Nonextensive statistical mechanics and economics
From MaRDI portal
Publication:1873940
DOI10.1016/S0378-4371(03)00042-6zbMath1072.91626OpenAlexW3105524067WikidataQ61412748 ScholiaQ61412748MaRDI QIDQ1873940
Constantino Tsallis, Celia Anteneodo, Lisa Borland, Roberto R. Osorio
Publication date: 21 May 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00042-6
Classical equilibrium statistical mechanics (general) (82B05) Statistical methods; economic indices and measures (91B82)
Related Items (35)
New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints ⋮ Dynamic effects of memory in a cobweb model with competing technologies ⋮ Entropy measure of credit risk in highly correlated markets ⋮ Pricing of financial derivatives based on the Tsallis statistical theory ⋮ Tail risk constraints and maximum entropy ⋮ What should a statistical mechanics satisfy to reflect nature? ⋮ Black-Scholes like closed form formulas and numerical solutions for American style options ⋮ Portfolio theory, information theory and Tsallis statistics ⋮ Tsallis entropy of fuzzy dynamical systems ⋮ Topological data analysis of financial time series: landscapes of crashes ⋮ Skewness and kurtosis analysis for non-Gaussian distributions ⋮ Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory ⋮ A projection pricing model for non-Gaussian financial returns ⋮ Analysis of time series using a new entropy plane based on past entropy ⋮ Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework ⋮ A maximum (non-extensive) entropy approach to equity options bid-ask spread ⋮ Model-free stochastic processes studied with \(q\)-wavelet-based informational tools ⋮ Entropy -- a tale of ice and fire. (Review of some exceptional Tsallis indexes) ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Statistical field theories deformed within different calculi ⋮ PHYSICAL TEMPERATURE AND PRESSURE IN FULLY NONEXTENSIVE STATISTICAL THERMODYNAMICS ⋮ Financial portfolios based on Tsallis relative entropy as the risk measure ⋮ Financial market dynamics: superdiffusive or not? ⋮ A note on non-thermodynamical applications of non-extensive statistics ⋮ On the robustness of the \(q\)-Gaussian family ⋮ Volatility return intervals analysis of the Japanese market ⋮ Multi-scale correlations in different futures markets ⋮ Rotational temperature measurements in molecular plasmas using nonadditive Tsallis statistics ⋮ On the axiomatic requirement of range to measure uncertainty ⋮ New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models ⋮ On non-Gaussianity and dependence in financial time series: a nonextensive approach ⋮ Thermodynamics of markets ⋮ Generalized entropy and model uncertainty ⋮ Conditional maximum entropy and superstatistics ⋮ Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise
Cites Work
- Unnamed Item
- Unnamed Item
- Thermal measurements of stationary nonequilibrium systems: a test for generalized thermostatistics
- Financial market dynamics
- Possible generalization of Boltzmann-Gibbs statistics.
- A theory of non‐Gaussian option pricing
- Statistics and dynamics
- Why Tsallis statistics?
- PDF of velocity fluctuation in turbulence by a statistics based on generalized entropy
This page was built for publication: Nonextensive statistical mechanics and economics