Nonextensive thermostatistics description of intermittency in turbulence and financial markets

Ramos, Fernando M.; Rosa, Reinaldo R.; Neto, Camilo Rodrigues; Bolzan, Maurı́cio José Alves; Sá, Leonardo Deane de Abreu

doi:10.1016/s0362-546x(01)00469-2

Cited by 24 publications

(40 citation statements)

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“…These results follow a familiar pattern already found in other financial signals [3,4,5,6]. The transition from an approximately Gaussian behavior, at long time intervals, to a leptokurtotic distribution form, as ∆t decreases, is quite evident.…”

Section: The Comprehensive Aerospace Index (Casi)supporting

confidence: 86%

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Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Mattedi

Ramos

Rosa

et al. 2004

Physica A: Statistical Mechanics and its Applications

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In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-atRisk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.

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Section: The Comprehensive Aerospace Index (Casi)supporting

confidence: 86%

“…From an econophysics point-of-view, several studies pointed out that the financial market dynamics may efficiently be understood within the statistical mechanical framework and its suitable generalizations [14,15]. In this context, Ramos and collaborators [13,5] have recently shown that Tsallis canonical distribution [17], given by…”

Section: Risk Analysismentioning

confidence: 99%

Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Mattedi

Ramos

Rosa

et al. 2004

Physica A: Statistical Mechanics and its Applications

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“…para várias escalas r. Da formulação multifractal, a função de estrutura S p (r) para o domínio inercial (η r L) pode ser expressa como [35] [4,7,68,69]. Todos os modelos analíticos citados estão baseadas na termo-estatística não extensiva de Tsallis [83].…”

Section: Um Modelo Para Intermitênciaunclassified

Modelagem Matemática em Turbulência Atmosférica

2010

Notas Em Matemática Aplicada

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“…In this paper, we will adopt a generalization of the PDF model used in our previous works (Ramos et al, 1999;Ramos et al, 2001a and b;Bolzan et al, 2002), assuming that p q (v r ) is given by:…”

Section: Theorymentioning

confidence: 99%

Generalized thermostatistics and wavelet analysis of solar wind and proton density variability

Bolzan¹,

Rosa²,

Ramos³

et al. 2005

Journal of Atmospheric and Solar-Terrestrial Physics

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In this paper, we analyze the probability density function (PDF) of solar wind velocity and proton density, based on generalized thermostatistics (GT) approach, comparing theoretical results with observational data. The time series analyzed were obtained from the SOHO satellite mission where measurements were sampled every hour. We present in the investigations data for two years of different solar activity: (a) moderate activity (MA) period (1997) and (b) high activity (HA) period (2000). For the MA period, the results show good agreement between experimental data and GT model. For the HA period, the agreement between experimental and theoretical PDFs was fairly good, but some distortions were observed, probably due to intermittent characteristics of turbulent processes. As a complementary analysis, the Global Wavelet Spectrum (GWS) was obtained allowing the characterization of the predominant temporal variability scales for both the periods and the stochastics aspects of the nonlinear solar wind variability are discussed.

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Nonextensive thermostatistics description of intermittency in turbulence and financial markets

Cited by 24 publications

References 0 publications

Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Modelagem Matemática em Turbulência Atmosférica

Generalized thermostatistics and wavelet analysis of solar wind and proton density variability

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