Related papers: Asymmetric Tsallis distributions for modelling fin…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…
The cumulative probability distribution of sparseness time interval in the Internet is studied by the method of data analysis. Round-trip time between a local host and a destination host through ten odd routers is measured using the Ping…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
We apply Tsallis's q-indexed entropy to formulate a non-extensive random matrix theory (RMT), which may be suitable for systems with mixed regular-chaotic dynamics. The joint distribution of the matrix elements is given by folding the…
We select the $n$ stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the $k$ trading days of our database from the stock price time series. We study the ensemble return…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we give exact formulas…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
We derived the expression of the normalized $q$-expectation value based on the density operator to the order $1-q$ with the physical temperature in the Tsallis nonextensive statistics of entropic parameter $q$. With the derived expression…
The dynamics of time-reversible systems are statistically indistinguishable when observed forward or backward in time. A rich literature of statistical methods to distinguish irreversible dynamics from the reversible dynamics of linear,…
We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time. To encourage exploration of the state space, we reward…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
The distribution function of the relative velocity in a two-body reaction of nonrelativistic uncorrelated particles is derived for general cases of given distribution functions of single particle velocities. The distribution function is…
The current form of Tsallis distribution for a Hamiltonian system with an arbitrary potential is found to represent a simple isothermal situation. In this letter, the q-exponential of a sum can be applied as the product of the q-exponential…
Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…
The family of q-Gaussian and q-exponential probability densities fit the statistical behavior of diverse complex self-similar non-equilibrium systems. These distributions, independently of the underlying dynamics, can rigorously be obtained…
We studied the thermodynamic quantities and the probability distribution, expressing the probability distribution as a function of the energy, in the canonical ensemble within the framework of the Tsallis statistics, which is characterized…
In many situations, in all branches of physics, one encounters power-like behavior of some variables which are best described by a Tsallis distribution characterized by a nonextensivity parameter $q$ and scale parameter $T$. However, there…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…