Related papers: Evidence for criticality in financial data
The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…
We numerically study a one-dimensional system of $N$ classical localized planar rotators coupled through interactions which decay with distance as $1/r^\alpha$ ($\alpha \ge 0$). The approach is a first principle one (\textit{i.e.}, based on…
We look at the properties of clusters of order parameter at critical points in thermal systems and consider their significance to statistical-mechanical ground rules. These properties have been previously obtained through the saddle-point…
The asymptotic analysis of covariance parameter estimation of Gaussian processes has been subject to intensive investigation. However, this asymptotic analysis is very scarce for non-Gaussian processes. In this paper, we study a class of…
By using the $q$-Gaussian distribution derived by the maximum entropy method for spatially-correlated $N$-unit nonextensive systems, we have calculated the generalized Fisher information matrix of $g_{\theta_n \theta_m}$ for $(\theta_1,…
We discuss the requirements of good statistics for quantifying non-Gaussianity in the Cosmic Microwave Background. The importance of rotational invariance and statistical independence is stressed, but we show that these are sometimes…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
The statistics of natural catastrophes contains very counter-intuitive results. Using earthquakes as a working example, we show that the energy radiated by such events follows a power-law or Pareto distribution. This means, in theory, that…
We identify a new universality class in one-dimensional driven open quantum systems with a dark state. Salient features are the persistence of both the microscopic non-equilibrium conditions as well as the quantum coherence of dynamics…
Statistical quality control methods are noteworthy to producing standard production in manufacturing processes. In this regard, there are many classical manners to control the process. Many of them have a global assumption around the…
A plethora of natural, artificial and social systems exist which do not belong to the Boltzmann-Gibbs (BG) statistical-mechanical world, based on the standard additive entropy $S_{BG}$ and its associated exponential BG factor. Frequent…
This article investigates the generation of non-Gaussianity during inflation. In the context of multi-field inflation, we detail a mechanism that can create significant primordial non-Gaussianities in the adiabatic mode while preserving the…
Universal scaling laws of fluctuations (the $\Delta$-scaling laws) can be derived for equilibrium and off-equilibrium systems when combined with the finite-size scaling analysis. In any system in which the second-order critical behavior can…
In Ising model on the simple cubic lattice, we describe the inverse temperature \beta in terms of the bare-mass M and study its critical behavior by the use of delta expansion from high temperature or large M side. In the vicinity of…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
One of the few accepted dynamical foundations of non-additive "non-extensive") statistical mechanics is that the choice of the appropriate entropy functional describing a system with many degrees of freedom should reflect the rate of growth…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W}…
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…
We find the value of constants related to constraints in characterization of some known statistical distributions and then we proceed to use the idea behind maximum entropy principle to derive generalized version of this distributions using…