Response to Disturbance and Abundance of Final State： a Measure for Complexity？

We propose a new definition of complexity. The definition shows that when a system evolves to a final state via a transient state, its complexity depends on the abundance of both the final state and transient state. The abundance of the transient state may be described by the diversity of the response to disturbance. We hope that this definition can describe a clear boundary between simple systems and complex systems by showing that all the simple systems have zero complexity, and all the complex systems have positive complexity. Some examples of the complexity calculations are presented, which supports our hope.     

Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy

In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study.     

Empirical shape function of limit-order books in the Chinese stock market

We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell sides of the LOB. The LOB shape function has nice exponential form in the right tail. The buy side of the LOB is found to be abnormally thicker for the price levels close to the same best although there are much more sell orders on the book. We also find that the LOB shape functions for both buy and sell sides have periodic peaks with a period of five. The 1-min averaged volumes at fixed tick level follow log-normal distributions except for the left tails which display power-law behaviors, exhibit abnormal intraday patterns with increasing trend, and possess long memory that cannot be explained by the intraday patterns. Academic implications of our empirical results are also briefly discussed.     

A delay fractioning approach to global synchronization of delayed complex networks with stochastic disturbances

In this Letter, the synchronization problem is investigated for a class of stochastic complex networks with time delays. By utilizing a new Lyapunov functional form based on the idea of ‘delay fractioning’, we employ the stochastic analysis techniques and the properties of Kronecker product to establish delay-dependent synchronization criteria that guarantee the globally asymptotically mean-square synchronization of the addressed delayed networks with stochastic disturbances. These sufficient conditions, which are formulated in terms of linear matrix inequalities (LMIs), can be solved efficiently by the LMI toolbox in Matlab. The main results are proved to be much less conservative and the conservatism could be reduced further as the number of delay fractioning gets bigger. A simulation example is exploited to demonstrate the advantage and applicability of the proposed result.     

Forgetting and gravitation: From Landauer's principle to Tolman's temperature

The erasure of a bit of information requires the dissipation of a minimal amount of energy as being formulated in Landauer's principle. We show that for an information processing device in a static gravitational field Landauer's lower energy bound is determined by Tolman's temperature relation.     

Maximum Path Information and Fokker--Planck Equation

We present a rigorous method to derive the nonlinear Fokker-Planck （FP） equation of anomalous diffusion directly from a generalization of the principle of least action of Maupertuis proposed by Wang [Chaos, Solitons ＆ Fractals 23 （2005） 1253] for smooth or quasi-smooth irregular dynamics evolving in Markovian process. The FP equation obtained may take two different but equivalent forms. It was also found that the diffusion constant may depend on both q （the index of Tsallis entropy [J. Stat. Phys. 52 （1988） 479] and the time t.     

Testing a priority-based queue model with Linux command histories

We study human dynamics by analyzing Linux history files. The goodness-of-fit test shows that most of the collected datasets belong to the universality class suggested in the literature by a variable-length queuing process based on priority. In order to check the validity of this model, we design two tests based on mutual information between time intervals and a mathematical relationship known as the arcsine law. Since the previously suggested queuing process fails to pass these tests, the result suggests that the modelling of human dynamics should properly consider the statistical dependency in the temporal dimension.     

Scaling and universality in city space syntax: Between Zipf and Matthew

We report about the universality of rank-integration distributions of open spaces in city space syntax similar to the famous rank-size distributions of cities (Zipf’s law). We also demonstrate that the degree of choice an open space represents for other spaces directly linked to it in a city follows a power-law statistic. Universal statistical behavior of space syntax measures uncovers the universality of the city creation mechanism. We suggest that the observed universality may help to establish the international definition of a city as a specific land use pattern.     

Size limiting in Tsallis statistics

Power law scaling is observed in many physical, biological and socio-economical complex systems and is now considered an important property of these systems. In general, power law exists in the central part of the distribution. It has deviations from power law for very small and very large variable sizes. Tsallis, through non-extensive thermodynamics, explained power law distribution in many cases including deviation from the power law. In case of very large steps, they used the heuristic crossover approach. In the present work, we present an alternative model in which we consider that the entropy factor q decreases with variable size due to the softening of long range interactions or memory. We apply this model for distribution of citation index of scientists and examination scores and are able to explain the distribution for entire variable range. In the present model, we can have very sharp cut-off without interfering with power law in its central part as observed in many cases.     

Characterizing correlation changes of complex pattern transitions: The case of epileptic activity

We analyze the time-dependent spectrum of eigenvalues of the correlation matrix for multivariate EEG data at the transition to epileptic seizures. By a mechanism of level repulsion between states at both edges of the spectrum of the correlation matrix, relevant information about quantitative correlation changes is reflected in the largest and smallest eigenvalues and corresponding eigenvectors. By the application of measures from random matrix theory we provide evidence that statistically relevant information can be obtained both at the upper and the lower end of the spectrum. In addition, information about spatial characteristics of correlation changes can be extracted.     

