Inter-occurrence times and universal laws in finance, earthquakes and genomes

DOI10.1016/J.CHAOS.2015.12.025zbMATH Open1357.82007arXiv1601.03688OpenAlexW2235297472WikidataQ125711769 ScholiaQ125711769MaRDI QIDQ508322FDOQ508322

C. Tsallis

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Abstract: A plethora of natural, artificial and social systems exist which do not belong to the Boltzmann-Gibbs (BG) statistical-mechanical world, based on the standard additive entropy $S_{BG}$ and its associated exponential BG factor. Frequent behaviors in such complex systems have been shown to be closely related to $q$-statistics instead, based on the nonadditive entropy $S_q$ (with $S_1=S_{BG}$), and its associated $q$-exponential factor which generalizes the usual BG one. In fact, a wide range of phenomena of quite different nature exist which can be described and, in the simplest cases, understood through analytic (and explicit) functions and probability distributions which exhibit some universal features. Universality classes are concomitantly observed which can be characterized through indices such as $q$. We will exhibit here some such cases, namely concerning the distribution of inter-occurrence (or inter-event) times in the areas of finance, earthquakes and genomes.

Full work available at URL: https://arxiv.org/abs/1601.03688

zbMATH Keywords

complex systemsearthquakesnonextensive statistical mechanicsgenomesfinancesnonadditive entropies

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Foundations of equilibrium statistical mechanics (82B03)

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Cited In (3)

• A new physical model for earthquake time interval distribution
• Approximate waiting times for queuing systems with variable cross-correlated arrival rates
• Complexity in quantitative finance and economics

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