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Didier Sornette

Publications and source records attributed to Didier Sornette.

At least 55 records · Page 3Linked to original sources

Oscillatory finite-time singularities in rockbursts

Forecasting violent rockbursts remains a formidable challenge due to significant uncertainties involved. One major uncertainty arises from the intermittency of rock failure processes, typically characterised by a series of progressively shorter quiescent phases punctuated by sudden accelerations, rather than a smooth continuous progression towards the final breakdown. This non-monotonic evolution of rock mass deformation complicates rockburst prediction, challenging conventional time-to-failure models that often assume a smooth power law accelerating behaviour. Here, we introduce a generalised time-to-failure model called log-periodic power law singularity (LPPLS) model to effectively capture the intermittent dynamics of damage and rupture processes in rock leading up to violent rockbursts. We perform parametric and nonparametric tests on 11 historical rockburst events at three underground mines, documenting empirical evidence and providing theoretical arguments to demonstrate the significance of log-periodic oscillatory power law finite-time singularities. Log-periodicity in these rockburst events is likely driven by the interaction of subparallel propagating cracks, the diffusion of stress-triggering processes, or the interplay between stress drop and stress corrosion. Our results and insights obtained have significant implications for not only understanding but also forecasting rockbursts, as recognising and characterising log-periodicity can help transform intermittency from traditionally perceived noise into valuable predictive information.

physics.geo-ph↗

Estimating Magnitude Completeness in Earthquake Catalogs: A Comparative Study of Catalog-based Methods

Without rigorous attention to the completeness of earthquake catalogs, claims of new discoveries or forecasting skills cannot be deemed credible. Therefore, estimating the completeness magnitude (Mc) is a critical step. Among various approaches, catalog-based methods are the simplest, most straightforward, and most commonly used. However, current evaluation frameworks for these methods lack a unified simulation strategy for generating catalogs that are independent of specific Mc estimation methods. An effective strategy should also be capable of simulating datasets with non-uniform Mc distributions across both spatial and temporal dimensions. In this study, we assess nine catalog-based methods under a robust evaluation framework specifically tailored for this purpose. These methods are tested on datasets with homogeneous and heterogeneous Mc distributions, as well as on real-world earthquake catalogs. The method of b-value stability by Woessner and Wiemer (2005), referred to as MBS-WW in this study, demonstrates the best overall performance. The prior model generated by MBS-WW is used as the foundation for generating an updated Mc map for China with the Bayesian Magnitude of Completeness (BMC) method. We also introduce, BSReLU, an augmented Gutenberg-Richter model with a novel probabilistic framework for modeling. The BSReLU model replaces deterministic estimates of Mc with a probabilistic framework that models the smooth transition in detection likelihood from zero to one as earthquake magnitudes increase. By evaluating the limitations of these foundational catalog-based methods, this study seeks to refine our understanding of their appropriate applications, offering a clearer, unbiased perspective on seismicity through improved observational data quality.

physics.geo-ph↗

Log-Periodic Power Law Singularities in Landslide Dynamics: Statistical Evidence from 52 Crises

Landslide movements typically show a series of progressively shorter quiescent phases, punctuated by sudden bursts during an acceleration crisis. We propose that such intermittent rupture phenomena can be described by a log-periodic power law singularity model. Amounting mathematically to a generalization of the power law exponent from real to complex numbers, this model captures the partial break of continuous scale invariance to discrete scale invariance that is inherent to the intermittent dynamics of damage and rupture processes in heterogeneous geomaterials. By performing parametric and nonparametric tests on a large dataset of 52 landslides, we present empirical evidence and theoretical arguments demonstrating the statistical significance of log-periodic oscillations decorating power law finite-time singularities during landslide crises. Log-periodic landslide motions may stem from the interaction between frictional stress drop along geological structures and stress corrosion damage in rock bridges, as well as the interplay of inertia, damage, and healing.

