A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many...

Non-extensive thermodynamics is one of the most intriguing physics new frontiers. A large number of researchers have been successfully finding connections between the new concepts introduced by this new field and other complex systems already presented. In particular, Borland [Phys. Rev. E 57...

In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that...

This paper shows that the q-exponential function well known in the deformed algebra inspired in the Tsallis's nonextensive thermodynamics may be used to model discount functions in intertemporal choices which present the phenomenon known as increasing patience. Moreover, we show that this...

This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the...