Naslov
Time-lag cross-correlations in collective phenomena

Autori
Podobnik, Boris ; Wang, Duan ; Horvatić, Davor ; Grosse, Ivo ; Stanley H. Eugene

Izvornik
Europhysics Letters (0295-5075) 90 (2010), 6; 68001-1

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Random matrix theory; Systems obeying scaling laws; Other topics in areas of applied and interdisciplinary physics

Sažetak
We study long-range magnitude cross-correlations in collective modes of real-world data from finance, physiology, and genomics using time-lag random matrix theory. We find long-range magnitude cross-correlations i) in time series of price fluctuations, ii) in physiological time series, both healthy and pathological, indicating scale-invariant interactions between different physiological time series, and iii) in ChIP-seq data of the mouse genome, where we uncover a complex interplay of different DNA-binding proteins, resulting in power-law cross-correlations in xij, the probability that protein i binds to gene j, ranging up to 10 million base pairs. In finance, we find that the changes in singular vectors and singular values are largest in times of crisis. We find that the largest 500 singular values of the NYSE Composite members follow a Zipf distribution with exponent ≈ 2. In physiology, we find statistically significant differences between alcoholic and control subjects.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija

POVEZANOST RADA