arXiv subjects

Didier Sornette

Publications and source records attributed to Didier Sornette.

At least 217 records · Page 12Linked to original sources

arXiv2003

Importance of direct and indirect triggered seismicity

Using the simple ETAS branching model of seismicity, which assumes that each earthquake can trigger other earthquakes, we quantify the role played by the cascade of triggered seismicity in controlling the rate of aftershock decay as well as the overall level of seismicity in the presence of a constant external seismicity source. We show that, in this model, the fraction of earthquakes in the population that are aftershocks is equal to the fraction of aftershocks that are indirectly triggered and is given by the average number of triggered events per earthquake. Previous observations that a significant fraction of earthquakes are triggered earthquakes therefore imply that most aftershocks are indirectly triggered by the mainshock.

physics.geo-ph↗

arXiv2003

Foreshocks Explained by Cascades of Triggered Seismicity

The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope that large earthquakes may be predictable. Among proposed anomalous properties are the larger proportion than normal of large versus small foreshocks, the power law acceleration of seismicity rate as a function of time to the mainshock and the spatial migration of foreshocks toward the mainshock, when averaging over many sequences. Using Southern California seismicity, we show that these properties and others arise naturally from the simple model that any earthquake may trigger other earthquakes, without arbitrary distinction between foreshocks, aftershocks and mainshocks. We find that foreshocks precursory properties are independent of the mainshock size. This implies that earthquakes (large or small) are predictable to the same degree as seismicity rate is predictable from past seismicity by taking into account cascades of triggering. The cascades of triggering give rise naturally to long-range and long-time interactions, which can explain the observations of correlations in seismicity over surprisingly large length scales.

physics.geo-ph↗

arXiv2003

Are Aftershocks of Large Californian Earthquakes Diffusing?

We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress weakening. Here, we test an alternative mechanism to explain aftershock diffusion, based on multiple cascades of triggering. In order to characterize aftershock diffusion, we develop two methods, one based on a suitable time and space windowing, the other using a wavelet transform adapted to the removal of background seismicity. Both methods confirm that diffusion of seismic activity is very weak, much weaker than reported in previous studies. A possible mechanism explaining the weakness of observed diffusion is the effect of geometry, including the localization of aftershocks on a fractal fault network and the impact of extended rupture lengths which control the typical distances of interaction between earthquakes.

physics.geo-ph↗

arXiv2003

Intercluster Correlation in Seismicity

Mega et al.(cond-mat/0212529) proposed to use the ``diffusion entropy'' (DE) method to demonstrate that the distribution of time intervals between a large earthquake (the mainshock of a given seismic sequence) and the next one does not obey Poisson statistics. We have performed synthetic tests which show that the DE is unable to detect correlations between clusters, thus negating the claimed possibility of detecting an intercluster correlation. We also show that the LR model, proposed by Mega et al. to reproduce inter-cluster correlation, is insufficient to account for the correlation observed in the data.

physics.geo-ph↗

arXiv2002

Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes

We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H,q)-derivative is applied to seven time series ending with the October 1987 crash, the October 1997 correction and the April 2000 crash of the Dow Jones Industrial Average (DJIA), the Standard & Poor 500 and Nasdaq indices. The Hilbert transform is applied to two detrended price time series in terms of the ln(t_c-t) variable, where t_c is the time of the crash. Taking all results together, we find strong evidence for a universal fundamental log-frequency $f = 1.02 \pm 0.05$ corresponding to the scaling ratio $λ= 2.67 \pm 0.12$. These values are in very good agreement with those obtained in past works with different parametric techniques.

cond-mat.stat-mech↗

arXiv2002

The $-game

We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting opportunistically between the minority and the majority. The emergent properties of the price dynamics and of the wealth of agents are strikingly different from those found in MG. As the memory of agents is increased, we find a phase transition between a self-sustained speculative phase in which a ``stubborn majority'' of agents effectively collaborate to arbitrage a market-maker for their mutual benefit and a phase where the market-maker always arbitrages the agents. A subset of agents exhibit a sustained non-equilibrium risk-return profile.

cond-mat↗

arXiv2002

Generalized q-Analysis of Log-Periodicity: Applications to Critical Ruptures

We introduce a generalization of the q-analysis, which provides a novel non-parametric tool for the description and detection of log-periodic structures associated with discrete scale invariance. We use this generalized q-analysis to construct a signature called the (H,q)-derivative of discrete scale invariance, which we use to detect the log-periodicity in the energy release rate and its cumulative preceding the rupture of five pressure tanks made of composite carbon-matrix material. We investigate the significance level of the spectral Lomb periodogram of the optimal (H,q)-derivative. We confirm and strengthen previous parametric results that the energy release rate and it cumulative exhibit log-periodicity before rupture. However, our tests to use this method as a scheme for the prediction of the critical value of the stress at rupture are not encouraging.

cond-mat.stat-mech↗

arXiv2001

Finite-time singularity in the dynamics of the world population, economic and financial indices

Contrary to common belief, both the Earth's human population and its economic output have grown faster than exponential, i.e., in a super-Malthusian mode, for most of the known history. These growth rates are compatible with a spontaneous singularity occuring at the same critical time 2052 +- 10 signaling an abrupt transition to a new regime. The degree of abruptness can be infered from the fact that the maximum of the world population growth rate was reached in 1970, i.e., about 80 years before the predicted singular time, corresponding to approximately 4% of the studied time interval over which the acceleration is documented. This rounding-off of the finite-time singularity is probably due to a combination of well-known finite-size effects and friction and suggests that we have already entered the transition region to a new regime. In theoretical support, a multivariate analysis coupling population, capital, R&D and technology shows that a dramatic acceleration in the population during most of the timespan can occur even though the isolated dynamics do not exhibit it. Possible scenarios for the cross-over and the new regime are discussed. Nottale, Chaline and Grou have recently independently applied a log-periodic analysis to the main crises of different civilisations. It is striking that these two independent analyses based on a different data set gives a critical time which is compatible within the error bars.

cond-mat↗

arXiv2001

Classification of Possible Finite-Time Singularities by Functional Renormalization

Starting from a representation of the early time evolution of a dynamical system in terms of the polynomial expression of some observable f (t) as a function of the time variable in some interval 0 < t < T, we investigate how to extrapolate/forecast in some optimal stability sense the future evolution of f(t) for time t>T. Using the functional renormalization of Yukalov and Gluzman, we offer a general classification of the possible regimes that can be defined based on the sole knowledge of the coefficients of a second-order polynomial representation of the dynamics. In particular, we investigate the conditions for the occurence of finite-time singularities from the structure of the time series, and quantify the critical time and the functional nature of the singularity when present. We also describe the regimes when a smooth extremum replaces the singularity and determine its position and amplitude. This extends previous works by (1) quantifying the stability of the functional renormalization method more accurately, (2) introducing new global constraints in terms of moments and (3) going beyond the ``mean-field'' approximation.

cond-mat.stat-mech↗

arXiv2001

Evidence of Intermittent Cascades from Discrete Hierarchical Dissipation in Turbulence

We present the results of a search of log-periodic corrections to scaling in the moments of the energy dissipation rate in experiments at high Reynolds number (2500) of three-dimensional fully developed turbulence. A simple dynamical representation of the Richardson-Kolmogorov cartoon of a cascade shows that standard averaging techniques erase by their very construction the possible existence of log-periodic corrections to scaling associated with a discrete hierarchy. To remedy this drawback, we introduce a novel ``canonical'' averaging that we test extensively on synthetic examples constructed to mimick the interplay between a weak log-periodic component and rather strong multiplicative and phase noises. Our extensive tests confirm the remarkable observation of statistically significant log-periodic corrections to scaling, with a prefered scaling ratio for length scales compatible with the value gamma = 2. A strong confirmation of this result is provided by the identification of up to 5 harmonics of the fundamental log-periodic undulations, associated with up to 5 levels of the underlying hierarchical dynamical structure. A natural interpretation of our results is that the Richardson-Kolmogorov mental picture of a cascade becomes a realistic description if one allows for intermittent births and deaths of discrete cascades at varying scales.

