Transitions between superstatistical regimes: validity, breakdown and applications
Abstract
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter is often too restrictive when applied to complex empirical data. Here we show that a multi-scale generalization of the superstatistics paradigm is more versatile, allowing to address such pertinent issues as transmutation of statistics or inter-scale stochastic behavior. To put some flesh on the bare bones, we provide a numerical evidence for a transition between two superstatistics regimes, by analyzing high-frequency (minute-tick) data for share-price returns of seven selected companies. Salient issues, such as breakdown of superstatistics in fractional diffusion processes or connection with Brownian subordination are also briefly discussed.
Cite
@article{arxiv.1707.04838,
title = {Transitions between superstatistical regimes: validity, breakdown and applications},
author = {Petr Jizba and Jan Korbel and Hynek Lavička and Martin Prokš and Václav Svoboda and Christian Beck},
journal= {arXiv preprint arXiv:1707.04838},
year = {2017}
}