相关论文: Financial Market Dynamics
We present a simple and general argument showing that a class of dynamical correlations give rise to the so-called Tsallis nonextensive statistics. An example of a system having such a dynamics is given, exhibiting a non-Boltzmann energy…
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 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…
We present in this paper a rigorous method to derive the nonlinear Fokker-Planck (FP) equation of anomalous diffusion directly from a generalization of the principle of least action of Maupertuis proposed by Wang for smooth or quasi-smooth…
In this study it is shown that the Tsallis q-extended statistical theory was found efficient to describe faithfully the space plasmas statistics in every case, from the planetic magnetospheres, to solar corona and solar dynamics, as well as…
In this work we present the explicit calculation of Probability Distribution Function for a model system of granular gas within the framework of Tsallis Non-Extensive Statistical Mechanics, using the stochastic approach by Beck [C. Beck,…
In this study, the nonlinear analysis of the sunspot index is embedded in the non-extensive statistical theory of Tsallis. The triplet of Tsallis, as well as the correlation dimension and the Lyapunov exponent spectrum were estimated for…
We study stochastic motion under a nonlinear frictional force that levels off with increasing velocity. Specifically, our frictional force is of the so-called Coulomb-tanh type. At small speed, it increases approximately linearly with…
This paper addresses the problem of dynamic asset allocation under uncertainty, which can be formulated as a linear quadratic (LQ) control problem with multiplicative noise. To handle exploration exploitation trade offs and induce sparse…
It is shown that Tsallis' generalized statistics provides a natural frame for the statistical-thermodynamical description of anomalous diffusion. Within this generalized theory, a maximum-entropy formalism makes it possible to derive a…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
This study explores the interaction between non-extensive entropic FLRW cosmology and the power-law inflationary model, with a focus on the overlap between the scalar spectral index `$n_s$' and the tensor-to-scalar ratio `$r$'. Based on a…
The Tsallis entropy and Fisher information entropy (matrix) are very important quantities expressing information measures in nonextensive systems. Stationary and dynamical properties of the information entropies have been investigated in…
In Statistical Mechanics, Tsallis distributions were apparently conceived in connection with systems presenting long--range interactions. In fact, they were observed in numerical computations for models of such a type, as occurring in the…
We apply a variant of the Nose-Hoover thermostat to derive the Hamiltonian of a nonextensive system that is compatible with the canonical ensemble of the generalized thermostatistics of Tsallis. This microdynamical approach provides a…
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…
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…
Inferring the driving equations of a dynamical system from population or time-course data is important in several scientific fields such as biochemistry, epidemiology, financial mathematics and many others. Despite the existence of…
We apply non-extensive methods to the statistical analysis of fully developed turbulent flows. Probability density functions of velocity differences at distance r obtained by extremizing the Tsallis entropies coincide well with what is…
We provide an update of the overview of imprints of Tsallis nonextensive statistics seen in a multiparticle production processes. They reveal an ubiquitous presence of power law distributions of different variables characterized by the…