cond-mat.stat-mech↗

arXiv2001

Statistical Significance of Periodicity and Log-Periodicity with Heavy-Tailed Correlated Noise

We estimate the probability that random noise, of several plausible standard distributions, creates a false alarm that a periodicity (or log-periodicity) is found in a time series. We investigate general situations with non-Gaussian correlated noises and present synthetic tests on the detectability and statistical significance of periodic components. Increasing heavy-tailness (respectively correlations describing persistence) tends to decrease (respectively increase) the false-alarm probability of finding a large spurious Lomb peak. Increasing anti-persistence tends to decrease the false-alarm probability. We also study the interplay between heavy-tailness and long-range correlations. In order to fully determine if a Lomb peak signals a genuine rather than a spurious periodicity, one should in principle characterize the Lomb peak height, its width and its relations to other peaks in the complete spectrum. As a step towards this full characterization, we construct the joint-distribution of the frequency position (relative to other peaks) and of the height of the highest peak of the power spectrum. We also provide the distributions of the ratio of the second highest Lomb peak to the maximum peak. Using the insight obtained by the present statistical study, we re-examine previously reported claims of ``log-periodicity'' and find that the credibility for log-periodicity in 2D-freely decaying turbulence is weakened while it is strengthened for fracture, for the ion-signature prior to the Kobe earthquake and for financial markets.

cond-mat.stat-mech↗

arXiv2001

Large Stock Market Price Drawdowns Are Outliers

Drawdowns are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) distributions of returns. Here, we extend considerably our previous analysis by analyzing the major financial indices, the major currencies, gold, the twenty largest U.S. companies in terms of capitalisation as well as nine others chosen randomly. We find for the major financial markets that approximately 98% of the distributions of drawdowns is well-represented by a stretched exponential while the largest drawdowns are occurring with a significantly larger rate than predicted by the stretched exponential: the largest drops thus constitute genuine outliers. This is confirmed by extensive testing on surrogate data, which unambiguously show that large stock market drops (and crashes) cannot be accounted for by the distribution of returns characterising the smaller market moves. They thus belong to a different class of their own and call for a specific amplification mechanism. A similar scenario is found for the majority of the company stocks analysed. Drawups exhibit a similar behavior in only about half the markets that we examined. In the spirit of Bacon in Novum Organum about 400 years ago, ``Errors of Nature, Sports and Monsters correct the understanding in regard to ordinary things, and reveal general forms. For whoever knows the ways of Nature will more easily notice her deviations; and, on the other hand, whoever knows her deviations will more accurately describe her ways,'' we propose that outliers reveal fundamental properties of the stock market.

cond-mat↗

arXiv2000

The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash

The Nasdaq Composite fell another $\approx 10 %$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: the belief in what was coined a ``New Economy'' both in 1929 and presently made share-prices of companies with three digits price-earning ratios soar. Furthermore, we show that the largest draw downs of the Nasdaq are outliers with a confidence level better than 99% and that these two speculative bubbles, as well as others, both nicely fit into the quantitative framework proposed by the authors in a series of recent papers.

