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    Interdisciplinary applications of statistical physics to complex systems: seismic physics, econophysics, and sociophysics

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    Date Issued
    2012
    Author(s)
    Tenenbaum, Joel
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    Embargoed until:
    Indefinite
    Permanent Link
    https://hdl.handle.net/2144/31617
    Abstract
    This thesis applies statistical physics concepts and methods to quantitatively analyze complex systems. This thesis is separated into four parts: (i) characteristics of earthquake systems (ii) memory and volatility in data time series (iii) the application of part (ii) to world financial markets, and (iv) statistical observations on the evolution of word usage. In Part I, we observe statistical patterns in the occurrence of earthquakes. We select a 14-year earthquake catalog covering the archipelago of Japan. We find that regions traditionally thought of as being too distant from one another for causal contact display remarkably high correlations, and the networks that result have a tendency to link highly connected areas with other highly connected areas. In Part II, we introduce and apply the concept of "volatility asymmetry", the primary use of which is in financial data. We explain the relation between memory and "volatility asymmetry" in terms of an asymmetry parameter λ. We define a litmus test for determining whether λ is statistically significant and propose a stochastic model based on this parameter and use the model to further explain empirical data. In Part III, we expand on volatility asymmetry. Importing the concepts of time dependence and universality from physics, we explore the aspects of emerging (or "transition") economies in Eastern Europe as they relate to asymmetry. We find that these emerging markets in some instances behave like developed markets and in other instances do not, and that the distinction is a matter both of country and a matter of time period, crisis periods showing different asymmetry characteristics than "healthy" periods. In Part IV, we take note of a series of findings in econophysics, showing statistical growth similarities between a variety of different areas that all have in common the fact of taking place in areas that are both (i) competing and (ii) dynamic. We show that this same growth distribution can be reproduced in observing the growth rates of the usage of individual words, that just as companies compete for sales in a zero sum marketing game, so do words compete for usage within a limited amount of reader man-hours.
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    Thesis (Ph.D.)--Boston University
     
    PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you.
     
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