technology, Zürich 8032, Switzerland Swiss Finance Institute, c/o University of Geneva, 40 Boulevard Du Pont d'Arve, 1211 Geneva 4, Switzerland
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Forró Z, Woodard R, Sornette D. Using trading strategies to detect phase transitions in financial markets. Phys Rev E Stat Nonlin Soft Matter Phys 2015; 91:042803. [PMID: 25974543 DOI: 10.1103/physreve.91.042803] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/17/2014] [Indexed: 06/04/2023]
Abstract
We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices.
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Affiliation(s)
- Z Forró
- Department of Management, Technology, and Economics, ETH Zürich, 8092 Zürich, Switzerland
| | - R Woodard
- Department of Management, Technology, and Economics, ETH Zürich, 8092 Zürich, Switzerland
| | - D Sornette
- Department of Management, Technology, and Economics, ETH Zürich, 8092 Zürich, Switzerland
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Saichev A, Sornette D. Superlinear scaling of offspring at criticality in branching processes. Phys Rev E Stat Nonlin Soft Matter Phys 2014; 89:012104. [PMID: 24580169 DOI: 10.1103/physreve.89.012104] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/03/2013] [Indexed: 06/03/2023]
Abstract
For any branching process, we demonstrate that the typical total number rmp(ντ) of events triggered over all generations within any sufficiently large time window τ exhibits, at criticality, a superlinear dependence rmp(ντ)∼(ντ)γ (with γ>1) on the total number ντ of the immigrants arriving at the Poisson rate ν. In branching processes in which immigrants (or sources) are characterized by fertilities distributed according to an asymptotic power-law tail with tail exponent 1<γ⩽2, the exponent of the superlinear law for rmp(ντ) is identical to the exponent γ of the distribution of fertilities. For γ>2 and for standard branching processes without power-law distribution of fertilities, rmp(ντ)∼(ντ)2. This scaling law replaces and tames the divergence ντ/(1-n) of the mean total number R̅t(τ) of events, as the branching ratio (defined as the average number of triggered events of first generation per source) tends to 1. The derivation uses the formalism of generating probability functions. The corresponding prediction is confirmed by numerical calculations, and an heuristic derivation enlightens its underlying mechanism. We also show that R̅t(τ) is always linear in ντ even at criticality (n=1). Our results thus illustrate the fundamental difference between the mean total number, which is controlled by a few extremely rare realizations, and the typical behavior represented by rmp(ντ).
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Affiliation(s)
- A Saichev
- ETH Zurich, Department of Management, Technology and Economics, Scheuchzerstrasse 7, CH-8092 Zurich, Switzerland
| | - D Sornette
- ETH Zurich, Department of Management, Technology and Economics, Scheuchzerstrasse 7, CH-8092 Zurich, Switzerland
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Kamer Y, Ouillon G, Sornette D. Barycentric fixed-mass method for multifractal analysis. Phys Rev E Stat Nonlin Soft Matter Phys 2013; 88:022922. [PMID: 24032916 DOI: 10.1103/physreve.88.022922] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/29/2013] [Indexed: 06/02/2023]
Abstract
We present a method to estimate the multifractal spectrum of point distributions. The method incorporates two motivated criteria (barycentric pivot point selection and nonoverlapping coverage) in order to reduce edge effects, improve precision, and reduce computation time. Implementation of the method on synthetic benchmarks demonstrates the superior performance of the proposed method compared with existing alternatives routinely used in the literature. Finally, we use the method to estimate the multifractal properties of the widely studied growth process of diffusion-limited aggregation (DLA) and compare our results with recent and earlier studies. Our tests support the conclusion of a genuine but weak multifractality of the central core of DLA clusters, with D(q) decreasing from 1.75±0.01 for q=-10 to 1.65±0.01 for q =+10.
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Affiliation(s)
- Y Kamer
- Swiss Seismological Service, ETH Zürich, Switzerland and Department of Management, Technology and Economics, ETH Zürich, Switzerland
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Saichev A, Sornette D. Fertility heterogeneity as a mechanism for power law distributions of recurrence times. Phys Rev E Stat Nonlin Soft Matter Phys 2013; 87:022815. [PMID: 23496576 DOI: 10.1103/physreve.87.022815] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 11/26/2012] [Revised: 02/04/2013] [Indexed: 06/01/2023]
Abstract
We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into account how the past events influence the occurrence of future events. Specifically, we analyze the impact of the power law distribution of fertilities with exponent α, where the fertility of an event is the number of triggered events of first generation, on the probability distribution function (PDF) f(τ) of the recurrence times τ between successive events. The other input of the model is an exponential law quantifying the PDF of waiting times between an event and its first generation triggered events, whose characteristic time scale is taken as our time unit. At short-time scales, we discover two intermediate power law asymptotics, f(τ)~τ(-(2-α)) for τ<<τ(c) and f(τ)~τ(-α) for τ(c)<<τ<<1, where τ(c) is associated with the self-excited cascades of triggered events. For 1<<τ<<1/ν, we find a constant plateau f(τ)=/~const, while at long times, 1/ν</~τ, f(τ)=/~e(-ντ) has an exponential tail controlled by the arrival rate ν of exogenous events. These results demonstrate a novel mechanism for the generation of power laws in the distribution of recurrence times, which results from a power law distribution of fertilities in the presence of self-excitation and cascades of triggering.
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Affiliation(s)
- A Saichev
- Department of Management, Technology and Economics, ETH Zurich, Scheuchzerstrasse 7, CH-8092 Zurich, Switzerland.
