Fractal Fluctuations and Statistical Normal Distribution

Details Fractal Fluctuations and Statistical Normal Distribution Fractal Fluctuations and Statistical Normal Distribution

2008-05-22

arxiv.org/abs/0805.3426v1

Physics

General Physics

26 pages, 7 figures

Scientific paper

Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of self-organized criticality is not yet identified. The Gaussian probability distribution used widely for analysis and description of large data sets underestimates the probabilities of occurrence of extreme events such as stock market crashes, earthquakes, heavy rainfall, etc. The assumptions underlying the normal distribution such as fixed mean and standard deviation, independence of data, are not valid for real world fractal data sets exhibiting a scale-free power law distribution with fat tails. A general systems theory for fractals visualizes the emergence of successively larger scale fluctuations to result from the space-time integration of enclosed smaller scale fluctuations. The model predicts a universal inverse power law incorporating the golden mean for fractal fluctuations and for the corresponding power spectra, i.e., the variance spectrum represents the probabilities, a signature of quantum systems. Fractal fluctuations therefore exhibit quantum-like chaos. The model predicted inverse power law is very close to the Gaussian distribution for small-scale fluctuations, but exhibits a fat long tail for large-scale fluctuations. Extensive data sets of Dow Jones index, Human DNA, Takifugu rubripes (Puffer fish) DNA are analysed to show that the space/time data sets are close to the model predicted power law distribution.

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