Fluctuation scaling in complex systems: Taylor's law and beyond

Details Fluctuation scaling in complex systems: Taylor's law and beyond Fluctuation scaling in complex systems: Taylor's law and beyond

2007-08-15

arxiv.org/abs/0708.2053v2

Advances in Physics 57, 89-142 (2008)

Physics

Physics and Society

33 pages, 20 figures, 2 tables, submitted to Advances in Physics

Scientific paper

10.1080/00018730801893043

Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average activity. This relationship is often of the form "$fluctuations \approx const.\times average^\alpha$", where the exponent $\alpha$ is predominantly in the range $[1/2, 1]$. This power law has been observed in a very wide range of disciplines, ranging from population dynamics through the Internet to the stock market and it is often treated under the names \emph{Taylor's law} or \emph{fluctuation scaling}. This review attempts to show how general the above scaling relationship is by surveying the literature, as well as by reporting some new empirical data and model calculations. We also show some basic principles that can underlie the generality of the phenomenon. This is followed by a mean-field framework based on sums of random variables. In this context the emergence of fluctuation scaling is equivalent to some corresponding limit theorems. In certain physical systems fluctuation scaling can be related to finite size scaling.

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