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Maillart T, Sornette D, Frei S, Duebendorfer T, Saichev A. Quantification of deviations from rationality with heavy tails in human dynamics. Phys Rev E Stat Nonlin Soft Matter Phys 2011; 83:056101. [PMID: 21728599 DOI: 10.1103/physreve.83.056101] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/26/2010] [Revised: 12/24/2010] [Indexed: 05/31/2023]
Abstract
The dynamics of technological, economic and social phenomena is controlled by how humans organize their daily tasks in response to both endogenous and exogenous stimulations. Queueing theory is believed to provide a generic answer to account for the often observed power-law distributions of waiting times before a task is fulfilled. However, the general validity of the power law and the nature of other regimes remain unsettled. Using anonymized data collected by Google at the World Wide Web level, we identify the existence of several additional regimes characterizing the time required for a population of Internet users to execute a given task after receiving a message. Depending on the under- or over-utilization of time by the population of users and the strength of their response to perturbations, the pure power law is found to be coextensive with an exponential regime (tasks are performed without too much delay) and with a crossover to an asymptotic plateau (some tasks are never performed).
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Affiliation(s)
- T Maillart
- Department of Management, Technology and Economics, ETH Zurich, Kreuzplatz 5, CH-8032 Zurich, Switzerland.
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Affiliation(s)
- Nicole Ostrowsky
- a Laboratoire de Physique de la Matière Condensée associé au CNRS (LA 190) Université de Nice, Parc Valrose, 06034 Nice Cedex, France
| | - D. Sornette
- a Laboratoire de Physique de la Matière Condensée associé au CNRS (LA 190) Université de Nice, Parc Valrose, 06034 Nice Cedex, France
| | - Pat Parker
- b Royal Signals and Radar Establishment, Great Malvern, England
| | - E.R. Pike
- b Royal Signals and Radar Establishment, Great Malvern, England
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Faillettaz J, Sornette D, Funk M. Gravity-driven instabilities: Interplay between state- and velocity-dependent frictional sliding and stress corrosion damage cracking. ACTA ACUST UNITED AC 2010. [DOI: 10.1029/2009jb006512] [Citation(s) in RCA: 15] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/10/2022]
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15
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Saichev A, Sornette D. Effects of diversity and procrastination in priority queuing theory: the different power law regimes. Phys Rev E Stat Nonlin Soft Matter Phys 2010; 81:016108. [PMID: 20365433 DOI: 10.1103/physreve.81.016108] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/19/2009] [Indexed: 05/29/2023]
Abstract
Empirical analyses show that after the update of a browser, or the publication of the vulnerability of a software, or the discovery of a cyber worm, the fraction of computers still using the older browser or software version, or not yet patched, or exhibiting worm activity decays as a power law approximately 1/t(alpha) with 0<alpha<or=1 over a time scale of years. We present a simple model for this persistence phenomenon, framed within the standard priority queuing theory, of a target task which has the lowest priority compared to all other tasks that flow on the computer of an individual. We identify a "time deficit" control parameter beta and a bifurcation to a regime where there is a nonzero probability for the target task to never be completed. The distribution of waiting time T until the completion of the target task has the power law tail approximately 1/t(1/2), resulting from a first-passage solution of an equivalent Wiener process. Taking into account a diversity of time deficit parameters in a population of individuals, the power law tail is changed into 1/t(alpha), with alpha is an element of (0.5,infinity), including the well-known case 1/t. We also study the effect of "procrastination," defined as the situation in which the target task may be postponed or delayed even after the individual has solved all other pending tasks. This regime provides an explanation for even slower apparent decay and longer persistence.
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Affiliation(s)
- A Saichev
- Department of Management, Technology and Economics, ETH Zurich, Zurich, Switzerland.
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Sornette D, Utkin S. Limits of declustering methods for disentangling exogenous from endogenous events in time series with foreshocks, main shocks, and aftershocks. Phys Rev E Stat Nonlin Soft Matter Phys 2009; 79:061110. [PMID: 19658476 DOI: 10.1103/physreve.79.061110] [Citation(s) in RCA: 8] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 03/18/2009] [Indexed: 05/28/2023]
Abstract
Many time series in natural and social sciences can be seen as resulting from an interplay between exogenous influences and an endogenous organization. We use a simple epidemic-type aftershock model of events occurring sequentially, in which future events are influenced (partially triggered) by past events to ask the question of how well can one disentangle the exogenous events from the endogenous ones. We apply both model-dependent and model-independent stochastic declustering methods to reconstruct the tree of ancestry and estimate key parameters. In contrast with previously reported positive results, we have to conclude that declustered catalogs are rather unreliable for the synthetic catalogs that we have investigated, which contains of the order of thousands of events, typical of realistic applications. The estimated rates of exogenous events suffer from large errors. The branching ratio n, quantifying the fraction of events that have been triggered by previous events, is also badly estimated in general from declustered catalogs. We find, however, that the errors tend to be smaller and perhaps acceptable in some cases for small triggering efficiency and branching ratios. The high level of randomness together with the long memory makes the stochastic reconstruction of trees of ancestry and the estimation of the key parameters perhaps intrinsically unreliable for long-memory processes. For shorter memories (larger "bare" Omori exponent), the results improve significantly.
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Affiliation(s)
- D Sornette
- Department of Management, Technology, and Economics, ETH Zurich, Kreuzplatz 5, CH-8032 Zurich, Switzerland.
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Maillart T, Sornette D, Spaeth S, von Krogh G. Empirical tests of Zipf's law mechanism in open source Linux distribution. Phys Rev Lett 2008; 101:218701. [PMID: 19113459 DOI: 10.1103/physrevlett.101.218701] [Citation(s) in RCA: 23] [Impact Index Per Article: 1.4] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 06/30/2008] [Indexed: 05/27/2023]
Abstract
Zipf's power law is a ubiquitous empirical regularity found in many systems, thought to result from proportional growth. Here, we establish empirically the usually assumed ingredients of stochastic growth models that have been previously conjectured to be at the origin of Zipf's law. We use exceptionally detailed data on the evolution of open source software projects in Linux distributions, which offer a remarkable example of a growing complex self-organizing adaptive system, exhibiting Zipf's law over four full decades.
