Related papers: On a possible dynamical scenario leading to a gene…
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the…
The generalized gamma distribution shows up in many problems related to engineering, hydrology as well as survival analysis. Earlier work has been done that estimated the deviation of the exponential and the Weibull distribution from…
In this paper we propose an objective Bayesian estimation approach for the parameters of the generalized gamma distribution. Various reference priors are obtained, but showing that they lead to improper posterior distributions. We overcome…
This article aims to introduced a new distribution named as extended xgamma (EXg) distribution. This generalization is derived from xgamma distribution (Xg), a special finite mixture of exponential and gamma distributions [see, Sen et al.…
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…
The central limit theorem provides the theoretical foundation for the universality of the normal distribution: under broad conditions, the asymptotic distribution of a sum of independent random variables approaches a Gaussian. Yet, physical…
We study a statistical model consisting of $N$ basic units which interact with each other by exchanging a physical entity, according to a given microscopic random law, depending on a parameter $\lambda$. We focus on the equilibrium or…
We present a thermodynamic theory for a generic population of $M$ individuals distributed into $N$ groups (clusters). We construct the ensemble of all distributions with fixed $M$ and $N$, introduce a selection functional that embodies the…
A new five-parameter continuous distribution which generalizes the Kumaraswamy and the beta distributions as well as some other well-known distributions is proposed and studied. The model has as special cases new four- and three-parameter…
A mixture of variance-gamma distributions is introduced and developed for model-based clustering and classification. The latest in a growing line of non-Gaussian mixture approaches to clustering and classification, the proposed mixture of…
A generalization of a distribution increases the flexibility particularly in studying of a phenomenon and its properties. Many generalizations of continuous univariate distributions are available in literature. In this study, an…
Although the specification of bivariate probability models using a collection of assumed conditional distributions is not a novel concept, it has received considerable attention in the last decade. In this study, a bivariate…
We introduce the beta generalized exponential distribution that includes the beta exponential and generalized exponential distributions as special cases. We provide a comprehensive mathematical treatment of this distribution. We derive the…
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…
In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations…