Abstract
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volatility) increases too. After the crisis achieves its bottom, it can develop into two directions: recovering (both correlations and variance decrease) or fatal catastrophe (correlations decrease, but variance not). This effect is supported by many experiments and observation of groups of humans, mice, trees, grassy plants, and on financial time series. A general approach to explanation of the effect through dynamics of adaptation is developed. Different organization of interaction between factors (Liebig's versus synergistic systems) lead to different adaptation dynamics. This gives an explanation to qualitatively different dynamics of correlation under different types of load.
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