eprintid: 1875
rev_number: 7
eprint_status: archive
userid: 6
dir: disk0/00/00/18/75
datestamp: 2013-11-06 11:44:31
lastmod: 2013-11-20 09:00:49
status_changed: 2013-11-06 11:44:31
type: article
metadata_visibility: show
creators_name: Podobnik, Boris
creators_name: Ivanov, Plamen Ch.
creators_name: Lee, Youngki
creators_name: Chessa, Alessandro
creators_name: Stanley, H. Eugene
creators_id: 
creators_id: 
creators_id: 
creators_id: alessandro.chessa@imtlucca.it
creators_id: 
title: Systems with correlations in the variance: Generating power law tails in probability distributions
ispublished: pub
subjects: QC
divisions: EIC
full_text_status: none
keywords: Subject: Computational physics; Statistical physics and nonlinear systems   -  PACS: 02.50.Ey Stochastic processes; 05.40.Fb Random walks and Levy flights; 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion

abstract: We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by i) a Gaussian or ii) a truncated Lévy distribution. For both i) and ii), we find that due to the correlations in the variance, the process "dynamically" generates power law tails in the distributions, whose exponents can be controlled through the way the correlations in the variance are introduced. For ii), we find that the process can extend a truncated distribution beyond the truncation cutoff, which leads to a crossover between a Lévy stable power law and the present "dynamically generated" power law. We show that the process can explain the crossover behavior recently observed in the S&P500 stock index.
date: 2000
date_type: published
publication: EPL (Europhysics Letters)
volume: 50
number: 6
publisher: IOPscience
pagerange: 711-717
id_number: 10.1209/epl/i2000-00540-7
refereed: TRUE
issn: 0295-5075      
official_url: http://dx.doi.org/10.1209/epl/i2000-00540-7
related_url_url: http://arxiv.org/abs/cond-mat/9910433
citation:   Podobnik, Boris and Ivanov, Plamen Ch. and Lee, Youngki and Chessa, Alessandro and Stanley, H. Eugene  Systems with correlations in the variance: Generating power law tails in probability distributions.  EPL (Europhysics Letters), 50 (6).  pp. 711-717.  ISSN 0295-5075       (2000)