arXiv subjects

A. Arneodo

Publications and source records attributed to A. Arneodo.

10 recordsLinked to original sources

arXiv2021

Power-law and log-normal avalanche size statistics in random growth processes

We study the avalanche statistics observed in a minimal random growth model. The growth is governed by a reproduction rate obeying a probability distribution with finite mean a and variance va. These two control parameters determine if the avalanche size tends to a stationary distribution, (Finite Scale statistics with finite mean and variance or Power-Law tailed statistics with exponent in (1, 3]), or instead to a non-stationary regime with Log-Normal statistics. Numerical results and their statistical analysis are presented for a uniformly distributed growth rate, which are corroborated and generalized by analytical results. The latter show that the numerically observed avalanche regimes exist for a wide family of growth rate distributions and provide a precise definition of the boundaries between the three regimes.

physics.data-an↗

arXiv2021

Quantifying the rationality of rhythmic signals

Rhythms and vibrations represent the quintessence of life, they are ubiquitous (systemic) in all living systems. Recognising, unfolding these rhythms is paramount in medicine, for example in the physiology of the heart, lung, hearing, speech, brain, the cellular and molecular processes involved in biological clocks. The importance of the commensurability of the frequencies in different rhythms has been thoroughly studied in music. We define a log-frequency correlation measure on spectral densities that gives the temporal evolution of the distribution of frequency ratios (rational or irrational) in between two signals, using analytic wavelets. We illustrate these concepts on numerical signals (sums of sine functions) and voice recordings from the Voice-Icar-Federico II database. Finally, with a second correlation operation from two of these ratio distributions (a reference one, the other from the voices) we introduce another quantity that we call \emph{sonance}, measuring the ``harmony'' (rationality) of two voices sung together as a function of a pitch transposition.

q-bio.NC↗

arXiv2008

Universal intermittent properties of particle trajectories in highly turbulent flows

We present a collection of eight data sets, from state-of-the-art experiments and numerical simulations on turbulent velocity statistics along particle trajectories obtained in different flows with Reynolds numbers in the range $R_λ\in [120:740]$. Lagrangian structure functions from all data sets are found to collapse onto each other on a wide range of time lags, revealing a universal statistics, and calling for a unified theoretical description. Parisi-Frisch Multifractal theory, suitable extended to the dissipative scales and to the Lagrangian domain, is found to capture intermittency of velocity statistics over the whole three decades of temporal scales here investigated.

nlin.CD↗

arXiv2006

Unified Multifractal Description of Velocity Increments Statistics in Turbulence: Intermittency and Skewness

The phenomenology of velocity statistics in turbulent flows, up to now, relates to different models dealing with either signed or unsigned longitudinal velocity increments, with either inertial or dissipative fluctuations. In this paper, we are concerned with the complete probability density function (PDF) of signed longitudinal increments at all scales. First, we focus on the symmetric part of the PDFs, taking into account the observed departure from scale invariance induced by dissipation effects. The analysis is then extended to the asymmetric part of the PDFs, with the specific goal to predict the skewness of the velocity derivatives. It opens the route to the complete description of all measurable quantities, for any Reynolds number, and various experimental conditions. This description is based on a single universal parameter function D(h) and a universal constant R*.

cond-mat.stat-mech↗

arXiv2005

Intermittency of velocity time increments in turbulence

We analyze the statistics of turbulent velocity fluctuations in the time domain. Three cases are computed numerically and compared: (i) the time traces of Lagrangian fluid particles in a (3D) turbulent flow (referred to as the "dynamic" case); (ii) the time evolution of tracers advected by a frozen turbulent field (the "static" case), and (iii) the evolution in time of the velocity recorded at a fixed location in an evolving Eulerian velocity field, as it would be measured by a local probe (referred to as the "virtual probe" case). We observe that the static case and the virtual probe cases share many properties with Eulerian velocity statistics. The dynamic (Lagrangian) case is clearly different; it bears the signature of the global dynamics of the flow.

cond-mat.stat-mech↗

arXiv2003

Lagrangian Velocity Statistics in Turbulent Flows: Effects of Dissipation

We use the multifractal formalism to describe the effects of dissipation on Lagrangian velocity statistics in turbulent flows. We analyze high Reynolds number experiments and direct numerical simulation (DNS) data. We show that this approach reproduces the shape evolution of velocity increment probability density functions (PDF) from Gaussian to stretched exponentials as the time lag decreases from integral to dissipative time scales. A quantitative understanding of the departure from scaling exhibited by the magnitude cumulants, early in the inertial range, is obtained with a free parameter function D(h) which plays the role of the singularity spectrum in the asymptotic limit of infinite Reynolds number. We observe that numerical and experimental data are accurately described by a unique quadratic D(h) spectrum which is found to extend from $h_{min} \approx 0.18$ to $h_{max} \approx 1$, as the signature of the highly intermittent nature of Lagrangian velocity fluctuations.

