Intermittency and Nonextensivity in Turbulence and Financial Markets
Condensed Matter
2007-05-23 v2
Abstract
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency -- strong bursts in the energy dissipation or clusters of high price volatility -- and nonextensivity -- anomalous scaling of usually extensive properties like entropy -- are naturally linked by a single parameter q, from the nonextensive thermostatistics.
Keywords
Cite
@article{arxiv.cond-mat/9907348,
title = {Intermittency and Nonextensivity in Turbulence and Financial Markets},
author = {F. M. Ramos and C. Rodrigues Neto and R. R. Rosa},
journal= {arXiv preprint arXiv:cond-mat/9907348},
year = {2007}
}
Comments
LaTex file + 3 postscript figures, 9 pages, submitted to Europhysics Letters