Related papers: Excess Demand Financial Market Model
The Tsallis entropy, which possesses non-extensive property, is derived from the first principle employing the non-extensive Hamiltonian or the $q$-deformed Hamiltonian with the canonical ensemble assumption in statistical mechanics. Here,…
The purpose of this paper is to show that the use of heavy-tailed distributions in Financial problems is theoretically baseless and can lead to significant misunderstandings. The reason for this the authors see in an incorrect…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
The shape and tails of partial distribution functions (PDF) for a climatological signal, i.e. the El Nino SOI and the turbulent nature of the ocean-atmosphere variability are linked through a model encompassing Tsallis nonextensive…
We show that starting with either the non-extensive Tsallis entropy in Wang's formalism or the extensive Renyi entropy, it is possible to construct the equilibrium statistical mechanics with non-Gibbs canonical distribution functions. The…
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
A study of the effects of non-extensivity on the modelling of atomic physics in hot dense plasmas is proposed within Tsallis' statistics. The electronic structure of the plasma is calculated through an average-atom model based on the…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
The influence of the dimerization process on the nematic ordering is investigated by using a nonextensive thermostatistics, namely Tsallis thermostatistics(TT). A theoretical model taking into account the dimerization influence on the…
(The third edition corrects minor typos and adds 3 chapters synthesized from published papers plus an appendix on maximum entropy distributions.) The monograph investigates the misapplication of conventional statistical techniques to fat…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
In this study the q-statistics of Tsallis theory is testified in various complex physical systems. Especially the Tsallis q-triplet is estimated for space plasmas atmospheric dynamics and seismogenesis as well as for the brain and cardiac…
The original canonical ensemble formalism for the nonextensive entropy thermostatistics is reconsidered. It is shown that the unambiguous connection of the statistical mechanics with the equilibrium thermodynamics is provided if the…
We describe some recent applications of Tsallis statistics in fully developed hydrodynamic turbulence and high energy physics. For many of these applications nonextensive properties arise from spatial fluctuations of the temperature or the…
We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…
It is shown that distributions arising in Renyi-Tsallis maximum entropy setting are related to the Generalized Pareto Distributions (GPD) that are widely used for modeling the tails of distributions. The relevance of such modelization, as…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…