UCLA - Earth and Space Sciences - Didier Sornette, Publications: Complex Systems and Self Organization

Didier Sornette, Professor of Geophysics

Mailing Address:	Department of Earth and Space Sciences University of California, Los Angeles 595 Charles Young Drive East, Box 951567 Los Angeles, CA 90095-1567
Office:	Geology 1693A
Telephone:	(310) 825-2863
Fax:	(310) 206-3051
E-mail:	sornette@moho.ess.ucla.edu
Related Site:	UCLA Seismology Lab




Teaching	- Earthquakes (ESS 8)

Quick Links:	- Current Research Interests - Education - Researchers, Post-docs & Students

Publications:	- Complex Systems - Discrete Scale Invariance & Complex Exponents - Earthquakes & Ruptures - Finance

Books:	- Mechanisms of Scale Invariance and Beyond - Critical Phenomena in Natural Sciences (Textbook) - Why Stock Markets Crash? -- US edition -- Japanese translation - Extreme Financial Risks (Textbook) (From Dependence to Risk Management)

Predictions:	- The future of the USA stock market - Is There a Real-Estate Bubble in the US? (released 3rd June 2005) - The future of the UK and US real estate market (released March 2003) - A complex system view of why stock markets crash - Scientific Prediction of Catastrophes: A New Approach - The end of the growth era (PDF File) or click here for the technical article

Interviews:	- UCLA Press release (Dec. 1, 2004): Physicist Applies Physics to Best-Selling Books - Interview with Physics World, July Issue (2003), pp. 8-9. - Transcription of the interview with FS Newshour, California - Feb. 2003 (Transcription of the Interview) - UCLA Press release (Dec. 14, 2002): Stock Market Crashes Are Predictable

Essays:	- Celebrating the Physics of Geophysics, EOS 86 (46), 461,467 (2005) - On Universality - Endogenous versus Exogenous Origins of Crises - Sandpile models (PDF) entry in the in Encyclopedia of Nonlinear Science, Alwyn Scott, editor (Routledge, An Imprint of Taylor & Francis Group, New York, London, 2004). http://www.routledge-ny.com/ref/nonlinearsci/

Publications: Complex Systems and Self Organization

A. Saichev and D. Sornette, Generic Multifractality in Exponentials of Long Memory Processes, submitted to Physical Review E (2006)
(http://arxiv.org/abs/cond-mat/0602660)

D. Sornette, A. B. Davis, K. Ide, K. R. Vixie, V. Pisarenko, and J. R. Kamm, Algorithm for Model Validation: Theory and Implementation, Proc. Nat. Acad. Sci. USA (2005) (http://arxiv.org/abs/physics/0511219)

D. Sornette and J.V. Andersen, Optimal Prediction of Time-to-Failure from Information Revealed by Damage, Phys. Rev. Lett.
(http://arxiv.org/abs/cond-mat/0511134)

Wei-Xing Zhou, Didier Sornette and Wei-Kang Yuan, Multifractality of Inverse Statistics of Exit Distances in 3D Fully Developed Turbulence, Physica D 214, 55-62 (2006)
(http://arxiv.org/abs/physics/0503142)

F. Deschatres and D. Sornette, The Dynamics of Book Sales: Endogenous versus Exogenous Shocks in Complex Networks, Phys. Rev. E 72, 016112 (2005)
(http://arxiv.org/abs/physics/0412171)

D. Sornette, Endogenous versus exogenous origins of crises, in monograph on extreme events, V. Jentsch editor (Springer, 2005)
(http://arxiv.org/abs/physics/0412026)

J.V. Andersen and D. Sornette, A Mechanism for Pockets of Predictability in Complex Adaptive Systems, Europhys. Lett., 70 (5), 697-703 (2005)
(http://arXiv.org/abs/cond-mat/0410762)

D. Sornette and W.-X. Zhou, Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method, Quantitative Finance 5 (6), 577-591 (2005)
(http://arXiv.org/abs/cond-mat/0408166)

V.F. Pisarenko and D.Sornette, New statistic for financial return distributions: power-law or exponential? Physica A
(http://arXiv.org/abs/physics/0403075)

W.-X. Zhou, D. Sornette, R.A. Hill and R.I.M. Dunbar, Discrete Hierarchical Organization of Social Group Sizes, Proc. Royal Soc. London 272, 439-444 (2005)
(http://arXiv.org/abs/cond-mat/0403299)
covered in Sueddeutsche Zeitung, one of germany's main newspapers and Science in ``Too many friends?'', 17 Feb. 2005 (http://sciencenow.sciencemag.org/cgi/content/full/2005/217/1)
Complexity Digest 2005.08 http://www.comdig.org

