Related papers: Asymmetric Tsallis distributions for modelling fin…
We applied the Tsallis statistics with the conventional expectation value to a system of free particles, adopting the equilibrium temperature which is often called the physical temperature. The entropic parameter $q$ in the Tsallis…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
This paper systematically investigates the thermodynamic properties of classical oscillators under different statistical distributions, focusing on the behavior of uniform distribution, two-level distribution, gamma distribution, log-normal…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
The nonextensive statistical ensembles are revisited for the complex systems with long-range interactions and long-range correlations. An approximation, the value of nonextensive parameter (1-q) is assumed to be very tiny, is adopted for…
q-Gaussians are probability distributions having their origin in the framework of Tsallis statistics. A continuous real parameter q is characterizing them so that, in the range 1 < q < 3, the q-functions pass from the usual Gaussian form,…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
We report the results of a numerical investigation, performed in the frame of dynamical systems' theory, for a realistic model of a ionic crystal for which, due to the presence of long--range Coulomb interactions, the Gibbs distribution is…
Self-gravitating systems are generally thought to behavior non-extensively due to the long-range nature of gravitational forces. We obtain a relation between the nonextensive parameter q of Tsallis statistics, the temperature gradient and…
This paper discusses the empirical evidence of Tsallis statistical functions in the personal income distribution of Brazil. Yearly samples from 1978 to 2014 were linearized by the q-logarithm and straight lines were fitted to the entire…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
We investigate the cumulative Tsallis entropy, an information measure recently introduced as a cumulative version of the classical Tsallis differential entropy, which is itself a generalization of the Boltzmann-Gibbs statistics. This…
An ion in a radiofrequency ion trap interacting with a buffer gas of ultracold neutral atoms is a driven dynamical system which has been found to develop a non-thermal energy distribution with a power law tail. The exact analytical form of…
This paper addresses the problem of dynamic asset allocation under uncertainty, which can be formulated as a linear quadratic (LQ) control problem with multiplicative noise. To handle exploration exploitation trade offs and induce sparse…