Individual popularity and activity in online social systems

We propose a stochastic model of web user behaviors in online social systems, and study the influence of the attraction kernel on the statistical property of user or item occurrence. Combining the different growth patterns of new entities and attraction patterns of old ones, different heavy-tailed distributions for popularity and activity which have been observed in real life, can be obtained. From a broader perspective, we explore the underlying principle governing the statistical feature of individual popularity and activity in online social systems and point out the potential simple mechanism underlying the complex dynamics of the systems.     

Empirical analysis of individual popularity and activity on an online music service system

Quantitative understanding of human behaviors supplies basic comprehension of the dynamics of many socio-economic systems. Based on the log data of an online music service system, we investigate the statistical characteristics of individual activity and popularity, and find that the distributions of both of them follow a stretched exponential form which interpolates between exponential and power law distribution. We also study the human dynamics on the online system and find that the distribution of interevent time between two consecutive listenings of music shows the fat tail feature. Besides, with the reduction of user activity the fat tail becomes more and more irregular, indicating different behavior patterns for users with diverse activities. The research results may shed some light on the in-depth understanding of collective behaviors in socio-economic systems.     

Detrended fluctuation analysis of intertrade durations

The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse U-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on a detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractality.     

Characteristics of the volatility in the Korea composite stock price index

We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.     

Scaling in the distribution of intertrade durations of Chinese stocks

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also observed in the intertrade duration distributions for filled and partially filled trades and in the conditional distributions. The ensemble distributions for all stocks are modeled by the Weibull and the Tsallis q-exponential distributions. Maximum likelihood estimation shows that the Weibull distribution outperforms the q-exponential for not-too-large intertrade durations which account for more than 98.5% of the data. Alternatively, nonlinear least-squares estimation selects the q-exponential as a better model, in which the optimization is conducted on the distance between empirical and theoretical values of the logarithmic probability densities. The distribution of intertrade durations is Weibull followed by a power-law tail with an asymptotic tail exponent close to 3.     

On the estimation of the power-law exponent in the mean-field Bouchaud-Mézard model

In this article, our primary objective is to develop an estimator of the power-law exponent based on the observable individual wealth in the mean-field Bouchaud-Mézard model. As a result, a simple and strongly consistent estimator of the power-law exponent in the mean-field Bouchaud-Mézard model has been established and performs well on simulated data.     

Inherent correlations between thermodynamics and statistical physics in extensive and nonextensive systems

With the help of a general expression of the entropies in extensive and nonextensive systems, some important relations between thermodynamics and statistical mechanics are revealed through the views of thermodynamics and statistical physics. These relations are proved through the MaxEnt approach once again. It is found that for a reversible isothermal process, the information contained in the first and second laws of thermodynamics and the MaxEnt approach is equivalent. Moreover, these relations are used to derive the probability distribution functions in nonextensive and extensive statistics and calculate the generalized forces of some interesting systems. The results obtained are of universal significance.     

Peculiar statistical properties of Chinese stock indices in bull and bear market phases

Chinese stock markets have experienced an extraordinary bull market since Jan 2006, which attracted global eyes. We investigate the statistical properties of the indices’ log-return r(t) for the bull market (Jan 2006-Oct 2007) and the previous bear market (Jan 2001-Dec 2005). Here we report three peculiar features of r(t): (i) the cumulative distribution function curve of r(t) in the bull market is similar to that in the bear market; (ii) the autocorrelation function of r(t) in the bull market has a stronger negative correlation and a shorter correlation time than that in the bear market; (iii) the bull market shows stronger long-term correlation than the bear market. This work has relevance to understanding novel statistical properties in economic systems.     

Empirical study of recent Chinese stock market

We investigate the statistical properties of the empirical data taken from the Chinese stock market during the time period from January, 2006 to July, 2007. By using the methods of detrended fluctuation analysis (DFA) and calculating correlation coefficients, we acquire the evidence of strong correlations among different stock types, stock index, stock volume turnover, A share (B share) seat number, and GDP per capita. In addition, we study the behavior of “volatility”, which is now defined as the difference between the new account numbers for two consecutive days. It is shown that the empirical power-law of the number of aftershock events exceeding the selected threshold is analogous to the Omori law originally observed in geophysics. Furthermore, we find that the cumulative distributions of stock return, trade volume and trade number are all exponential-like, which does not belong to the universality class of such distributions found by Xavier Gabaix et al. [Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley, Nature, 423 (2003)] for major western markets. Through the comparison, we draw a conclusion that regardless of developed stock markets or emerging ones, “cubic law of returns” is valid only in the long-term absolute return, and in the short-term one, the distributions are exponential-like. Specifically, the distributions of both trade volume and trade number display distinct decaying behaviors in two separate regimes. Lastly, the scaling behavior of the relation is analyzed between dispersion and the mean monthly trade value for each administrative area in China.