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Affiliation(s)
- T Maillart
- Department of Management, Technology and Economics, ETH Zurich, CH-8001 Zurich, Switzerland
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Sornette D, Utkin S, Saichev A. Solution of the nonlinear theory and tests of earthquake recurrence times. Phys Rev E Stat Nonlin Soft Matter Phys 2008; 77:066109. [PMID: 18643338 DOI: 10.1103/physreve.77.066109] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 12/15/2007] [Indexed: 05/26/2023]
Abstract
We develop an efficient numerical scheme to solve accurately the set of nonlinear integral equations derived previously in [A. Saichev and D. Sornette, J. Geophys. Res. 112, B04313 (2007)], which describes the distribution of interevent times in the framework of a general model of earthquake clustering with long memory. Detailed comparisons between the linear and nonlinear versions of the theory and direct synthetic catalogs show that the nonlinear theory provides an excellent fit to the synthetic catalogs, while there are significant biases resulting from the use of the linear approximation. We then address the suggestions proposed by some authors to use the empirical distribution of interevent times to obtain a better determination of the so-called clustering parameter. Our theory and tests against synthetic and empirical catalogs find a rather dramatic lack of power for the distribution of interevent times to distinguish between quite different sets of parameters, casting doubt on the usefulness of this statistic for the specific purpose of identifying the clustering parameter.
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Affiliation(s)
- D Sornette
- Department of Management, Technology and Economics, ETH Zurich, Kreuzplatz 5, CH-8032 Zurich, Switzerland.
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Ouillon G, Ducorbier C, Sornette D. Automatic reconstruction of fault networks from seismicity catalogs: Three-dimensional optimal anisotropic dynamic clustering. ACTA ACUST UNITED AC 2008. [DOI: 10.1029/2007jb005032] [Citation(s) in RCA: 20] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/09/2022]
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Sornette D, Davis AB, Ide K, Vixie KR, Pisarenko V, Kamm JR. Algorithm for model validation: theory and applications. Proc Natl Acad Sci U S A 2007; 104:6562-7. [PMID: 17420476 PMCID: PMC1871825 DOI: 10.1073/pnas.0611677104] [Citation(s) in RCA: 69] [Impact Index Per Article: 4.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 11/25/2005] [Indexed: 11/18/2022] Open
Abstract
Validation is often defined as the process of determining the degree to which a model is an accurate representation of the real world from the perspective of its intended uses. Validation is crucial as industries and governments depend increasingly on predictions by computer models to justify their decisions. We propose to formulate the validation of a given model as an iterative construction process that mimics the often implicit process occurring in the minds of scientists. We offer a formal representation of the progressive build-up of trust in the model. Thus, we replace static claims on the impossibility of validating a given model by a dynamic process of constructive approximation. This approach is better adapted to the fuzzy, coarse-grained nature of validation. Our procedure factors in the degree of redundancy versus novelty of the experiments used for validation as well as the degree to which the model predicts the observations. We illustrate the methodology first with the maturation of quantum mechanics as the arguably best established physics theory and then with several concrete examples drawn from some of our primary scientific interests: a cellular automaton model for earthquakes, a multifractal random walk model for financial time series, an anomalous diffusion model for solar radiation transport in the cloudy atmosphere, and a computational fluid dynamics code for the Richtmyer-Meshkov instability.
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Affiliation(s)
- D Sornette
- Institute of Geophysics and Planetary Physics and Departments of Earth and Space Sciences and Atmospheric and Oceanic Sciences, University of California, Los Angeles, CA 90095, USA.
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Abstract
We propose a simple theory for the "universal" scaling law previously reported for the distributions of waiting times between earthquakes. It is based on a largely used benchmark model of seismicity, which just assumes no difference in the physics of foreshocks, mainshocks, and aftershocks. Our theoretical calculations provide good fits to the data and show that universality is only approximate. We conclude that the distributions of interevent times do not reveal more information than what is already known from the Gutenberg-Richter and the Omori power laws. Our results reinforce the view that triggering earthquakes by other earthquakes is a key physical mechanism to understand seismicity.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin Prospekt 23, Nizhny Novgorod, 603950, Russia
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Saichev A, Sornette D. Generic multifractality in exponentials of long memory processes. Phys Rev E Stat Nonlin Soft Matter Phys 2006; 74:011111. [PMID: 16907064 DOI: 10.1103/physreve.74.011111] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 02/28/2006] [Indexed: 05/11/2023]
Abstract
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 sigma2 embodying information on the short-range amplitude of the memory kernel, the ultraviolet cutoff ("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 sigma2.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin Prospekt 23, Nizhny Novgorod, 603950, Russia
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Malevergne Y, Pisarenko V, Sornette D. On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns. ACTA ACUST UNITED AC 2006. [DOI: 10.1080/09603100500391008] [Citation(s) in RCA: 17] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
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Andersen JV, Sornette D. Predicting failure using conditioning on damage history: demonstration on percolation and hierarchical fiber bundles. Phys Rev E Stat Nonlin Soft Matter Phys 2005; 72:056124. [PMID: 16383705 DOI: 10.1103/physreve.72.056124] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/18/2005] [Indexed: 05/05/2023]
Abstract
We formulate the problem of probabilistic predictions of global failure in the simplest possible model based on site percolation and on one of the simplest models of time-dependent rupture, a hierarchical fiber bundle model. We show that conditioning the predictions on the knowledge of the current degree of damage (occupancy density p or number and size of cracks) and on some information on the largest cluster improves significantly the prediction accuracy, in particular by allowing one to identify those realizations which have anomalously low or large clusters (cracks). We quantify the prediction gains using two measures, the relative specific information gain (which is the variation of entropy obtained by adding new information) and the root mean square of the prediction errors over a large ensemble of realizations. The bulk of our simulations have been obtained with the two-dimensional site percolation model on a lattice of size L x L=20 x 20 and hold true for other lattice sizes. For the hierarchical fiber bundle model, conditioning the measures of damage on the information of the location and size of the largest crack extends significantly the critical region and the prediction skills. These examples illustrate how ongoing damage can be used as a revelation of both the realization-dependent preexisting heterogeneity and the damage scenario undertaken by each specific sample.
