arXiv subjects

Martin Heßler

Publications and source records attributed to Martin Heßler.

8 recordsLinked to original sources

arXiv2024

Do Inner Greenland's Melt Rate Dynamics Approach Coastal Ones?

The Greenland Ice Sheet may be nearing a tipping point, transitioning to permanent melting. This article analyses two melt rate time series using the Bayesian Langevin estimation (BLE), providing further evidence for destabilizing melt dynamics, along with new insights from the method's nonlinear parameterisation. Comparing the results for Western Central Greenland and the Nuussuaq peninsula suggests that inland melt dynamics may approach less stable coastal dynamics on slow and fast scales. Both datasets show a significant increase in fast-scale amplitudes since the 1970s, possibly driven by large-scale atmospheric fluctuations. Additionally, the BLE's nonlinear drift proves crucial for obtaining these results, as a linear Ornstein-Uhlenbeck process fails to capture these dynamics due to the oversimplification of a strictly positive autocorrelation function.

physics.geo-ph↗

arXiv2023

Quantifying Tipping Risks in Power Grids and beyond

Critical transitions, ubiquitous in nature and technology, necessitate anticipation to avert adverse outcomes. While many studies focus on bifurcation-induced tipping, where a control parameter change leads to destabilization, alternative scenarios are conceivable, e.g. noise-induced tipping by an increasing noise level in a multi-stable system. Although the generating mechanisms can be different, the observed time series can exhibit similar characteristics. Therefore, we propose a Bayesian Langevin approach, implemented in an open-source tool, which is capable of quantifying both deterministic and intrinsic stochastic dynamics simultaneously. After a detailed proof of concept, we analyse two bus voltage frequency time series of the historic North America Western Interconnection blackout on 10th August 1996. Our results unveil the intricate interplay of changing resilience and noise influence. A comparison with the blackout's timeline supports our frequency dynamics' Langevin model, with the BL-estimation indicating a permanent grid state change already two minutes before the officially defined triggering event. A tree-related high impedance fault or sudden load increases may serve as earlier triggers during this event, as suggested by our findings. This study underscores the importance of distinguishing destabilizing factors for a reliable anticipation of critical transitions, offering a tool for better understanding such events across various disciplines.

physics.data-an↗

arXiv2023

Anticipation of Oligocene's climate heartbeat by simplified eigenvalue estimation

The Eocene-Oligocene transition marks a watershed point of earth's climate history. The climate shifts from a greenhouse state to an icehouse state in which Antarctica glaciated for the first time and periodic dynamics arise which are still relevant for our current climate. We analyse a $CaCO_3$ concentration time series which covers the Eocene-Oligocene transition and which is obtained from a Pacific sediment core at site DSDP1218. Therefore, we introduce a simplified autoregression-based variant of the dominant eigenvalue (DEV) estimation procedure. The DEV works as leading indicator of bifurcation-induced transitions and enables us to identify the bifurcation type. We confirm its reliability in a methodological study and demonstrate the crucial importance of proper detrending to obtain unbiased results. As a remark, we discuss also possible pathways to estimate the stability of limit cycles based on the DEV and the alternative drift slope as a proof of principle. Finally, we present the DEV analysis results of the $CaCO_3$ concentration time series which are reproducible in a wide parameter range. Our findings demonstrate that the onset of Oligocene's periodic dynamics might be announced by a Neimark-Sacker/Hopf bifurcation in course of the Eocene-Oligocene transition 34 mya. (We follow the convention and use mya$\widehat{=}$"million years ago" and Ma$\widehat{=}$"million years" throughout the article.)

physics.ao-ph↗

arXiv2023

Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation

Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a Bayesian multi-trend change point analysis which solves significant memory and computing time limitations to extract crisis information from a correlation metric. Therefore, we focus on the recently investigated S&P500 mean market correlation in a period of roughly 20 years that includes the dot-com bubble, the global financial crisis and the Euro crisis. The analysis is performed two-fold: first, in retrospect on the whole dataset and second, in an on-line adaptive manner in pre-crisis segments. The on-line sensitivity horizon is roughly determined to be 80 up to 100 trading days after a crisis onset. A detailed comparison to global economic events supports the interpretation of the mean market correlation as an informative macroeconomic measure by a rather good agreement of change point distributions and major crisis events. Furthermore, the results hint to the importance of the U.S. housing bubble as trigger of the global financial crisis, provide new evidence for the general reasoning of locally (meta)stable economic states and could work as a comparative impact rating of specific economic events.