cond-mat.stat-mech↗

arXiv2000

Critical Ruptures

The fracture of materials is a catastrophic phenomenon of considerable technological and scientific importance. Here, we analysed experiments designed for industrial applications in order to test the concept that, in heterogeneous materials such as fiber composites, rocks, concrete under compression and materials with large distributed residual stresses, rupture is a genuine critical point, i.e. the culmination of a self-organization of damage and cracking characterized by power law signatures. Specifically, we analyse the acoustic emissions recorded during the pressurisation of spherical tanks of kevlar or carbon fibers pre-impregnated in a resin matrix wrapped up around a thin metallic liner (steel or titanium) fabricated and instrumented by Aérospatiale-Matra Inc. These experiments are performed as part of a routine industrial procedure which tests the quality of the tanks prior to shipment and varies in nature. We find that the seven acoustic emission recordings of seven pressure tanks which was brought to rupture exhibit clear acceleration in agreement with a power law ``divergence'' expected from the critical point theory. In addition, we find strong evidence of log-periodic corrections that quantify the intermittent succession of accelerating bursts and quiescent phases of the acoustic emissions on the approach to rupture. An improved model accounting for the cross-over from the non-critical to the critical region close to the rupture point exhibits interesting predictive potential.

cond-mat.mtrl-sci↗

arXiv2000

Evaluation of the quantitative prediction of a trend reversal on the Japanese stock market in 1999

In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach $\approx 20500$ a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the underlying model: the forecast, performed at a time when the Nikkei was at its lowest (as we can now judge in hindsight), has correctly captured the change of trend as well as the quantitative evolution of the Nikkei index since its inception. As the change of trend from sluggish to recovery was estimated quite unlikely by many observers at that time, a Bayesian analysis shows that a skeptical (resp. neutral) Bayesian sees her prior belief in our model amplified into a posterior belief 19 times larger (resp. reach the 95% level).

cond-mat↗

arXiv1999

Download relaxation dynamics on the WWW following newspaper publication of URL

A few key properties of the World-Wide-Web (WWW) has been established indicating the lack of any characteristic scales for the WWW, both in its topology and in its dynamics. Here, we report an experiment which quantifies another power law describing the dynamical response of the WWW to a Dirac-like perturbation, specifically how the popularity of a web site evolves and relaxes as a function of time, in response to the publication of a notice/advertisement in a newspaper. Following the publication of an interview of the authors by a journalist which contained our URL, we monitored the rate of downloads of our papers and found it to obey a $1/t^b$ power law with exponent $b=0.58\pm 0.03$. This small exponent implies long-term memory and can be rationalized using the concept of persistence, which specifies how long a relaxing dynamical system remains in a neighborhood of its initial configuration.

cond-mat↗

arXiv1999

Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study

Twenty-two significant bubbles followed by large crashes or by severe corrections in the Argentinian, Brazilian, Chilean, Mexican, Peruvian, Venezuelan, Hong-Kong, Indonesian, Korean, Malaysian, Philippine and Thai stock markets indices are identified and analysed for log-periodic signatures decorating an average power law acceleration. We find that log-periodic power laws adequately describe speculative bubbles on these emerging markets with very few exceptions and thus extend considerably the applicability of the proposed rational expectation model of bubbles and crashes which has previously been developed for the major financial markets in the world. This model is essentially controlled by a crash hazard rate becoming critical due to a collective imitative/herding behavior of traders. Furthermore, three of the bubbles are followed by a log-periodic ``anti-bubble'' previously documented for the decay of the Japanese Nikkei starting in Jan. 1990 and the price of Gold starting in Sept. 1980 thus rendering a qualitative symmetry of bubble and anti-bubble around the date of the peak of the market. A set of secondary western stock market indices (London, Sydney, Auckland, Paris, Madrid, Milan, Zurich) as well as the Hong-Kong stock market are also shown to exhibit well-correlated log-periodic power law anti-bubbles over a period 6-15 months triggered by a rash of crises on emerging markets in the early 1994. As the US market declined by no more than 10% during the beginning of that period and quickly recovered, this suggests that these smaller stock western markets can ``phase lock'' (in a weak sense) not only because of the over-arching influence of Wall Street but also independently of the current trends on Wall Street due to other influences.

cond-mat↗

arXiv1999

Predicting Financial Crashes Using Discrete Scale Invariance

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting such log-periodic signatures.

cond-mat↗