Related papers: Asymmetric Tsallis distributions for modelling fin…
We study numerically statistical distributions of sums of orbit coordinates, viewed as independent random variables in the spirit of the Central Limit Theorem, in weakly chaotic regimes associated with the excitation of the first ($k=1$)…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…
We describe in detail two numerical simulation methods valid to study systems whose thermostatistics is described by generalized entropies, such as Tsallis. The methods are useful for applications to non-trivial interacting systems with a…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…
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…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
It is argued that the factorization of compound probability over subsystems is a consequence of the existence of thermodynamic equilibrium in the composite system having Tsallis entropy. So it should be respected by all exact calculations…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
A finite quantum system evolving unitarily equilibrates in a probabilistic fashion. In the general many-body setting the time-fluctuations of an observable \mathcal{A} are typically exponentially small in the system size. We consider here…
Based on the Tsallis entropy, the nonextensive thermodynamic properties are studied as a q-deformation of classical statistical results using only probabilistic methods and straightforward calculations. It is shown that the constant in the…
In this study, the nonlinear analysis of the sunspot index is embedded in the non-extensive statistical theory of Tsallis. The triplet of Tsallis, as well as the correlation dimension and the Lyapunov exponent spectrum were estimated for…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
We study the probability distribution $Q(n,t)$ of $n(t)$, the fraction of spins unflipped till time $t$, in a Ising chain with ferromagnetic interactions. The distribution shows a peak at $n=n_{max}$ and in general is non-Gaussian and…
Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time…
The general formalisms of the $q$-dual statistics, the Boltzmann-Gibbs statistics, and three versions of the Tsallis statistics known as Tsallis-1, Tsallis-2, and Tsallis-3 statistics have been considered in the canonical ensemble. We have…
This study seeks to advance the understanding and prediction of stock market return uncertainty through the application of advanced deep learning techniques. We introduce a novel deep learning model that utilizes a Gaussian mixture…
The shape and tails of partial distribution functions (PDF) for a climatological signal, i.e. the El Nino SOI and the turbulent nature of the ocean-atmosphere variability are linked through a model encompassing Tsallis nonextensive…
We proposed the agent-based model of financial markets where agents (or traders) are represented by three-state spins located on the plane lattice or social network. The spin variable represents only the individual opinion (advice) that…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…