physics.geo-ph↗

Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings

We introduce two ratio-based robust test statistics, max-robust-sum (MRS) and sum-robust-sum (SRS), designed to enhance the robustness of outlier detection in samples with exponential or Pareto tails. We also reintroduce the inward sequential testing method -- formerly relegated since the introduction of outward testing -- and show that MRS and SRS tests reduce susceptibility of the inward approach to masking, making the inward test as powerful as, and potentially less error-prone than, outward tests. Moreover, inward testing does not require the complicated type I error control of outward tests. A comprehensive comparison of the test statistics is done, considering performance of the proposed tests in both block and sequential tests, and contrasting their performance with classical test statistics across various data scenarios. In five case studies -- financial crashes, nuclear power generation accidents, stock market returns, epidemic fatalities, and city sizes -- significant outliers are detected and related to the concept of `Dragon King' events, defined as meaningful outliers that arise from a unique generating mechanism.

stat.ME↗

Generalized failure law for landslides, rockbursts, glacier breakoffs, and volcanic eruptions

Catastrophic failures have momentous impact in many scientific and technological fields but remain challenging to understand and predict. One key difficulty lies in the burstiness of rupture phenomena, which typically involve a series of progressively shorter quiescent phases punctuated by sudden bursts, rather than a smooth continuous progression. This seemingly erratic pattern challenges the conventional power law assumption of continuous scale invariance. Here, we propose a generalized material failure law based on the log-periodic power law, which better captures the discrete scale invariance inherent in intermittent rupture dynamics. Our method's superiority is demonstrated through testing on 109 historical geohazard events, including landslides, rockbursts, glacier breakoffs, and volcanic eruptions. The results indicate that our method is general and robust, offering significant potential to forecast catastrophic failures.

physics.geo-ph↗

New horizon in the statistical physics of earthquakes: Dragon-king theory and dragon-king earthquakes

A systematic quantitative investigation into whether the mechanisms of large earthquakes are unique could significantly deepen our understanding of fault rupture and seismicity patterns. This research holds the potential to advance our ability to predict large earthquakes and enhance the effectiveness of disaster prevention and mitigation strategies. In 2009, one of us introduced the dragon-king theory, offering a quantitative framework for identifying and testing extreme outliers-referred to as dragon-king events-that are endogenously generated. This theory provides valuable tools for explaining, predicting, and managing the risks associated with these rare but highly impactful events. The present paper discusses the feasibility of applying this theory to seismology, proposing that dragon-king earthquake events can be identified as outliers to the Gutenberg-Richter law. It also examines several seismological mechanisms that may contribute to the occurrence of these extraordinary events. Although applying the dragon-king theory to seismology presents practical challenges, it offers the potential to significantly enrich statistical seismology. By reexamining the classification of earthquake rupture types through a statistical testing lens and integrating these insights with underlying physical mechanisms, this approach can greatly enhance the analytical tools and depth of research in the field of statistical seismology.

physics.geo-ph↗

Deep LPPLS: Forecasting of temporal critical points in natural, engineering and financial systems

The Log-Periodic Power Law Singularity (LPPLS) model offers a general framework for capturing dynamics and predicting transition points in diverse natural and social systems. In this work, we present two calibration techniques for the LPPLS model using deep learning. First, we introduce the Mono-LPPLS-NN (M-LNN) model; for any given empirical time series, a unique M-LNN model is trained and shown to outperform state-of-the-art techniques in estimating the nonlinear parameters $(t_c, m, ω)$ of the LPPLS model as evidenced by the comprehensive distribution of parameter errors. Second, we extend the M-LNN model to a more general model architecture, the Poly-LPPLS-NN (P-LNN), which is able to quickly estimate the nonlinear parameters of the LPPLS model for any given time-series of a fixed length, including previously unseen time-series during training. The Poly class of models train on many synthetic LPPLS time-series augmented with various noise structures in a supervised manner. Given enough training examples, the P-LNN models also outperform state-of-the-art techniques for estimating the parameters of the LPPLS model as evidenced by the comprehensive distribution of parameter errors. Additionally, this class of models is shown to substantially reduce the time to obtain parameter estimates. Finally, we present applications to the diagnostic and prediction of two financial bubble peaks (followed by their crash) and of a famous rockslide. These contributions provide a bridge between deep learning and the study of the prediction of transition times in complex time series.

cs.CE↗

Estimating Earthquake Early Warning Effectiveness via Blind Zone Sizes: A Case Study of the Planned Seismic Network in Chinese Mainland