q-fin.ST↗

arXiv2023

Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse the mean market correlation of the S&P500 which corresponds to the main market mode in principle component analysis. We fit a generalised Langevin equation (GLE) to the data whose memory kernel implies that there is a significant memory effect in the market correlation ranging back at least three trading weeks. The memory kernel improves the forecasting accuracy of the GLE compared to models without memory and hence, such a memory effect has to be taken into account for optimal portfolio selection to minimise risk or for predicting future correlations. Moreover, a Bayesian resilience estimation provides further evidence for non-Markovianity in the data and suggests the existence of a hidden slow time scale that operates on much slower times than the observed daily market data. Assuming that such a slow time scale exists, our work supports previous research on the existence of locally stable market states.

q-fin.ST↗

arXiv2023

Identifying Dominant Industrial Sectors in Market States of the S&P 500 Financial Data

Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial institutions and regulatory agencies. Based on the finding that the dynamics of sector correlation matrices of the S&P 500 stock market can be described by a sequence of distinct states via a clustering algorithm, we try to identify the industrial sectors dominating the correlation structure of each state. For this purpose, we use a method from Explainable Artificial Intelligence (XAI) on daily S&P 500 stock market data from 1992 to 2012 to assign relevance scores to every feature of each data point. To compare the significance of the features for the entire data set we develop an aggregation procedure and apply a Bayesian change point analysis to identify the most significant sector correlations. We show that the correlation matrix of each state is dominated only by a few sector correlations. Especially the energy and IT sector are identified as key factors in determining the state of the economy. Additionally we show that a reduced surrogate model, using only the eight sector correlations with the highest XAI-relevance, can replicate 90% of the cluster assignments. In general our findings imply an additional dimension reduction of the dynamics of the financial market.

q-fin.ST↗

arXiv2022

Quantifying resilience and the risk of regime shifts under strong correlated noise

Early warning indicators often suffer from the shortness and coarse-graining of real-world time series. Furthermore, the typically strong and correlated noise contributions in real applications are severe drawbacks for statistical measures. Even under favourable simulation conditions the measures are of limited capacity due to their qualitative nature and sometimes ambiguous trend-to-noise ratio. In order to solve these shortcomings, we analyse the stability of the system via the slope of the deterministic term of a Langevin equation, which is hypothesized to underlie the system dynamics close to the fixed point. The open-source available method is applied to a previously studied seasonal ecological model under noise levels and correlation scenarios commonly observed in real world data. We compare the results to autocorrelation, standard deviation, skewness and kurtosis as leading indicator candidates by a Bayesian model comparison with a linear and a constant model. We show that the slope of the deterministic term is a promising alternative due to its quantitative nature and high robustness against noise levels and types. The commonly computed indicators apart from the autocorrelation with deseasonalization fail to provide reliable insights into the stability of the system in contrast to a previously performed study in which the standard deviation was found to perform best. In addition, we discuss the significant influence of the seasonal nature of the data to the robust computation of the various indicators, before we determine approximately the minimal amount of data per time window that leads to significant trends for the drift slope estimations.

physics.data-an↗

arXiv2021

Bayesian on-line anticipation of critical transitions

The design of reliable indicators to anticipate critical transitions in complex systems is an im portant task in order to detect a coming sudden regime shift and to take action in order to either prevent it or mitigate its consequences. We present a data-driven method based on the estimation of a parameterized nonlinear stochastic differential equation that allows for a robust anticipation of critical transitions even in the presence of strong noise levels like they are present in many real world systems. Since the parameter estimation is done by a Markov Chain Monte Carlo approach we have access to credibility bands allowing for a better interpretation of the reliability of the results. By introducing a Bayesian linear segment fit it is possible to give an estimate for the time horizon in which the transition will probably occur based on the current state of information. This approach is also able to handle nonlinear time dependencies of the parameter controlling the transition. In general the method could be used as a tool for on-line analysis to detect changes in the resilience of the system and to provide information on the probability of the occurrence of a critical transition in future.

physics.data-an↗