1999/07/22 by F. M. Ramos, Fernando M. Ramos, C. Rodrigues Neto +6
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Condensed Matter (cond-mat) #FOS: Physical sciences #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #cond-mat
paper · pdf · doi:10.48550/arxiv.cond-mat/9907348
LaTex file + 3 postscript figures, 9 pages, submitted to Europhysics Letters
openalex publication_date 1999/07/22 · arxiv created 1999/07/23 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency -- strong bursts in the energy dissipation or clusters of high price volatility -- and nonextensivity -- anomalous scaling of usually extensive properties like entropy -- are naturally linked by a single parameter q, from the nonextensive thermostatistics.