Related papers: Excess Demand Financial Market Model
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
The statistical properties of fully developed hydrodynamic turbulence can be successfully described using methods from nonextensive statistical mechanics. The predicted probability densities and scaling exponents precisely coincide with…
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,…
It is pointed out that the dynamics of the order parameter at a thermal critical point obeys the precepts of the nonextensive Tsallis statistics. We arrive at this conclusion by putting together two well-defined statistical-mechanical…
The nonextensive statistics based on Tsallis entropy have been so far used for the systems composed of subsystems having same $q$. The applicability of this statistics to the systems with different $q$'s is still a matter of investigation.…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
We find the wealth distribution for an economic agent in the financial market, in analogy with standard derivation of generaliz Boltzman (Tsallis) factor in statistical mechanics. In this respect, Tsallis entropic index separates two…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
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…
The current form of Tsallis distribution for a Hamiltonian system with an arbitrary potential is found to represent a simple isothermal situation. In this letter, the q-exponential of a sum can be applied as the product of the q-exponential…
Probability distributions which emerge from the formalism of nonextensive statistical mechanics have been applied to a variety of problems. In this paper we unite modeling of such distributions with the model of widespread 1/f noise. We…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…
Superstatistics and Tsallis statistics in statistical mechanics is given an interpretation in terms of Bayesian statistical analysis. Subsequently superstatistics is extended by replacing each component of the conditional and marginal…
Tsallis has suggested a nonextensive generalization of the Boltzmann-Gibbs entropy, the maximization of which gives a generalized canonical distribution under special constraints. In this brief report we show that the generalized canonical…
This book chapter illustrates how to apply extreme value statistics to financial time series data. Such data often exhibits strong serial dependence, which complicates assessment of tail risks. We discuss the two main approches to tail risk…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…