A. Helmstetter, S. Hergarten and D. Sornette,Properties of Foreshocks and Aftershocks of the Non-Conservative self-organized critical Olami-Feder-Christensen Model Phys. Rev. E 70, 046120 (2004)
(http://arXiv.org/abs/cond-mat/0312689)

D. Sornette, F. Deschatres, T. Gilbert and Y. Ageon, Endogenous Versus Exogenous Shocks in Complex Networks: an Empirical Test Using Book Sale Ranking, Phys. Rev. Letts. 93 (22), 228701 (2004)
(http://arXiv.org/abs/cond-mat/0310135) View Paper Summary >>

V. F. Pisarenko and D. Sornette, Statistical methods of parameter estimation for deterministically chaotic time series, Phys. Rev. E 69, 036122 (2004)
(http://arXiv.org/abs/physics/0308059)

A. Saichev, A. Helmstetter and D. Sornette, Anomalous Scaling of Offspring and Generation Numbers in Branching Processes, Pure and Applied Geophysics 162, 1113-1134 (2005).
(http://arXiv.org/abs/cond-mat/0305007)

D. Sornette and W.-X. Zhou, Predictability of Large Future Changes in Complex Systems, Phys. Rev. Lett.
(http://arXiv.org/abs/cond-mat/0304601)

V.I. Yukalov, S. Gluzman, and D. Sornette, Summation of Power Series by Self-Similar Factor Approximants, Physica A 328, 409-438 (2003)
(http://arXiv.org/abs/cond-mat/0302613)

S. Gluzman and D. Sornette, Self-similar Approximants of the Permeability in Heterogeneous Porous Media from Moment Equation Expansions, Transport in Porous Media
(http://arXiv.org/abs/cond-mat/0211565)

S. Gluzman, V.I. Yukalov and D. Sornette, Self-Similar Factor Approximants, Physical Review E 67 (2), art. 026109, DOI: 10.1103/PhysRevE.67.026109 (2003)
(http://arXiv.org/abs/cond-mat/0208486)

D. Sornette and A. Helmstetter, Endogeneous Versus Exogeneous Shocks in Systems with Memory, Physica A 318 (3-4), 577-591 (2003)
(http://arXiv.org/abs/cond-mat/0206047)

S.Gluzman, D. Sornette and V.I. Yukalov, Reconstructing Generalized Exponential Laws by Self-Similar International Journal of Modern Physics C 14 (4), 509-528 (2003)
(http://arXiv.org/abs/cond-mat/0204326)

Y. Malevergne and D. Sornette, Investigating Extreme Dependences: Concepts and Tools, The Review of Financial Studies
(http://arXiv.org/abs/cond-mat/0203166)
(http://papers.ssrn.com/paper.taf?abstract_id=303465)

V.F. Pisarenko and D. Sornette, Statistical detection and characterization of a deviation from the Gutenberg-Richter distribution above magnitude 8, Pure and Applied Geophysics 161 (4), 839-864 (2004)
(http://arXiv.org/abs/cond-mat/0201552)

D. Sornette, Seeking a shortcut to universal wisdom, Physics World 15 (1), 50-51 (January 2002)

S. Gluzman and D. Sornette, Classification of Possible Finite-Time Singularities by Functional Renormalization, art. no. 016134, Physical Review E 6601 N1 PT2:U315-U328 (2002)
(http://arXiv.org/abs/cond-mat/0111181)

D. Sornette, Mechanism for Powerlaws without Self-Organization, Int. J. Mod. Phys. C 13 (2), 133-136 (2002)
(http://arXiv.org/abs/cond-mat/0110426)

D. Sornette, Predictability of catastrophic events: material rupture, earthquakes, turbulence, financial crashes and human birth, Proceedings of the National Academy of Sciences USA, V99 SUPP1:2522-2529 (2002 FEB 19)
(http://arXiv.org/abs/cond-mat/0107173)

D. Sornette and K. Ide, Theory of self-similar oscillatory finite-time singularities in Finance, Population and Rupture, Int. J. Mod. Phys. C 14 (3), 267-275 (2002)
(http://arXiv.org/abs/cond-mat/0106054)

K. Ide and D. Sornette, Oscillatory Finite-Time Singularities in Finance, Population and Rupture, Physica A 307 (1-2), 63-106 (2002)
(http://arXiv.org/abs/cond-mat/0106047

