TY - JOUR
T1 - Devil's-staircase-like behavior of the range of random time series with record-breaking fluctuations
AU - Balankin, Alexander S.
AU - Matamoros, Oswaldo Morales
PY - 2005/6
Y1 - 2005/6
N2 - 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>qC>2) of their q-order height-height correlation functions behave logarithmically.
AB - 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>qC>2) of their q-order height-height correlation functions behave logarithmically.
UR - http://www.scopus.com/inward/record.url?scp=27944463708&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.71.065106
DO - 10.1103/PhysRevE.71.065106
M3 - Artículo
SN - 1539-3755
VL - 71
JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
IS - 6
M1 - 065106
ER -