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?
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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
Journal: Physica A: Statistical Mechanics and its Applications - Volume 373, 1 January 2007, Pages 593–602
نویسندگان
Daniel O. Cajueiro, Benjamin M. Tabak,