Fat tails and black swans: Exact results for multiplicative processes with resets

Autores
Zanette, Damian Horacio; Manrubia, S.
Año de publicación
2020
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails?ubiquitous in the statistics of social, economic, and ecological systems. Our main goal is to provide a series of exact results on the dynamics and asymptotic behavior of increasingly complex versions of a basic multiplicative process with resets, including discrete and continuous-time variants and several degrees of randomness in the parameters that control the process. In particular, we show how the power-law distributions are built up as time elapses, how their moments behave with time, and how their stationary profiles become quantitatively determined by those parameters. Our discussion emphasizes the connection with financial systems, but these stochastic processes are also expected to be fruitful in modeling a wide variety of social and biological phenomena.
Fil: Zanette, Damian Horacio. Comisión Nacional de Energía Atómica. Gerencia del Área de Investigación y Aplicaciones No Nucleares. Gerencia de Física (Centro Atómico Bariloche); Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Patagonia Norte; Argentina
Fil: Manrubia, S.. Consejo Superior de Investigaciones Científicas. Centro Nacional de Biotecnología; España
Materia
MUTIPLICATIVE PROCESSES
STOCHASTIC PROCESSES
RESETTING
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/142455
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Fat tails and black swans: Exact results for multiplicative processes with resetsZanette, Damian HoracioManrubia, S.MUTIPLICATIVE PROCESSESSTOCHASTIC PROCESSESRESETTINGhttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails?ubiquitous in the statistics of social, economic, and ecological systems. Our main goal is to provide a series of exact results on the dynamics and asymptotic behavior of increasingly complex versions of a basic multiplicative process with resets, including discrete and continuous-time variants and several degrees of randomness in the parameters that control the process. In particular, we show how the power-law distributions are built up as time elapses, how their moments behave with time, and how their stationary profiles become quantitatively determined by those parameters. Our discussion emphasizes the connection with financial systems, but these stochastic processes are also expected to be fruitful in modeling a wide variety of social and biological phenomena.Fil: Zanette, Damian Horacio. Comisión Nacional de Energía Atómica. Gerencia del Área de Investigación y Aplicaciones No Nucleares. Gerencia de Física (Centro Atómico Bariloche); Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Patagonia Norte; ArgentinaFil: Manrubia, S.. Consejo Superior de Investigaciones Científicas. Centro Nacional de Biotecnología; EspañaAmerican Institute of Physics2020-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/142455Zanette, Damian Horacio; Manrubia, S.; Fat tails and black swans: Exact results for multiplicative processes with resets; American Institute of Physics; Chaos; 30; 3; 3-2020; 1-101054-15001089-7682CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://aip.scitation.org/doi/10.1063/1.5141837info:eu-repo/semantics/altIdentifier/doi/10.1063/1.5141837info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-22T11:20:32Zoai:ri.conicet.gov.ar:11336/142455instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-22 11:20:33.055CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Fat tails and black swans: Exact results for multiplicative processes with resets
title Fat tails and black swans: Exact results for multiplicative processes with resets
spellingShingle Fat tails and black swans: Exact results for multiplicative processes with resets
Zanette, Damian Horacio
MUTIPLICATIVE PROCESSES
STOCHASTIC PROCESSES
RESETTING
title_short Fat tails and black swans: Exact results for multiplicative processes with resets
title_full Fat tails and black swans: Exact results for multiplicative processes with resets
title_fullStr Fat tails and black swans: Exact results for multiplicative processes with resets
title_full_unstemmed Fat tails and black swans: Exact results for multiplicative processes with resets
title_sort Fat tails and black swans: Exact results for multiplicative processes with resets
dc.creator.none.fl_str_mv Zanette, Damian Horacio
Manrubia, S.
author Zanette, Damian Horacio
author_facet Zanette, Damian Horacio
Manrubia, S.
author_role author
author2 Manrubia, S.
author2_role author
dc.subject.none.fl_str_mv MUTIPLICATIVE PROCESSES
STOCHASTIC PROCESSES
RESETTING
topic MUTIPLICATIVE PROCESSES
STOCHASTIC PROCESSES
RESETTING
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails?ubiquitous in the statistics of social, economic, and ecological systems. Our main goal is to provide a series of exact results on the dynamics and asymptotic behavior of increasingly complex versions of a basic multiplicative process with resets, including discrete and continuous-time variants and several degrees of randomness in the parameters that control the process. In particular, we show how the power-law distributions are built up as time elapses, how their moments behave with time, and how their stationary profiles become quantitatively determined by those parameters. Our discussion emphasizes the connection with financial systems, but these stochastic processes are also expected to be fruitful in modeling a wide variety of social and biological phenomena.
Fil: Zanette, Damian Horacio. Comisión Nacional de Energía Atómica. Gerencia del Área de Investigación y Aplicaciones No Nucleares. Gerencia de Física (Centro Atómico Bariloche); Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Patagonia Norte; Argentina
Fil: Manrubia, S.. Consejo Superior de Investigaciones Científicas. Centro Nacional de Biotecnología; España
description We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails?ubiquitous in the statistics of social, economic, and ecological systems. Our main goal is to provide a series of exact results on the dynamics and asymptotic behavior of increasingly complex versions of a basic multiplicative process with resets, including discrete and continuous-time variants and several degrees of randomness in the parameters that control the process. In particular, we show how the power-law distributions are built up as time elapses, how their moments behave with time, and how their stationary profiles become quantitatively determined by those parameters. Our discussion emphasizes the connection with financial systems, but these stochastic processes are also expected to be fruitful in modeling a wide variety of social and biological phenomena.
publishDate 2020
dc.date.none.fl_str_mv 2020-03
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/142455
Zanette, Damian Horacio; Manrubia, S.; Fat tails and black swans: Exact results for multiplicative processes with resets; American Institute of Physics; Chaos; 30; 3; 3-2020; 1-10
1054-1500
1089-7682
CONICET Digital
CONICET
url http://hdl.handle.net/11336/142455
identifier_str_mv Zanette, Damian Horacio; Manrubia, S.; Fat tails and black swans: Exact results for multiplicative processes with resets; American Institute of Physics; Chaos; 30; 3; 3-2020; 1-10
1054-1500
1089-7682
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://aip.scitation.org/doi/10.1063/1.5141837
info:eu-repo/semantics/altIdentifier/doi/10.1063/1.5141837
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv American Institute of Physics
publisher.none.fl_str_mv American Institute of Physics
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 12.982451

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