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Probability Distributions in Complex Systems

  • Sornette, D.
Publication Date
Jul 15, 2007
Submission Date
Jul 15, 2007
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We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect the possible occurrence of regularities providing a step toward defining a classification of the different levels of organization (the ``universality classes''). A rapid survey covers the Gaussian law, the power law and the stretched exponential distributions. The fascination for power laws is then explained, starting from the statistical physics approach to critical phenomena, out-of-equilibrium phase transitions, self-organized criticality, and ending with a large but not exhaustive list of mechanisms leading to power law distributions. A check-list for testing and qualifying a power law distribution from your data is described in 7 steps. This essay enlarges the description of distributions by proposing that ``kings'', i.e., events even beyond the extrapolation of the power law tail, may reveal an information which is complementary and perhaps sometimes even more important than the power law distribution. We conclude a list of future directions.

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