Dresden 2009 – scientific programme
Parts | Days | Selection | Search | Downloads | Help
AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme
AGSOE 3: Financial Markets and Risk Management II
AGSOE 3.6: Talk
Monday, March 23, 2009, 12:15–12:30, BAR 205
Nonlinear stochastic modeling of Tsallis statistics with application to financial markets — •Bronislovas Kaulakys, Vygintas Gontis, Miglius Alaburda, and Julius Ruseckas — Institute of Theoretical Physics and Astronomy of Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania
The financial observables may be related to the superstatistical and Tsallis’ statistical approaches. Superstatistical processes generated by driven Poisson processes [1] are long-range with the power-law distributions and may be useful for analysis of traffic, financial and other systems. Here we derive nonlinear stochastic differential equations [2] generating processes with q-exponential and q-Gaussian distributions, with the long-range power-law autocorrelations and 1/fβ power spectral density. We analyze properties of solutions of these equations in relation with the nonextensive statistical mechanics framework and relevance of the generalized and adapted equations for modeling of the financial processes.
[1] V. Gontis, B. Kaulakys, and J. Ruseckas, Physica A 387, 3891 (2008).
[2] B. Kaulakys and M. Alaburda, J. Stat. Mech., to be published (2009).