This paper focuses on modeling power exchanges in a multi-agent interacting framework with reduced behavioral assumptions. A model of the day ahead market session of OMEL (the Spanish Power Exchange) is proposed using real demand data with simulated seller strategies. The number of sellers is...

Characterizing complex dynamic behaviors arising from various inclined oil–water two-phase flow patterns is a challenging problem in the fields of nonlinear dynamics and fluid mechanics. We systematically carried out inclined oil–water two-phase flow experiments for measuring the time series...

The waiting time distribution between successive events and the unified scaling law is studied using the coherent noise model. It is shown that, although this model generates uncorrelated event sizes and does not exhibit criticality, it still provides the unified scaling law. We argue the role...

We present an independent test of recently developed methods of potential analysis and degenerate fingerprinting which aim, respectively, to identify the number of states in a system, and to forecast bifurcations. Several samples of modelled data of unknown origin were provided by one author,...

Lake Naivasha in Kenya is an important natural fresh water reserve, supporting surrounding wildlife as well as agriculture and industry. Uncontrolled use of the lake water for the past few decades is causing concern for environmentalists. In the present paper, fluctuations in the lake level for...

We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison between the regular DFA and two recently suggested...

The multifractal detrended fluctuation analysis of time series is able to reveal the presence of long-range correlations and, at the same time, to characterize the self-similarity of the series. The rich information derivable from the characteristic exponents and the multifractal spectrum can be...

In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics...

Following the thermodynamic formulation of a multifractal measure that was shown to enable the detection of large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crises in real time. We calculate the partition function from which...

We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy...