Showing 1 - 8 of 8
In this paper we extend our recent results [P. Jizba, T. Arimitsu Physica A 340 (2004) 110] on q-nonextensive statistics with non-Tsallis entropies. In particular, we combine an axiomatics of Rényi with the q-deformed version of Khinchin axioms to obtain the entropy which accounts both for...
Persistent link: https://www.econbiz.de/10011063643
It is shown that superpositions of path integrals with arbitrary Hamiltonians and different scaling parameters v ("variances") obey the Chapman-Kolmogorov relation for Markovian processes if and only if the corresponding smearing distributions for v have a specific functional form. Ensuing...
Persistent link: https://www.econbiz.de/10005084334
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the...
Persistent link: https://www.econbiz.de/10005098509
In the framework of Multifractal Diffusion Entropy Analysis we propose a method for choosing an optimal bin-width in histograms generated from underlying probability distributions of interest. The method presented uses techniques of R\'{e}nyi's entropy and the mean squared error analysis to...
Persistent link: https://www.econbiz.de/10010800950
In this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell’s coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly...
Persistent link: https://www.econbiz.de/10010591057
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem we show that the Renyi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly...
Persistent link: https://www.econbiz.de/10009147934
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the...
Persistent link: https://www.econbiz.de/10011057256
In the framework of Multifractal Diffusion Entropy Analysis we propose a method for choosing an optimal bin-width in histograms generated from underlying probability distributions of interest. The method presented uses techniques of Rényi’s entropy and the mean squared error analysis to...
Persistent link: https://www.econbiz.de/10011063568