Tsallis statistics and gradually truncated Lévy flight - distribution of an economical index

DOI10.1016/S0378-4371(02)00545-9zbMath0995.91028OpenAlexW2036019851MaRDI QIDQ1599007

José R. Campanha, Hari M. Gupta

Publication date: 4 June 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)00545-9

zbMATH Keywords

portfolio theorycritical step sizegradual truncation

Mathematics Subject Classification ID

Foundations of equilibrium statistical mechanics (82B03)

Related Items (2)

Firms growth dynamics, competition and power-law scaling ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics

Cites Work

• Chaotic advection in a two-dimensional flow: Lévy flights and anomalous diffusion
• Possible generalization of Boltzmann-Gibbs statistics.
• Portfolio Analysis in a Stable Paretian Market
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