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arXiv · 1004.2149

Noise-induced volatility of collective dynamics

Georges Harras·Claudio J. Tessone·Didier Sornette
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Abstract

"Noise-induced volatility" refers to a phenomenon of increased level of fluctuations in the collective dynamics of bistable units in the presence of a rapidly varying external signal, and intermediate noise levels. The archetypical signature of this phenomenon is that --beyond the increase in the level of fluctuations-- the response of the system becomes uncorrelated with the external driving force, making it different from stochastic resonance. Numerical simulations and an analytical theory of a stochastic dynamical version of the Ising model on regular and random networks demonstrate the ubiquity and robustness of this phenomenon, which is argued to be a possible cause of excess volatility in financial markets, of enhanced effective temperatures in a variety of out-of-equilibrium systems and of strong selective responses of immune systems of complex biological organisms. Extensive numerical simulations are compared with a mean-field theory for different network topologies.

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BibTeXRIS

Georges Harras, Claudio J. Tessone, Didier Sornette. 2011-08-09. Noise-induced volatility of collective dynamics. https://doi.org/10.1103/physreve.85.011150

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