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Superextreme Events and Their Impact on Characteristics of Time Series

Tomasz R. Werner 1Ryszard Kutner 2Tomasz Gubiec 2

1. Uniwersytet Warszawski, Wydział Fizyki, Instytut Fizyki Teoretycznej (IFTUW), Hoża 69, Warszawa 00-681, Poland
2. University of Warsaw, Institute of Experimental Physics (IFDUW), Hoża 69, Warsaw 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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Related papers

Presentation: Poster at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Tomasz R. Werner
See 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