Record Statistics for Multiple Random Walks
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Abstract: We study the statistics of the number of records R_{n,N} for N identical and independent symmetric discrete-time random walks of n steps in one dimension, all starting at the origin at step 0. At each time step, each walker jumps by a random length drawn independently from a symmetric and continuous distribution. We consider two cases: (I) when the variance sigma^2 of the jump distribution is finite and (II) when sigma^2 is divergent as in the case of L'evy flights with index 0 < mu < 2. In both cases we find that the mean record number <R_{n,N}> grows universally as sim alpha_N sqrt{n} for large n, but with a very different behavior of the amplitude alpha_N for N > 1 in the two cases. We find that for large N, alpha_N approx 2 sqrt{log N} independently of sigma^2 in case I. In contrast, in case II, the amplitude approaches to an N-independent constant for large N, alpha_N approx 4/sqrt{pi}, independently of 0<mu<2. For finite sigma^2 we argue, and this is confirmed by our numerical simulations, that the full distribution of (R_{n,N}/sqrt{n} - 2 sqrt{log N}) sqrt{log N} converges to a Gumbel law as n o infty and N o infty. In case II, our numerical simulations indicate that the distribution of R_{n,N}/sqrt{n} converges, for n o infty and N o infty, to a universal nontrivial distribution, independently of mu. We discuss the applications of our results to the study of the record statistics of 366 daily stock prices from the Standard & Poors 500 index.
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