The China Earthquake Administration (CEA) has launched an ambitious nationwide earthquake early warning (EEW) system project currently under development, which will include approximately 15,000 seismic stations and be the largest EEW system in the world. The new EEW system is planned to go online at the end of 2023. In approximately 50%, 30% and 20% of Chinese mainland, the inter-station distance will soon be smaller than 50 km, 25 km and 15 km, respectively. The expected effectiveness of this EEW system can be quantified via the metric determined from the radius of the blind zone, which refers to the area near the epicenter where there is insufficient time to issue a warning before the arrival of strong S- and surface waves. This study uses a theoretical network-based method together with Monte Carlo simulation to obtain the spatial distribution of the blind zone radii and their associated uncertainties for the new seismic network based on its configuration. We find that the densified new seismic network is expected to have excellent EEW performance as the area covered by small blind zones with radius less than 30 km increases dramatically from approximately 2% to 22%, that is by 2.4 million km2 inside Chinese mainland. We also find that every 1,000,000 RMB (about 146,000 USD) invested to densify the planned network will lead to an areal increase of 3,000 km2 of small blind zones. Continuing to increase the density of stations in some key regions with blind zone radii ranging from 15 to 40 km is still necessary to control the unexpected expansion of blind zones due to possible (and common) stations failure. Our work provides insights into the expected performance of the upcoming EEW network in Chinese mainland, and our proposed evaluation approach is broadly applicable for predicting the performance of EEW systems during their planning, design, and implementation stages.

physics.geo-ph↗

Revisiting Seismicity Criticality: A New Framework for Bias Correction of Statistical Seismology Model Calibrations

The Epidemic-Type Aftershock Sequences (ETAS) model and its variants effectively capture the space-time clustering of seismicity, setting the standard for earthquake forecasting. Accurate unbiased ETAS calibration is thus crucial. But we identify three sources of bias, (i) boundary effects, (ii) finite-size effects, and (iii) censorship, which are often overlooked or misinterpreted, causing errors in seismic analysis and predictions. By employing an ETAS model variant with variable spatial background rates, we propose a method to correct for these biases, focusing on the branching ratio n, a key indicator of earthquake triggering potential. Our approach quantifies the variation in the apparent branching ratio (napp) with increased cut-off magnitude (Mco) above the optimal cut-off (Mcobest). The napp(Mco) function yields insights superior to traditional point estimates. We validate our method using synthetic earthquake catalogs, accurately recovering the true branching ratio (ntrue) after correcting biases with napp(Mco). Additionally, our method introduces a refined estimation of the minimum triggering magnitude (m0), a crucial parameter in the ETAS model. Applying our framework to the earthquake catalogs of California, New Zealand, and the China Seismic Experimental Site (CSES) in Sichuan and Yunnan provinces, we find that seismicity hovers away from the critical point, nc = 1, remaining distinctly subcritical, however with values tending to be larger than recent reports that do not consider the above biases. It is interesting that, m0 is found around 4 for California, 3 for New Zealand and 2 for CSES, suggesting that many small triggered earthquakes may not be fertile. Understanding seismicity's critical state significantly enhances our comprehension of seismic patterns, aftershock predictability, and informs earthquake risk mitigation and management strategies.

physics.geo-ph↗

Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin

We study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least $200$ weeks with an exponent approximately equal to $0.9$, indicating very long memory effects. We also report significant sample-to-sample variations of the distribution of holding times, which can be best characterized as multiscaling, with power-law exponents varying between $0.3$ and $2.5$ depending on bitcoin price regimes. We document significant differences between the distributions of book-to-market and of realized returns, showing that traders obtain far from optimal performance. We also report strong direct qualitative and quantitative evidence of the disposition effect in the Bitcoin Blockchain data. Defining age-dependent transaction flows as the fraction of bitcoins that are traded at a given time and that were born (last traded) at some specific earlier time, we document that the time-averaged transaction flow fraction has a power law dependence as a function of age, with an exponent close to $-1.5$, a value compatible with priority queuing theory. We document the existence of multifractality on the measure defined as the normalized number of bitcoins exchanged at a given time.

q-fin.TR↗

A standard form of master equations for general non-Markovian jump processes: the Laplace-space embedding framework and asymptotic solution

We present a standard form of master equations (ME) for general one-dimensional non-Markovian (history-dependent) jump processes, complemented by an asymptotic solution derived from an expanded system-size approach. The ME is obtained by developing a general Markovian embedding using a suitable set of auxiliary field variables. This Markovian embedding uses a Laplace-convolution operation applied to the velocity trajectory. We introduce an asymptotic method tailored for this ME standard, generalising the system-size expansion for these jump processes. Under specific stability conditions tied to a single noise source, upon coarse-graining, the Generalized Langevin Equation (GLE) emerges as a universal approximate model for point processes in the weak-coupling limit. This methodology offers a unified analytical toolset for general non-Markovian processes, reinforcing the universal applicability of the GLE founded in microdynamics and the principles of statistical physics.

cond-mat.stat-mech↗

The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling

We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $γ\simeq 1/P$, which we refer to as the earning yield and is analogous to the yield-to-maturity of an equivalent perpetual bond. This modeling strategy is illustrated with the choice for real-time $γ$ in the form of the Cox-Ingersoll-Ross (CIR) process, which allows us to derive analytically many stylised facts of financial prices and returns, such as the power law distribution of returns, transient super-exponential bubble behavior, and the fat-tailed distribution of prices before bubbles burst. Our model sheds new light on rationalizing the excess volatility and the equity premium puzzles. The model is calibrated to five well-known historical bubbles in the US and China stock markets via a quasi-maximum likelihood method with the L-BFGS-B optimization algorithm. Using $ϕ$-divergence statistics adapted to models prescribed in terms of stochastic differential equations, we show the superiority of the CIR process for $γ_t$ against three alternative models.

q-fin.MF↗

Processes analogous to ecological interactions and dispersal shape the dynamics of economic activities

The processes of ecological interactions, dispersal and mutations shape the dynamics of biological communities, and analogous eco-evolutionary processes acting upon economic entities have been proposed to explain economic change. This hypothesis is compelling because it explains economic change through endogenous mechanisms, but it has not been quantitatively tested at the global economy level. Here, we use an inverse modelling technique and 59 years of economic data covering 77 countries to test whether the collective dynamics of national economic activities can be characterised by eco-evolutionary processes. We estimate the statistical support of dynamic community models in which the dynamics of economic activities are coupled with positive and negative interactions between the activities, the spatial dispersal of the activities, and their transformations into other economic activities. We find strong support for the models capturing positive interactions between economic activities and spatial dispersal of the activities across countries. These results suggest that processes akin to those occurring in ecosystems play a significant role in the dynamics of economic systems. The strength-of-evidence obtained for each model varies across countries and may be caused by differences in the distance between countries, specific institutional contexts, and historical contingencies. Overall, our study provides a new quantitative, biologically inspired framework to study the forces shaping economic change.

econ.EM↗

Exact asymptotic solutions to nonlinear Hawkes processes: a systematic classification of the steady-state solutions

Hawkes point processes are first-order non-Markovian stochastic models of intermittent bursty dynamics with applications to physical, seismic, epidemic, biological, financial, and social systems. While accounting for positive feedback loops that may lead to critical phenomena in complex systems, the standard linear Hawkes process only describes excitative phenomena. To describe the co-existence of excitatory and inhibitory effects (or negative feedbacks), extensions involving nonlinear dependences of the intensity as a function of past activity are needed. However, such nonlinear Hawkes processes have been found hitherto to be analytically intractable due to the interplay between their non-Markovian and nonlinear characteristics, with no analytical solutions available. Here, we present various exact and robust asymptotic solutions to nonlinear Hawkes processes using the field master equation approach. We report explicit power law formulas for the steady state intensity distributions $P_{\mathrm{ss}}(λ)\propto λ^{-1-a}$, where the tail exponent $a$ is expressed analytically as a function of parameters of the nonlinear Hawkes models. We present three robust interesting characteristics of the nonlinear Hawkes process: (i) for one-sided positive marks (i.e., in the absence of inhibitory effects), the nonlinear Hawkes process can exhibit any power law relation either as intermediate asymptotics ($a\leq 0$) or as true asymptotics ($a>0$) by appropriate model selection; (ii) for distribution of marks with zero mean (i.e., for balanced excitatory and inhibitory effects), the Zipf law ($a\approx 1$) is universally observed for a wide class of nonlinear Hawkes processes with fast-accelerating intensity map; (iii) for marks with a negative mean, the asymptotic power law tail becomes lighter with an exponent increasing above 1 ($a>1$) as the mean mark becomes more negative.

cond-mat.stat-mech↗

Predicting the Future Performance of the Planned Seismic Network in Mainland China

The new broadband seismic network in China will increase the number of stations from approximately 950 to 2000. The higher-resolution monitoring of the frequent smaller earthquakes expected inside Mainland China can be quantified via the completeness magnitude (Mc) metric. Using the Bayesian Magnitude of Completeness (BMC) method, we generate the spatial distribution of Mc predicted for the new network, based on the prior model calibrated on the current earthquake catalog (2012 to 2021) and network configuration. If 99% of Mainland China is at present covered down to Mc = 2.7, this threshold will soon fall to Mc = 2.0. This means approximately 3 times more earthquakes available per year. Based on the observation that seismic precursors are most likely to be observed at least at 3 units below the mainshock magnitude, the new seismic network shall achieve the goal of almost total coverage for optimal seismic-based earthquake prediction research.

physics.geo-ph↗

Generic and adaptive probabilistic safety assessment models: Precursor analysis and multi-purpose utilization

Motivated by learning from experience and exploiting existing knowledge in civil nuclear operations, we have developed in-house generic PSA models for pressurized and boiling water reactors. The models are computationally light, handy, transparent, user-friendly, and easily adaptable to account for major plant-specific differences. They cover the common internal initiating events, frontline and support systems reliability and dependencies, human-factors, common-cause failures, and account for new factors typically overlooked in many developed PSAs. For quantification, the models use generic US reliability data, precursor analysis reports and studies, the ETHZ Curated Nuclear Events Database, and experts' opinions. Moreover, uncertainties in the most influential basic events are addressed. The generated results show good agreement with assessments available in the literature with detailed PSAs. We envision the models as an unbiased framework to measure nuclear operational risk with the same "ruler", and hence support inter-plant risk comparisons that are usually not possible due to differences in plant-specific PSA assumptions and scopes. The models can be used for initial risk screening, order-of-magnitude precursor analysis, and other research and pedagogic applications especially when no plant-specific PSAs are available. Finally, we are using the generic models for large-scale precursor analysis that will generate big picture trends, lessons, and insights.

physics.soc-ph↗

Ubiquitous power law scaling in nonlinear self-excited Hawkes processes

The origin(s) of the ubiquity of probability distribution functions (PDF) with power law tails is still a matter of fascination and investigation in many scientific fields from linguistic, social, economic, computer sciences to essentially all natural sciences. In parallel, self-excited dynamics is a prevalent characteristic of many systems, from the physics of shot noise and intermittent processes, to seismicity, financial and social systems. Motivated by activation processes of the Arrhenius form, we bring the two threads together by introducing a general class of nonlinear self-excited point processes with fast-accelerating intensities as a function of "tension". Solving the corresponding master equations, we find that a wide class of such nonlinear Hawkes processes have the PDF of their intensities described by a power law on the condition that (i) the intensity is a fast-accelerating function of tension, (ii) the distribution of marks is two-sided with non-positive mean, and (iii) it has fast-decaying tails. In particular, Zipf's scaling is obtained in the limit where the average mark is vanishing. This unearths a novel mechanism for power laws including Zipf's law, providing a new understanding of their ubiquity.

cond-mat.stat-mech↗

Triggering of large earthquakes is driven by their twins

Fundamentally related to the UV divergence problem in Physics, conventional wisdom in seismology is that the smallest earthquakes, which are numerous and often go undetected, dominate the triggering of major earthquakes, making the prediction of the latter difficult if not inherently impossible. By developing a rigorous validation procedure, we show that, in fact, large earthquakes (above magnitude 6.3 in California) are preferentially triggered by large events. Because of the magnitude correlations intrinsic in the validated model, we further rationalize the existence of earthquake doublets. These findings have far-reaching implications for short-term and medium-term seismic risk assessment, as well as for the development of a deeper theory without UV cut-off that is locally self-similar.

physics.geo-ph↗