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Affiliation(s)
- J V Andersen
- U.F.R. de Sciences Economiques, Gestion, Mathématiques et Informatique, CNRS UMR 7536 and Université Paris X-Nanterre, 92001 Nanterre Cedex, France
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Abstract
Motivated by its potential application to earthquake statistics as well as for its intrinsic interest in the theory of branching processes, we study the exactly self-similar branching process introduced recently by Vere-Jones. This model extends the ETAS class of conditional self-excited branching point-processes of triggered seismicity by removing the problematic need for a minimum (as well as maximum) earthquake size. To make the theory convergent without the need for the usual ultraviolet and infrared cutoffs, the distribution of magnitudes m' of daughters of first-generation of a mother of magnitude m has two branches m < m' with exponent beta - d and m' > m with exponent beta + d, where beta and d are two positive parameters. We investigate the condition and nature of the subcritical, critical, and supercritical regime in this and in an extended version interpolating smoothly between several models. We predict that the distribution of magnitudes of events triggered by a mother of magnitude m over all generations has also two branches m' < m with exponent and with exponent beta - h, with h=d squareroot of (1-s), where s is the fraction of triggered events. This corresponds to a renormalization of the exponent d into h by the hierarchy of successive generations of triggered events. For a significant part of the parameter space, the distribution of magnitudes over a full catalog summed over an average steady flow of spontaneous sources (immigrants) reproduces the distribution of the spontaneous sources with a single branch and is blind to the exponents beta, d of the distribution of triggered events. Since the distribution of earthquake magnitudes is usually obtained with catalogs including many sequences, we conclude that the two branches of the distribution of aftershocks are not directly observable and the model is compatible with real seismic catalogs. In summary, the exactly self-similar Vere-Jones model provides an attractive new approach to model triggered seismicity, which alleviates delicate questions on the role of magnitude cutoffs in other non-self-similar models. The new prediction concerning two branches in the distribution of magnitudes of aftershocks could be tested with recently introduced stochastic reconstruction methods, tailored to disentangle the different triggered sequences.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin prosp. 23, Nizhny Novgorod, 603950, Russia
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Deschâtres F, Sornette D. Dynamics of book sales: endogenous versus exogenous shocks in complex networks. Phys Rev E Stat Nonlin Soft Matter Phys 2005; 72:016112. [PMID: 16090041 DOI: 10.1103/physreve.72.016112] [Citation(s) in RCA: 8] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 12/28/2004] [Indexed: 05/03/2023]
Abstract
We present an extensive study of the foreshock and aftershock signatures accompanying peaks of book sales. The time series of book sales are derived from the ranking system of Amazon.com. We present two independent ways of classifying peaks, one based on the acceleration pattern of sales and the other based on the exponent of the relaxation. They are found to be consistent and reveal the coexistence of two types of sales peaks: exogenous peaks occur abruptly and are followed by a power law relaxation, while endogenous sale peaks occur after a progressively accelerating power law growth followed by an approximately symmetrical power law relaxation which is slower than for exogenous peaks. We develop a simple epidemic model of buyers connected within a network of acquaintances which propagates rumors and opinions on books. The comparison between the predictions of the model and the empirical data confirms the validity of the model and suggests in addition that social networks have evolved to converge very close to criticality (here in the sense of critical branching processes of opinion spreading). We test in detail the evidence for a power law distribution of book sales and confirm a previous indirect study suggesting that the fraction of books (density distribution) P (S) of sales S is a power law P(S) approximately 1/ S(1+mu) with mu approximately equal to 2 .
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Affiliation(s)
- F Deschâtres
- Ecole Normale Supérieure, rue d'Ulm, Paris, France
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Saichev A, Sornette D. Distribution of the largest aftershocks in branching models of triggered seismicity: theory of the universal Båth law. Phys Rev E Stat Nonlin Soft Matter Phys 2005; 71:056127. [PMID: 16089622 DOI: 10.1103/physreve.71.056127] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 01/20/2005] [Indexed: 05/03/2023]
Abstract
Using the epidemic-type aftershock sequence (ETAS) branching model of triggered seismicity, we apply the formalism of generating probability functions to calculate exactly the average difference between the magnitude of a mainshock and the magnitude of its largest aftershock over all generations. This average magnitude difference is found empirically to be independent of the mainshock magnitude and equal to 1.2, a universal behavior known as Båth's law. Our theory shows that Båth's law holds only sufficiently close to the critical regime of the ETAS branching process. Allowing for error bars +/- 0.1 for Båth's constant value around 1.2, our exact analytical treatment of Båth's law provides new constraints on the productivity exponent alpha and the branching ratio n: 0.9 approximately < alpha < or =1. We propose a method for measuring alpha based on the predicted renormalization of the Gutenberg-Richter distribution of the magnitudes of the largest aftershock. We also introduce the "second Båth law for foreshocks:" the probability that a main earthquake turns out to be the foreshock does not depend on its magnitude rho.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin prosp. 23, Nizhny Novgorod 603950, Russia
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Affiliation(s)
- G. Ouillon
- Department of Earth and Space Sciences and Institute of Geophysics and Planetary Physics; University of California; Los Angeles California USA
- Laboratoire de Physique de la Matière Condensée; CNRS UMR 6622 and Université de Nice-Sophia Antipolis; Nice France
| | - D. Sornette
- Department of Earth and Space Sciences and Institute of Geophysics and Planetary Physics; University of California; Los Angeles California USA
- Laboratoire de Physique de la Matière Condensée; CNRS UMR 6622 and Université de Nice-Sophia Antipolis; Nice France
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Abstract
The 'social brain hypothesis' for the evolution of large brains in primates has led to evidence for the coevolution of neocortical size and social group sizes, suggesting that there is a cognitive constraint on group size that depends, in some way, on the volume of neural material available for processing and synthesizing information on social relationships. More recently, work on both human and non-human primates has suggested that social groups are often hierarchically structured. We combine data on human grouping patterns in a comprehensive and systematic study. Using fractal analysis, we identify, with high statistical confidence, a discrete hierarchy of group sizes with a preferred scaling ratio close to three: rather than a single or a continuous spectrum of group sizes, humans spontaneously form groups of preferred sizes organized in a geometrical series approximating 3-5, 9-15, 30-45, etc. Such discrete scale invariance could be related to that identified in signatures of herding behaviour in financial markets and might reflect a hierarchical processing of social nearness by human brains.
