2009/05/31 by Alexander N. Gorban, A. N. Gorban, E. V. Smirnova +3 · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #physics.bio-ph #physics.soc-ph #q-fin.GN
paper · pdf · doi:10.1016/j.physa.2010.03.035
published as Physica A 389 (2010), 3193-3217 · 42 pages, 15 figures, misprints corrections, a proof is added, improved journal version
openalex publication_date 2010/04/03 · arxiv created 2010/08/26 · arxiv updated 2010/08/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volatility) increases too. This effect is supported by many experiments and observations of groups of humans, mice, trees, grassy plants, and on financial time series. A general approach to the explanation of the effect through dynamics of individual adaptation of similar non-interactive individuals to a similar system of external factors is developed. Qualitatively, this approach follows Selye's idea about adaptation energy.