Related papers: Excess Demand Financial Market Model
The non-extensive statistical mechanics has been applied to describe a variety of complex systems with inherent correlations and feedback loops. Here we present a dynamical model based on previously proposed static model exhibiting in the…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
The nonextensive statistical ensembles are revisited for the complex systems with long-range interactions and long-range correlations. An approximation, the value of nonextensive parameter (1-q) is assumed to be very tiny, is adopted for…
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 developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using $q$-deformed functions and we find that the wealth after n days with the optimal…
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate…
What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical…
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…
The incomplete nonextensive statistics in the canonical and microcanonical ensembles is explored in the general case and in a particular case for the ideal gas. By exact analytical results for the ideal gas it is shown that taking the…
We provide an update of the overview of imprints of Tsallis nonextensive statistics seen in a multiparticle production processes. They reveal an ubiquitous presence of power law distributions of different variables characterized by the…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…
Tsallis' non-extensive statistical mechanics is claimed to be the correct tool to describe the behaviour of low-dimensional dissipative maps at the edge of chaos. Indeed, many different approaches confirm that, for those systems, the…
Superstatistics is a superposition of two different statistics relevant for driven nonequilibrium systems with a stationary state and intensive parameter fluctuations. It contains Tsallis statistics as a special case. After briefly…
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…
Maximum entropy principles in nonextensive statistical physics are revisited as an application of the Tsallis relative entropy defined for non-negative matrices in the framework of matrix analysis. In addtition, some matrix trace…
In many situations, in all branches of physics, one encounters power-like behavior of some variables which are best described by a Tsallis distribution characterized by a nonextensivity parameter $q$ and scale parameter $T$. However, there…
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
The framework of non-extensive statistical mechanics, proposed by Tsallis, has been used to describe a variety of systems. The non-extensive statistical mechanics is usually introduced in a formal way, thus simple models exhibiting some…