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Affiliation(s)
- W.-X. Zhou
- State Key Laboratory of Chemical Reaction Engineering, East China University of Science and TechnologyShanghai 200237China
- Institute of Geophysics and Planetary Physics, University of CaliforniaLos Angeles, CA 90095USA
| | - D. Sornette
- Institute of Geophysics and Planetary Physics, University of CaliforniaLos Angeles, CA 90095USA
- Department of Earth and Space Sciences, University of CaliforniaLos Angeles, CA 90095USA
- Laboratoire de Physique de la Matière Condensée, CNRS UMR 6622 and Université de Nice-Sophia Antipolis06108 Nice Cedex 2France
| | - R. A. Hill
- Evolutionary Anthropology Research Group, Department of Anthropology, University of Durham43 Old Elvet, Durham DH1 3HNUK
| | - R. I. M. Dunbar
- British Academy Centenary Project, School of Biological Sciences, University of LiverpoolCrown Street, Liverpool L69 7ZBUK
- * Author for correspondence ()
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Abstract
We present creep experiments on fiber composite materials with different controlled heterogeneity. All samples exhibit a power-law relaxation of the strain rate in the primary creep regime (Andrade's law) followed by a power-law acceleration up to rupture. We discover that the rupture time is proportional to the duration of the primary creep regime, showing the interplay between the two regimes and offering a method of rupture prediction. These experimental results are rationalized by a mean-field model of representative elements with nonlinear viscoelastic rheology and with a large heterogeneity of strengths.
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Affiliation(s)
- H Nechad
- Groupe d'Etude de Métallurgie Physique et de Physique des Matériaux, CNRS UMR5510 and INSA de Lyon, 20 Avenue Albert Einstein, 69621 Villeurbanne Cedex, France
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Abstract
We propose a "multifractal stress activation" model combining thermally activated rupture and long memory stress relaxation, which predicts that seismic decay rates after mainshocks follow the Omori law approximately 1/t(p) with exponents p linearly increasing with the magnitude M(L) of the mainshock. We carefully test this prediction on earthquake sequences in the Southern California earthquake catalog: we find power law relaxations of seismic sequences triggered by mainshocks with exponents p increasing with the mainshock magnitude by approximately 0.1-0.15 for each magnitude unit increase, from p(M(L) = 3) approximately 0.6 to p(M(L) = 7) approximately 1.1, in good agreement with the prediction of the multifractal model.
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Affiliation(s)
- D Sornette
- Institute of Geophysics and Planetary Physics, University of California, Los Angeles, California 90095, USA.
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Saichev A, Sornette D. Andrade, Omori, and time-to-failure laws from thermal noise in material rupture. Phys Rev E Stat Nonlin Soft Matter Phys 2005; 71:016608. [PMID: 15697748 DOI: 10.1103/physreve.71.016608] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 11/20/2003] [Revised: 08/17/2004] [Indexed: 05/24/2023]
Abstract
Using a simple mean-field rupture model with quenched disorder in the presence of thermal fluctuations introduced by S. Ciliberto et al., we provide an analytical theory of three ubiquitous empirical observations obtained in creep (constant applied stress) experiments: the initial Andrade-like and Omori-like 1/t decay of the rate of deformation and of fiber ruptures and the 1/( tc-t) critical time-to-failure behavior of acoustic emissions just prior to the macroscopic rupture. The lifetime of the material is controlled by a thermally activated Arrhenius nucleation process, describing the crossover between these two regimes, as shown by S. Ciliberto et al. Thus tiny thermal fluctuations may actually play an essential role in macroscopic deformation and rupture processes at room temperature. We also discover a reentrant dependence of the lifetime as a function of the amount of quenched disorder.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin prospekt 23, Nizhny Novgorod 603950, Russia
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Sornette D, Deschâtres F, Gilbert T, Ageon Y. Endogenous versus exogenous shocks in complex networks: an empirical test using book sale rankings. Phys Rev Lett 2004; 93:228701. [PMID: 15601125 DOI: 10.1103/physrevlett.93.228701] [Citation(s) in RCA: 23] [Impact Index Per Article: 1.2] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 11/04/2003] [Revised: 06/21/2004] [Indexed: 05/24/2023]
Abstract
We study the precursory and recovery signatures accompanying shocks in complex networks, that we test on a unique database of the Amazon.com ranking of book sales. We find clear distinguishing signatures classifying two types of sales peaks. Exogenous peaks occur abruptly and are followed by a power law relaxation, while endogenous peaks occur after a progressively accelerating power law growth followed by an approximately symmetrical power law relaxation which is slower than for exogenous peaks. These results are rationalized quantitatively by a simple model of epidemic propagation of interactions with long memory within a network of acquaintances. The observed relaxation of sales implies that the sales dynamics is dominated by cascades rather than by the direct effects of news or advertisements, indicating that the social network is close to critical.
