Related papers: Asymmetric Tsallis distributions for modelling fin…
Anomalous diffusion and non-Gaussian statistics are detected experimentally in a two-dimensional driven-dissipative system. A single-layer dusty plasma suspension with a Yukawa interaction and frictional dissipation is heated with laser…
A nonextensive thermostatic approach to chaotic dynamical systems is developed by expressing generalized Tsallis distribution as escort distribution. We explicitly show the thermodynamic limit and also derive the Legendre Transform…
We show that size-rank distributions with power-law decay (often only over a limited extent) observed in a vast number of instances in a widespread family of systems obey Tsallis statistics. The theoretical framework for these distributions…
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fractional velocity derivatives. The distribution functions are found using numerical means for varying degree of fractionality observing the…
The recent argue about the existence of an instability in the definition of the mean value appearing in the Tsallis non extensive Statistical Mechanic is reconsidered. Here, it is simply underlined that the pair of probability distributions…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in…
We derive analogues of the Jarzynski equality and Crooks relation to characterise the nonequilibrium work associated with changes in the spring constant of an overdamped oscillator in a quadratically varying spatial temperature profile. The…
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
The exact analytical formulas for the transverse momentum distributions of the Bose-Einstein, Fermi-Dirac and Maxwell-Boltzmann statistics of particles with nonzero mass in the framework of the Tsallis normalized and Tsallis unnormalized…
We propose a novel machine learning approach for forecasting the distribution of stock returns using a rich set of firm-level and market predictors. Our method combines a two-stage quantile neural network with spline interpolation to…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
The current status of implementing Tsallis (nonextensive) statistics on high-energy physics is briefly reviewed. The remarkably low freezeout-temperature, which apparently fails to reproduce the first-principle lattice QCD thermodynamics…
We propose a Bayesian non-parametric approach for modeling the distribution of multiple returns. In particular, we use an asymmetric dynamic conditional correlation (ADCC) model to estimate the time-varying correlations of financial returns…
Systems with long-range interactions can reach a Quasi Stationary State (QSS) as a result of a violent collisionless relaxation. If the system mixes well (ergodicity), the QSS can be predicted by the statistical theory of Lynden-Bell (1967)…
We have studied the time lags between commercial line airplane disasters and their occurrence frequency till 2002, as obtained from a freely available website. We show that the time lags seem to be well described by Poisson random events,…
Within Tsallis' nonextensive statistics, a model is elaborated to address self-similar time series as a thermodynamic system. Thermodynamic-type characteristics relevant to temperature, pressure, entropy, internal and free energies are…
Although using non-Gaussian distributions in economic models has become increasingly popular, currently there is no systematic way for calibrating a discrete distribution from the data without imposing parametric assumptions. This paper…
We determine the asymptotic distribution of the sum of correlated variables described by a matrix product ansatz with finite matrices, considering variables with finite variances. In cases when the correlation length is finite, the law of…