A new measure between sets of probability distributions with applications to erratic financial behavior

DOI10.1088/1742-5468/AC3D91MaRDI QIDQ5020029zbMATH OpenOpenAlexFDO

Authors Nick James, Max Menzies

Publication date 3 January 2022

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.07377

zbMATH Keywords

critical phenomena of socio-economic systemsnonlinear dynamicsquantitative financerisk measure and management

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cited in

(2)

• Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
• Equivalence relations and \(L^p\) distances between time series with application to the black summer Australian bushfires

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Uses Software

• MESH

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