非均匀复杂系统波动行为中的普适性偏差揭示了成分的内在性质：国际货币市场的情况
Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market
摘要：
在远离平衡的复杂系统中，识别在不同条件下相对不变的行为是一项具有挑战性的任务。作为一个例子，如何存在一个半不变的签名可以掩盖的异质性组成这样的系统的组件的属性，我们认为在国际货币市场的汇率动态。我们表明，指数表征的重尾波动分布的不同货币系统偏离一个假定的普遍形式与中值（~2）的指数。我们将特定货币偏离这种“平方反比定律”的程度与相应经济的基本宏观属性联系起来，即，衡量人均生产量和出口产品的多样性。我们还表明，与发达经济体货币汇率动态所表现出的不相关随机游走相反，欠发达经济体货币的汇率动态表现出亚扩散过程的特征，我们将其与相应波动的反相关性质联系起来。类似于这里提出的方法可能有助于识别被其他复杂系统中的组件的异质性所掩盖的不变特征。
英文摘要：
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity in the properties of the components comprising such systems, we consider the exchange rate dynamics in the international currency market. We show that the exponents characterizing the heavy tails of fluctuation distributions for different currencies systematically diverge from a putative universal form associated with the median value (~2) of the exponents. We relate the degree of deviation of a particular currency from such an "inverse square law" to fundamental macroscopic properties of the corresponding economy, viz., measures of per capita production output and diversity of export products. We also show that in contrast to uncorrelated random walks exhibited by the exchange rate dynamics for currencies belonging to developed economies, those of the less developed economies show characteristics of sub-diffusive processes which we relate to the anti-correlated nature of the corresponding fluctuations. Approaches similar to that presented here may help in identifying invariant features obscured by the heterogeneous nature of components in other complex systems.
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