Article ID Journal Published Year Pages File Type
976316 Physica A: Statistical Mechanics and its Applications 2009 7 Pages PDF
Abstract
We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique indicates reasonable agreement with the data under consideration, including all possible extremes and asymmetries of the returns. Numerical results to illustrate the efficiency of the method are presented.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
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