Related papers: The $\kappa$-generalised Distribution for Stock Re…
The non-Maxwellian $\kappa$-distributions have been detected in the solar transition region and flares. These distributions are characterized by a high-energy tail and a near-Maxwellian core and are known to have significant impact on the…
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions…
Due to the skessed distribution, high peak and thick tail and asymmetry of financial return data, it is difficult to describe the traditional distribution. In recent years, generalized autoregressive score (GAS) has been used in many fields…
It is argued that there is a need for fat-tailed distributions that become thin in the extreme tail. A 3-parameter distribution is introduced that visually resembles the t-distribution and interpolates between the normal distribution and…
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 departure of particle distributions from the Maxwellian is commonly observed in space plasmas. These non-Maxwellian distributions which are typical for plasmas that are not in thermal equilibrium, can be modeled with…
The asymptotic behavior of a nonlinear diffusive equation obtained in the framework of the $\kappa$-generalized statistical mechanics is studied. The analysis based on the classical Lie symmetry shows that the $\kappa$-Gaussian function is…
We present an overview of possible reasons for the appearance of heavy-tailed distributions in applications to the natural sciences. These distributions include the laws of Pareto, Lotka, and some new ones. The reasons are illustrated using…
We introduce the {\alpha}-{\kappa}-{\mu} shadowed ({\alpha}-KMS) fading distribution as a natural generalization of the versatile {\alpha}-{\kappa}-{\mu} and {\alpha}-{\eta}-{\mu} distributions. The {\alpha}-KMS fading distribution unifies…
The intriguing and still open question concerning the composition law of $\kappa$-entropy $S_{\kappa}(f)=\frac{1}{2\kappa}\sum_i (f_i^{1-\kappa}-f_i^{1+\kappa})$ with $0<\kappa<1$ and $\sum_i f_i =1$ is here reconsidered and solved. It is…
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results and use standard tests as well as develop a…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
Adopting a bottom-up perspective, we propose a novel two-parametric nonadditive entropy, $S_{\kappa\ell}$, associated with a Kappa-type power-law velocity distribution, $F_{\kappa\ell}(v)$, recently derived in the literature. By formulating…
The axiomatic structure of the $\kappa$-statistcal theory is proven. In addition to the first three standard Khinchin--Shannon axioms of continuity, maximality, and expansibility, two further axioms are identified, namely the self-duality…
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…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We rediscuss recent derivations of kinetic equations based on the Kaniadakis' entropy concept. Our primary objective here is to derive a kinetical version of the second law of thermodynamycs in such a $\kappa$-framework. To this end, we…
We present here a general framework, expressed by a system of nonlinear differential equations, suitable for the modelling of taxation and redistribution in a closed (trading market) society. This framework allows to describe the evolution…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average…