IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v556y2020ics0378437120303915.html
   My bibliography  Save this article

Self-excitation in the solar flare waiting time distribution

Author

Listed:
  • Ross, Gordon J.

Abstract

Solar flares release high amounts of energy into the solar system and can negatively impact earth based systems through their effects on satellites and power systems. It is hence important to understand and forecast their occurrence. The solar flare waiting time distribution (WTD) defines the amount of time which elapses between the occurrence of successive flares and hence provides a starting point for forecasts and risk assessment. Previous research has hypothesized that the observed WTD can be derived from a simple model which posits that flares follow a nonstationary Poisson process. This Poissonian assumption has implications for fundamental physical theories about the origin of flares, since it is a direct consequence of the widely studied avalanche model. However in this paper we call the Poissonian assumption into question, by showing that the occurrence of solar flares seems to have a substantial amount of burstiness and self-excitation that continues to exist even when controlling for the solar cycle. This leads to a strong non-Poissonian dependence between the occurrence time of successive flares.

Suggested Citation

  • Ross, Gordon J., 2020. "Self-excitation in the solar flare waiting time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
  • Handle: RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303915
    DOI: 10.1016/j.physa.2020.124775
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437120303915
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2020.124775?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. J. P. Eastwood & E. Biffis & M. A. Hapgood & L. Green & M. M. Bisi & R. D. Bentley & R. Wicks & L.‐A. McKinnell & M. Gibbs & C. Burnett, 2017. "The Economic Impact of Space Weather: Where Do We Stand?," Risk Analysis, John Wiley & Sons, vol. 37(2), pages 206-218, February.
    2. Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017. "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers 1702.04443, arXiv.org, revised Jul 2017.
    3. Vladimir Filimonov & Didier Sornette, 2012. "Quantifying reflexivity in financial markets: towards a prediction of flash crashes," Papers 1201.3572, arXiv.org, revised Apr 2012.
    4. Vladimir Filimonov & Didier Sornette, 2012. "Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes," Swiss Finance Institute Research Paper Series 12-02, Swiss Finance Institute.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
    2. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
    3. repec:wsi:acsxxx:v:21:y:2018:i:08:n:s0219525918500194 is not listed on IDEAS
    4. Maillart, Thomas & Sornette, Didier, 2019. "Aristotle vs. Ringelmann: On superlinear production in open source software," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 964-972.
    5. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
    6. Sobin Joseph & Shashi Jain, 2023. "A neural network based model for multi-dimensional nonlinear Hawkes processes," Papers 2303.03073, arXiv.org.
    7. Didier Sornette & Thomas Maillart & Giacomo Ghezzi, 2014. "How Much Is the Whole Really More than the Sum of Its Parts? 1 ⊞ 1 = 2.5: Superlinear Productivity in Collective Group Actions," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-15, August.
    8. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
    9. Jacques Peeperkorn, 2014. "A Proposed Model to Behaviourally Pricing Risk," Journal of Economics and Behavioral Studies, AMH International, vol. 6(6), pages 477-487.
    10. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
    11. Masatoshi Goda, 2021. "Hawkes process and Edgeworth expansion with application to maximum likelihood estimator," Statistical Inference for Stochastic Processes, Springer, vol. 24(2), pages 277-325, July.
    12. von der Becke Susanne & Sornette Didier, 2019. "An Asset-Based Framework of Credit Creation (applied to the Global Financial Crisis)," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 9(2), pages 1-21, July.
    13. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    14. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
    15. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
    16. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
    17. Didier Sornette & Peter Cauwels, 2014. "A Creepy World," Papers 1401.3281, arXiv.org.
    18. Zeitsch, Peter J., 2019. "A jump model for credit default swaps with hierarchical clustering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 737-775.
    19. Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    20. Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2013. "High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility," PLOS ONE, Public Library of Science, vol. 8(6), pages 1-12, June.
    21. Francesco Serafini & Finn Lindgren & Mark Naylor, 2023. "Approximation of Bayesian Hawkes process with inlabru," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303915. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.