Universal relation between skewness and kurtosis in complex dynamics (Articolo in rivista)

Type
Label
  • Universal relation between skewness and kurtosis in complex dynamics (Articolo in rivista) (literal)
Anno
  • 2012-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1103/PhysRevE.85.066108 (literal)
Alternative label
  • Matthieu Cristelli; Andrea Zaccaria; Luciano Pietronero (2012)
    Universal relation between skewness and kurtosis in complex dynamics
    in Physical review. E, Statistical, nonlinear, and soft matter physics (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Matthieu Cristelli; Andrea Zaccaria; Luciano Pietronero (literal)
Pagina inizio
  • 066108 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 85 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 6 (literal)
Note
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • Department of Physics, University of Rome \"Sapienza,\" Piazzale Aldo Moro 5, 00185 Rome, Italy and ISC-CNR, Via dei Taurini 19, 00185 Rome, Italy (literal)
Titolo
  • Universal relation between skewness and kurtosis in complex dynamics (literal)
Abstract
  • We identify an important correlation between skewness and kurtosis for a broad class of complex dynamic systems and present a specific analysis of earthquake and financial time series. Two regimes of non-Gaussianity can be identified: a parabolic one, which is common in various fields of physics, and a power law one, with exponent 4/3, which at the moment appears to be specific of earthquakes and financial markets. For this property we propose a model and an interpretation in terms of very rare events dominating the statistics independently on the nature of the events considered. The predicted scaling relation between skewness and kurtosis matches very well the experimental pattern of the second regime. Regarding price fluctuations, this situation characterizes a universal stylized (literal)
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