کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978375 1480195 2007 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is the expression H=1/(3-q)H=1/(3-q) valid for real financial data?
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Is the expression H=1/(3-q)H=1/(3-q) valid for real financial data?
چکیده انگلیسی

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 (1998) 6634–6642] has introduced a very interesting relation between the entropic index q that arises in the non-extensive entropy and the well-known Hurst exponent H used to measure long-range dependence in complex systems. In this paper, we provide statistical support to Borland results and test the validity of these results in real financial data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 373, 1 January 2007, Pages 593–602
نویسندگان
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