  For many externally driven complex systems neither the noisy driving force,
nor the internal dynamics are a priori known. Here we focus on systems for
which the time dependent activity of a large number of components can be
monitored, allowing us to separate each signal into a component attributed to
the external driving force and one to the internal dynamics. We propose a
formalism to capture the potential multiscaling in the fluctuations and apply
it to the high frequency trading records of the New York Stock Exchange. We
find that on the time scale of minutes the dynamics is governed by internal
processes, while on a daily or longer scale the external factors dominate. This
transition from internal to external dynamics induces systematic changes in the
scaling exponents, offering direct evidence of non-universality in the system.
