Tsallis statistics and gradually truncated Levy flight - distribution of an economical index


Autoria(s): Gupta, H. M.; Campanha, JR
Contribuinte(s)

Universidade Estadual Paulista (UNESP)

Data(s)

20/05/2014

20/05/2014

15/06/2002

Resumo

Tsallis postulated a generalized form for entropy and give rise to a new statistics now known as Tsallis statistics. In the present work, we compare the Tsallis statistics with the gradually truncated Levy flight, and discuss the distribution of an economical index-the Standard and Poor's 500-using the values of standard deviation as calculated by our model. We find that both statistics give almost the same distribution. Thus we feel that gradual truncation of Levy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Levy flight is based on physical considerations and bring a better physical picture of the dynamics of the whole system. Tsallis statistics gives a theoretical support. Both statistics together can be utilized for the development of a more exact portfolio theory or to understand better the complexities in human and financial behaviors. A comparison of both statistics is made. (C) 2002 Published by Elsevier B.V. B.V.

Formato

381-387

Identificador

http://dx.doi.org/10.1016/S0378-4371(02)00545-9

Physica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 309, n. 3-4, p. 381-387, 2002.

0378-4371

http://hdl.handle.net/11449/39138

10.1016/S0378-4371(02)00545-9

WOS:000176342800009

Idioma(s)

eng

Publicador

Elsevier B.V.

Relação

Physica A: Statistical Mechanics and Its Applications

Direitos

closedAccess

Tipo

info:eu-repo/semantics/article