V.F. Pisarenko and D. Sornette, Characterization of the frequency of extreme events by the Generalized Pareto Distribution, Pure and Applied Geophysics 160 (12), 2343-2364 (2003)
(http://arXiv.org/abs/cond-mat/0011168)

O'Brien, T.P., McPherron, R.L., D. Sornette, G.D. Reeves, R. Friedel, and H.J. Singer, Which Magnetic Storms Produce Relativistic Electrons at Geosynchronous Orbit?, J. Geophys. Res. (Space Physics), 106 (A8), 15,533-15,544, August 1, (2001)

T.P. O'Brien, D. Sornette and R.L. McPherron, Statistical Asynchronous Regression: Determining the Relationship Between two Quantities that are not Measured Simultaneously, J. Geophys. Res. (Space Physics) 106 (A7) 13,247-13,259, July 1 (2001).
(http://arXiv.org/abs/cond-mat/0005475)

D. Sornette and K. Ide, The Kalman-Levy filter, Physica D 151, 142-174 (2001)
(http://arXiv.org/abs/cond-mat/0004369)

A. Johansen and D. Sornette, 2050: The End of the Growth Era? submitted to ``The World in 2050 writing competition'' of The Economist and Shell International Limited (The Organisers)

U. Frisch and D. Sornette, Extreme deviations and applications, Proceedings of the conference "Science for Survival and Sustainable Development'', Pontificiae Academiae Scientarum Scripta Varia 98, MM (2000 in roman), pp. 327-349

A. Johansen and D. Sornette, Finite-time singularity in the dynamics of the world population and economic indices, Physica A 294 (3-4), 465-502 (15 May 2001)
(http://arXiv.org/abs/cond-mat/0002075)
"'BAD VIBRATIONS' SIGNAL DOOM FOR POPULATION AND ECONOMY'',
Monday, March 27, 2000, Tom Siegfried, KNIGHT RIDDER TRIBUNE, and by the Guardian, May 18, 2000
(Link to Article)

D. Sornette and J.V. Andersen, Increments of uncorrelated time series can be predicted with a universal 75% probability of success., Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)
(http://arXiv.org/abs/cond-mat/0001324)

D. Sornette, Complexity, catastrophe and physics, Physics World 12 (N12), 57-57, Dec. (1999)
(http://physicsweb.org/article/world/12/12/10)

A. Johansen and D. Sornette, Download relaxation dynamics on the WWW following newspaper publication of URL, Physica A 276/1-2, 338-345 (2000)
(http://xxx.lanl.gov/abs/cond-mat/9907371

P. Yiou, D. Sornette and M. Ghil, Data-Adaptive Wavelets and Multi-Scale Singular Spectrum Analysis, Physica D 142 N3-4:254-290 (2000 AUG 15)

(http://xxx.lanl.gov/abs/chao-dyn/9810034)

P. Jogi and D. Sornette, Self-organized critical random directed polymers, Phys. Rev. E 57, 6931-6943 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9801326)

Jean Laherrere and Didier Sornette, Stretched exponential distributions in Nature and Economy: "Fat tails'' with characteristic scales, European Physical Journal B 2, 525-539 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9801293)

Kwan-tai Leung, Jorgen Vitting Andersen and Didier Sornette, Self-organized criticality in stick-slip models with periodic boundaries, Phys. Rev. Lett. 80, 1916-1919 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9704153)

D. Sornette, Multiplicative processes and power laws, Phys. Rev. E 57, 4811-4813 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9708231)

K.-T. Leung, J. Andersen and D. Sornette, Self-organized criticality in an isotropically driven model approaching equilibrium, Physica A 254, 85-96 (1998).

Y. Huang, H. Saleur, C. G. Sammis, D. Sornette, Precursors, aftershocks, criticality and self-organized criticality, Europhysics Letters 41, 43-48 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9612065)

D. Sornette, Linear stochastic dynamics with nonlinear fractal properties, Physica A 250, 295-314 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9709101)

U. Frisch and D. Sornette, Extreme deviations and applications, J. Phys. I France 7, 1155-1171 (1997)
(http://xxx.lanl.gov/abs/cond-mat/9705132)

H.-J. Xu and D. Sornette, Non-Boltzmann fluctuations in numerical simulations of nonequilibrium lattice threshold systems, Phys. Res. Lett. 78, 3797 (1997).

D. Sornette and R. Cont, Convergent multiplicative processes repelled from zero: power laws and truncated power laws, J. Phys. I France 7, 431-444 (1997)
(http://xxx.lanl.gov/abs/cond-mat/9609074)

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