cond-mat.stat-mech↗

arXiv2002

Long time correlations in Lagrangian dynamics: a key to intermittency in turbulence

New aspects of turbulence are uncovered if one considers flow motion from the perspective of a fluid particle (known as the Lagrangian approach) rather than in terms of a velocity field (the Eulerian viewpoint). Using a new experimental technique, based on the scattering of ultrasounds, we have obtained a direct measurement of particle velocities, resolved at all scales, in a fully turbulent flow. It enables us to approach intermittency in turbulence from a dynamical point of view and to analyze the Lagrangian velocity fluctuations in the framework of random walks. We find experimentally that the elementary steps in the 'walk' have random uncorrelated directions but a magnitude that is extremely long-range correlated in time. Theoretically, we study a Langevin equation that incorporates these features and we show that the resulting dynamics accounts for the observed one- and two-point statistical properties of the Lagrangian velocity fluctuations. Our approach connects the intermittent statistical nature of turbulence to the dynamics of the flow.

physics.flu-dyn↗

arXiv2001

Should we abandon cascade models to describe the spatial complexity of fully developed turbulence velocity profiles ?

We perform one- and two-points magnitude cumulant analysis of one-dimensional longitudinal velocity profiles stemming from three different experimental set-ups and covering a broad range of Taylor scaled Reynolds numbers from 89 to 2500. While the first-order cumulant behavior is found to strongly depend on Reynolds number and experimental conditions, the second-order cumulant and the magnitude connected correlation functions are shown to display respectively universal scale and space-lag behavior. Despite the fact that the Extended Self-Similarity (ESS) hypothesis is not consistent with these findings, when extrapolating our results to the limit of infinite Reynolds number, one confirms the validity of the log-normal multifractal description of the intermittency phenomenon with a well defined intermittency parameter C2 = 0.025 +/- 0.003. But the convergence to zero of the magnitude connected correlation functions casts doubt on the asymptotic existence of an underlying multiplicative cascading spatial structure.

cond-mat.stat-mech↗

arXiv2000

Multifractal returns and Hierarchical Portfolio Theory

We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate framework to account simultaneously for correlations across times scales and between a basket of assets. The reported empirical results show that this extension is pertinent for financial modelling. The second part of the paper applies this theory to portfolio optimisation. Our multi-scale description allows us to characterize the portfolio return distribution at all time scales simultaneously. The portfolio composition is predicted to change with the investment time horizon (i.e., the time scale) in a way that can be fully determined once an adequate measure of risk is chosen. We discuss the use of the fourth-order cumulant and of utility functions. While the portfolio volatility can be optimized in some cases for all time horizons, the kurtosis and higher normalized cumulants cannot be simultaneously optimized. For a fixed investment horizon, we study in details the influence of the number of periods, i.e., of the number of rebalancing of the portfolio. For the large risks quantified by the cumulants of order larger than two, the number of periods has a non-trivial influence, in contrast with Tobin's result valid in the mean-variance framework. This theory provides a fundamental framework for the conflicting optimization involved in the different time horizons and quantifies systematically the trade-offs for an optimal inter-temporal portfolio optimization.

cond-mat.stat-mech↗

arXiv1997

Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''

Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our theoretical understanding of agent interactions and of the organization of the market. The gaussian paradigm of independent normally distributed price increments has long been known to be incorrect with many attempts to improve it. Econometric nonlinear autoregressive models with conditional heteroskedasticity (ARCH) and their generalizations capture only imperfectly the volatility correlations and the fat tails of the probability distribution function (pdf) of price variations. Moreover, as far as changes in time scales are concerned, the so-called ``aggregation'' properties of these models are not easy to control. More recently, the leptokurticity of the full pdf was described by a truncated ``additive'' Lévy flight model (TLF). Alternatively, Ghashghaie et al. proposed an analogy between price dynamics and hydrodynamic turbulence. In this letter, we use wavelets to decompose the volatility of intraday (S&P500) return data across scales. We show that when investigating two-points correlation functions of the volatility logarithms across different time scales, one reveals the existence of a causal information cascade from large scales (i.e. small frequencies, hence to vocable ``infrared'') to fine scales (``ultraviolet''). We quantify and visualize the information flux across scales. We provide a possible interpretation of our findings in terms of market dynamics.

cond-mat.stat-mech↗