On non-Gaussianity and dependence in financial time series: a nonextensive approach

DOI10.1080/14697680500244403zbMath1134.91567OpenAlexW2047721526MaRDI QIDQ3375389

Sílvio M. Duarte Queirós

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500244403

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (11)

Investigation of non-Gaussian effects in the Brazilian option market ⋮ The nonadditive entropy \(S_q\) and its applications in physics and elsewhere: some remarks ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ SOME OPEN POINTS IN NONEXTENSIVE STATISTICAL MECHANICS ⋮ Trading volume in financial markets: an introductory review ⋮ A Monte Carlo multi-asset option pricing approximation for general stochastic processes ⋮ Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics ⋮ Optimal investment problem under non-extensive statistical mechanics ⋮ A nonextensive approach to the dynamics of financial observables ⋮ New representations of π and Dirac delta using the nonextensive-statistical-mechanics q-exponential function ⋮ A generalization of the cumulant expansion. Application to a scale-invariant probabilistic model

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