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.
Physica A Statistical Mechanics and its Applications
- Pub Date:
- August 2010
- Physics - Biological Physics;
- Physics - Physics and Society;
- Quantitative Finance - General Finance
- 42 pages, 15 figures, misprints corrections, a proof is added, improved journal version