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Affiliation(s)
- D Sornette
- Institute of Geophysics and Planetary Physics and Department of Earth and Space Sciences, University of California, Los Angeles, California 90095, USA
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Saichev A, Sornette D. Anomalous power law distribution of total lifetimes of branching processes: application to earthquake aftershock sequences. Phys Rev E Stat Nonlin Soft Matter Phys 2004; 70:046123. [PMID: 15600476 DOI: 10.1103/physreve.70.046123] [Citation(s) in RCA: 10] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 04/04/2004] [Indexed: 05/24/2023]
Abstract
We consider a general stochastic branching process, which is relevant to earthquakes, and study the distributions of global lifetimes of the branching processes. In the earthquake context, this amounts to the distribution of the total durations of aftershock sequences including aftershocks of arbitrary generation number. Our results extend previous results on the distribution of the total number of offspring (direct and indirect aftershocks in seismicity) and of the total number of generations before extinction. We consider a branching model of triggered seismicity, the epidemic-type aftershock sequence model, which assumes that each earthquake can trigger other earthquakes ("aftershocks"). An aftershock sequence results in this model from the cascade of aftershocks of each past earthquake. Due to the large fluctuations of the number of aftershocks triggered directly by any earthquake ("productivity" or "fertility"), there is a large variability of the total number of aftershocks from one sequence to another, for the same mainshock magnitude. We study the regime where the distribution of fertilities mu is characterized by a power law approximately 1/ mu(1+gamma) and the bare Omori law for the memory of previous triggering mothers decays slowly as approximately 1/ t(1+theta;) , with 0<theta;<1 relevant for earthquakes. Using the tool of generating probability functions and a quasistatic approximation which is shown to be exact asymptotically for large durations, we show that the density distribution of total aftershock lifetimes scales as approximately 1/ t(1+theta;/gamma) when the average branching ratio is critical (n=1) . The coefficient 1<gamma=b/alpha<2 quantifies the interplay between the exponent b approximately 1 of the Gutenberg-Richter magnitude distribution approximately 10(-bm) and the increase approximately 10(alpham) of the number of aftershocks with mainshock magnitude m (productivity), with 0.5<alpha<1 . The renormalization of the bare Omori decay law approximately 1/ t(1+theta;) into approximately 1/ t(1+theta;/gamma) stems from the nonlinear amplification due to the heavy-tailed distribution of fertilities and the critical nature of the branching cascade process. In the subcritical case n<1 , the crossover from approximately 1/ t(1+theta;/gamma) at early times to approximately 1/ t(1+theta;) at longer times is described. More generally, our results apply to any stochastic branching process with a power-law distribution of offspring per parent and a long memory.
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Affiliation(s)
- A Saichev
- Mathematical Department, Nizhny Novgorod State University, Gagarin prospekt 23, Nizhny Novgorod, 603950, Russia
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Helmstetter A, Sornette D. Comment on "Power-law time distribution of large earthquakes". Phys Rev Lett 2004; 92:129801-129802. [PMID: 15089720 DOI: 10.1103/physrevlett.92.129801] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/28/2003] [Indexed: 05/24/2023]
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Pisarenko VF, Sornette D. Statistical methods of parameter estimation for deterministically chaotic time series. Phys Rev E Stat Nonlin Soft Matter Phys 2004; 69:036122. [PMID: 15089376 DOI: 10.1103/physreve.69.036122] [Citation(s) in RCA: 12] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/14/2003] [Revised: 11/13/2003] [Indexed: 05/24/2023]
Abstract
We discuss the possibility of applying some standard statistical methods (the least-square method, the maximum likelihood method, and the method of statistical moments for estimation of parameters) to deterministically chaotic low-dimensional dynamic system (the logistic map) containing an observational noise. A "segmentation fitting" maximum likelihood (ML) method is suggested to estimate the structural parameter of the logistic map along with the initial value x(1) considered as an additional unknown parameter. The segmentation fitting method, called "piece-wise" ML, is similar in spirit but simpler and has smaller bias than the "multiple shooting" previously proposed. Comparisons with different previously proposed techniques on simulated numerical examples give favorable results (at least, for the investigated combinations of sample size N and noise level). Besides, unlike some suggested techniques, our method does not require the a priori knowledge of the noise variance. We also clarify the nature of the inherent difficulties in the statistical analysis of deterministically chaotic time series and the status of previously proposed Bayesian approaches. We note the trade off between the need of using a large number of data points in the ML analysis to decrease the bias (to guarantee consistency of the estimation) and the unstable nature of dynamical trajectories with exponentially fast loss of memory of the initial condition. The method of statistical moments for the estimation of the parameter of the logistic map is discussed. This method seems to be the unique method whose consistency for deterministically chaotic time series is proved so far theoretically (not only numerically).
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Affiliation(s)
- V F Pisarenko
- International Institute of Earthquake Prediction Theory and Mathematical Geophysics, Russian Academy of Science, Warshavskoye sh., 79, kor. 2, Moscow 113556, Russia
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Helmstetter A, Sornette D, Grasso JR, Andersen JV, Gluzman S, Pisarenko V. Slider block friction model for landslides: Application to Vaiont and La Clapière landslides. ACTA ACUST UNITED AC 2004. [DOI: 10.1029/2002jb002160] [Citation(s) in RCA: 85] [Impact Index Per Article: 4.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/10/2022]
Affiliation(s)
- A. Helmstetter
- Laboratoire de Géophysique Interne et Tectonophysique; Observatoire de Grenoble, Université Joseph Fourier; Grenoble France
| | - D. Sornette
- Laboratoire de Physique de la Matière Condensée; CNRS UMR 6622 and Université de Nice-Sophia Antipolis; Nice France
- Department of Earth and Space Sciences; University of California; Los Angeles California USA
- Institute of Geophysics and Planetary Physics; University of California; Los Angeles California USA
| | - J.-R. Grasso
- Laboratoire de Géophysique Interne et Tectonophysique; Observatoire de Grenoble, Université Joseph Fourier; Grenoble France
| | - J. V. Andersen
- Laboratoire de Physique de la Matière Condensée; CNRS UMR 6622 and Université de Nice-Sophia Antipolis; Nice France
- U. F. R. de Sciences Economiques, Gestion, Mathématiques et Informatique; CNRS UMR7536 and Université Paris X-Nanterre; Nanterre France
| | - S. Gluzman
- Institute of Geophysics and Planetary Physics; University of California; Los Angeles California USA
| | - V. Pisarenko
- International Institute of Earthquake Prediction Theory and Mathematical Geophysics; Russian Academy of Science; Moscow Russia
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Abstract
The problem of reconstructing functions from their asymptotic expansions in powers of a small variable is addressed by deriving an improved type of approximants. The derivation is based on the self-similar approximation theory, which presents the passage from one approximant to another as the motion realized by a dynamical system with the property of group self-similarity. The derived approximants, because of their form, are called self-similar factor approximants. These complement the obtained earlier self-similar exponential approximants and self-similar root approximants. The specific feature of self-similar factor approximants is that their control functions, providing convergence of the computational algorithm, are completely defined from the accuracy-through-order conditions. These approximants contain the Padé approximants as a particular case, and in some limit they can be reduced to the self-similar exponential approximants previously introduced by two of us. It is proved that the self-similar factor approximants are able to reproduce exactly a wide class of functions, which include a variety of nonalgebraic functions. For other functions, not pertaining to this exactly reproducible class, the factor approximants provide very accurate approximations, whose accuracy surpasses significantly that of the most accurate Padé approximants. This is illustrated by a number of examples showing the generality and accuracy of the factor approximants even when conventional techniques meet serious difficulties.
