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Superextreme Events and Their Impact on Characteristics of Time Series |
Tomasz R. Werner 1, Ryszard Kutner 2, Tomasz Gubiec 2 |
1. Uniwersytet Warszawski, Wydział Fizyki, Instytut Fizyki Teoretycznej (IFTUW), Hoża 69, Warszawa 00-681, Poland |
Abstract |
Super-extreme events in the form of sustained drifts and abrupt shocks are analysed both numerically and analytically; in particular their impact on velocity autocorrelation function is discussed. Our theoretical model is based on the hierarchical Weierstrass-Mandelbrot Continuous-Time Random Walk formalism. We also discuss the possibility of an unambiguous distinction between the super-extreme ``dragon-kings'' and `normal' ``black swans'' in real empirical time series. |
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Presentation: Poster at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Tomasz R. WernerSee On-line Journal of 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych" Submitted: 2012-01-18 23:31 Revised: 2012-01-22 19:48 |