Dynamical model and nonextensive statistical mechanics of a market index on large time windows
نویسندگان
چکیده
منابع مشابه
Dynamical model and nonextensive statistical mechanics of a market index on large time windows.
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e., the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution equations of the Langevin and Fokker-Planck type. A model originally proposed to describe the intermittent behavior of turbulent flows describes the behavior o...
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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 misconception is explained and it is shown that a long tail distribution exists in equilibrium thermodynamics for more than a century.
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2003
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.68.046122