Related papers: Asymmetric Tsallis distributions for modelling fin…
We show through a nonlinear Fokker-Planck formalism, and confirm by molecular dynamics simulations, that the overdamped motion of interacting particles at T=0, where T is the temperature of a thermal bath connected to the system, can be…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
We develop a variational thermodynamic framework for statistical systems governed by a self-referential nonlinear operator Omega characterized by structural exponents alpha > 0, beta >= 0, a symmetric kernel K, and a self-coupling constant…
We consider the accuracy of an approximate posterior distribution in nonparametric regression problems by combining posterior distributions computed on subsets of the data defined by the locations of the independent variables. We show that…
In this paper one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, {$\frac{dp_{x}}{d| x|}=-\beta_{q^{\prime…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
In this study the q-statistics of Tsallis theory is testified in various complex physical systems. Especially the Tsallis q-triplet is estimated for space plasmas atmospheric dynamics and seismogenesis as well as for the brain and cardiac…
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…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
In a recent paper [Phys. Lett. A {\bf335}, 351 (2005)] the authors discussed the equivalence among the various probability distribution functions of a system in equilibrium in the Tsallis entropy framework. In the present letter we extend…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…
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…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
We investigate the large-volatility 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 large volatilities is characterized by a…
The return distributions of the coherent noise model are studied for the system size independent case. It is shown that, in this case, these distributions are in the shape of q-Gaussians, which are the standard distributions obtained in…