Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes

Autor:	Kononovicius, Aleksejus, Kazakevičius, Rytis, Kaulakys, Bronislovas
Rok vydání:	2022
Předmět:	Condensed Matter - Statistical Mechanics Physics - Physics and Society Quantitative Finance - Statistical Finance
Druh dokumentu:	Working Paper
DOI:	10.1016/j.chaos.2022.112508
Popis:	We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non--Markovian point process exhibit power--law scaling. We show that a nonlinear Markovian point process can reproduce the same scaling behavior. This result indicates a possible link between nonlinearity and apparent non--Markovian behavior. Comment: 10 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2205.07563 Zobrazit plný text záznamu View this record from Arxiv