TY  - JOUR
PY  - 2012//
TI  - Universal relation between skewness and kurtosis in complex dynamics
JO  - Physical review E: Statistical, nonlinear, and soft matter physics
A1  - Cristelli, Matthieu
A1  - Zaccaria, Andrea
A1  - Pietronero, Luciano
SP  - 066108
EP  - 066108
VL  - 85
IS  - 6-2
N2  - We identify an important correlation between skewness and kurtosis for a broad class of complex dynamic systems and present a specific analysis of earthquake and financial time series. Two regimes of non-Gaussianity can be identified: a parabolic one, which is common in various fields of physics, and a power law one, with exponent 4/3, which at the moment appears to be specific of earthquakes and financial markets. For this property we propose a model and an interpretation in terms of very rare events dominating the statistics independently on the nature of the events considered. The predicted scaling relation between skewness and kurtosis matches very well the experimental pattern of the second regime. Regarding price fluctuations, this situation characterizes a universal stylized fact.<p />  <p>Language: en</p>
LA  - en
SN  - 1539-3755
UR  - http://dx.doi.org/
ID  - ref1
ER  -