Related papers: Evidence for criticality in financial data
We study the universal nature of global fluctuations in the critical regime of the spherical model by evaluating the exact distribution of the magnetization and its absolute value in the thermodynamical limit, in the presence of a conjugate…
Many natural and artificial systems whose range of interaction is long enough are known to exhibit (quasi)stationary states that defy the standard, Boltzmann-Gibbs statistical mechanical prescriptions. For handling such anomalous systems…
The stochastic properties of variables whose addition leads to $q$-Gaussian distributions $G_q(x)=[1+(q-1)x^2]_+^{1/(1-q)}$ (with $q\in\mathbb{R}$ and where $[f(x)]_+=max\{f(x),0\}$) as limit law for a large number of terms are…
Probability distributions which emerge from the formalism of nonextensive statistical mechanics have been applied to a variety of problems. In this paper we unite modeling of such distributions with the model of widespread 1/f noise. We…
The critical brain hypothesis posits that neural systems operate near a phase transition, optimizing the processing of information. While scale invariance and non-Gaussian dynamics--hallmarks of criticality--have been observed in brain…
The Curie-Weiss Potts model is a mean field version of the well-known Potts model. In this model, the critical line $\beta = \beta_c (h)$ is explicitly known and corresponds to a first order transition when $q > 2$. In the present paper we…
We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong…
We propose a novel parametrization of Cumulative Prospect Theory (CPT), as developed by Daniel Kahneman and Amos Tversky, that yields an explicit gamble valuation formula for Gaussian reward distributions. Specifically, we define parametric…
In the present context, superintegrability is a property of certain probability density functions coming from matrix models, which relates to the average over a distinguished basis of symmetric functions, typically the Jack or Macdonald…
The q-Gaussians are a class of stable distributions which are present in many scientific fields, and that behave as heavy tailed distributions for an especific range of q values. The identification of these values, which are used in the…
In this paper we derive the maximum entropy characteristics of a particular rank order distribution, namely the discrete generalized beta distribution, which has recently been observed to be extremely useful in modelling many several…
It has been argued in [EPL {\bf 90} (2010) 50004], entitled {\it Essential discreteness in generalized thermostatistics with non-logarithmic entropy}, that "continuous Hamiltonian systems with long-range interactions and the so-called…
Critical states are sometimes identified experimentally through power-law statistics or universal scaling functions. We show here that such features naturally emerge from networks in self-sustained irregular regimes away from criticality.…
The cornerstone of Boltzmann-Gibbs ($BG$) statistical mechanics is the Boltzmann-Gibbs-Jaynes-Shannon entropy $S_{BG} \equiv -k\int dx f(x)\ln f(x)$, where $k$ is a positive constant and $f(x)$ a probability density function. This theory…
We study the critical behavior of the random q-state Potts quantum chain by density matrix renormalization techniques. Critical exponents are calculated by scaling analysis of finite lattice data of short chains ($L \leq 16$) averaging over…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
We show that whenever data are gathered using a device that performs a normalization-preprocessing, the ensuing normalized input, as recorded by the measurement device, will always be q-Gaussian distributed if the incoming data exhibit…
We prove that if $\omega$ is uniformly distributed on $[0,1]$, then as $T\to\infty$, $t\mapsto \zeta(i\omega T+it+1/2)$ converges to a non-trivial random generalized function, which in turn is identified as a product of a very well behaved…
The beta distribution is the best-known distribution for modelling doubly-bounded data, \eg percentage data or probabilities. A new generalization of the beta distribution is proposed, which uses a cubic transformation of the beta random…
q-Gaussian distribution appear in many science areas where we can find systems that could be described within a nonextensive framework. Usually, a way to assert that these systems belongs to nonextensive framework is by means of numerical…