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Affiliation(s)
- S Gluzman
- Institute of Geophysics and Planetary Physics, University of California-Los Angeles, Los Angeles, CA 90095, USA
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Helmstetter A, Sornette D. Diffusion of epicenters of earthquake aftershocks, Omori's law, and generalized continuous-time random walk models. Phys Rev E Stat Nonlin Soft Matter Phys 2002; 66:061104. [PMID: 12513267 DOI: 10.1103/physreve.66.061104] [Citation(s) in RCA: 13] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 03/25/2002] [Indexed: 05/24/2023]
Abstract
The epidemic-type aftershock sequence (ETAS) model is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power-law decay approximately 1/t(1+theta) of seismicity after an earthquake) and Gutenberg-Richter law (power-law distribution of earthquake energies). In order to describe also the space distribution of seismicity, we use in addition a power-law distribution approximately 1/r(1+mu) of distances between triggered and triggering earthquakes. The ETAS model has been studied for the last two decades to model real seismicity catalogs and to obtain short-term probabilistic forecasts. Here, we present a mapping between the ETAS model and a class of CTRW (continuous time random walk) models, based on the identification of their corresponding master equations. This mapping allows us to use the wealth of results previously obtained on anomalous diffusion of CTRW. After translating into the relevant variable for the ETAS model, we provide a classification of the different regimes of diffusion of seismic activity triggered by a mainshock. Specifically, we derive the relation between the average distance between aftershocks and the mainshock as a function of the time from the mainshock and of the joint probability distribution of the times and locations of the aftershocks. The different regimes are fully characterized by the two exponents theta and mu. Our predictions are checked by careful numerical simulations. We stress the distinction between the "bare" Omori law describing the seismic rate activated directly by a mainshock and the "renormalized" Omori law taking into account all possible cascades from mainshocks to aftershocks of aftershock of aftershock, and so on. In particular, we predict that seismic diffusion or subdiffusion occurs and should be observable only when the observed Omori exponent is less than 1, because this signals the operation of the renormalization of the bare Omori law, also at the origin of seismic diffusion in the ETAS model. We present predictions and insights provided by the ETAS to CTRW mapping which suggest different ways for studying seismic catalogs. Finally, we discuss the present evidence for our predicted subdiffusion of seismicity triggered by a main shock, stressing the caveats and limitations of previous empirical works.
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Affiliation(s)
- A Helmstetter
- Laboratoire de Géophysique Interne et Tectonophysique, Observatoire de Grenoble, Université Joseph Fourier, Boîte Postale 53X, 38041 Grenoble Cedex, France.
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Sornette D, Helmstetter A. Occurrence of finite-time singularities in epidemic models of rupture, earthquakes, and starquakes. Phys Rev Lett 2002; 89:158501. [PMID: 12366028 DOI: 10.1103/physrevlett.89.158501] [Citation(s) in RCA: 9] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 12/03/2001] [Indexed: 05/23/2023]
Abstract
We present a new kind of critical stochastic finite-time singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type aftershock model for aftershocks, based solely on the most solidly documented stylized facts of seismicity (clustering in space and in time and power law Gutenberg-Richter distribution of earthquake energies). This theory accounts for the main observations (power law acceleration and discrete scale invariant structure) of critical rupture of heterogeneous materials, of the largest sequence of starquakes ever attributed to a neutron star, as well as of earthquake sequences.
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Affiliation(s)
- D Sornette
- Department of Earth and Space Sciences and Institute of Geophysics and Planetary Physics, University of California, Los Angeles 90095-1567, USA
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Gluzman S, Sornette D. Classification of possible finite-time singularities by functional renormalization. Phys Rev E Stat Nonlin Soft Matter Phys 2002; 66:016134. [PMID: 12241453 DOI: 10.1103/physreve.66.016134] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 11/19/2001] [Indexed: 05/23/2023]
Abstract
Starting from a representation of the early time evolution of a dynamical system in terms of the polynomial expression of some observable phi(t) as a function of the time variable in some interval 0 < or = t < or = T, we investigate how to extrapolate/forecast in some optimal stability sense the future evolution of phi(t) for time t>T. Using the functional renormalization of Yukalov and Gluzman, we offer a general classification of the possible regimes that can be defined based on the sole knowledge of the coefficients of a second-order polynomial representation of the dynamics. In particular, we investigate the conditions for the occurrence of finite-time singularities from the structure of the time series, and quantify the critical time and the functional nature of the singularity when present. We also describe the regimes when a smooth extremum replaces the singularity and determine its position and amplitude. This extends previous works by (1) quantifying the stability of the functional renormalization method more accurately, (2) introducing more global constraints in terms of moments, and (3) going beyond the "mean-field" approximation.
