Nonlinear volatility of river flux fluctuations

Statistical significance of seasonal warming/cooling trends

The question whether a seasonal climate trend (e.g., the increase of summer temperatures in Antarctica in the last decades) is of anthropogenic or natural origin is of great importance for mitigation and adaption measures alike. The conventional significance analysis assumes that (i) the seasonal climate trends can be quantified by linear regression, (ii) the different seasonal records can be treated as independent records, and (iii) the persistence in each of these seasonal records can be characterized by short-term memory described by an autoregressive process of first order. Here we show that assumption ii is not valid, due to strong intraannual correlations by which different seasons are correlated. We also show that, even in the absence of correlations, for Gaussian white noise, the conventional analysis leads to a strong overestimation of the significance of the seasonal trends, because multiple testing has not been taken into account. In addition, when the data exhibit long-term memory (which is the case in most climate records), assumption iii leads to a further overestimation of the trend significance. Combining Monte Carlo simulations with the Holm-Bonferroni method, we demonstrate how to obtain reliable estimates of the significance of the seasonal climate trends in long-term correlated records. For an illustration, we apply our method to representative temperature records from West Antarctica, which is one of the fastest-warming places on Earth and belongs to the crucial tipping elements in the Earth system.

Scaling of seismic memory with earthquake size

It has been observed that discrete earthquake events possess memory, i.e., that events occurring in a particular location are dependent on the history of that location. We conduct an analysis to see whether continuous real-time data also display a similar memory and, if so, whether such autocorrelations depend on the size of earthquakes within close spatiotemporal proximity. We analyze the seismic wave form database recorded by 64 stations in Japan, including the 2011 "Great East Japan Earthquake," one of the five most powerful earthquakes ever recorded, which resulted in a tsunami and devastating nuclear accidents. We explore the question of seismic memory through use of mean conditional intervals and detrended fluctuation analysis (DFA). We find that the wave form sign series show power-law anticorrelations while the interval series show power-law correlations. We find size dependence in earthquake autocorrelations: as the earthquake size increases, both of these correlation behaviors strengthen. We also find that the DFA scaling exponent α has no dependence on the earthquake hypocenter depth or epicentral distance.

Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices

We propose a modified time lag random matrix theory in order to study time-lag cross correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law cross correlations in the absolute values of returns that quantify risk, and find that they decay much more slowly than cross correlations between the returns. The magnitude of the cross correlations constitutes "bad news" for international investment managers who may believe that risk is reduced by diversifying across countries. We find that when a market shock is transmitted around the world, the risk decays very slowly. We explain these time-lag cross correlations by introducing a global factor model (GFM) in which all index returns fluctuate in response to a single global factor. For each pair of individual time series of returns, the cross correlations between returns (or magnitudes) can be modeled with the autocorrelations of the global factor returns (or magnitudes). We estimate the global factor using principal component analysis, which minimizes the variance of the residuals after removing the global trend. Using random matrix theory, a significant fraction of the world index cross correlations can be explained by the global factor, which supports the utility of the GFM. We demonstrate applications of the GFM in forecasting risks at the world level, and in finding uncorrelated individual indices. We find ten indices that are practically uncorrelated with the global factor and with the remainder of the world indices, which is relevant information for world managers in reducing their portfolio risk. Finally, we argue that this general method can be applied to a wide range of phenomena in which time series are measured, ranging from seismology and physiology to atmospheric geophysics.

Bootstrapping multifractals: surrogate data from random cascades on wavelet dyadic trees

A method for random resampling of time series from multiscale processes is proposed. Bootstrapped series--realizations of surrogate data obtained from random cascades on wavelet dyadic trees--preserve the multifractal properties of input data, namely, interactions among scales and nonlinear dependence structures. The proposed approach opens the possibility for rigorous Monte Carlo testing of nonlinear dependence within, with, between, or among time series from multifractal processes.

Fractionally integrated process with power-law correlations in variables and magnitudes

Motivated by the fact that many empirical time series--including changes of heartbeat intervals, physical activity levels, intertrade times in finance, and river flux values--exhibit power-law anticorrelations in the variables and power-law correlations in their magnitudes, we propose a simple stochastic process that can account for both types of correlations. The process depends on only two parameters, where one controls the correlations in the variables and the other controls the correlations in their magnitudes. We apply the process to time series of heartbeat interval changes and air temperature changes and find that the statistical properties of the modeled time series are in agreement with those observed in the data.

Devil's-staircase-like behavior of the range of random time series with record-breaking fluctuations

We propose insight into the analysis of the record-breaking fluctuations in random time series, which permits to distinguish between the self-organized criticality and the record dynamics (RD) scenarios of system evolution, using a finite time series realization. Performed analysis of the time series associated with the historical prices of different commodities has shown that the evolution of commodity markets is controlled by the record-breaking fluctuations as it is outlined by the RD. Furthermore, we found that the sizes of record-breaking fluctuations follow a fat-tailed distribution and the devil's-staircase-like records of price ranges are multiaffine and persistent, nevertheless, the high moments (q> q(C) >2) of their q-order height-height correlation functions behave logarithmically.

Separating internal and external dynamics of complex systems

The observable behavior of a complex system reflects the mechanisms governing the internal interactions between the system's components and the effect of external perturbations. Here we show that by capturing the simultaneous activity of several of the system's components we can separate the internal dynamics from the external fluctuations. The method allows us to systematically determine the origin of fluctuations in various real systems, finding that while the Internet and the computer chip have robust internal dynamics, highway and Web traffic are driven by external demand. As multichannel measurements are becoming the norm in most fields, the method could help uncover the collective dynamics of a wide array of complex systems.