Nonlinear volatility of river flux fluctuations

Valerie N. Livina, Yosef Ashkenazy, Peter Braun, Roberto Monetti, Armin Bunde, and Shlomo Havlin
Phys. Rev. E 67, 042101 – Published 7 April 2003
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Abstract

We study the spectral properties of the magnitudes of daily river flux increments, the volatility. The volatility series exhibits (i) strong seasonal periodicity and (ii) power-law correlations for time scales less than 1 yr. We test the nonlinear properties of the river flux increment series by randomizing its Fourier phases and find that the surrogate volatility series (i) has almost no seasonal periodicity and (ii) is weakly correlated for time scales less than 1 yr. We quantify the degree of nonlinearity by measuring (i) the amplitude of the power spectrum at the seasonal peak and (ii) the correlation power-law exponent of the volatility series.

  • Received 25 September 2002

DOI:https://doi.org/10.1103/PhysRevE.67.042101

©2003 American Physical Society

Authors & Affiliations

Valerie N. Livina1, Yosef Ashkenazy2, Peter Braun3, Roberto Monetti4, Armin Bunde5, and Shlomo Havlin1

  • 1Minerva Center and Department of Physics, Bar-Ilan University, Ramat-Gan 52900, Israel
  • 2Department of Earth, Atmospheric and Planetary Sciences, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139
  • 3Bayerisches Landesamt für Wasserwirtschaft, Lazarettstrasse 67, D-80636 München, Germany
  • 4Center for Interdisciplinary Plasma Science (CIPS), Max-Planck-Institut für Extraterrestrische Physik, Giessenbachstrasse 1, 85749 Garching, Germany
  • 5Institut für Theoretische Physik III, Justus-Liebig-Universität Giessen, Heinrich-Buff-Ring 16, 35392 Giessen, Germany

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Vol. 67, Iss. 4 — April 2003

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