Related papers: Excess Demand Financial Market Model
Within the Tsallis thermodynamics' framework, and using scaling properties of the entropy, we derive a generalization of the Gibbs-Duhem equation. The analysis suggests a transformation of variables that allows standard thermodynamics to be…
We show that there is an effect of nonextensivity acting upon the BCS model for superconductors in the ground state that motivates its study in the Tsallis' statistical framework. We show that the weak-coupling limit superconductors are…
High-energy phenomena presenting strong dynamical correlations, long-range interactions and microscopic memory effects are well described by nonextensive versions of the canonical Boltzmann-Gibbs statistical mechanics. After a brief…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by investigating…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
We construct classes of stochastic differential equations with fluctuating friction forces that generate a dynamics correctly described by Tsallis statistics and nonextensive statistical mechanics. These systems generalize the way in which…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which…
Comment to "Nonextensive Thermodynamics and Glassy Behaviour in Hamiltonian Systems" by A. Rapisarda and A. Pluchino, Europhysics News 36, 202 (2005).
Entropy and relative or cross entropy measures are two very fundamental concepts in information theory and are also widely used for statistical inference across disciplines. The related optimization problems, in particular the maximization…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
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, using the maximization of entropy. In…
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…
The current status of implementing Tsallis (nonextensive) statistics on high-energy physics is briefly reviewed. The remarkably low freezeout-temperature, which apparently fails to reproduce the first-principle lattice QCD thermodynamics…
In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
The recent argue about the existence of an instability in the definition of the mean value appearing in the Tsallis non extensive Statistical Mechanic is reconsidered. Here, it is simply underlined that the pair of probability distributions…
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal…
Tsallis' non-extensive entropy is extended to incorporate the dependence on affinities between the microstates of a system. At the core of our construction of the extended entropy ($\mathcal{H}$) is the concept of the effective number of…