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Volatility correlations in narrative

Stanisław Drożdż 1,2Jarosław Kwapień 1Paweł Oświęcimka 1

1. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
2. Cracow University of Technology, Institute of Computing Science, Al. Jana Pawła II 37, Kraków 31-864, Poland

Abstract

In human's communication using short sentences is considered efficient. However, a text composed  exclusively of such sentences looks technical and reads boring. The one composed of long ones,  on the other hand, demands significantly more effort for comprehension. Studying characteristics  of the sentence length variability (SLV) in a large corpus of world famous literary texts shows  that an appealing and aesthetic optimum appears somewhere in between and involves self-similar,  cascade-like alternation of various length sentences - much like volatility changes in the financial
markets. Majority of studied texts obey the related fractal attributes but especially spectacular  in this respect are literary texts belonging to the 'stream of consciousness' literary style, known  also as the 'internal monologue'. These develop patterns characteristic to multifractals very much resembling the ones generated by the financial volatility. This coincidence parhaps suggests that  the degree of multifractality in markets reflects the level of endogeneity involved in the corresponding  financial dynamics.
 

 

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Related papers

Presentation: Invited oral at Econophysics Colloquium 2017, Symposium A, by Stanisław Drożdż
See On-line Journal of Econophysics Colloquium 2017

Submitted: 2017-04-14 03:00
Revised:   2017-04-14 03:00