sornette singapore 14oct08
TRANSCRIPT
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(book sales, volatility shocks, YouTube, cyber-risks,
conflicts, epilepsy, earthquakes, social crises, climate,...)
Collaborators:
Y. Ageon (Research scientist, Nice), J. Andersen (Research fellow, CNRS)
R. Crane and Ryan Woodard (Post-doc, ETH Zurich)
F. Deschatres (ENS student, Paris)
T. Gilbert (graduate student now at Berkeley)A. Helmstetter (post-doc, now at CNRS Grenoble)
Y. Malevergne (Professor Univ, of Lyon, France)
T. Maillart (PhD, ETH Zurich), Jonathan Gysel, Stefan Frei
J.F. Muzy (Research Fellow CNRS)
B. Roehner (Professor, Univ. Paris)
Didier Sornette
Chair of Entrepreneurial Risks
ETH Zurich
(Swiss Federal Institute of Technology, Zurich)
Department of Management, Technology and Economics
http://www.er.ethz.ch/
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CRISES and EXTREME EVENTS
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EXTREME EVENTS in SOCIO-ECONOMIC SYSTEMS
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Self-organization?
Extreme events are just part
of the tail of power lawdistribution due to
self-organized criticality?
(endogenous)
Catastrophism: extreme events require
extreme causes that lie outside the system
(exogenous)
A mixture? How would it work?
Artwork by Elaine Wiesenfeld(from Bak, How Nature Works)
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Guidelines from Physics:
perturb and study the response
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Endogenous versus ExogenousExtinctions
-meteorite at the Cretaceous/Tertiary KT boundary
-volcanic eruptions (Deccan traps)
-self-organized critical events
Financial crashes
-external shock
-self-organized instability
Immune system
-external viral or bacterial attack- internal (dis-)organization
Brain (learning)
-external inputs
-internal self-organization and reinforcements (role of sleep)
Recovery after wars?
-internally generated (civil wars)
-externally generated
Aviation industry recession
-September 11, 2001-structural endogenous problems
Volatility bursts in financial time series
-external shock
-cumulative effect of small news
Commercial success and sales
-Ads-epidemic network
Social unrests
-triggering factors
-rotting of social tissue
Discoveries
-serendipity
-maturation
Parturition
-mother/foetus triggered?
-mother-foetus complex?
Earthquakes
-tectonic driving
-triggering
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(Roehner and Sornette, 2004)
The method of critical events in economics and social sciences
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(Roehner and Sornette, 2004)
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The model
Timing of human activity
Sornette & Johansen, Physica A 276, 338 Vazquez, Oliveira, Dezo, Goh, Kondor, Barabasi, PRE 73, 036127
Internet downloads
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Epidemic branching processThe sum of all activity modeled as a self-excited Hawkes conditional Poisson branching process
The model
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Predictions of the model
Dynamics classified by type of disturbance (endo/exo)
&
criticality of the network (sub-critical/critical)
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12
The Original Crisis
On Friday January 17,2003, Sornettes recentbook jumped to rank # 5on Amazon.coms sales
ranking (with Harry Potteras #1!!!)
Two days before: releaseof an interview onMSNBCs MoneyCentral
website
Princeton
University
Press
Jan. 2003
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Heaven and Earth(Three Sisters IslandTrilogy) by N. Roberts
Strong Women StayYoung by Dr. M. Nelson
June 4, 2002:New York Timesarticle creditingthegroundbreakingresearch of Dr.
Nelson
June 5, 2002
Endogenous
Exogenous
Book sales dynamics
D. Sornette et al.,Phys. Rev. Letts. 93 (22), 228701 (2004)
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endogenousExogenousrelaxation
Exogenous
precursor
=0.30.1
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TM
Riley Crane, Didier SornetteETH Zurich, D-MTECChair of Entrepreneurial Risks
A Shocking Look At...
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Cumulative Views
(measured)
Daily Views
(calculated)
What is being measured?
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Endogenous and Exogenous Activity
Endogenous Exogenous
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Typical Relaxation after a burst of activity
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Relaxation Exponents
q =0.4
Distribution of Exponents
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Non-parametric superposition
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Financial volatility foreshocks and aftershocks
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Cyber-risks
Blaster (worm) infectiondynamics
Power-law fit to the decay of the rate of active infections after removing seasonality,following the outbreak of the blaster virus on the Swiss SWITCH network, as a function of timefrom 2003 to 2008.
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Application to conflict early warning
with P. Meier (Tufts Univ., Boston) and R. Woodard (ETH Zurich)
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LTAD 1-6
(1-6)
LTMD 1-6
(17-22)
LTPD 1-6
(33-38)RTAD 1-6
(41-46)
RTMD 1-6
(25-30)
RTAD 1-6
(9-14)
RFD 1-8
(57-64)LFD 1-8(49-56)
Depth Needle Electrodes Contact Numbering: N 3 2 1
Key: L=LeftR=RightA=AnteriorM=MesialP=PosteriorD=DepthT=TemporalF=Frontal
Focus
with Ivan Osorio KUMC & FHS
Mark G. Frei - FHS
John Milton -The ClaremontColleges
(arxiv.org/abs/0712.3929)
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Omori law: Direct and Inverse
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Financial precursors and crashes
Red line is 13.8% per year: butThe market is never following the averagegrowth; it is either super-exponentially
accelerating or crashing
Patterns of price trajectory during 0.5-1 year before each peak: Log-periodic power law
Textbook example of a series of superexponentialacceleration followed by crashes
Arrows show peaks followed bycorrections of more than 15% in less than three weeks
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Our prediction system is now
used in the industrial phase
as the standard testing
procedure.
J.-C. Anifrani, C. Le Floc'h, D. Sornette and B. Souillard
"Universal Log-periodic correction to renormalization group scaling for rupture stress
prediction from acoustic emissions", J.Phys.I France 5, n6, 631-638 (1995)
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Endogenous versus ExogenousExtinctions
-meteorite at the Cretaceous/Tertiary KT boundary
-volcanic eruptions (Deccan traps)
-self-organized critical events
Financial crashes
-external shock
-self-organized instability
Immune system
-external viral or bacterial attack- internal (dis-)organization
Brain (learning)
-external inputs
-internal self-organization and reinforcements (role of sleep)
Recovery after wars?
-internally generated (civil wars)
-externally generated
Aviation industry recession
-September 11, 2001-structural endogenous problems
Volatility bursts in financial time series
-external shock
-cumulative effect of small news
Commercial success and sales
-Ads-epidemic network
Social unrests
-triggering factors
-rotting of social tissue
Discoveries
-serendipity
-maturation
Parturition
-mother/foetus triggered?
-mother-foetus complex?
Earthquakes
-tectonic driving
-triggering
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Algorithmic complexity theory: most complex systems have
been proved to be computationally irreducible, i.e. the only way to
decide about their evolution is to actually let them evolve in time.
The future time evolution of most complex systems appearsinherently unpredictable.
BUT, Physics and engineering works and is not hampered by
computational irreducibility because we only ask for answersat some coarse-grained level.
(useless?) IMPOSSIBILITY THEOREM
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256 nearest neighbor 1D cellular automata (Wolfram)
Class 3 Class 1
N-block approach with N=2, 3 or 4
240 coarse-grainable
Coarse-graining rule 110: CIR => C1
(2004)