Evolution of Complex Systems and 1/f Noise: from Physics to Financial Markets

机译：复杂系统和1 / f噪声的演变：从物理到金融市场

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We introduce the stochastic multiplicative model of time intervals between the events, defining a multiplicative point process and analyze the statistical properties of the signal. Such a model system exhibits power-law spectral density S(f)～1/fβ, scaled as power of frequency for various values of β between 0.5 and 2. We derive explicit expressions for the power spectrum and other statistics and analyze the model system numerically. The specific interest of our analysis is related with the theoretical modeling of the nonlinear complex systems exhibiting fractal behavior and self-organization.

机译：我们介绍了事件之间时间间隔的随机乘法模型，定义了一个乘法点过程并分析了信号的统计特性。这样的模型系统表现出幂律频谱密度S（f）〜1 /fβ，对于介于0.5和2之间的各种β值，将其作为频率的幂进行缩放。数值上。我们分析的特殊兴趣与表现出分形行为和自组织的非线性复杂系统的理论建模有关。

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来源
《International Conference on Self-Formation Theory and Applications; 20031126-20031128; Vilnius; LT》|2003年|P.65-70|共6页
会议地点 Vilnius(LT)
作者
V. Gontis; B. Kaulakys; M. Alaburda; J. Ruseckas;
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作者单位

Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, LT-2600 Vilnius;

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会议组织
原文格式 PDF
正文语种 eng
中图分类系统的分解与协调技术;
关键词
complex systems; self-organization; 1/f noise; fractals;

机译：复杂系统;自组织; 1 / f噪声;分形;

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Evolution of Complex Systems and 1/f Noise: from Physics to Financial Markets

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