Transition from lognormal toχ2-superstatistics for financial time series
نویسندگان
چکیده
منابع مشابه
From time series to superstatistics.
Complex nonequilibrium systems are often effectively described by a "statistics of a statistics", in short, a "superstatistics". We describe how to proceed from a given experimental time series to a superstatistical description. We argue that many experimental data fall into three different universality classes: Chi2 superstatistics (Tsallis statistics), Chi2 inverse superstatistics, and log-no...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2016
ISSN: 0378-4371
DOI: 10.1016/j.physa.2016.02.057