Related papers: Financial Market Dynamics
A unified presentation of the perturbation and variational methods for the generalized statistical mechanics based on Tsallis entropy is given here. In the case of the variational method, the Bogoliubov inequality is generalized in a very…
It is pointed out that the constraint to be imposed to the maximization of the entropy for processes outside the class of thermodynamical systems, is generally not well defined. In fact, any probability distribution can be derived from…
This article extends the non-extensive entropy of Tsallis and uses this entropy to model an energy producing system in an absorbing heat bath. This modified non-extensive entropy is superficially identical to the one proposed by Tsallis,…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Usually discussions on the question of interpretation in the Langevin equation with multiplicative white noise are limited to the Ito and Stratonovich prescriptions. In this work, a Langevin equation with multiplicative white noise and its…
To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
This article investigates the Fokker-Planck equations that arise from the application of quantum stochastic calculus to the modelling of illiquid financial markets, using asymptotic methods. We present a power series solution for quantum…
We derive equations for fluid dynamics from a non-extensive Boltzmann transport equation consistent with Tsallis' non-extensive entropy formula. We evaluate transport coefficients employing the relaxation time approximation and investigate…
This study investigates the interconnections between the traditional Fokker-Planck Equation (FPE) and its fractal counterpart (FFPE), utilizing fractal derivatives. By examining the continuous approximation of fractal derivatives in the…
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…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
The dynamics of the open or closed state region of an ion channel may be described by a probability density $p(x,t)$ which satisfies a Fokker-Planck equation. The closed state dwell-time distribution $f_c(t)$ derived from the Fokker-Planck…
Quite general, analytical (both exact and approximate) forms for discrete probability distributions (PD's) that maximize Tsallis entropy for a fixed variance are here investigated. They apply, for instance, in a wide variety of scenarios in…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
We obtain within Fokker-Planck dynamics an explicit generalization of Einstein's relation between drag, diffusion and equilibrium distribution for a spatially homogeneous system, considering both the transverse and longitudinal diffusion…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
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…
The properties of the nonextensive parameter q and the Tsallis distribution for self-gravitating systems are studied. A mathematical expression of q is deduced based on the generalized Boltzmann equation, the q-H theorem and the generalized…