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Affiliation(s)
- S Gluzman
- Institute of Geophysics and Planetary Physics, University of California Los Angeles, Los Angeles, California 90095-1567, USA
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Gluzman S, Sornette D. Log-periodic route to fractal functions. Phys Rev E Stat Nonlin Soft Matter Phys 2002; 65:036142. [PMID: 11909200 DOI: 10.1103/physreve.65.036142] [Citation(s) in RCA: 51] [Impact Index Per Article: 2.3] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 06/27/2001] [Revised: 12/05/2001] [Indexed: 11/07/2022]
Abstract
Log-periodic oscillations have been found to decorate the usual power-law behavior found to describe the approach to a critical point, when the continuous scale-invariance symmetry is partially broken into a discrete-scale invariance symmetry. For Ising or Potts spins with ferromagnetic interactions on hierarchical systems, the relative magnitude of the log-periodic corrections are usually very small, of order 10(-5). In growth processes [diffusion limited aggregation (DLA)], rupture, earthquake, and financial crashes, log-periodic oscillations with amplitudes of the order of 10% have been reported. We suggest a "technical" explanation for this 4 order-of-magnitude difference based on the property of the "regular function" g(x) embodying the effect of the microscopic degrees of freedom summed over in a renormalization group (RG) approach F(x)=g(x)+mu(-1)F(gamma x) of an observable F as a function of a control parameter x. For systems for which the RG equation has not been derived, the previous equation can be understood as a Jackson q integral, which is the natural tool for describing discrete-scale invariance. We classify the "Weierstrass-type" solutions of the RG into two classes characterized by the amplitudes A(n) of the power-law series expansion. These two classes are separated by a novel "critical" point. Growth processes (DLA), rupture, earthquake, and financial crashes thus seem to be characterized by oscillatory or bounded regular microscopic functions that lead to a slow power-law decay of A(n), giving strong log-periodic amplitudes. If in addition, the phases of A(n) are ergodic and mixing, the observable presents self-affine nondifferentiable properties. In contrast, the regular function of statistical physics models with "ferromagnetic"-type interactions at equilibrium involves unbound logarithms of polynomials of the control variable that lead to a fast exponential decay of A(n) giving weak log-periodic amplitudes and smoothed observables.
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Affiliation(s)
- S Gluzman
- Institute of Geophysics and Planetary Physics, University of California Los Angeles, Los Angeles, California 90095-1567, USA
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Abstract
We review the "critical point" concept for large earthquakes and enlarge it in the framework of so-called "finite-time singularities." The singular behavior associated with accelerated seismic release is shown to result from a positive feedback of the seismic activity on its release rate. The most important mechanisms for such positive feedback are presented. We solve analytically a simple model of geometrical positive feedback in which the stress shadow cast by the last large earthquake is progressively fragmented by the increasing tectonic stress.
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Affiliation(s)
- C G Sammis
- Department of Earth Sciences, University of Southern California, Los Angeles, CA 90089-0740, USA.
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O'Brien TP, McPherron RL, Sornette D, Reeves GD, Friedel R, Singer HJ. Which magnetic storms produce relativistic electrons at geosynchronous orbit? ACTA ACUST UNITED AC 2001. [DOI: 10.1029/2001ja000052] [Citation(s) in RCA: 181] [Impact Index Per Article: 7.9] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/10/2022]
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O'Brien TP, Sornette D, McPherron RL. Statistical asynchronous regression: Determining the relationship between two quantities that are not measured simultaneously. ACTA ACUST UNITED AC 2001. [DOI: 10.1029/2000ja900193] [Citation(s) in RCA: 25] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/10/2022]
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Gluzman S, Sornette D. Self-consistent theory of rupture by progressive diffuse damage. Phys Rev E Stat Nonlin Soft Matter Phys 2001; 63:066129. [PMID: 11415195 DOI: 10.1103/physreve.63.066129] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/27/2000] [Indexed: 05/23/2023]
Abstract
We analyze a self-consistent theory of crack growth controlled by a cumulative damage variable d(t) dependent on stress history, in the quasistatic regime where the sound wave velocity is taken as infinite. Depending upon the damage exponent m, which controls the rate of damage dd/dt~sigma(m) as a function of local stress sigma, we find two regimes. For 0<m<2, the model predicts a finite-time singularity. This retrieves previous results by Zobnin for m=1 and by Bradley and Wu for 0<m<2. To improve on this self-consistent theory which neglects the dependence of stress on damage, we apply the functional renormalization method of Yukalov and Gluzman and find that divergences are replaced by singularities with exponents in agreement with those found in acoustic emission experiments. For m>/=2, the rupture dynamics is not defined without the introduction of a regularizing scheme. We investigate three regularization schemes involving, respectively, a saturation of damage, a minimum distance of approach to the crack tip, and a fixed stress maximum. In the first and third schemes, the finite-time singularity is replaced by a crack dynamics defined for all times but which is controlled by either the existence of a microscopic scale at which the stress is regularized or by the maximum sustainable stress. In the second scheme, a finite-time singularity is again found. In the first two schemes within this regime m>/=2, the theory has no continuous limit.
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Affiliation(s)
- S Gluzman
- Laboratoire de Physique de la Matière Condensée, CNRS UMR6622, Boîte Postale 71, Parc Valrose, 06108 Nice Cedex 2, France.
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Huang Y, Saleur H, Sornette D. Reexamination of log periodicity observed in the seismic precursors of the 1989 Loma Prieta earthquake. ACTA ACUST UNITED AC 2000. [DOI: 10.1029/2000jb900308] [Citation(s) in RCA: 21] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/09/2022]
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Huang Y, Johansen A, Lee MW, Saleur H, Sornette D. Artifactual log-periodicity in finite size data: Relevance for earthquake aftershocks. ACTA ACUST UNITED AC 2000. [DOI: 10.1029/2000jb900195] [Citation(s) in RCA: 45] [Impact Index Per Article: 1.9] [Reference Citation Analysis] [What about the content of this article? (0)] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/09/2022]
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