Dresden 2006 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.19: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Analyzing Memory Effects of Complex Systems from Time Series — •Daniel T. Schmitt and Michael Schulz — Department of Theoretical Physics, University of Ulm, Germany

Observables of complex systems show more or less pronounced memory effects. This can be rigorously derived within the Mori-Zwanzig Theory in Statistical Physics. In a recent paper [1] we have developed an algorithm to quantitatively characterize memory effects by analyzing one time series of such an observable. Using this algorithm we analyze the short- and long-term structure memory kernel calculated from observables. Observables include absolute price changes and signum of price changes in major stock markets, wind strength and wind direction, and temperature data. The memory kernel allows to characterize the dynamics of complex systems and also to study changes in the dynamics over time.

[1] Daniel T. Schmitt, Michael Schulz, Analyzing Memory Effects of Complex Systems from Time Series, Physical Review E, submitted