Related papers: Excess Demand Financial Market Model

Statistical mechanics is generalized on the basis of an information theory for inexact or incomplete probability distributions. A parameterized normalization is proposed and leads to a nonextensive entropy. The resulting incomplete…

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…

Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…

Within Tsallis' nonextensive statistics, a model is elaborated to address self-similar time series as a thermodynamic system. Thermodynamic-type characteristics relevant to temperature, pressure, entropy, internal and free energies are…

Distributions exhibiting fat tails occur frequently in many different areas of science. A dynamical reason for fat tails can be a so-called superstatistics, where one has a superposition of local Gaussians whose variance fluctuates on a…

We discuss the possibility of implementing axiomatic nonextensive statistics, where it is conjectured that the phase-space volume determines the (non)extensive entropy, on the particle production at NICA energies. Both Boltzmann-Gibbs and…

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…

The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of…

In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…

We show that the non-additivity relation of the Tsallis entropies in nonextensive statistical mechanics has a simple physical interpretation for systems with fluctuating temperature or fluctuating energy dissipation rate. We also show that…

In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis…

In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1, \ldots, X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of…

Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…

We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…

There is a conception that Boltzmann-Gibbs statistics cannot yield the long tail distribution. This is the justification for the intensive research of nonextensive entropies (i.e. Tsallis entropy and others). Here the error that caused this…

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…

Based on Tsallis entropy and the corresponding deformed exponential function, generalized distribution functions for bosons and fermions have been used since a while. However, aiming at a non-extensive quantum statistics further…

This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…

We find the value of constants related to constraints in characterization of some known statistical distributions and then we proceed to use the idea behind maximum entropy principle to derive generalized version of this distributions using…