Endogenous versus exogenous shocks in systems with memory

Physica A: Statistical Mechanics and its Applications

Volumn 318, Issue 3-4, 2003, Pages 577-591

  Sornette, D ^a,b   Helmstetter, A ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITÉ CÔTE D'AZUR   (France)

^c UNIV GRENOBLE ALPES   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CHAOS THEORY; CLIMATE CHANGE; ECONOMIC AND SOCIAL EFFECTS; METEOROLOGICAL PROBLEMS; SYSTEM THEORY;

ENDOGENOUS SHOCKS; EXOGENOUS SHOCKS; REAL-WORLD COMPLEX SYSTEMS;

LARGE SCALE SYSTEMS;

EID: 0037442577     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01371-7     Document Type: Article

References (29)

1. Sornette D. Complexity, catastrophe and physics. Phys. World. 12(12):1999;57-57.
2. Sornette D. Predictability of catastrophic events: material rupture, earthquakes, turbulence, financial crashes and human birth. Proc. Nat. Acad. Sci. USA. 99(Suppl. 1):2002;2522-2529.
3. Hurst H.E. Long term storage capacity of reservoirs. Trans. Am. Soc. Civil Eng. 116:1951;770-808.
4. Kyte F.T. A meteorite from the Cretaceous/Tertiary boundary. Nature. 396(6708):1998;237-239.
5. Courtillot V.E. A volcanic eruption. Scientific Am. 263(4):1990;85-92.
6. Courtillot V.E. Evolutionary Catastrophes: The Science of Mass Extinction. 1999;Cambridge University Press, New York.
7. Marshall C.R. Palaeobiology - Mass extinction probed. Nature. 392(6671):1998;17-19.
8. Marshall C.R., Ward P.D. Sudden and gradual extinctions in the lastest Cretaceous of Western European Tethus. Science. 274(5291):1996;1360-1363.
9. Milton J.G., Belair J. Chaos, noise and extinction in models of population growth. Theor. Population Biol. 37:1990;273-290.
10. Allen J.C., Schaffer W.M., Rosko D. Chaos reduces species extinction by amplifying local population noise. Nature. 364:1993;229-232.
11. Bak P. How Nature Works: The Science of Self-Organized Criticality. 1996;Copernicus, New York, NY, USA.
12. Sole R.V., Manrubia S.C., Benton M., Bak P. Self-similarity of extinction statistics in the fossil record. Nature. 388(6644):1997;764-767.
13. Kirchner J.W., Weil A. No fractals in fossil extinction statistics. Nature. 395(6700):1998;337-338.
14. P. Costa, D.S. Harned, J.T. Lundquist, Rethinking the aviation industry, McKinsey Quarterly 2, Risk and resilience, 2002, http://www.mckinseyquarterly.com/article_page.asp?ar=1190&L2=23&L3=79.
15. Krishnamurthy S., Tanguy A., Abry P., Roux S. A stochastic description of extremal dynamics. Europhys. Lett. 51:2002;1-7.
16. D. Sornette, Critical Phenomena in Natural Sciences, Springer Series in Synergetics, Springer, Heidelberg, 2000.
17. Mandelbrot B.B., Van Ness J.W. Fractional Brownian motions, fractional noise and applications. Soc. Ind. Appl. Math. Rev. 10:1968;422-437.
18. Phillips J.C. Stretched exponential relaxation in molecular and electronic glasses. Rep. Prog. Phys. 59:1996;1133-1208.
19. Sornette A., Sornette D. Renormalization of earthquake aftershocks. Geophys. Res. Lett. 26:1999;1981-1984.
20. A. Helmstetter, D. Sornette, Sub-critical and super-critical regimes in epidemic models of earthquake aftershocks, J. Geophys. Res. (e-print at http://arXiv.org/abs/cond-mat/0109318 ), in press.
21. Harris T.E. The Theory of Branching Processes. 1963;Springer, Berlin.
22. Jacod J., Shiryaev A.N. Limit Theorems for Stochastic Processes. 1987;Springer, Berlin.
23. A. Helmstetter, D. Sornette, J.-R. Grasso, Mainshocks are aftershocks of conditional foreshocks: how do foreshock statistical properties emerge from aftershock laws, J. Geophys. Res., submitted for publication ( http://arXiv.org/abs/cond-mat/0205499 ).
24. Courtillot V., Gaudemer Y. Effects of mass extinctions on biodiversity. Nature. 381:1996;146-148.
25. D. Sornette, Y. Malevergne, J.F. Muzy, Volatility fingerprints of large shocks: endogeneous versus exogeneous, Risk Mag. (2002) ( http://arXiv.org/abs/cond-mat/0204626 ).
26. Muzy J.F., Delour J., Bacry E. Modelling fluctuations of financial time series: from cascade process to stochastic volatility model. Eur. Phys. J. B. 17:2000;537-548.
27. Keilis-Borok V.I., Rotwain I.M., Sidorenko T.V. Intensified sequence of aftershocks as a precursor of strong earthquake. Dokl. Akad. Nauk. SSSR. 242(3):1978;567-569.
28. Molchan G.M., Dmitrieva O.E., Rotwain I.M., Dewey J. Statistical analysis of the results of earthquake prediction, based on bursts of aftershocks. Phys. Earth Planetary Interiors. 61:1990;128-139.
29. P. Jefferies, D. Lamper, N.F. Johnson, Anatomy of extreme events in a complex adaptative system, e-print at cond-mat/0201540.