Related papers: Evidence for criticality in financial data
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
For $\Delta \ge 5$ and $q$ large as a function of $\Delta$, we give a detailed picture of the phase transition of the random cluster model on random $\Delta$-regular graphs. In particular, we determine the limiting distribution of the…
We numerically study the two-dimensional, area preserving, web map. When the map is governed by ergodic behavior, it is, as expected, correctly described by Boltzmann-Gibbs statistics, based on the additive entropic functional $S_{BG}[p(x)]…
In this work, we modify the affine wealth model of wealth distributions to examine the effects of nonconstant redistribution on the very wealthy. Previous studies of this model, restricted to flat redistribution schemes, have demonstrated…
We study the statistics of work, dissipation, and entropy production of a quantum quasi-isothermal process, where the system remains close to the thermal equilibrium along the transformation. We derive a general analytic expression for the…
The probability P(alpha, N) that search algorithms for random Satisfiability problems successfully find a solution is studied as a function of the ratio alpha of constraints per variable and the number N of variables. P is shown to be…
Second-order phase transitions are characterised by critical scaling and universality. The singular behaviour of thermodynamic quantities at the transition, in particular, is determined by critical exponents of the universality class of the…
As well known, cumulant expansion is an alternative way to moment expansion to fully characterize probability distributions provided all the moments exist. If this is not the case, the so called escort mean values (or q-moments) have been…
We consider a one-dimensional microscopic reaction-diffusion process obtained as a superposition of a Glauber and a Kawasaki dynamics. The reaction term is tuned so that a dynamical phase transition occurs in the model as a suitable…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
The Weibull distribution can be obtained using a power transformation from the standard exponential distribution. In this article, we will consider a symmetrized power transformation of a random variable with the standard normal…
We introduce a field-theoretic approach for describing the critical behavior of nonextensive systems, systems displaying global correlations among their degrees of freedom, encoded by the nonextensive parameter $q$. As some applications, we…
The assumption of Gaussian or Gaussian mixture data has been extensively exploited in a long series of precise performance analyses of machine learning (ML) methods, on large datasets having comparably numerous samples and features. To…
In the present paper, we would like to draw attention to a possible generalized Fisher information that fits well in the formalism of nonextensive thermostatistics. This generalized Fisher information is defined for densities on…
We present a general framework for understanding and analyzing critical behaviour in gravitational collapse. We adopt the method of renormalization group, which has the following advantages. (1) It provides a natural explanation for various…
The theory of large deviations constitutes a mathematical cornerstone in the foundations of Boltzmann-Gibbs statistical mechanics, based on the additive entropy $S_{BG}=- k_B\sum_{i=1}^W p_i \ln p_i$. Its optimization under appropriate…
The classic central limit theorem and $\alpha$-stable distributions play a key role in probability theory, and also in Boltzmann-Gibbs (BG) statistical mechanics. They both concern the paradigmatic case of probabilistic independence of the…
The collective behaviour of statistical systems close to critical points is characterized by an extremely slow dynamics which, in the thermodynamic limit, eventually prevents them from relaxing to an equilibrium state after a change in the…
Two new statistics, namely $\Delta_\chi^2$ and $\Delta_\chi$, based on extreme value theory, were derived in \cite{gupta08,gupta10}. We use these statistics to study direction dependence in the HST key project data which provides the most…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…