Related papers: Excess Demand Financial Market Model
In traditional extreme value analysis, the bulk of the data is ignored, and only the tails of the distribution are used for inference. Extreme observations are specified as values that exceed a threshold or as maximum values over distinct…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy…
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular way has been to extract implied volatilities to assess the…
This article extends results described in a recent article detailing a structural scale invariance property of the simulated annealing (SA) algorithm. These extensions are based on generalizations of the SA algorithm based on Tsallis…
In this paper we discuss practical limitations of the standard choice-based demand models used in the literature to estimate demand from sales transaction data. We present modifications and extensions of the models and discuss data…
Stochastic models, based on random processes, may lead to power law distributions, which provide long range correlations. The observation of power law behavior and the presence of long range correlations in biological systems has been…
Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
The statistical mechanics of a cloud of particles interacting via their gravitational potentials is an old problem which encounters some issues when the traditional Boltzmann-Gibbs statistics is applied. In this article, we consider the…
A nonextensive thermostatic approach to chaotic dynamical systems is developed by expressing generalized Tsallis distribution as escort distribution. We explicitly show the thermodynamic limit and also derive the Legendre Transform…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
Extreme events have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…
In spite of its undeniable success, there are still open questions regarding Tsallis non-extensive statistical formalism, whose founding stone was laid in 1988 in JSTAT. Some of them are concerned with the so-called normalization problem of…
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d)$, at fixed time $T$ and projected to their first $l$…
We found, from the analysis of $M$ vs. $T$ curves of some manganese oxides (manganites), that these systems do not follow the traditional Maxwell-Boltzmann statistics, but the Tsallis statistics, within the \QTR{em}{normalized} formalism.…